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

DOI10.1016/0020-7462(90)90018-5zbMath0729.73297OpenAlexW2093976610MaRDI QIDQ807249

Pol D. Spanos, Marc 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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items

Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation