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RESEARCH PRODUCT

Representation of Stationary Multivariate Gaussian Processes Fractional Differential Approach

Giulio CottoneMario Di Paola

subject

symbols.namesakeMathematical analysissymbolsRepresentation (systemics)Applied mathematicsMultivariate normal distributionMultivariate Processes Fractional Calculus Fractional Spectral MomentsFractional differentialSettore ICAR/08 - Scienza Delle CostruzioniGaussian processMathematics

description

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.

yearjournalcountryeditionlanguage
2011-01-01Proceedings of the 6th International Conference on Computational Stochastic Mechanics(CSM-6)
https://doi.org/10.3850/978-981-08-7619-7_p021