Recursive Simulation of Stationary Multivariate Random Processes—Part II

Abstract

Stability and invertibility aspects of the AR to ARMA procedures developed in Part I in connection with simulation of multivariate random processes are addressed. A general criterion is proved for this purpose. Furthermore, several properties regarding the matching of the correlations at various time lags of the target and the simulated processes are shown. Finally, the reliability and efficiency of the discussed procedures are demonstrated by application to spectra encountered in earthquake engineering, offshore engineering, and wind engineering.