In this paper, the fractional spectral moments method (H-FSM) is used to generate stationary Gaussian multivariate processes with assigned power spectral density matrix. To this aim, firstly the N-variate process is expressed as sum of N fully coherent normal random vectors, and then, the representation in terms of HFSM is used.
Cottone, G., Di Paola, M. (2011). REPRESENTATION OF STATIONARY MULTIVARIATE GAUSSIAN PROCESSES. FRACTIONAL DIFFERENTIAL APPROACH. In Proc. of the 6th International Conference (CSM-6). G. Deodatis and P.D. Spanos.
REPRESENTATION OF STATIONARY MULTIVARIATE GAUSSIAN PROCESSES. FRACTIONAL DIFFERENTIAL APPROACH
COTTONE, Giulio;DI PAOLA, Mario
2011-01-01
Abstract
In this paper, the fractional spectral moments method (H-FSM) is used to generate stationary Gaussian multivariate processes with assigned power spectral density matrix. To this aim, firstly the N-variate process is expressed as sum of N fully coherent normal random vectors, and then, the representation in terms of HFSM is used.
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