Please use this identifier to cite or link to this item:
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
Citation: 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
ISBN: 0080444814
Appears in Collections:Staff Publications

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

Page view(s)

checked on Apr 6, 2019

Google ScholarTM



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