Mp. Mignolet et Pd. Spanos, OPTIMALITY IN THE ESTIMATION OF A MA SYSTEM FROM A LONG AR MODEL FOR SIMULATION STUDIES, Soil dynamics and earthquake engineering, 14(6), 1995, pp. 445-452
The determination of moving average (MA) models from a prior autoregre
ssive (AR) approximation of a specified (target) spectral matrix is ad
dressed; this is done in context with the need to simulate ground shak
ing and other natural phenomena as multivariate random processes. Firs
t, an existing technique based on a direct modeling of the target expr
ession is revisited. In this regard, the influence of the order of the
prior AR approximation, and the number of its harmonics used in the d
etermination of the MA model, is described. Further, a simple selectio
n technique of these parameters is presented that leads to an optimum
MA approximation. Next, the relationship between a method based on the
Cholesky factorization of the covariance matrix and the present techn
ique is investigated to derive additional insight into its convergence
properties. Finally, an alternative modeling technique based on an AR
representation of the inverse of the target spectral matrix is presen
ted.