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StatisticalpropertiesoftheRandomPSD

PhilipVanBaren,VibrationResearchCorporation
ThePSDofaGaussianrandomwaveformiscomputedusingaFastFourierTransform(FFT).TheFFTisa
lineartransform,anditisgivenaGaussianinput.Asaresult,theoutputoftheFFTateachfrequency
lineisacomplexnumber,withaGaussianrealpart,andaGaussianimaginarypart.Thesearesquared
andaddedtogethertogetthemagnitude,sothesquaremagnitudeoftheFFToutputisaChisquared
distributedrandomvariablewith2degreesoffreedom(DOF).TocomputeanaveragedrandomPSD,F
framesoftimedataaremeasured,anFFTofeachframeistaken,andthesquaremagnitudesare
averagedtogether.Asaresult,theaveragedPSDofaGaussianwaveformisaChisquareddistributed
randomvariablewith(2*F)DOF.ThisiswheretheDOFaveragingspecificationforarandomvibration
testcomesfrom.
Inapracticalsense,thismeanswecandirectlycomputeconfidenceintervalsandprobabilitiesfromthe
equationsdefiningtheChisquareddistribution.TheChisquareddistributionwithndegreesof
freedomhasprobabilitydensityfunctionandcumulativedistributionfunctionasfollows.
/

PDF:

CDF:

Where

isthegammafunction,and

(forw0)

w/2, n/2
,

istheregularizedlowerincompletegammafunction.

Tolerancebands
UsingthisrelationshipandgivenaDOFvalue,wecantabulatetheprobabilityofexceedingagivendB
levelfromthemean.IfwenotethatthemeanofaChisquaredrandomvariableisequaltotheDOF,n,
then,usingMATLABnotation,
Pr[x<dB]=gammainc(10^(dB/10)*DOF/2,DOF/2,lower)
Pr[x>dB]=gammainc(10^(dB/10)*DOF/2,DOF/2,upper)

fordB<0
fordB>0

Table1:ProbabilityofaPSDvalueexceedingthetolerancedBforagivenDOF
DOF=
+3dB
+2dB
+1.5dB
+1dB
+0.5dB

0.5dB
1dB
1.5dB
2dB
3dB

80
0.000%
0.068%
0.892%
5.867%
21.342%

100
0.000%
0.018%
0.418%
4.099%
19.032%

25.424%
8.870%
2.214%
0.402%
0.006%

120
0.000%
0.005%
0.199%
2.892%
17.058%

22.628%
6.426%
1.188%
0.146%
0.001%

140
0.000%
0.001%
0.095%
2.056%
15.350%

160
0.000%
0.000%
0.046%
1.470%
13.856%

180
0.000%
0.000%
0.022%
1.055%
12.541%

200
0.000%
0.000%
0.011%
0.761%
11.375%

220
0.000%
0.000%
0.005%
0.550%
10.337%

240
0.000%
0.000%
0.003%
0.399%
9.409%

18.276%
3.478%
0.356%
0.020%
0.000%

16.534%
2.586%
0.197%
0.008%
0.000%

15.006%
1.932%
0.110%
0.003%
0.000%

13.655%
1.450%
0.062%
0.001%
0.000%

12.452%
1.091%
0.035%
0.000%
0.000%

11.377%
0.824%
0.020%
0.000%
0.000%

20.283%
4.708%
0.647%
0.054%
0.000%

260
0.000%
0.000%
0.001%
0.290%
8.576%

280
0.000%
0.000%
0.001%
0.211%
7.827%

300
0.000%
0.000%
0.000%
0.154%
7.152%

9.541%
0.473%
0.006%
0.000%
0.000%

8.755%
0.359%
0.004%
0.000%
0.000%

10.411%
0.623%
0.011%
0.000%
0.000%

CompoundedProbability
Theprobabilitycalculationsgivetheprobabilityforasinglelinebeingoutsidethetoleranceband.The
typicalrandomtestiscomposedofabroadbandoffrequencies,with200,400,800,ormorelines
distributedoverthatband,andweareinterestedinknowingtheprobabilityofanyoneofthoselines
goingoutsideofthetoleranceorabortbands.Toaccountforthisweassumethelinesareindependent,
andcomputetheprobabilityforhavingalllineswithinthespecifiedtoleranceband.Thisisdoneby
computingtheprobabilityofasinglelinebeingwithinthetolerancerange,andthencombiningthis
probabilitytogetherwithallotherlines.Mathematicallythisisdonebymultiplyingtheprobabilities
together,soforagivennumberoflineswecantabulatetheprobabilityofmeetingthetoleranceusing
theformulaplwherepistheprobabilityofasinglelinebeingintolerance,andlisthenumberoflines.
ThiscalculationtellsuswhatDOFparameterisrequiredtoachieveandmaintainastatedtolerancewith
reasonableprobability.Sincethewaveformisrandom,wecanneverachieveafull100%,butsome
casesgetveryclose.
Table2:Probabilityofalllineswithintoleranceband,800lines
DOF=
3dB
2dB
1.5dB

80
95.60%
2.32%
0.00%

100
99.41%
26.92%
0.00%

120
99.92%
62.49%
0.11%

140
99.99%
84.21%
2.69%

160
100.00%
93.83%
14.28%

180
100.00%
97.64%
34.71%

200
100.00%
99.10%
56.01%

220
100.00%
99.66%
72.64%

240
100.00%
99.87%
83.76%

260
100.00%
99.95%
90.60%

280
100.00%
99.98%
94.62%

300
100.00%
99.99%
96.94%

220
100.00%
99.83%
85.23%

240
100.00%
99.93%
91.52%

260
100.00%
99.97%
95.18%

280
100.00%
99.99%
97.27%

300
100.00%
100.00%
98.46%

Table3:Probabilityofalllineswithintoleranceband,400lines
DOF=
3dB
2dB
1.5dB

80
97.78%
15.23%
0.00%

100
99.70%
51.89%
0.15%

120
99.96%
79.05%
3.35%

140
99.99%
91.77%
16.41%

160
100.00%
96.86%
37.79%

180
100.00%
98.81%
58.92%

200
100.00%
99.55%
74.84%

Confidenceintervals
Thiscalculationcanbereversed,andwecanalsocomputethedBlevelsgivenaprobabilityvalue.Thisis
typicallyexpressedasa90%,99%,or99.9%confidenceinterval.The90%confidenceintervalgivesthe
rangeofdBvalueswhichcoverthecentral90%oftheprobabilitycurve.Inotherwords,thereisa5%
probabilityofbeinglessthanthelowerbound,anda5%probabilityofbeinggreaterthantheupper
bound,anda90%probabilityofbeingwithinthestatedbounds.Theseconfidenceintervalscanbe
tabulatedandplottedasafunctionofDOF.
Table4:Confidenceinterval,indB,ofaPSDvalueforagivenDOF
DOF=
99.9%
99%
90%
90%
99%
99.9%

80
2.05
1.63
1.05

100
1.85
1.47
0.95

120
1.70
1.35
0.87

140
1.59
1.25
0.81

160
1.49
1.18
0.76

180
1.41
1.11
0.72

200
1.34
1.06
0.68

220
1.28
1.01
0.65

240
1.23
0.97
0.62

260
1.19
0.94
0.60

280
1.15
0.90
0.58

300
1.11
0.87
0.56

1.22
1.94
2.52

1.08
1.72
2.23

0.98
1.56
2.01

0.91
1.43
1.85

0.84
1.33
1.72

0.79
1.25
1.62

0.75
1.18
1.53

0.71
1.13
1.45

0.68
1.08
1.39

0.65
1.03
1.33

0.63
0.99
1.28

0.61
0.96
1.23

Confidence interval vs. DOF


3
99.9%
99%
90%
90%
99%
99.9%

Confidence interval (dB)

-1

-2

-3
80

100

120

140

160

180

200

220

240

260

280

300

DOF

WindowingandOverlap
Theabovecalculations,withDOFequalto2timesthenumberofframes,assumeindependentframesof
data.Whenoverlappingframesandwindowfunctionsareused,theframesarenolongerindependent,
andtheeffectiveDOFoftheaveragewillnotbesimplyamultipleofthenumberofframes.The
effectiveDOFcanbeestimatednumericallybysimulatingdatawiththespecifiedoverlapandwindow
functionapplied,computingthestatisticsoftheresultingPDF,andcomparingthosestatisticstoaChi
squareddistributionwithaknownDOF.
Asaruleofthumb,for50%overlap,andwithawindowfunction,youstillachieveaDOFofnearly2
timesthenumberofframesaveragedtogether.For75%overlapyouachieveaDOFofabout1times
thenumberofframes.Thepracticalresultofthisis,foragiventimeinterval,youcandoublethe
effectiveDOFbyusing50%overlap.