Recursive simulation of stationary multivariate random processes-part II

P. D. Spanos; Marc Mignolet

doi:10.1115/1.3173088

Recursive simulation of stationary multivariate random processes-part II

P. D. Spanos, Marc Mignolet

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46 Scopus citations

Abstract

Stability and invertibility aspects ofthe AR to ARMA procedures developed in Part I in connection with simulation of multivariate random processes are addressed. A general criterion is proved for this purpose. Furthermore, several properties regarding the matching of the correlations at various time lags of the target and the simulated processes are shown. Finally, the reliability and efficiency of the discussed procedures are demonstrated by application to spectra encountered in earthquake engineering, offshore engineering, and wind engineering.

Original language	English (US)
Pages (from-to)	681-687
Number of pages	7
Journal	Journal of Applied Mechanics, Transactions ASME
Volume	54
Issue number	3
DOIs	https://doi.org/10.1115/1.3173088
State	Published - Sep 1987

ASJC Scopus subject areas

Condensed Matter Physics
Mechanics of Materials
Mechanical Engineering

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Recursive simulation of stationary multivariate random processes-part II

Abstract

ASJC Scopus subject areas

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