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RESEARCH PAPERS

Recursive Simulation of Stationary Multivariate Random Processes—Part I

[+] Author and Article Information
M. P. Mignolet, P. D. Spanos

Brown School of Engineering, Rice University, Houston, Texas 77251

J. Appl. Mech 54(3), 674-680 (Sep 01, 1987) (7 pages) doi:10.1115/1.3173087 History: Received July 01, 1986; Revised March 27, 1987; Online July 21, 2009

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.

Copyright © 1987 by ASME
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