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Non-Gaussian simulation using Hermite polynomial expansion: convergences and algorithms

Abstract : Mathematical justifications are given for a Monte Carlo simulation technique based on memoryless transformations of Gaussian processes. Different types of convergences are given for the approaching sequence. Moreover an original numerical method is proposed in order to solve the functional equation yielding the underlying Gaussian process autocorrelation function.
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https://hal-upec-upem.archives-ouvertes.fr/hal-00686282
Contributor : Christian Soize <>
Submitted on : Monday, April 9, 2012 - 6:32:06 PM
Last modification on : Friday, June 26, 2020 - 2:00:04 PM
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Bénédicte Puig, F. Poirion, Christian Soize. Non-Gaussian simulation using Hermite polynomial expansion: convergences and algorithms. Probabilistic Engineering Mechanics, Elsevier, 2002, 17 (3), pp.253-264. ⟨10.1016/S0266-8920(02)00010-3⟩. ⟨hal-00686282⟩

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