Recursive Simulation of Stationary Multivariate Random Processes—Part I

DOI10.1115/1.3173087MaRDI QIDQ3759916zbMATH OpenOpenAlexFDO

Authors P. D. Spanos, M.-P. Mignolet

Publication date 1987

Published in Journal of Applied Mechanics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1115/1.3173087

zbMATH Keywords

simulationspectral matrixautoregressive moving average algorithmsmultivariate random processestarget matrix

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20) Probabilistic models, generic numerical methods in probability and statistics (65C20) Estimation and detection in stochastic control theory (93E10)

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