Recursive Simulation of Stationary Multivariate Random Processes—Part I

DOI10.1115/1.3173087zbMath0622.65149OpenAlexW4249588896MaRDI QIDQ3759916

Pol D. Spanos, Marc 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

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) Probabilistic methods, stochastic differential equations (65C99)

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