Recursive simulation of stationary multivariate random processes-part I

Marc Mignolet, P. D. Spanos

Research output: Contribution to journalArticlepeer-review

62 Scopus citations


A unified approach is presented in determining autoregressive moving average (ARMA) algorithms for simulating realizations of multivariate random processes with a specified (target) spectral matrix. The ARMA algorithms are derived by relying on a prior autoregressive (AR) approximation of the target matrix. Several AR to ARMA procedures are formulated by minimizing a frequency domain error. Equations which can lead to a convenient computation of the ARMA matrix coefficients for a particular problem are given. Finally, the features of the various procedures are critically assessed.

Original languageEnglish (US)
Pages (from-to)674-680
Number of pages7
JournalJournal of Applied Mechanics, Transactions ASME
Issue number3
StatePublished - Sep 1987

ASJC Scopus subject areas

  • Condensed Matter Physics
  • Mechanics of Materials
  • Mechanical Engineering


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