A direct determination of ARMA algorithms for the simulation of stationary random processes

DOI10.1016/0020-7462(90)90018-5zbMATH Open0729.73297OpenAlexW2093976610MaRDI QIDQ807249FDOQ807249

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

Publication date: 1990

Published in: International Journal of Non-Linear Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0020-7462(90)90018-5

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zbMATH Keywords

spectral factorizationspectral matrixautoregressive moving average (ARMA) algorithmsminimization of frequency domain errorssimulating realizations of multivariate random processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stationary stochastic processes (60G10) Random vibrations in dynamical problems in solid mechanics (74H50)

Cited In (10)

• Simulation of Homogeneous Two-Dimensional Random Fields: Part II—MA and ARMA Models
• Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation
• A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
• Recursive Simulation of Stationary Multivariate Random Processes—Part II
• Title not available (Why is that?)
• An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number
• Generation Of Time Series Models With Given Spectral Properties
• Title not available (Why is that?)
• Simulation of Homogeneous Two-Dimensional Random Fields: Part I—AR and ARMA Models
• Computationally efficient stochastic realization for internal multiscale autoregressive models

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