On Digital Simulation of Multicorrelated Random Processes and Its Applications
Two methods are described to simulate, on a digital computer, a set of correlated, stationary, and Gaussian time series with zero mean from the given matrix of power spectral densities and cross spectral densities. The first method is based upon trigonometric series with random amplitudes and deterministic phase angles. The random amplitudes are generated by using a standard random number generator subroutine. An example is given which corresponds to three components of wind velocities at two different spatial locations for a total of six correlated time series. In the second method, the whole process is carried out using the Fast Fourier Transform approach. This method gives more accurate results and works about twenty times faster for a set of six correlated time series.