Geodesic
Multisine Approximation of Multivariate Orthogonal Random Processes
International Journal of Applied Mathematics and Computer Science, Tome 9 (1999) no. 2, pp. 401-419

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An approach to the synthesis and simulation of wide-sense stationary multivariate orthogonal random processes defined by their power spectral density matrices is presented. The approach is based on approximating the non-parametric power spectral density representation by the periodogram matrix of a multivariate orthogonal multisine random time-series. This periodogram matrix is used to construct the corresponding spectrum of the multivariate orthogonal multisine random time-series (synthesis). Application of the inverse finite discrete Fourier transform to this spectrum results in a multivariate orthogonal multisine random time-series with the predefined periodogram matrix (simulation). The properties of multivariate orthogonal multisine random process approximations obtained in this way are discussed. Attention is paid to asymptotic gaussianess.
Keywords: simulation random processes, multivariate orthogonal random processes, simulated indentification, multisine random time-series, fast Fourier transform
Mots-clés : proces stochastyczny, procesy wielowymarowe, transformata Fouriera 
@article{IJAMCS_1999_9_2_a9,
     author = {Figwer, J.},
     title = {Multisine {Approximation} of {Multivariate} {Orthogonal} {Random} {Processes}},
     journal = {International Journal of Applied Mathematics and Computer Science},
     pages = {401--419},
     publisher = {mathdoc},
     volume = {9},
     number = {2},
     year = {1999},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/IJAMCS_1999_9_2_a9/}
}
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Figwer, J. Multisine Approximation of Multivariate Orthogonal Random Processes. International Journal of Applied Mathematics and Computer Science, Tome 9 (1999) no. 2, pp. 401-419. http://geodesic.mathdoc.fr/item/IJAMCS_1999_9_2_a9/