Simulation of stationary Gaussian/non-Gaussian stochastic processes based on stochastic harmonic functions
Sign Up to like & getrecommendations! Published in 2021 at "Probabilistic Engineering Mechanics"
DOI: 10.1016/j.probengmech.2021.103141
Abstract: Abstract A new model is proposed to represent and simulate Gaussian/non-Gaussian stochastic processes. In the proposed model, stochastic harmonic function (SHF) is extended to represent multivariate Gaussian process firstly. Compared with the conventional spectral representation… read more here.
Keywords: stochastic processes; non; model; gaussian stochastic ... See more keywords
A sample-based iterative scheme for simulating non-stationary non-Gaussian stochastic processes
Sign Up to like & getrecommendations! Published in 2021 at "Mechanical Systems and Signal Processing"
DOI: 10.1016/j.ymssp.2020.107420
Abstract: Abstract This paper presents a new numerical scheme for simulating stochastic processes specified by their marginal distribution functions and covariance functions. Stochastic samples are first generated to satisfy target marginal distribution functions. An iterative algorithm… read more here.
Keywords: stochastic processes; non gaussian; scheme simulating; non stationary ... See more keywords
On Detection of Gaussian Stochastic Sequences
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DOI: 10.1134/s0032946017040044
Abstract: We consider the minimax detection problem for a Gaussian random signal vector in white Gaussian additive noise. It is assumed that an unknown vector σ of signal vector intensities belongs to a given set ε.… read more here.
Keywords: vector; detection; stochastic sequences; detection gaussian ... See more keywords