Application of Wavelet and Spectral Representation Method in Nonstationary Process Simulation

Abstract

Currently, the classical spectral representation method for nonstationary simulation suffers from the lower efficiency due to unavailability of fast Fourier transform. In this paper, an efficient hybrid simulation method is proposed for the vector-valued nonstationary process, which contains the spectra decomposition via wavelets and spectral representation method. This method can take advantage of fast Fourier transform and is also easy to use. Numerical examples are employed to evaluate the proposed method. Results show that the method performs fairly well for the scalar process and vector-valued process with real coherence function. Its limitation is that the process with complex coherence function cannot be simulated.