A spectral representation based model for Monte Carlo simulation

✍ Scribed by M. Grigoriu

• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 146 KB
• Volume: 15
• Category: Article
• ISSN: 0266-8920
• DOI: 10.1016/s0266-8920(99)00038-7

✦ Synopsis

A new model is proposed for generating samples of real-valued stationary Gaussian processes. The model is based on the spectral representation theorem stating that a weakly stationary process can be viewed as a superposition of harmonics with random properties. The classical use of this theorem for Monte Carlo simulation is based on models consisting of a superposition of harmonics with fixed frequencies but random amplitude and phase. The resulting samples have the same period depending on the discretization of the frequency band. In contrast, the proposed model consists of a superposition of harmonics with random amplitude, phase, and frequency so that different samples have different periods depending on the particular sample values of the harmonic frequencies.

A band limited Gaussian white noise process is used to illustrate the proposed Monte Carlo simulation algorithm and demonstrate that the estimates of the covariance function based on the samples of the proposed model are not periodic.