A direct determination of ARMA algorithms for the simulation of stationary random processes

Marc Mignolet, Pol D. Spanos

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

An efficient technique to determine autoregressive moving average (ARMA) algorithms for simulating realizations of multivariate random processes with a specified (target) spectral matrix is presented. The computation of the parameters of the ARMA model is accomplished by relying on the minimization of frequency domain errors. The need to perform a spectral factorization is discussed and some new algorithms to perform this operation are presented. Finally, the features of this technique are critically assessed and examples of application are given in context with nonlinear mechanics problems.

Original languageEnglish (US)
Pages (from-to)555-568
Number of pages14
JournalInternational Journal of Non-Linear Mechanics
Volume25
Issue number5
DOIs
StatePublished - 1990

ASJC Scopus subject areas

  • Mechanics of Materials
  • Mechanical Engineering
  • Applied Mathematics

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