Representation of Stationary Multivariate Gaussian Processes Fractional Differential Approach
Giulio Cottone, Mario Di Paola · 2011
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.