Simulation of Multivariate Gaussian Time Series |
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| Authors: | Harald E Krogstad |
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| Institution: | Section for Industrial Mathematics , N-7034, Trondheim-NTH, NORWAY , SINTEF |
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| Abstract: | The paper discusses a simulation method for multivariate Gaussian time series by means of the discrete Fourier transform (Borgman, 1982). The procedure is quite general with respect to the correlation and spectral properties of the series and allows In addition simulations conditional on a subset of the time series. Simulations of the output from a set of ocean wave recorders are shown as an illustration of the method. |
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| Keywords: | simulation multivariate Gaussian time series ocean waves |
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