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denote the result of an estimation based on Let one data set. Each data set used, will generate a different ) = E[ ] = difference between the true Bias, b( value and the average of all possible estimates.
2 =
Estimation: Some definitions Estimate is consistent if, when we use more data to form the estimate, the mean square error is reduced. If we have two ways of estimating the same thing, we say that the estimator that leads to the smaller mean square error is more efficient than the other estimator.
= (a,b) b true bias xxx x xx x value x x x a estimates mean of all estimates
assuming that the measurements were independent random variables. Two methods of estimating Rxx() from T sec. of data.
1. Dividing by the integration time: T-| | Estimation was unbiased but had very high variance, particularly when was close to T. 2. Dividing by total time: T Estimation was biased (asymptotically unbiased). This was equivalent to multiplying Method 1 estimate by a triangular window (T-| |)/T. This window attenuated the high variance estimates.
n =1
Estimation: 1. Could Fourier Transform the Autocorrelation function estimate (not computationally efficient). 2. Could use the frequency domain definition directly.
* ( f ) = XT XT Raw Estimate = S xx T
Extremely poor variance characteristics. We showed that variance was Sxx ( f ) by T, the length of data used.
2
, unaffected
time
Break signal up into NSEG segments, Tr seconds long. For each segment:
1. Apply a window to smooth transition at ends of segments 2. Fourier Transform windowed segment XT(f) 3. Calculate a raw power spectral density: |XTr|2/Tr estimate
3.
Average the results from each segment to get the smoothed estimate.
~ Sxx ( f ) =
1 NSEG
NSEG i =1
(f ) S xx i
Therefore:
1. 2.
Estimation
Could Fourier Transform the Cross-correlation function estimate (not computationally efficient). Could use the frequency domain definition directly. Raw Estimate =
* XT Y T Sxy ( f ) = T
1. 2. 3.
Cross Spectral Density Estimation: Segment Averaging x(t) w(t) Tr y(t) w(t) Tr time
* Tr ( f ) = XTrY S xyi
NSEG i =1
time
Fourier Transform of Windowed Segments XT(f) & YT(f). Raw Estimate from ith segment =
~ Smoothed Estimate = S xy ( f ) =
Tr
1 NSEG
(f ) S xyi
2. 3.
Example: System with Some Nonlinearities (cubic stiffness) and Noisy Measurements
Nonlinearity causes spread of energy here, around 3x and 5x this frequency Nonlinear Mode
Nonlineary causes broad dips in coherence function. If you drive the system harder these regions become wider
Dips mainly due to bias. and thus get smaller as resolution increases
Assuming here that spectral density estimation errors small (Tr and NSEG Large).
Noise on the input adversely affects this estimate of H. |H1| < |H|
H2 = Symym/S*xmym
Noise on the output adversely affects this estimate of H. |H2| > |H|
Estimation of H
Note that, e.g.,
~ ~ E[H1] E[ S ]/E[ S xy xx ] ~ ~ E[H1] = E[ S xy / Sxx ]
Frequency response function estimates (both H1 and H2) are
extremely sensitive to bias errors which are worse at peaks and troughs.
Require large segment sizes to overcome bias, but this means less segments to average, thus higher variance.
Note: A low coherence function does not necessarily imply a poor frequency response function estimate. If the only reason the coherence function is low is noise on the response (input), then the H1 (H2) frequency response estimation should be accurate, provided sufficient averaging was done to reduce the variance of the estimates.
Some notes
1.Systems with feedback and noise may result in erroneous frequency response function estimates. n(t)
d(t)
x(t)
d and n uncorrelated
H(f) G(f)
y(t)
The problem is caused by the noise n(t) affecting both the output and the input signals, and thus input and output noise is correlated.. you cannot set Sxn(f) to zero in this example. Sometimes, in these cases, we use a third signal, r(t), that is highly correlated to the noise-free output and uncorrelated with the noise. Estimate of H = Sry/Srx. A good choice for r(t) here would be d(t).
Some notes
2. Multi-input systems with correlated inputs may cause problems in frequency response function estimation.
x1(t) x2(t)
H(f) G(f) +
y(t)
m(t)
y=h(t)*x1(t)+g(t)*x2(t); x1(t) = u(t) + n(t); x2(t) = u(t) + m(t); Sx1y = H.Sx1x1 + G.Sx1x2 and you can show that Sx1x2 = Suu 0. So, Sx1y / Sx1x1 = H + G. (Suu /[Suu + Snn]) H Similarly: Sx2y / Sx2x2 = H (Suu /[Suu + Smm]) + G G
Can sometimes use PARTIAL COHERENCE techniques to overcome this problem.
Applied to the previous example, we would try to remove the effect of correlated inputs by modifying x2(t) and y(t), to generate x2 1(t) and y 1(t), and then examine: Sx2 1y 1/Sx2 1x2 1. x2 1(t) = x2(t) - l12(t)*x1(t), where L12(f) = Sx1x2/Sx1x1 y 1(t) = y(t) - l1y(t)*x1(t), where L1y(f) = Sx1y/Sx1x1 = [H + G.L12] For the previous example you can show that: Sx2 1y 1 = G [ Smm+ L12 Snn ], where L12 = Suu / [Suu + Snn] Sx2 1x2 1 = [Smm+ L12 Snn], Therefore Sx2 1y 1/Sx2 1x2 1 = G. We can also generate a partial coherence function from these modified signals: x2 x1,y x1 2 = |Sx2 1y 1|2/[Sx2 1x2 1 Sy 1y 1]
Sines + Noise
The power spectral density of a sinusoid is: A A ( f f1 ) + ( f + f1 ) 2 2 But by using windows Tr seconds long, the delta functions become sinc functions with maximum height affected by window size Tr. If Tr is too small the sinc functions will be buried in the noise. But as Tr is increased the sinc functions begin to emerge from the noise. So if you expect a peak in your spectrum is due to sinewave, increase the window size (freqency resolution) and see if the peak gets larger, as you would expect if it were truly a sine wave.
2 2
Sines in noise
sinc function emerging from noise as Tr increases.
PSD - V2/Hz
Variation in estimated PSD due to lack of averaging. Tr larger NSEG smaller, larger variance.
Frequency - Hertz
{ P ( 0 ) + P ( fs / 2 ) + 2.
( N / 2 ) 1 k =1
P ( k .fs / N ) } ( frequency
resolution )
where N is the number of points in a segment and P(f) is the estimate of Sxx(f), it is off by a factor of fs. You need to divide by fs to get the correct result.
Calibration (continued)
Power Spectral Density:
Recall that for fs/2<f<fs/2, XTr(f) Xk So: our raw PSD estimate generated from one segment should be:
(1/Tr).|XTr(f)|2 (1/(N)).2 |Xk|2 = | Xk|2/N Volts2/Hz.
Tr
time - s
To overcome this problem we estimate an Energy Spectral Density (ESD) (remove the divide by Tr in the raw PSD estimate.) Raw ESD estimate = |XTr(f)|2 2 |Xk|2 (Volts/Hz) 2 [You also need to be careful with window choice here so as not to distort the transient.]
Raw PWR estimate = |Xk|2/N2 = Raw PSD estimate . (frequency resolution) = ( | Xk|2/N ) . (fs/N) Volts2 So effectively at each point in the PSD you have integrated the power spectral density over a bin of width fs/N Hertz.