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https://doi.org/10.1016/j.probengmech.2003.09.001
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 | Citation: | 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. https://doi.org/10.1016/j.probengmech.2003.09.001 | 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 | URI: | http://scholarbank.nus.edu.sg/handle/10635/66174 | ISSN: | 02668920 | DOI: | 10.1016/j.probengmech.2003.09.001 |
Appears in Collections: | Staff Publications |
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