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


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
Your Session has timed out. Please sign back in to continue.





Some tools below are only available to our subscribers or users with an online account.

Related Content

Customize your page view by dragging and repositioning the boxes below.

Related Journal Articles
Related eBook Content
Topic Collections

Sorry! You do not have access to this content. For assistance or to subscribe, please contact us:

  • TELEPHONE: 1-800-843-2763 (Toll-free in the USA)
  • EMAIL: asmedigitalcollection@asme.org
Sign In