Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/74274
Title: Observations on non-Gaussian Karhunen-Loève expansions
Authors: Li, L.B.
Quek, S.T. 
Phoon, K.K. 
Keywords: Karhunen-loève expansion
Modified latin hypercube orthogonalization
Multivariate gaussianity
Rank correlation
Translation process
Up-crossing rate
Issue Date: 2005
Source: Li, L.B.,Quek, S.T.,Phoon, K.K. (2005). Observations on non-Gaussian Karhunen-Loève expansions. 3rd M.I.T. Conference on Computational Fluid and Solid Mechanics : 327-330. ScholarBank@NUS Repository.
Abstract: The non-Gaussian Karhunen-Loève (K-L) expansion has been used to generate a non-Gaussian process using an iterative scheme. Numerical results show that different non-Gaussian processes can be generated satisfying the same prescribed covariance function and marginal distribution by changing the assumed starting distribution of the K-L random variables. Non-Gaussian K-L processes produced by assuming an initial Gaussian distribution for the K-L random variables appear to be translation processes. When the K-L random variables were assigned a lognormal distribution before the iteration procedure, the resulting process is clearly non-translation. Hence, it would appear that translation processes form a subset of K-L processes. In other words, the class of non-Gaussian K-L processes is larger and potentially capable of providing better fit to observed data. © 2005 Elsevier Ltd.
Source Title: 3rd M.I.T. Conference on Computational Fluid and Solid Mechanics
URI: http://scholarbank.nus.edu.sg/handle/10635/74274
ISBN: 0080444814
Appears in Collections:Staff Publications

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