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.
2010
6th International Conference on Computational Stochastic Mechanics
Rhodos, Grecia
13-16 Giugno 2010
CSM-6
2011
7
http://rpsonline.com.sg/proceedings/9789810876197/html/cont.html
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.
Proceedings (atti dei congressi)
Cottone, G; Di Paola, M
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/58993
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