RECURSIVE SIMULATION OF STATIONARY MULTIVARIATE RANDOM PROCESSES - PART II.

P. D. Spanos; Marc Mignolet

RECURSIVE SIMULATION OF STATIONARY MULTIVARIATE RANDOM PROCESSES - PART II.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

Stability and invertibility aspects of the AR to ARMA procedures developed in Part I in connection with simulation of multivariate random processes are addressed. A general criterion is proved for this purpose. Furthermore, several properties regarding the matching of the correlations at various time lags of the target and the simulated processes are shown. Finally, the reliability and efficiency of the discussed procedures are demonstrated by application to spectra encountered in earthquake engineering, offshore engineering, and wind engineering.

Original language	English (US)
Title of host publication	American Society of Mechanical Engineers (Paper)
Publisher	ASME, USA, 7p
State	Published - 1987
Externally published	Yes

ASJC Scopus subject areas

Mechanical Engineering

Cite this

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title = "RECURSIVE SIMULATION OF STATIONARY MULTIVARIATE RANDOM PROCESSES - PART II.",

abstract = "Stability and invertibility aspects of the AR to ARMA procedures developed in Part I in connection with simulation of multivariate random processes are addressed. A general criterion is proved for this purpose. Furthermore, several properties regarding the matching of the correlations at various time lags of the target and the simulated processes are shown. Finally, the reliability and efficiency of the discussed procedures are demonstrated by application to spectra encountered in earthquake engineering, offshore engineering, and wind engineering.",

author = "Spanos, {P. D.} and Marc Mignolet",

year = "1987",

language = "English (US)",

booktitle = "American Society of Mechanical Engineers (Paper)",

publisher = "ASME, USA, 7p",

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T1 - RECURSIVE SIMULATION OF STATIONARY MULTIVARIATE RANDOM PROCESSES - PART II.

AU - Spanos, P. D.

AU - Mignolet, Marc

PY - 1987

Y1 - 1987

N2 - Stability and invertibility aspects of the AR to ARMA procedures developed in Part I in connection with simulation of multivariate random processes are addressed. A general criterion is proved for this purpose. Furthermore, several properties regarding the matching of the correlations at various time lags of the target and the simulated processes are shown. Finally, the reliability and efficiency of the discussed procedures are demonstrated by application to spectra encountered in earthquake engineering, offshore engineering, and wind engineering.

AB - Stability and invertibility aspects of the AR to ARMA procedures developed in Part I in connection with simulation of multivariate random processes are addressed. A general criterion is proved for this purpose. Furthermore, several properties regarding the matching of the correlations at various time lags of the target and the simulated processes are shown. Finally, the reliability and efficiency of the discussed procedures are demonstrated by application to spectra encountered in earthquake engineering, offshore engineering, and wind engineering.

UR - http://www.scopus.com/inward/record.url?scp=0023602692&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0023602692&partnerID=8YFLogxK

M3 - Conference contribution

AN - SCOPUS:0023602692

BT - American Society of Mechanical Engineers (Paper)

PB - ASME, USA, 7p

ER -

RECURSIVE SIMULATION OF STATIONARY MULTIVARIATE RANDOM PROCESSES - PART II.

Abstract

ASJC Scopus subject areas

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