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Crossings of Second-order Response Processes Subjected to LMA Loadings

Thomas Galtier (Institutionen för matematiska vetenskaper) ; Sayan Gupta ; Igor Rychlik (Institutionen för matematiska vetenskaper, matematisk statistik)
Journal of Probability and Statistics (1687-952X). Vol. 2010 (2010), p. article ID 752452 [22 pages].
[Artikel, refereegranskad vetenskaplig]

The focus of this paper is on the estimation of the crossing intensities of responses for second-order dynamical systems, subjected to stationary, non-Gaussian external loadings. A new model for random loadings—the Laplace driven moving average (LMA)—is used. The model is non-Gaussian, strictly stationary, can model any spectrum, and has additional flexibility to model the skewness and kurtosis of the marginal distribution. The system response can be expressed as a second-order combination of the LMA processes. A numerical technique for estimating the level crossing intensities for such processes is developed. The proposed method is a hybrid method which combines the saddle-point approximation with limited Monte Carlo simulations. The performance and the accuracy of the proposed method are illustrated through a set of numerical examples.



Denna post skapades 2010-12-18. Senast ändrad 2012-01-25.
CPL Pubid: 131278

 

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Institutioner (Chalmers)

Institutionen för matematiska vetenskaperInstitutionen för matematiska vetenskaper (GU)
Institutionen för matematiska vetenskaper, matematisk statistik (2005-2016)

Ämnesområden

Matematisk statistik

Chalmers infrastruktur