Digital simulation of nonstationary random processes and its applications

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URI http://shark.lib.kagawa-u.ac.jp/kuir/metadata/4954
Title
Digital simulation of nonstationary random processes and its applications
File
Description

The purpose of the present study is to introduce the data-based nonstationary random process model and to indicate its potential applications especially in engineering, particularly in those cases where efficient generations of its sample functions are needed for the purpose of Monte Carlo and other investigations. The nonstationary process model to be developed is called """"data-based"""" since it is constructed primarily on the basis of the observed record. In fact, the model can be written in the form of the inversion of the Fourier transform of the original record (the first kind) or of its symmetric-periodic extension (the second kind) with randomly shifted phase angles. Its construction is a straightforward task requiring only the Fourier transform of the original record (or its extension) or equivalently its Hilbert transform. Also, the model lends itself to a tractable implementation of Monte Carlo analyses because of the ease with which its sample functions are generated.

Author
著者 Ishikawa Hiroshi
著者(ヨミ) イシカワ ヒロシ
著者(別表記) 石川 浩
著者 Mitsuma Hidehiko
著者(ヨミ) ミツマ ヒデヒコ
著者(別表記) 三津間 秀彦
著者 Shinozuka Masanobu
著者(ヨミ) シノズカ マサノブ
著者(別表記) シノヅカ マサノブ
Publication Title
香川大学経済論叢
Volume
52
Issue
3-4
Start Page
44
End Page
109
Publisher
香川大学経済研究所
Published Date
197910
ISSN
0389-3030
NCID
AN00038281
Resource Type
Departmental Bulletin Paper
Language
eng
Text Version
publisher
Set
香川大学
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