Simulation of strongly non-Gaussian processes using Karhunen – Loeve expansion

@inproceedings{Phoona2005SimulationOS,
  title={Simulation of strongly non-Gaussian processes using Karhunen – Loeve expansion},
  author={K. K. Phoona and Huang Huangb and S. T. Queka},
  year={2005}
}
The non-Gaussian Karhunen–Loeve (K–L) expansion is very attractive because it can be extended readily to non-stationary and multidimensional fields in a unified way. However, for strongly non-Gaussian processes, the original procedure is unable to match the distribution tails well. This paper proposes an effective solution to this tail mismatch problem using a modified orthogonalization technique that reduces the degree of shuffling within columns containing empirical realizations of the K–L… CONTINUE READING

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