Simulation of stationary random processes: Two-stage MA to ARMA approach

Pol D. Spanos, Marc Mignolet

Research output: Contribution to journalArticle

14 Citations (Scopus)

Abstract

The determination of moving average (MA) and autoregressive moving average (ARMA) algorithms for simulating realizations of multivariate random processes with a specified, or target, spectral matrix is presented. The MA algorithm is obtained first by relying on the maximization of an energy-like quantity. Next, a technique is formulated to derive an ARMA simulation algorithm from a prior MA approximation by relying on the minimization of frequency domain errors. Finally, these procedures are critically assessed as alternatives to existing autoregressive (AR) to ARMA two-stage simulation algorithms. Examples of applications are presented.

Original languageEnglish (US)
Pages (from-to)620-641
Number of pages22
JournalJournal of Engineering Mechanics
Volume116
Issue number3
DOIs
StatePublished - 1990

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Random processes

ASJC Scopus subject areas

  • Mechanical Engineering
  • Mechanics of Materials

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Simulation of stationary random processes : Two-stage MA to ARMA approach. / Spanos, Pol D.; Mignolet, Marc.

In: Journal of Engineering Mechanics, Vol. 116, No. 3, 1990, p. 620-641.

Research output: Contribution to journalArticle

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