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A central limit theorem for correlated variables with limited normal or gamma distributions

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journal contribution
posted on 24.12.2018, 05:30 by Dennis DeRiggi

Non-negative limited normal or gamma distributed random variables are commonly used to model physical phenomenon such as the concentration of compounds within gaseous clouds. This paper demonstrates that when a collection of random variables with limited normal or gamma distributions represents a stationary process for which the underlying variables have exponentially decreasing correlations, then a central limit theorem applies to the correlated random variables.

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This research was funded through central research by the Institute for Defense Analyses.

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