Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.probengmech.2003.09.001
DC FieldValue
dc.titleSimulation of non-Gaussian processes using fractile correlation
dc.contributor.authorPhoon, K.-K.
dc.contributor.authorQuek, S.-T.
dc.contributor.authorHuang, H.
dc.date.accessioned2014-06-17T08:25:06Z
dc.date.available2014-06-17T08:25:06Z
dc.date.issued2004-10
dc.identifier.citationPhoon, 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
dc.identifier.issn02668920
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/66174
dc.description.abstractThe 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.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.probengmech.2003.09.001
dc.sourceScopus
dc.subjectCDF mapping
dc.subjectFractile correlation
dc.subjectKarhunen-Loeve expansion
dc.subjectNon-Gaussian stochastic process
dc.subjectNon-stationary process
dc.subjectProduct-moment correlation
dc.typeArticle
dc.contributor.departmentCIVIL ENGINEERING
dc.description.doi10.1016/j.probengmech.2003.09.001
dc.description.sourcetitleProbabilistic Engineering Mechanics
dc.description.volume19
dc.description.issue4
dc.description.page287-292
dc.description.codenPEMEE
dc.identifier.isiut000224497700001
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