Explicit stochastic simulation

Version 1.3 (2.34 KB) by pan dim
Stochastic explicit synthesis of the target (theoretical or sample) distribution and second-order dependence structure.
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Updated 17 Jan 2019

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An extension of the symmetric-moving-average (SMA) scheme is presented for stochastic synthesis of a stationary process by approximating any dependence structure and marginal distribution. The extended SMA model can exactly preserve an arbitrary second-order structure as well as the high order moments of a process, thus enabling a better approximation of any type of dependence (through the second-order statistics) and marginal distribution function (through statistical moments), respectively. Interestingly, by explicitly preserving the coefficient of kurtosis, it can also simulate certain aspects of intermittency, often characterizing the geophysical processes. Several applications with alternative hypothetical marginal distributions, as well as with real world processes, such as precipitation, wind speed and grid-turbulence, highlight the scheme’s wide range of applicability in stochastic generation and Monte-Carlo analysis. Particular emphasis is given on turbulence, in an attempt to simulate in a simple way several of its characteristics regarded as puzzles.

Cite As

P. Dimitriadis, and D. Koutsoyiannis, Stochastic synthesis approximating any process dependence and distribution, Stochastic Environmental Research & Risk Assessment, 32 (6), 1493–1515, doi:10.1007/s00477-018-1540-2, 2018.

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Created with R2018b
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Version Published Release Notes
1.3

HK model: Power-law type autocorrelation and first four marginal moments.

1.2

Including more details on the description of scripts.

1.1

Including more details in the description of files.

1.0.0