MA to ARMA Two-Stage Monte Carlo Simulation

by Marc P. Mignolet, Arizona State Univ, United States,
Pol D. Spanos, Arizona State Univ, United States,



Document Type: Proceeding Paper

Part of: Probabilistic Methods in Civil Engineering

Abstract: A prior autoregressive (AR) model can be the basis to obtain a quite eficient and reliable subsequent autoregressive moving average (ARMA) approximation. The design of the AR system which is straightforward for most processes, can become a quite delicate task when the target spectral matrix belongs to a special class of functions. For this reason an alternative approach to the generation of the required time histories, based on the design of purely moving average (MA) systems has often been used. The goal of the present paper is to combine the apparent robustness of the MA approximation, and the efficiency of the ARMA one, by presenting two two-stage MA to ARMA system design techniques.

Subject Headings: Monte Carlo method | Approximation methods | Structural design | Statistics | Matrix (mathematics) | History | Autoregressive moving average models | North America | Massachusetts | United States | Europe | Monaco | Monte Carlo | Arkansas

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