Please use this identifier to cite or link to this item:
Title: Simulation of non-Gaussian processes using fractile correlation
Authors: Phoon, K.-K. 
Quek, S.-T. 
Huang, H.
Keywords: CDF mapping
Fractile correlation
Karhunen-Loeve expansion
Non-Gaussian stochastic process
Non-stationary process
Product-moment correlation
Issue Date: Oct-2004
Source: Phoon, K.-K., Quek, S.-T., Huang, H. (2004-10). Simulation of non-Gaussian processes using fractile correlation. Probabilistic Engineering Mechanics 19 (4) : 287-292. ScholarBank@NUS Repository.
Abstract: The difficulties of simulating non-Gaussian stochastic processes to follow arbitrary product-moment covariance models and arbitrary non-Gaussian marginal distributions are well known. This paper proposes to circumvent these difficulties by prescribing a fractile correlation function, rather than the usual product-moment covariance function. This fractile correlation can be related to the product-moment correlation of a Gaussian process analytically. A Gaussian process with the requisite product-moment correlation can be simulated using the Karhunen-Loeve (K-L) expansion and transformed to satisfy any arbitrary marginal distribution using the usual CDF mapping. The fractile correlation of the non-Gaussian process will be identical to that of the underlying Gaussian process because it is invariant to monotone transforms. This permits the K-L expansion to be extended in a very general way to any second-order non-Gaussian processes. The simplicity of the proposed approach is illustrated numerically using a stationary squared exponential and a non-stationary Brown-Bridge fractile correlation function in conjunction with a shifted lognormal and a shifted exponential marginal distribution. © 2003 Elsevier Ltd. All rights reserved.
Source Title: Probabilistic Engineering Mechanics
ISSN: 02668920
DOI: 10.1016/j.probengmech.2003.09.001
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.


checked on Feb 28, 2018


checked on Feb 21, 2018

Page view(s)

checked on Feb 27, 2018

Google ScholarTM



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.