International Conference on Applications of Statistics and Probability in Civil Engineering (ICASP) (12th : 2015)

Simulation of narrowband non-Gaussian processes using envelope distribution Tsuchida, Takahiro; Kimura, Koji


An envelope distribution approach is developed for generation of a class of narrowband non-Gaussian processes. The process is prescribed by the probability density and the specified power spectrum with the non-zero dominant frequency. The proposed approach is based on the method using stochastic differential equations. In order to construct the stochastic differential equations, it is required to find a joint probability distribution, which takes the form derived from the corresponding Fokker-Planck equation and has the target non-Gaussian distribution as the marginal distribution. In the present method, the joint distribution is obtained from the envelope distribution corresponding to the target non-Gaussian probability density. The proposed approach is applicable to generation of narrowband processes with a variety of non-Gaussian probability densities. Two numerical examples are presented to illustrate the usefulness of the approach.

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