A spectral-based Monte Carlo algorithm for generating samples of nonstationary Gaussian processes

DOI10.1515/MCMA.2010.006MaRDI QIDQ3580726zbMATH OpenFDO

Authors Mircea D. Grigoriu

Publication date 13 August 2010

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/MCMA.2010.006

zbMATH Keywords

generalized spectral densityMonte Carlo simulationnonstationary Gaussian processesspectral representation

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

• Numerical Simulation of Stationary and Non-Stationary Gaussian Random Processes

Cited in

(6)

• Generation of strongly non-Gaussian stochastic processes by iterative scheme upgrading phase and amplitude contents
• A comparison of methods for selecting values of simulation input variables
• An algorithm for on-the-fly generation of samples of non-stationary Gaussian processes based on a sampling theorem
• A class of non-Gaussian processes for Monte Carlo simulation
• Four finite dimensional (FD) surrogates for continuous random processes
• Harmonizable nonstationary processes

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