A Monte Carlo simulation model for stationary non-Gaussian processes

M. Grigoriu, Ove Dalager Ditlevsen, S. R. Arwade

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

A class of stationary non-Gaussian processes, referred to as the class of mixtures of translation processes, is defined by their finite dimensional distributions consisting of mixtures of finite dimensional distributions of translation processes. The class of mixtures of translation processes includes translation processes and is useful for both Monte Carlo simulation and analytical studies. As for translation processes, the mixture of translation processes can have a wide range of marginal distributions and correlation functions. Moreover, these processes can match a broader range of second order correlation functions than translation processes. The paper also develops an algorithm for generating the class of mixtures of translation processes. The algorithm is based on the sampling representation theorem for stochastic processes and properties of the conditional distributions. Examples athe proposed Monte Carlo algorithm and compare features of translation processes and mixture of translation processes. Keywords: Monte Carlo simulation, non-Gaussian processes, sampling theorem, stochastic processes, translation processes
Original languageEnglish
JournalProbabilistic Engineering Mechanics
Volume18
Issue number1
Pages (from-to)87-95
ISSN0266-8920
Publication statusPublished - 2003

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