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 language||English (US)|
|Title of host publication||American Society of Mechanical Engineers (Paper)|
|Publisher||ASME, USA, 7p|
|State||Published - 1987|
ASJC Scopus subject areas
- Mechanical Engineering