Multisine Approximation of Multivariate Orthogonal Random Processes

• Autorzy: Figwer J.
• Języki publikacji: EN

Abstrakty

EN

An approach to the synthesis and simulation of wide-sense stationary multivariate orthogonal random processes defined by their power spectral density matrices is presented. The approach is based on approximating the non-parametric power spectral density representation by the periodogram matrix of a multivariate orthogonal multisine random time-series. This periodogram matrix is used to construct the corresponding spectrum of the multivariate orthogonal multisine random time-series (synthesis). Application of the inverse finite discrete Fourier transform to this spectrum results in a multivariate orthogonal multisine random time-series with the predefined periodogram matrix (simulation). The properties of multivariate orthogonal multisine random process approximations obtained in this way are discussed. Attention is paid to asymptotic gaussianess.

Słowa kluczowe

EN

simulation random processes; multivariate orthogonal random processes; simulated indentification; multisine random time-series; fast Fourier transform

PL

proces stochastyczny; procesy wielowymarowe; transformata Fouriera

• Wydawca: Oficyna Wydawnicza Uniwersytetu Zielonogórskiego
• Czasopismo: International Journal of Applied Mathematics and Computer Science
• Rocznik: 1999
• Tom: Vol. 9, no 2
• Strony: 401--419
• Opis fizyczny: Bibliogr. 25 poz., tab.

Twórcy

autor

Figwer J.

• Institute of Automation, Silesian Universityof Technology ul. Akademicka 16, 44-100 Gliwice, Poland,