Envelope distribution approach for generation of narrowband non-Gaussian stochastic processes

Abstract

An envelope distribution approach is developed for generation of narrowband non-Gaussian processes. The processes are prescribed by the probability density and the power spectrum. The proposed approach is based on the method of stochastic differential equation, in which the drift and diffusion coefficients are adjusted to match the given probability distribution and power spectral density. In order to construct the stochastic differential equation, a joint probability distribution which satisfies some conditions is needed. The probability distribution can be obtained from the envelope distribution corresponding to the target non-Gaussian distribution. The proposed approach is applicable to generation of narrowband processes with a variety of non-Gaussian probability densities. Examples are presented to illustrate the usefulness of the approach.