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GSSM

Email questions about the code to pfc <AT> stat.osu.edu

The file GSSM.R contains R code to approximately simulate stationary Gaussian processes using the Gaussian Spectral Synthesis Method (GSSM).

Look at the file test_GSSM.R for some simple examples of how to approximately simulate time series using these R functions.

References

  1. pp. 291-292, D. B. Percival and A. T. Walden. Wavelet Methods for Time Series Analysis. Cambridge University Press, Cambridge, 2000.

  2. D. B. Percival (1992), Simulating Gaussian Random Processes with Specified Spectra, Computing Science and Statistics, 24, 534-538.

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R code to approximately simulate stationary Gaussian processes using the Gaussian Spectral Synthesis Method (GSSM).

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