ABSTRACT
This chapter explains methods for generating random numbers that follow various distributions. A realization of white noise can be obtained by repeating the generation of random numbers that follow a specified distribution. In time series modeling, a time series is considered as an output of a system with a white noise input. The chapter presents a unified method for simulating time series using the state-space model. Readers not interested in the details of random number generation may skip the first two sections. A sequence of independently generated numbers that follows a certain distribution is called a sequence of random numbers or simply random numbers. In other words, the random numbers are realizations of white noises. A time series model represents a time series as the output of a system that has white noise as an input.
