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

DOI10.1515/MCMA.2010.006zbMath1194.65018MaRDI QIDQ3580726

Mircea D. Grigoriu

Publication date: 13 August 2010

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

zbMATH Keywords

Monte Carlo simulationspectral representationnonstationary Gaussian processesgeneralized spectral density

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (2)

Four finite dimensional (FD) surrogates for continuous random processes ⋮ A comparison of methods for selecting values of simulation input variables

Cites Work

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

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