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Generation of Two Correlated Stationary Gaussian Processes

Author

Listed:
  • Guo-Qiang Cai

    (Department of Ocean and Mechanical Engineering, Florida Atlantic University, Boca Raton, FL 33431, USA)

  • Ronghua Huan

    (Department of Mechanics, State Key Laboratory of Fluid Power and Mechatronic and Control, Zhejiang University, Hangzhou 310027, China)

  • Weiqiu Zhu

    (Department of Mechanics, State Key Laboratory of Fluid Power and Mechatronic and Control, Zhejiang University, Hangzhou 310027, China)

Abstract

Since correlated stochastic processes are often presented in practical problems, feasible methods to model and generate correlated processes appropriately are needed for analysis and simulation. The present paper systematically presents three methods to generate two correlated stationary Gaussian processes. They are (1) the method of linear filters, (2) the method of series expansion with random amplitudes, and (3) the method of series expansion with random phases. All three methods intend to match the power spectral density for each process but use information of different levels of correlation. The advantages and disadvantages of each method are discussed.

Suggested Citation

  • Guo-Qiang Cai & Ronghua Huan & Weiqiu Zhu, 2021. "Generation of Two Correlated Stationary Gaussian Processes," Mathematics, MDPI, vol. 9(21), pages 1-12, October.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:21:p:2687-:d:662691
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