TY - JOUR
T1 - Simulation of stationary random processes
T2 - Two-stage MA to ARMA approach
AU - Spanos, Pol D.
AU - Mignolet, Marc
PY - 1990/3
Y1 - 1990/3
N2 - 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.
AB - 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.
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U2 - 10.1061/(ASCE)0733-9399(1990)116:3(620)
DO - 10.1061/(ASCE)0733-9399(1990)116:3(620)
M3 - Article
AN - SCOPUS:0004590405
SN - 0733-9399
VL - 116
SP - 620
EP - 641
JO - Journal of Engineering Mechanics
JF - Journal of Engineering Mechanics
IS - 3
ER -