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Simulation of narrowband non-Gaussian processes using envelope distribution

International Conference on Applications of Statistics and Probability (12th : 2015 : Vancouver, B.C.)

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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This collection contains the proceedings of ICASP12, the 12th International Conference on Applications of Statistics and Probability in Civil Engineering held in Vancouver, Canada on July 12-15, 2015. Abstracts were peer-reviewed and authors of accepted abstracts were invited to submit full papers. Also full papers were peer reviewed. The editor for this collection is Professor Terje Haukaas, Department of Civil Engineering, UBC Vancouver.

Vancouver : University of British Columbia Library

10.14288/1.0076111

Non UBC

Unreviewed

http://creativecommons.org/licenses/by-nc-nd/2.5/ca/