Generation of two correlated stationary gaussian processes

Abstract

Since correlated stochastic processes are often presented in practical problems, feasible methods to model and generate correlated processes appropriately are needed for analysis and sim-ulation. The present paper systematically presents three methods to generate two correlated stationary Gaussian processes. They are (1) the method of linear filters, (2) the method of series expansion with random amplitudes, and (3) the method of series expansion with random phases. All three methods intend to match the power spectral density for each process but use information of different levels of correlation. The advantages and disadvantages of each method are discussed.