Continuous Simulation of Gaussian Processes with Given Spectrumby A. M. Hasofer, Univ of New South Wales,
Abstract: A new algorithm, to be called MIMA (modulated interpolated moving average) allows stationary Gaussian processes with given spectral density to be simulated in continuous time, while providing a close upper bound for the error committed. Derivation of the algorithm relies on both the frequency domain and the time domain approaches. It is particularly suitable for narrow-band processes. Two numerical applications are given, the second being the W.J. Pierson-L. Moskowitz spectrum for fully developed wind sea heights.
Subject Headings: Gaussian process | Algorithms | Stationary processes | Ocean waves | Power spectral density | Errors (statistics) | Numerical methods
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