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|Title:||Simulation of non-Gaussian processes using fractile correlation||Authors:||Phoon, K.-K.
Non-Gaussian stochastic process
|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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