RECURSIVE SIMULATION OF STATIONARY MULTIVARIATE RANDOM PROCESSES - PART I.

Marc Mignolet, P. D. Spanos

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

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)
Title of host publicationAmerican Society of Mechanical Engineers (Paper)
PublisherASME, USA, 7p
StatePublished - 1987
Externally publishedYes

ASJC Scopus subject areas

  • Mechanical Engineering

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