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Hints 9/5/02

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H-15

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Hints 9/5/02

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H-17

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H-18

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H-19

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H-20

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E06HH3DSRXOLV$7KH)RXULHU,QWHJUDODQG,WV$SSOLFDWLRQV0F*UDZ+LOO
$SSHQGL[,(T,
8VH(T
,0)<RXQHHGWRVKRZWKDW w ( t ) =

0 ( t s )v ( s ) ds IRU t 0 6HHWKHVROXWLRQIRU
2

KRZWKLVLVGRQH1RWHWKHW\SR7KHFRUUHFWUHVXOWLV E { w ( t ) } =

0 ( t s )

q ( s ) ds 

D8VHLQHTXDOLW\E/HW x 1 = x ( t + )  x 2 = x ( t ) )LQGWKHUHJLRQ D x RIWKH

H-21

Gary Matchett

Hints 9/5/02

x 1 x 2 SODQHZKHUH x 1 x 2 a DQGLQWHJUDWHWKHVHFRQGRUGHUGHQVLW\RYHU D x 
1RKLQW
'RQRWIRUJHWWKHFRPSOH[FRQMXJDWHLQ(T
8VH(T
%,07KH7H[WGRHVQRWIDLUO\SUHSDUH\RXWRVROYHWKLVSUREOHP,QWKHGLVFXV
VLRQRIOLQHDUFRQVWDQWFRHIILFLHQWGLIIHUHQWLDOHTXDWLRQVEHJLQQLQJRQSDJH
WKH7H[WQRWHVWKDWVXFKHTXDWLRQVDUHQRWXQLTXHO\VROYDEOHZLWKRXWLQLWLDOFRQGL
WLRQV7RDVVXUHDXQLTXHVROXWLRQDQGWRDVVXUHWKHOLQHDULW\FRQGLWLRQ(TLV
VDWLVILHGWKH7H[WVD\VWKDWLWZLOOSUHVXPHDVROXWLRQZLWK]HURLQLWLDOFRQGLWLRQVDW
t = 0 7KHWURXEOHZLWKWKLVDSSURDFKLVWKDWWKHGLIIHUHQWLDOHTXDWLRQWKHQRQO\
KROGVIRU t 0 DQGWKHUHLVQRZD\WKDW y ( t ) FDQEH:66%\FOHDULPSOLFDWLRQRIWKLV
SUREOHPWKHHTXDWLRQLVWRKROGIRUDOOWLPHDQG y ( t ) ZLOOEH:66
7KHZD\WRDFFRPSOLVKWKHVHJRDOVWRJHWKHULVWULFN\6XSSRVHZHVHWVRPHDUELWUDU\
LQLWLDOFRQGLWLRQVDW t = t 0 DQGSUHVXPHWKDWWKHGLIIHUHQWLDOHTXDWLRQKROGVIRU
t t 0 1RZZHOHW t 0 7KLVDSSURDFKDFFRPSOLVKHVDOOWKHREMHFWLYHVSURYLGHG
WKDWWKHGLIIHUHQWLDOHTXDWLRQKDVDXQLTXHVROXWLRQXQGHUVXFKDVVXPSWLRQVDQG
WKHHIIHFWRIWKHLQLWLDOFRQGLWLRQVDW t 0 RQWKHVROXWLRQDWVRPHIL[HG t GHFOLQHVWR]HUR
DV t 0 
7KLVLVWUXHIRUVWDEOHGLIIHUHQWLDOHTXDWLRQV7KHGLIIHUHQWLDOHTXDWLRQ
an y

(n)

( t ) + an 1 y

( n 1)

( t ) + + a 1 y( t ) + a 0 y ( t ) = x ( t )

LVVWDEOHLIDQGRQO\LIWKHDVVRFLDWHGSRO\QRPLDOHTXDWLRQLQ s
n

an s + an 1 s

n1

+ + a 1 s + a0 = 0

KDVRQO\URRWVZLWKQHJDWLYHUHDOSDUWVURRWVLQWKHOHIWKDOIRIWKH s SODQH:KHQ

WKLVLVWUXHZHGHILQHWKH/DSODFHYHUVLRQRIWKHV\VWHPIXQFWLRQDV
1
+ ( s ) = ------------------------------------------------------------------------------n
n1
an s + an 1 s
+ + a1 s + a0
7KH)RXULHUYHUVLRQRIWKHV\VWHPIXQFWLRQLVJLYHQE\ H ( ) = + ( j ) DQGWKH
LPSXOVHUHVSRQVHIXQFWLRQRIWKLVOLQHDUV\VWHPLVWKHLQYHUVH)RXULHUWUDQVIRUPRI
WKHV\VWHPIXQFWLRQRU

H-22

Gary Matchett

Hints 9/5/02

1
jt
h ( t ) H ( )  h ( t ) = ------ H ( )e d
2
$OVRLQWKLVSUREOHPDVVXPH E { v ( t ) } = 0 7RPDNHWKLQJVPRUHPDQDJHDEOHGHILQH
WKH]HURPHDQSURFHVV z ( t ) = y ( t ) 2 DQGEHJLQZRUNZLWKLW
-XVWQRWHWKDW f ( t 1 )g ( t 2 ) ( t 1 t 2 ) = f ( t 1 )g ( t 1 ) ( t 1 t 2 ) = f ( t 2 )g ( t 2 ) ( t 1 t 2 ) 
0,I ( ) LVWKHSKDVHDQJOHRI R xy ( ) FRQVLGHU E { x ( t + ) e

j ( )

y( t) } 

6KRZWKDW x ( t ) = y ( t ) LQWKHPHDQVTXDUHVHQVH7KHQXVHWKH6FKZDU]LQHTXDOLW\
(TWZLFHWRVKRZ R xx ( ) = Rxy ( ) DQG R yy ( ) = Rxy ( ) 
1RKLQW
3UHVXPH WREHUHDO8VH ( 1 ) = 0 WRHVWDEOLVK E { cos } = E { sin } = 0 DQG
XVH ( 2 ) = 0 WRHVWDEOLVK E { cos 2 } = E { sin 2 } = 0 7KHQVKRZ ( t ) = 0 DQG
1
R ( t 1, t 2 ) = --- cos [ ( t 1 t 2 ) ] 
2
D%7KHUHLVDPLVVLQJGHILQLWLRQKHUH7KHVWRFKDVWLFSURFHVV x ( t ) KDVRUWKRJR
QDOLQFUHPHQWVLIIRU t a t b t c t d  E { [ x ( t d ) x ( t c ) ] [ x ( t b ) x ( t a ) ] } = 0 8VLQJWKLV
GHILQLWLRQVXEVWLWXWH t d = t 2  t c = t b = t 1 DQG t a = 0 E)<RXQHHGWRVKRZWKDW
y ( t ) LVFRQVWDQWDQG\RXFDQQRWGRWKLVXQOHVV\RXDVVXPHWKDW x ( t ) LVFRQVWDQW
8VHSDUWDWRILQG Ryy ( t 1, t 2 ) DVDIXQFWLRQRI t 1 t 2 
1RKLQW
6HH3UREOHP
,1RWHWKDW f y ( y 1, , y n ; t 1, , t n ) =

fy ( y1, , y n ; t1, , tn )f ( ) d DQGWKDW

f y ( y 1, , y n ; t 1, , t n ) = f x ( y 1, , y n ; t 1 , , t n ) 
8VH(TVDQG
E1RWHWKDW f x ( x, t ) = f x ( x ) 1RWHWKDW z DQG w DUHMRLQWO\QRUPDO8VH(TWR
ILQGWKHLUFRUUHODWLRQFRHIILFLHQW
)<RXPXVWDVVXPHKHUHWKDW x ( t ) LV:66RUHTXLYDOHQWO\WKDW x ( t ) KDVDFRQ

H-23

Gary Matchett

Hints 9/5/02

VWDQWPHDQ7KHGLVFXVVLRQIROORZLQJ(TDVVXUHVWKDW x( t ) LVQRUPDO(T

2

ZLOOKHOSWRILQG x 
06HHWKHKLQWLQWKHSUREOHPZKLFKLV8VH(TDQGHVWDEOLVKWKH)RXULHU

VHULHV sin

z =

--n- [ J0 ( n ) ( 1 )

]sin nz 

n=1

3UHVXPHDVLVLPSOLHGE\WKHSUREOHPWKDW x ( t ) LV:667KHUHDUHWZRZD\VWR
SURFHHG2QHZD\LVGLUHFWEXWDOJHEUDLFDOO\GHPDQGLQJ7KHRWKHUZD\LVOHVVGLUHFW
EXWHDVLHU7KHGLUHFWPHWKRGVLPSO\UHOLHVRQWKHUHODWLRQVKLSV
E{ g( x( t ) ) } =
E { g ( x ( t 1 ), x ( t 2 ) ) } =

g ( x )f ( x, t ) dx

g ( x1, x2 )f ( x1, x2 ; t1, t2 ) dx1 dx2

ZKLFKDUHREYLRXVH[WHQVLRQVRI(TVDQG7KHILUVWDQGVHFRQGRUGHUGHQ
VLW\IXQFWLRQDUHREWDLQHGIURPWKHIDFWWKDW x ( t ) LVQRUPDO7KHLQWHJUDWLRQLVGLIIL
FXOWEXWGRDEOH7KHOHVVGLUHFWPHWKRGUHOLHVRQWKHFORVHFRQQHFWLRQEHWZHHQWKH
GHVLUHGH[SHFWHGYDOXHVDQGWKHILUVWDQGVHFRQGRUGHUFKDUDFWHULVWLFIXQFWLRQVRI
x ( t ) ZKLFKDUHIXOO\GHYHORSHGIRUDQRUPDOSURFHVVLQ(TVDQG,Q
2

HLWKHUFDVHRQHPXVWQRWHWKDW ( t ) = R x ( 0 ) DQG r ( t + , t ) = r ( ) = R x ( ) R x ( 0 ) 
E)$VVXPH R x ( ) 0 DV 0 QRWMXVW R x ( ) 0 DVLQWKHSUREOHPVWDWH
PHQW
:ULWH y ( t 1 )y ( t 2 ) DVDGRXEOHLQWHJUDODQGWDNHH[SHFWHGYDOXHV
2

D:ULWH y ( t ) DVDGRXEOHLQWHJUDODQGWDNHH[SHFWHGYDOXHVE,0)LQGWKH

JHQHUDOIRUPDOVROXWLRQWRWKLVGLIIHUHQWLDOHTXDWLRQDQHTXDWLRQZKLFKLVQRWWLPH
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D:ULWHDIRUPDOVROXWLRQIRU y ( t ) WRILQGWKHLPSXOVHUHVSRQVHIXQFWLRQ h ( t ) 
7KHQXVH(T
1RKLQW
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D8VHWKHVROXWLRQWR3UREOHPRURWKHUZLVHILQGWKHLPSXOVHUHVSRQVHIXQF
H-24

Gary Matchett

Hints 9/5/02

WLRQ8VH(TVDQGE8VH([DPSOH
D06HH([DPSOH
E8VH cos 0 cos = [ cos ( 0 ) + cos ( 0 + ) ] 2 ZLWKSDUWD
$VVXPH x ( t ) LVUHDO
8VHWKHLGHQWLWLHV e

j2a

+e

j 2a

= 2 cos 2a DQG 1 cos 2a = 2sin 2a 

1RKLQW
06KRZ y = I 8VH(TIURP([DPSOHWRILQG R y WKHQXVH7DEOHWR
ILQG Sy 
j 2
1
6LQFH S ( ) 0 FOHDUO\ A = ------ S ( ) i a i e i d 0 
2

D08VH&DXFK\VUHVLGXHWKHRUHPWRILQG R ( ) YLDFRQWRXULQWHJUDWLRQDVLQWKH

VROXWLRQWR3UREOHPE08VHWKHVDPHDSSURDFK7KHSROHKHUHLVRIRUGHU
d
2
WZRDQGWKHUHVLGXHLVJLYHQE\ r = ------- [ ( p ) h ( ) ]
ZKHUH p LVWKHSROH
d
= p
DQG h ( ) LVWKHLQWHJUDQG
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RIWKHFRPSOH[YDULDEOH s 7RWDNHWKHFRPSOH[FRQMXJDWHRI + ( s ) \RXPXVWFRQMXJDWH
ERWKWKHIXQFWLRQ +( ) DQGWKHYDULDEOH s 7RDVVLVWLQWKHQRWDWLRQGHILQHLQWKH
ILUVWDQGVHFRQGSDUWVRIWKHSUREOHP
 : ( s ) = +* ( s* ) =

h* ( t )e

st

dt  : ( z ) = + * ( 1 z * ) = n h * [ n ]z

%7RVROYHWKLVSUREOHPLWLVEHVWWRXVHWKHJHQHUDOFRQYROXWLRQWKHRUHP7KHUH
DUHWZRYHUVLRQVDQGERWKDVVXPHWKUHHSDLUVRI)RXULHUWUDQVIRUPV f ( ) F ( ) 
g ( ) G ( ) DQG h ( ) H ( ) 
,,I H ( ) = F ( )G ( ) WKHQ h ( ) = f ( ) * g ( )
1
,,,I h ( ) = f ( )g ( ) WKHQ H ( ) = ------ F ( ) * G ( )
2
1RWLFHWKHIDFWRURIWZRSLLQWKHVHFRQGYHUVLRQRIWKHWKHRUHP$SSDUHQWO\WKLVIDF

H-25

Gary Matchett

Hints 9/5/02

WRUZDVQHJOHFWHGLQWKHVHWWLQJRIWKHSUREOHPOHDGLQJWRWKHW\SR7KHFRUUHFWUHVXOW
1
2
LV S y ( ) = 2R x ( 0 ) ( ) + --- Sx ( ) * S x ( ) 

$OVR\RXQHHGWRNQRZZKDWLGHDO/3ORZSDVVDQG%3EDQGSDVVVSHFWUDDUH

7KH\DUHVLPSO\XQLWLQWHQVLW\ZKLWHQRLVHSURFHVVHVSXWWKURXJKDQLGHDOL]HGILOWHU
7KH\DUHLOOXVWUDWHGEHORZ
Sx ( )

Sx ( )
1

/RZ3DVV

%DQG3DVV

8VH(TWRILQG Rxx( ) DQG R xx( ) 1RWHWKDW R xx( ) LVGLVFRQWLQXRXVDWWKH

RULJLQOHDGLQJWRD ( ) WHUPLQ R xx( ) 8VH7DEOHWRFRQYHUWIURP R yy ( ) WR
S yy ( ) 
D8VH([DPSOHDE8VH(T
1RWHWKDW R ( 0 ) PXVWEHUHDODQGQRQQHJDWLYHVRWKDWLWPXVWEHWKDW
j

R ( 1 ) = R ( 0 )e IRUVRPHSKDVHDQJOH 'HILQH = 1 
D07KHSUHVXPSWLRQLVWKDW x ( t ) LVUHDO([SUHVV E { x ( t )x ( t ) } LQWHUPVRI
S xx ( ) XVLQI(T$WWHPSWLQJWRXVH R xx ( ) ZLOOIDLO
E'([SUHVV x ( t ) P\V\PEROIRUGRXEOHXSVLGHGRZQKDWVZKLFK,ODFNLQWHUPV
2

RI x ( t ) DQG h ( t ) YLDDQLWHUDWHGFRQYROXWLRQ6LQFH H ( ) = 1 LWIROORZVWKDW

( t ) = ( t ) $QLQQRYDWLYHDOWHUQDWHDSSURDFKLQYROYHVWKH)RXULHUWUDQVIRUPRI
x ( t ) LWVHOIEXWWKLVPHWKRGODFNVJHQHUDOLW\
)LQGVRPH G ( ) VXFKWKDW S yy ( ) = S xx ( )G ( ) 7KHQILQGWKDW = 0 PD[L
PL]HV G ( ) DQGSXWDOOWKHDYDLODEOHHQHUJ\RI S xx ( ) DWWKHVHIUHTXHQFLHV
8VHLQHTXDOLW\WRVKRZWKDW S xy ( ) = 0 IRU 0 'HGXFHWKDW

H-26

Gary Matchett

Hints 9/5/02

S xy ( ) = 2B ( 0 ) 
D8VHFRQYROXWLRQLQWHJUDOVGLUHFWO\1RWH R yx LQVWHDGRI R xy 
3UHVXPHWKDWRYHUVXIILFLHQWO\VPDOOLQWHUYDOVRIWKHIUHTXHQF\D[LVWKDWWKHIXQF
WLRQV S xy ( )  S xx ( ) DQG S yy ( ) DUHHVVHQWLDOO\FRQVWDQW8VH(T
3UHVXPHWKDW x ( t ) LVUHDO8VHWKHFRVLQHLQHTXDOLW\(T
3URFHHGDVLQ3UREOHP1RWHWKHW\SRWKHJUHDWHUWKDQVLJQVKRXOGEHD
JUHDWHUWKDQRUHTXDOVLJQ
([SUHVV R [ m ] LQWHUPVRI f ( ) &RPSDUHZLWK(T
D,0)LQGWKHVROXWLRQVWRWKHKRPRJHQHRXVGLIIHUHQWLDOHTXDWLRQ8VHWKH
YDULDWLRQRISDUDPHWHUVPHWKRGWRILQGWKHVROXWLRQWRWKHQRQKRPRJHQHRXVGLIIHU
2

HQWLDOHTXDWLRQ:ULWH y ( t ) DVDGRXEOHLQWHJUDODQGWDNHH[SHFWHGYDOXHV
E,'8VHWKHVDPHDSSURDFKDVDERYHIRUWKHGLIIHUHQFHHTXDWLRQ
D,)LQGWKHJHQHUDOVROXWLRQWRWKHGLIIHUHQFHHTXDWLRQ
E,0RGLI\WKHGHYHORSPHQWRISDUWD

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D8VH(TE8VH(TDQG([DPSOH
8VH(TIRU f x ( x, t ) DQG f y ( y, t ) 7KHQXVH(TIRU f z ( z, t ) 
,)LQGWKHGLIIHUHQWLDOHTXDWLRQUHODWLQJ v ( t ) DQG n e ( t ) 8VH/DSODFHWUDQVIRUPVWR
2

ILQG + ( s ) DQGWKHQVROYHIRU H ( ) 8VH(TWRILQG S v ( ) $VLPLODUSURFHVV

ZRUNVIRUWKHFXUUHQWFDVH
1RWHWKDW e

2t

1
U ( t ) ------------------------ DQGLI h ( t ) H ( ) WKHQ h( t ) jH ( ) 
( j + 2 )

8VH([DPSOHDQG(T
3UHVXPHWKDWWKH:LHQHUSURFHVV w ( t ) LVDQRUPDOVWRFKDVWLFSURFHVVZLWK]HUR
PHDQ8VH(TWRILQG R y DQG3UREOHPWRILQG R z 
8VH&DPSEHOOVWKHRUHP(T1RWHWKDW s ( 7 ) FDQEH]HURRQO\LIQR3RLVVRQ

H-27

Gary Matchett

Hints 9/5/02

SRLQWVDUULYHLQWKHLQWHUYDOSULRUWR t 0 = 7 ZKHQ h ( 7 t ) LVQRW]HUR

6KRZWKDW S xy ( ) LVSXUHO\LPDJLQDU\7KHQXVH(TVDQGWRFRQILQH
H( ) 
'$EUXWHIRUFHDSSURDFKZRUNVKHUHEXWLWLVERWKOHQJWK\DQGGHPDQGLQJ
)$VWKH7H[WSRLQWVRXWRQWKHERWWRPRISDJHJLYHQMXVW x ( t ) WKHUHLVQR
XQDPELJXRXVFRPSOH[HQYHORSH<RXPXVWDVVXPH5LFHVUHSUHVHQWDWLRQVRWKDWWKH
y ( t ) LQ(TLV x ( t ) 
'LIIHUHQWLDWHWKHUHODWLRQVKLSRI(TWRILQG R xx( 0 ) 8VH(TVDQG

)<RXPXVWDVVXPHWKDW x ( t ) DQG y ( t ) DUHUHDOMRLQWO\:66SURFHVVHVDQGWKDW
\RXDUHJLYHQWKHFRQVWDQW 
0)LUVWQRWHWKHW\SR7KHFRUUHFWDQVZHULV
2
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0 f ( t )e

2
jt

dt

m =

2m
-----------
T

%HJLQE\VKRZLQJWKDWWKHVWRFKDVWLFSURFHVV y ( t ) = f ( t ) LV66&67KHQVKRZ x ( t ) LV

666DQGXVH(TIRU R xx ( ) )LQG S xx ( ) GLUHFWO\IURP(TWKHQVSOLWXS
WKHLQILQLWHWLPHLQWHJUDOLQWRDVXPRYHUFRQVHFXWLYHVSDQVRIOHQJWK T )LQDOO\XVH
(T$WRJHWWKHGHVLUHGUHVXOW
00LPLF(TDQGGHILQH
N

yN ( t ) = x ( t + )

n = N

sin ( nT )
x ( t + nT ) --------------------------------  T =
( nT )

1RWHWKDW N ( t ) = y N ( 0 ) 
$VVXPH x ( t ) LVUHDODQGXVHWKHSURRIDWWKHERWWRPRISDJH
8VH(T(TZLWK = 0 DQG7DEOH
6HHKLQWDERYH

H-28

Gary Matchett

Hints 9/5/02

1RWHWKDWLQWKHUDQJH < ------ DQG WKHQ cos cos $OVRDVVXPHWKDW

2
x ( t ) LVUHDODVXVXDOLQ%/SUREOHPV
07KLVLVDVWUDLJKWIRUZDUGDSSOLFDWLRQRIWKH3DSRXOLV6DPSOLQJ([SDQVLRQRQ
7H[WSDJHEXWGLIILFXOWEHFDXVHLWLQYROYHVFRQVLGHUDEOHPDQLSXODWLRQ)RUVRPH
j
1 j
KHOSQRWHWKDW P 1 ( , ) = 1 ---- ( e 1 )  P2 ( , ) = ----- ( e 1 ) DQG

j
0 j
j
1 0
j
1 j
p 1 ( ) = --- 1 ---- ( e 1 ) e d  p 2 ( ) = -------2- ( e 1 ) e d 8VH(T

ZLWK t 0 = 0 QRWLQJWKDW y 1 ( nT ) = y 1 ( n ) = x ( n )  y 2 ( nT ) = y 2 ( n ) = x( n ) 
8VHWKHPHWKRGRI(TZLWK f ( t ) = cos 0 t cos t DQGZLWKWKHLQWHJUDO
OLPLWVIURP a WR a *HWHTXLYDOHQWIRUPXODVWRWKRVHIROORZLQJ(T
1
))LUVWFRUUHFWWKHW\SR7KHVXPVKRXOGEH X c ( ) = --

x ( t i )e

jt i

1H[W\RX

i
ti < a

PXVWDVVXPHWKDW x ( t ) LVLQGHSHQGHQWRIWKHSURFHVV z ( t ) =

( t ti ) 7KHLQWHJUDO
i

WUDQVIRUPRI(TYDOLGIRUDQ\IXQFWLRQ C ( ) LVDOVRXVHIXO
1RKLQW
n

&RQVLGHU I =

a i b *j a j b *i 0 

i=1 j=1

D'7KHWUHDWPHQWRIGLVFUHWHSURFHVVHVLQWKH7H[WLVWRREULHIWRHYHQJLYHD
XVHIXOKLQWKHUHH[FHSWWRPLPLFWKHPDWFKHGILOWHUGLVFXVVLRQIRUDFRQWLQXRXVSUR
FHVV$VVXPHUHDOSURFHVVHV
2

yf [ 0 ]
E'1RWHWKDW v [ n ] LVQRWSUHVXPHGWREHZKLWHKHUH7RPD[LPL]H r = ----------------------
2
E { yv [ n ] }
\RXVKRXOGPLQLPL]HWKHGHQRPLQDWRUZKLOHKROGLQJWKHQXPHUDWRUFRQVWDQW8VH
WKHPHWKRGRI/DJUDQJHPXOWLSOLHUV
0)LQGWKHLPSXOVHUHVSRQVHIXQFWLRQ h ( t ) VHH([DPSOH)URPWKHGHWHU
PLQLVWLFLQSXW f ( t ) = A cos 0 t ILQGWKHGHWHUPLQLVWLFRXWSXWLQWKHIRUP
y f ( t ) = B cos ( 0 t + ) WRUHODWH B WR A  DQG 0 )LQGWKHVSHFWUXPRIWKHQRLVH

H-29

Gary Matchett

Hints 9/5/02

RXWSXWDQGIURPWKDWILQGWKHDXWRFRUUHODWLRQRIWKHQRLVHRXWSXWXVLQJ7DEOH
8VH(TWRILQGWKHDYHUDJHSRZHURIWKHQRLVHRXWSXW
T

0D,WKHOSVWRGHILQHWKHYHFWRUVDQGPDWULFHV a = ( a 0, a 1, , a m ) 
R 00 R 01 R 0m
R 10 R 11 R 1m

f = ( f 0, f 1, , f m ) = ( f ( t 0 ), f ( t 0 T ), , f ( t 0 mT ) ) DQG R =

R m0 R m1 R mm



ZKHUH R ij = R v ( iT jT ) = E { v ( t 0 iT )v ( t 0 jT ) } 7KHQVKRZ
m

yf = yf ( t0 ) =

aifi

= a f DQG E = E { y v ( t 0 ) } = a Ra 0D[LPL]H r E\PLQLPL]LQJ

i=0

E VXEMHFWWRWKHFRQVWUDLQWRIDJLYHQYDOXHRI y f > 0 E\WKHPHWKRGRI/DJUDQJHPXO

WLSOLHUV
T 1

E7KHPD[LPXPYDOXHRI r LV f R f =

yf k 

7KLVIROORZVGLUHFWO\IURP(TXVLQJUHSHDWHGO\WKHLGHQWLW\

d = 2 ( ) 

06HYHUDOIDFWVDUHXVHIXOKHUH,I t 1 < t 2 < t 3 WKHQ

x ( t 3 ) = x ( t 1 ) + [ x ( t 2 ) x ( t 1 ) ] + [ x ( t 3 ) x ( t 2 ) ] DQGWKHWKUHHUDQGRPYDULDEOHV x ( t 1 ) 
x ( t 2 ) x ( t 1 ) DQG x ( t 3 ) x ( t 2 ) DUHPHDQ]HURDQGLQGHSHQGHQWEHFDXVHWKH\FRXQW
3RLVVRQSRLQWVLQQRQRYHUODSSLQJLQWHUYDOV)URPWKHGLVFXVVLRQRI3RLVVRQUDQGRP
3

YDULDEOHVRQSDJHRIWKH7H[WLWIROORZVWKDW E { x ( t 1 ) } = t 1 )LQDOO\LJQRUHWKH
KLQWLQWKHSUREOHPDQGXVHLQVWHDGWKHWKUHHLGHQWLWLHV
min ( t a, t b )
min ( t 1, t 2, t 3 ) = min ( t 1, min ( t 2, t 3 ) )  ----------------------------- = U ( t b t a )
t a
U ( min ( t 2, t 3 ) t 1 ) = U ( t 2 t 1 )U ( t 3 t 1 )
)ROORZWKHRXWOLQHLQWKHSUREOHP

&KDSWHU
')LQGLQJWKHZKLWHQLQJILOWHULVHDV\HVSHFLDOO\LI\RXQRWHWKDW

H-30

Gary Matchett

Hints 9/5/02

cos 2 = ( z + z ) 2 )LQGLQJWKHDXWRFRUUHODWLRQVHTXHQFH R xx [ m ] LVKDUGVR

KDUGWKDWQRKLQWLVJLYHQKHUHVHHWKHVROXWLRQ
N ( s )N ( s )
N( s)
)DFWRU 6 ( s ) = --------------------------- WKHQVHW / ( s ) = ----------- 
D ( s )D ( s )
D(s)

8VHWKHFRQYROXWLRQVXP s [ n ] =

ls [ k ]i [ n k ] 
k=0

D,1RWHWKDW R yx( ) = E { y( t + )x * ( t ) } HWF

E,08VHWKHGLVFXVVLRQIROORZLQJ(T1RWHWKDW
+

6 yx ( s ) = 6 yx ( s ) = q D ( s ) WRILQG R yx ( ) IRU > 0 1RWHWKDW 6 yy ( s ) = 6 yy ( s ) DQG

+
q
6 yy ( s ) = --------------------------- WRILQG 6 yy ( s ) DQGKHQFH R yy ( ) IRU > 0 
D ( s )D ( s )

6KRZ R xx [ m ] = R ss [ m ] + R vv [ m ] DQG R vv [ m ] = q [ m ] 'HGXFHWKDW

1
6 ss ( z ) = ------------------------------- ZKHUH D ( z ) KDVDOOLWVURRWV z i ZLWK z i < 1 &RQFOXGHWKDW
D ( z )D ( 1 z )
6 xx ( z ) LVDOVRUDWLRQDOZLWKWKHVDPHSROHVDV 6 ss ( z ) DQGWKDW 6 xx ( z ) = 6 xx ( 1 z ) 
n

1
'HILQH s ( t ) = --n

x ( t + kT ) DQGUHJDUG s ( t ) DVWKHRXWSXWRIDOLQHDUV\VWHPZLWK
k=1

LQSXW x ( t ) )LQGWKHLPSXOVHUHVSRQVHIXQFWLRQWKHV\VWHPIXQFWLRQDQGXVH(T

')3UHVXPH x ( t ) LV:66VRWKHRULJLQRIWKHWLPHVFDOHPD\EHVKLIWHGVRWKDWWKH
LQWHUYDO ( 0, T ) LQWKHROGWLPHVFDOHFRUUHVSRQGVWRWKHLQWHUYDO ( a, a ) LQWKHQHZ
WLPHVFDOH3DUWLFXODUL]HWKHLQWHJUDOHTXDWLRQ'LIIHUHQWLDWHWKHLQWHJUDOHTXD
WLRQWZLFHWRREWDLQDGLIIHUHQWLDOHTXDWLRQ)LQGWKHJHQHUDOVROXWLRQVWRWKHGLIIHUHQ
WLDOHTXDWLRQDQGSXWWKHPEDFNLQWRWKHLQWHJUDOHTXDWLRQWROHDUQPRUHDERXWWKHP
8VHWKHQRUPDOL]DWLRQHTXDWLRQ(TWRVFDOHWKH ( t ) IXQFWLRQV1RWHWKDWWKH
n 1 2
n 1 2

---UHVXOWVVKRXOGUHDG n = a +
DQG n = a + ------
QRWWKHUHVXOWVJLYHQ
2
2
LQWKH7H[W
2

:ULWH E { X ( ) } DVDGRXEOHLQWHJUDO7UDQVIRUPWRDVLQJOHLQWHJUDODVLQ(T
'LIIHUHQWLDWHZLWKUHVSHFWWR T 

H-31

Gary Matchett

Hints 9/5/02

1RKLQW
1RKLQW
08VH(TD6KRZ
 E { x ( t )x* ( t ) } = E { x ( t )x * ( t ) } = E { x ( t )x * ( t ) } = E { x ( t )x * ( t ) } = R ( 0 )
,QRUGHUWRGRSDUWDLWLVXVHIXOWRGRSDUWEF6XEVWLWXWH s = t LQWKH n ( ) 
H[SUHVVLRQ
$VLVXVXDOLQWKHVHFDVHVVKRZWKDW E { x ( t ) } = 0 DQGWKDW E { x ( t )x* ( s ) } LVDIXQF
WLRQRI t s 
'HGXFHWKDWLI A DQG B VDWLVI\(TVWKHQLWPXVWEHWKDW
E { A ( u )A ( v ) } = E { B ( u )B ( v ) } = Q ( u ) ( u v ) DQG E { A ( u )B ( v ) } = 0 
T

01RWHWKDW f ( t )e

jt

dt =

f ( t )pT ( t )e

jt

dt ZKHUH
T < t < T

1
pT ( t ) = U ( t T ) U ( T t ) =
0
8VHWKHIUHTXHQF\FRQYROXWLRQWKHRUHPLI F1 ( ) =
F2 ( ) =

f2 ( t )e

jt

otherwise

f1 ( t )e

jt

dt DQG

dt WKHQ

 F 12 ( ) =

f 1 ( t )f 2 ( t )e

jt

1
dt = ------ F 1 ( y )F 2 ( y ) dy
2

sin 2 T

- d = T
------ 
8VH(T1RWHWKDW ---------------2
2
0

&KDSWHU
1RKLQW
2

,'1RWHWKDW x ( t ) LV:668VH(TWRGHGXFHWKDW f ( x, x ; ) f ( x ) DV

)LQGERWKVLGHVRIWKLVOLPLWH[SOLFLWO\DQGVKRZWKDWWKHOLPLWUHTXLUHV

H-32

Gary Matchett

Hints 9/5/02

r ( ) 0 8VH(T
8VH(T
6KRZWKDW C zz ( ) GRHVQRWGHSHQGRQ VRWKDW(TFDQQRWEHVDWLVILHG
2

,5HFDOOWKDW lim R T = R xy ( ) LIDQGRQO\LIERWK E { R T } = R xy ( ) DQG RT 0 

T

)',7KHFRQGLWLRQLQWKLVSUREOHPVKRXOGUHDG R ( t + , t ) ( t + ) ( t ) DV
2

XQLIRUPO\LQ t $OVR\RXPXVWDVVXPH C ( t, t ) < IRUVRPH DQGDOO t 

1 T
,JQRUHWKHKLQWLQWKH7H[W'HILQHWKHDYHUDJHPHDQDV = --- ( t ) dt 6KRZWKDW
T 0
2
1 c
lim ------ ( t ) dt = 8VHWKLVUHVXOWWRVKRZWKDW lim E { ( c ) } = 0 LVHTXLYD
c 2c c
c
OHQWWRWKHUHYLVHGFRQGLWLRQDERYH'R3UREOHPILUVWWRXQGHUVWDQGWKLVODWWHU
UHVXOW
2

,'$VVXPHWKDW C ( t, t ) < IRUVRPH DQGDOO t 8VH(TWRJHW

1 T T
2
T = --------2- C ( t 1, t 2 ) dt 1 dt 2 &KDQJHYDULDEOHVWR t = t 2  = t 1 t 2 %UHDNXSWKH
4T T T
LQWHJUDOLQWKH t SODQHLQWRSRUWLRQVZKHUH T 2 DQG < T 2 DQGILQGZD\VWR
OLPLWERWKSDUWV

H-33

Gary Matchett

Hints 9/5/02

H-34