Karhunen Loeve expansion and distribution of non-Gaussian process maximum

被引:7
|
作者
Poirion, Fabrice [1 ]
机构
[1] ONERA French Aerosp Lab, BP72,29 Ave Div Leclerc, F-92322 Chatillon, France
关键词
Extreme value distribution; Non-Gaussian; Non-stationary; Simulation; Random process; Rice's series;
D O I
10.1016/j.probengmech.2015.12.005
中图分类号
TH [机械、仪表工业];
学科分类号
0802 ;
摘要
In this note we show that when a second order random process is modeled through its truncated Karhunen Loeve expansion and when the distribution of the random variables appearing in the expansion is approached by a Gaussian kernel, explicit relations for the mean number of up crossings, of the mean number of local maximums and more generally of Rice's moments can be derived in terms of Gaussian integrals. Several illustrations are given related to academic examples and natural hazards models. (C) 2015 Elsevier Ltd. All rights reserved.
引用
收藏
页码:85 / 90
页数:6
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