doi:10.3850/978-981-08-7619-7_P021


Representation of Stationary Multivariate Gaussian Processes Fractional Differential Approach


Giulio Cottone1,2,a and Mario Di Paola2,b

1ERA Group, Technische Universität München, Theresienstr.90, D-80333, München Germany

2Dipartimento Ingegneria Civile, Ambientale ed Aerospaziale, Università degli Studi di Palermo, Viale delle Scienze 90128, Palermo, Italy.

agiulio.cottone@tum.de
bmario.dipaola@unipa.it

ABSTRACT

In this paper, the fractional spectral moments method (H-FSM) is used to generate stationary Gaussian multivariate processes with assigned power spectral density matrix. To this aim, firstly the N-variate process is expressed as sum of N fully coherent normal random vectors, and then, the representation in terms of HFSM is used.

Keywords: Multivariate Processes, Fractional Calculus, Fractional Spectral Moments.


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