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

DOI10.1515/MCMA.2010.006zbMATH Open1194.65018MaRDI QIDQ3580726FDOQ3580726

Authors: Mircea D. Grigoriu 

Publication date: 13 August 2010

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

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zbMATH Keywords

Monte Carlo simulationspectral representationnonstationary Gaussian processesgeneralized spectral density

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

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

Cited In (6)

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

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