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ERASMUSTeaching(2009),TechnischeUniversittBerlin

RandomvibrationsII
Randomvibrations

Assoc.Prof.Dr.PelinGUNDESBAKIR
IstanbulTechnicalUniversity
gundes@itu.edu.tr
gundesbakir@yahoo.com
d b ki @ h
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Transmissionofrandomvibration

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
Wearenowreadytoconsiderhowthecharacteristicsofrandomsignals
d d h h h f d l
arechangedbytransmissionthroughstablelinearsystems.

Weshallconsidertheresponsey(t)totwoseparaterandominputsx1(t)
andx2(t).Theresponsetoasingleinputcanthenbeobtaineddirectlyby
putting either x1or x2zero,andtheresponsetomorethantwoinputscan
puttingeitherx zero and the response to more than two inputs can
beinferredfromtheformofthesolutionfortwoinputs.

Thementalpictureweneedisofaninfinityofexperiments,allproceeding
simultaneously,andeachwithanidenticallinearsystemforwhichthe
impulse response functions are h11 (t)andh
impulseresponsefunctionsareh (t) and h2 (t)andthecorresponding
(t) and the corresponding
frequencyresponsefunctionsareH1()andH2().

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
Eachexperimentisexcitedbysamplefunctionsfromthex
h db l f f h 1(t)andx
( ) d 2(t)
()
randomprocessesandtheresponseisasamplefunctionfromthey(t)
randomprocess.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
Wewanttoknowhowthecharacteristicsoftheoutputprocessy(t)
k h h h f h ()
dependonthecharacteristicsofthetwoinputprocessesx1(t)andx2(t)
andontheinputoutputcharacteristicsofthesystem.
Thefunctionsh1(t)andH1()givetheresponsey(t)duetoaninputx1(t)
andthefunctionsh2(t)andH2()givetheresponsey(t)duetoaninput
x2(t).
(t)
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Mean level
Meanlevel
Accordingto
d
y (t ) = h( )x(t )d

theresponsey(t)ofatypicalsampleexperimenttotheinputsx
the response y(t) of a typical sample experiment to the inputs x1(t)and
(t) and
x2(t)maybeexpressedas:

IfwearenowtocalculatetheensembleaverageE[y(t)]wehaveto
determine the average values of both the integrals on the rhs of the above
determinetheaveragevaluesofboththeintegralsontherhsoftheabove
equation.Todothis,weneedtorememberthatanintegralisjustthe
limitingcaseofasummationandthattheaverageofasumofnumbersis
the same as the sum of the average numbers for instance:
thesameasthesumoftheaveragenumbers,forinstance:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Mean level
Meanlevel
Orusingthesummationsign:
h

Applyingthisresultto

gives:

Providedthatboththerandominputsarestationary,thentheirmean
levelsE[x
[ 1]]andE[x
[ 2]]areindependentofthetimeofensembleaveraging
p g g
(t),andsoweobtain:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Mean level
Meanlevel
From

We see that E[y(t)] is independent of time so that finally


WeseethatE[y(t)]isindependentoftime,sothatfinally,

Mostengineerstendtothinkintermsoffrequencyresponseratherthan
impulseresponse,andwecanexpresstheaboveequationintheseterms
by using the basic result:
byusingthebasicresult:

whichfor=0becomes

Onsubstitutiontothesecondequationabove,weget:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Mean level
Meanlevel

Where

Orinelectricalengineeringterms,
l l

Themeanlevelsofstationaryrandomvibrationarethereforetransmittedjust
The mean levels of stationary random vibration are therefore transmitted just
asthoughtheyareconstantnonrandomsignalsandthesuperimposed
randomexcurisonshavenoeffectontherelationshipsbetweenmeanlevels.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Autocorrelation
Theautocorrelationfunctionfortheoutputprocessy(t)is:
h l f f h ()

According to
Accordingto

wecanwriteformalsolutionsfory(t)andy(t+)and,putting1 and2
insteadof toavoidconfusion,theseare

and

Substitutingthethirdandfourthequationintothefirstequation:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Autocorrelation
Weget:

Sincewearedealingwithastablesystem,theintegralsintheabove
Si d li ih bl h i l i h b
equationconvergeanditislegitimatetowriteeachproductoftwo
integralsasasingledoubleintegralsothatforinstance:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Autocorrelation
Whenwecometoaveragetheexpression
h h

Wehavethentoaveragethesedoubleintegralstofindforexample:

whichisequalto:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Autocorrelation
Providedthattheinputprocessx
P id d th t th i t 1(t)isstationary,itsautocorrelation
(t) i t ti it t l ti
functionisindependentofabsolutetimet,andso:

Theterm

maybewritten:

andisindependentoftimet.Thesamereasoningcanbeappliedtothe
and is independent of time t. The same reasoning can be applied to the
otherthreetermsandsoforstationaryexcitation,theoutput
autocorrelationfunctionisindependentofabsolutetimetandcanbe
p y g g y p
expressedbythefollowingratherlengthyexpression:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Autocorrelation

involvingdoubleconvolutionsoftheinputautocorrelationand
involving double convolutions of the input autocorrelation and
crosscorrelationfunctions.
TheautocorrelationfunctionfortheoutputprocessRy()isindependentof
absolute time t forstationaryexcitationandthisisageneralresultforthe
absolutetimet for stationary excitation and this is a general result for the
responseofanyconstantparameterlinearsystem.Itturnsoutthatall
averagesoftheoutputprocessaretimeinvariantforstationaryexcitation,and
theoutputprocessisthereforeitselfstationary.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Spectral density
Spectraldensity
Althoughtheequation
lh h h

issuchacomplicatedexpression,fortunatelyconsiderablesimplifications
is such a complicated expression fortunately considerable simplifications
emergeifwetakeFouriertransformsofbothsidestofindSy(),the
spectraldensityoftheoutputprocess.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Spectral density
Spectraldensity
From +
S x ( ) = R ( )e
1 i
d
2
x

theFouriertransformofthefirstdoubleintegralontherhsofthe
the Fourier transform of the first double integral on the rhs of the
equation

is:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Spectral density
Spectraldensity
Changingtheorderofintegration,thismaybewritten:
h h d f h b

Thelastintegraliswithrespectto with1 and2 constant.Wecan


thereforelegitimatelywritethis:

whichfrom +
S x ( ) = R ( )e
1 i
d
2
x

isequalto:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Spectral density
Spectraldensity
Sothattheequation
h h

canbewritten:

Thetworemainingintegralscanberelatedtothefrequencyresponse
Th i i i l b l d h f
functionH()sincefrom: +
H1 ( ) = h1 ( 2 )e i 2 d 2

andthecomplexconjugateofH1()
+
H 1 ( ) = h1 (1 )ei1 d1
*

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Spectral density
Spectraldensity
Henceweobtainfinally,
b f ll
I1 = H1* ( )H1 ( )S x1 ( )

g g
fortheFouriertransformofthefirstdoubleintegralontherighthandsideof

Thesameproceduremaybeappliedtotherestoftheaboveequationandthe
finalresultsoftakingtheFouriertransformsofbothsidesoftheequationis
thefollowingexpressionforthespectraldensityoftheoutputprocess.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Spectral density
Spectraldensity

Thisisamostimportantresult.Byconsideringmorethantwoinputs,itis
notdifficulttoshowthat,forNinputs,thecorrespondingexpressionis:
d ff l h h f h d

whenwedefine:
when we define:
forthespectraldensityoftherthinput.Theequation
isthecentralresultoftherandomvibrationtheoryanditssimplicity
justifiesourfaithintheFouriertransformandfrequencyresponse
approach.Inthecaseofresponsetoasingleinput,theaboveequation
becomes:
Or,sincetheproductofacomplexnumberanditscomplexconjugateis
equaltothemagnitudeofthenumbersquared,

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Spectral density
Spectraldensity
Foruncorrelatedinputsforwhichthecrossspectraldensitytermsareall
l d f h h h ld ll
zero,theequationcanbegeneralizedto:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Mean square response


Meansquareresponse
Oncetheresponsespectraldensityhasbeendetermined,themean
h ld h b d d h
squareresponsecanbecalculateddirectlyfrom:
+
E [y ] = S ( )d
2
y

whichforasingleinputbecomes:

andformanyuncorrelatedinputsis:

Foruncorrelatedinputs,themeansquareresponseisthereforethesumof
For uncorrelated inputs the mean square response is therefore the sum of
themeansquareresponsesduetoeachinputseparately.However,in
general,thisisnotthecaseandforcorrelatedinputs,themeansquare
responseisnotjustthesumoftheseparatemeansquareresponses.In
i j h f h I
thesecases,mustbeusedtofindtheresponse
spectraldensitySy()andthentheintegralgivenbelowisevaluated.
+
[ ] S ( )d
E x2 = x

ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example 1
Example1
DeterminetheoutputspectraldensityS
h ld y()forthesingledegreeof
( )f h l d f
freedomoscillatorshowninthefigurewhenitisexcitedbyaforcing
functionx(t)whosespectraldensitySx()=So.

From,whereH()isthecomplexfrequencyresponse
function To find H() put x(t)=e it
function.TofindH(),putx(t)=e it andy=H()e
and y=H()eit
it intheequationof
in the equation of
motion:
toobtain:
and
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Example 1
Example1
HencetheoutputspectraldensityassketchedinFiguredis:
h ld k h d d
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Example 1
Example1
Theareaunderthespectraldensitycurveisequaltothemeansquare,
h d h ld l h
whichmaybewritten:

Alistofdefiniteintegralsofthisformcanbefoundintheliteratureand
theresultis:

whichisindependentofthemagnitudeofthemassm.Thisisasurprising
resultaswewouldnaturallyexpectmtoaffecttheoverallmeansquare
y p q
leveloftheoutputE[y2].Theexplanationcanbeseenbyconsideringthe
heightandwidthofthespectralpeakinthefigure(Rememberthatthe
peak in the lefthand
peakintheleft handhalfofthefigureisjustthemirrorimageofthepeak
half of the figure is just the mirror image of the peak
intherighthandhalf,sinceSy()isanevenfunctionof:
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Example 1
Example1
Thepeakvalueoccursforsmalldampingwhen
Th k l f ll d i h
Itsheightistherefore:
whichisproportionaltom.
Thewidthofthespectralpeakneedsdefinition,butsupposethatwe
arbitrarilydefinethisasthedifferenceinfrequency2 betweenthetwo
pointsoneithersideofN
p N whoseheightishalfthepeakheight(theso
g p g (
calledhalfpowerbandwidth).Forsmalldamping:

whichisinverselyproportionaltom.Hencewecanseethatincreasing
massmincreasestheheightofthespectralpeak,butatthesametime
reduces its width As we have seen it turns out that these two opposite
reducesitswidth.Aswehaveseen,itturnsoutthatthesetwoopposite
effectscanceloutandthetotalareaunderthespectraldensitycurve,and
thereforethemeansquarevalue,isindependentofm.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example 2
Example2
Themasslesstrolleyshowninthefigureisconnectedtotwoabutmentsby
h l ll h h f d b b
springsandviscousdashpotsasshown.Iftheabutmentsmovedistances
x1(t)andx2(t)withspectraldensities(constant)but
,sothatthecrossspectraare

determinetheresponsespectraldensitySy()andthemeansquare
p
response
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Example 2
Example2
Fortheequilibriumofthetrolley
h lb f h ll

So that the equation of motion is:


Sothattheequationofmotionis:

Todeterminethefrequencyresponsefunctions,firstput

tofind:

andthenput
to find:
tofind:
Henceaccordingto:
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Example 2
Example2

whichaftercollectingtermsbecomes:

WhenthedelaytimeTiszero,sothatx
Wh th d l ti Ti th t 1(t)=x
(t) 2(t),thenweseethat
(t) th th t
andmotionofthetrolleyisalwaysequaltomotionoftheabutments.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example 2
Example2
Forlarge
l (h h f
(highfrequencies):
)

which is finite and so:


whichisfiniteandso:

onaccountofthecharacteristicsofwhitenoiseexcitationwhichhasan
infinitemeansquarevalue.Forthecasewhenthetwospringstiffnesses
andthetwodampercoefficientsarethesame,

whichhastheformshowninthefigure.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Cross correlation
Crosscorrelation
Inthecaseofasystemexcitedbymanyinputs,itissometimeshelpfulto
h f db h l f l
determinethecrosscorrelationbetweentheoutputandoneofthe
inputs.Beginningwiththedefinition

forthecaseoftwoinputs,using

Sincex1(t)isnotafunctionof,itmaybemovedundertheintegralsigns
andtheaveragingprocesscarriedouttogive:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Cross correlation
Crosscorrelation
Intermsoftheinputautocorrelationandcrosscorrelationfunctions,
f h l d l f

whichexpressesthecrosscorrelationbetweeninputx1(t)andoutputy(t)
intermsoftheautocorrelationofx1(t),thecrosscorrelationbetweenx1(t)
andtheotherinputx
d h h i 2(t),andtheimpulseresponsefunctionsbetweenx
() d h i l f i b 1
andyandx2 andy.
Forthespecialcasewhenx
p R ( ) = 2S ( )
1 iswhitenoisesothatfrom x 0

andx1 andx2 areuncorrelatedsothat

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Cross correlation
Crosscorrelation
Then
h

gives:

Thecrosscorrelationfunctionbetweenawhitenoiseinputx1(t)andthe
outputy(t)isthereforethesameastheimpulseresponseatyforaunit
impulse at x1 multipliedbythefactor.Thisisaninterestingresult
impulseatx multiplied by the factor This is an interesting result
whichissometimesusedtoobtaintheimpulseresponsefunction
experimentally.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Cross spectral density


Crossspectraldensity
T ki th F i t
TakingtheFouriertransformsofbothsidesof
f f b th id f

gives:

Rearrangingtermsinthesamewayasforthepreviouscalculationofthe
spectraldensitygives:

Theintegralswithrespectto arewith constant,andsoif()is


replacedby (say)thend becomesd.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Cross spectral density


Crossspectraldensity
+
S x ( ) = R ( )e
Using 1 i
d
2
x

+
S xy ( ) = ( )
1

i

R e d
2
xy

+
S yx ( ) = R ( )e
1 i
d
2
yx


H ( ) = h(t )e it dt
toevaluatetheintegralswithrespectto,andtoevaluate
the integrals with respect to whichthenremain,weobtain:

theintegralswithrespectto which then remain we obtain:

p p ,
WhenthereareNseparateinputs,ofwhichxr((t)isatypicalone,the
) yp ,
aboveequationbecomesthesummation

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Cross spectral density


Crossspectraldensity

Foruncorrelatedinputswecanseethat

whereH()isthecomplexfrequencyresponsefunctionrelatingtheinput
x(t) to the output y(t) Sx()isthespectraldensityoftheinputprocess,
x(t)totheoutputy(t),S () is the spectral density of the input process
andSxy()isthecrossspectraldensitybetweentheinputandtheoutput.
Fromthepropertiesofthecrossspectra
S yx ( ) = S xy* ( )
S xy ( ) = S *yx ( )
Itfollowsthat

SinceSx()isofcoursealwaysarealquantity.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Probability distributions
Probabilitydistributions
Wenowconsiderhowtheprobabilitydistributionfortheresponseofa
W id h th b bilit di t ib ti f th f
linearsystemdependsontheprobabilitydistributionoftheexcitation.We
cansayatoncethatthereisnosimplerelationship.Thereisnogeneral
method for obtaining the output probability distributions for a linear
methodforobtainingtheoutputprobabilitydistributionsforalinear
systemexceptforthespecialcasewhentheinputprobabilitydistributions
areGaussian.

Thefactthatwecancalculatetheoutputprobabilitydistributionsfora
linearsystemsubjectedtoGaussianexcitationarisesfromthespecial
propertiesofGaussianprocesses.
i fG i

Firstly,thereisageneraltheoremwhichsaysthatify
y, g y y1 andyy2 areapairof
p
jointlyGaussianrandomvariables,thenifyisdefinedsothat,
thenewrandomvariablewillalsobeGaussian.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Probability distributions
Probabilitydistributions
Secondly,thisresultmaybeappliedtoshowthattheresponsey(t)ofa
dl h l b l d h h h () f
linearsystemwillbeaGaussianprocessiftheexcitationx(t)isGaussian.
Usingtheconvolutionintegral,weknowthat:

whereh(t)istheimpulseresponsefunction.Itcanbeshown
h h( ) i h i l f i b h
mathematicallythattheaboveintegralcanbethoughtofasthelimiting
caseofalinearsumofasumofrandomvariablesofwhich

isthesimplestexample.Henceifx(t)isaGaussianprocess,y(t)mustbe
the same Finally these results can be extended to the case of more than
thesame.Finally,theseresultscanbeextendedtothecaseofmorethan
onejointlyGaussianinputtoshowthattheoutputprocessesafter
transmissionthroughalinearsystemwillalsobejointlyGaussian.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Probability distributions
Probabilitydistributions
TheoutputofalinearsystemsubjectedtoGaussianinputsistherefore
h f l b d h f
Gaussianandtheoutputprobabilitydistributionscanbecalculatedifthe
respectivemeanvalues,variancesandcovariancesareknown.
E [( x m )( y m )]
= x y

x y
xy

Alsosinceaderivativecanbeexpressedasthelimitingcaseofthe
l i d i i b d h li i i f h
difference{y(t+t)y(t)}/t betweentworandomvariablesy(t+t)and
y(t)iftheprocessy(t)isGaussiansoisitsderivativeandsoarehigher
derivativessuchasacceleration.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example
AlinearsystemissubjectedtostationaryGaussianexcitationasaresultof
l b d l f
whichtheresponsey(t)hasameanlevelmy,standarddeviationy,andan
autocorrelationfunctionRy().Determinetheprobabilitydensityfunction
p(y1,y2)forthejointdistributionofyatt1 andyatt2 wheret2=t1+.
ReferringtothedefinitionofthesecondorderGaussianprobability
y
densityfrom

thenormalizedcovariancey1y2isgivenby:

the equation
theequationgives:
gives:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example
Whenthetimeintervalandfrom
h h l df

Inthiscase,becomes

andy
d 1=y(t
( 1)andy
) d 2=y(t
( 2)arethenstatisticallyindependent.
) h i i ll i d d

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Probability distributions
Probabilitydistributions
A
Asasummary,forengineeringcalculations,theworldisoften
f i i l l ti th ld i ft
assumedtobelinear,stationary,ergodicandGaussian.Actually,
thereisanimportanttheoremofprobabilitytheorycalledthe
central limit theoremwhichhelpstoexplainwhytheprobability
centrallimittheorem which helps to explain why the probability
distributionsofmanynaturallyoccurringprocessesshouldbe
Gaussian.

Roughlyspeaking,thecentrallimittheoremsaysthatwhena
randomprocessresultsfromthesummationofinfinitelymany
random elementary events then this process will tend to have
randomelementaryevents,thenthisprocesswilltendtohave
Gaussianprobabilitydistributions.Wethereforehavegoodreasons
toexpectthat,forinstance,thenoisegeneratedbyfallingrain,or
by a turbulent fluid boundary layer or by the random emission of
byaturbulentfluidboundarylayer,orbytherandomemissionof
electronsinathermionicdevice,willallhaveprobability
distributionswhichapproximatetoGaussian.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Probability distributions
Probabilitydistributions
Furthermore,evenwhentheexcitationisnonGaussian,asystems
h h h
responsemayapproximatetoGaussianifitisanarrowbandresponse
derivedfrombroadbandexcitationbecausetheconvolutionintegral

mayagainbethoughtofasthelimitingcaseofalinearsumof
i b h h f h li i i f li f
approximatelyindependentrandomvariables.

However,thereshouldbeonewordofcaution.AnassumedGaussian
probabilitydistributionmaygiveapoorapproximationatthetailsofthe
distribution and predictions of maximum excursion of a random process
distributionandpredictionsofmaximumexcursionofarandomprocess,
basedonsuchanassumeddistributionshouldbetreatedwithsuspicion.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Statisticsofnarrowband
Statistics of narrow band
p
processes

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
IInthepreviouschapter,weconsideredgeneralrelations
th i h t id d l l ti
betweentheinputandtheoutputofalinearsystem
subjectedtorandomexcitation.Thecharacteristicsofthe
excitationaremodifiedbytheresponseofthesystem,
f f
whichinelectricalengineeringterms,actsasafilter.

Inmostvibrationproblems,thesystemhasatleastone
resonantfrequencyatwhichlargeamplitudescanbe
generatedbysmallinputs.
t db ll i t

At
Atotherfrequencies,transmissionisreducedand,atvery
other frequencies transmission is reduced and at very
highfrequencies,theeffectivemassmaybesohighthat
theoutputisnotmeasurable.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
AtypicalfrequencyresponsefunctionH()forsucharesonantsystemis
lf f ( )f h
showninthefigure,whichalsoshowshowthecharacteristicsofthebroad
bandnoisearechangedbytransmissionthroughthissystem.

Becausetheoutputspectrumisconfinedtoanarrowbandoffrequencies
in the vicinity of the resonant frequency the response y(t) is a narrow
inthevicinityoftheresonantfrequency,theresponsey(t)isanarrow
bandrandomprocessandthetypicaltimehistoryofy(t)resemblesasine
waveofvaryingamplitudeandphaseasshowninthefigure.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
Introduction
Inordertomakesomesimplecalculations,supposethatthefrequency
o de o a e so e s p e ca cu a o s, suppose a e eque cy
responsefunctionhasverysharpcutoffsaboveandbelowtheresonant
frequencysothattheresponsespectraldensitySy()hastheidealized
form shown in the figure
formshowninthefigure.

Wehavealreadyworkedoutthecorrespondingautocorrelationfunction
in the previous chapters and this is as shown in the figure and formula
inthepreviouschaptersandthisisasshowninthefigureandformula
below:
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Introduction
Introduction
IftheexcitationisGaussian,wecanfindtheprobabilitydistributionsfory
f h f d h b bl d b f
andforlaterreference,weshallneddthefirstorderprobabilitydensity
p( y, y& )
functionp(y)andthesecondorderprobabilitydensityfunction
forthejointprobabilityofyanditsderivative.Bothofthesefunctionsare
givenbythestandardexpressions
1
p( x) = e ( x m ) / 2
2 2

2
1 ( x m ) 2 ( y m y ) 2 2 xyy ( x m x )( y m y )
2
x
+
1 2 (1 xy ) x 2
y2 x y
p ( x, y ) = e
2 x y (1 ) 2
xy

andareknownprovidedthatthestatisticsare
known.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
Firstconsiderthemeanlevelofy,m
d h l l f y.Ifthisweretobeotherthanzero,
f h b h h
thespectraldensityforywouldhavetoshowadeltafunctionat=0,
becauseotherwisetherecannotbeafinitetributiontoE[y2]at=0.Since
thespectraldensitySy()showninthefiguredoesnothavethisdelta
function,themeanleveliszero,my=0.

Next,sincethespectraldensityoftheprocessisgivenaccordingto
y&
S y& ( ) = 2 S y ( )

S ( )
Thefunctionalsocannothaveadeltafunctionat=0,sothemean
y&

y& , m =0
levelofisalsozero, y&

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
Inordertocalculatethevariancesweuse
d l l h
= E [x ] (E [x ])
2 2 2

(variance)=(standard deviation)2={Meansquare
(variance)=(standarddeviation) ={Mean square(Mean) (Mean)2}

[ ] S ( )d
Ex =
2
x

tofind:

E [(x m )( y m )]
Lastlyfrom,thenormalizedcovarianceis:
Lastly from = xy
x


y
the normalized covariance is:
x y

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
Weknowthatthenumeratoroftheequationcanbe
W k th t th t f th ti b
expressedas:

IfRy()isexpressedastheFourierintegralofthecorrespondingspectral
y,
density,usingg

Rx ( ) = S ( )e d
x

i


Weget:

NowsinceSy()isarealevenfunctionoffrequency,theintegrand
Sy()isarealoddfunctionof.Whenintegratedovertherangeminus
i fi i
infinitytoplusinfinity,thecontributionfromminusinfinitytozerois
l i fi i h ib i f i i fi i i
exactlyequalbutoppositeinsigntothecontributionfromzerotoplus
infinity.Hencetheaboveintegralmustbeequaltozeroandweobtain:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
Itisthereforeapropertyofanystationaryrandomprocessy(t)thatyand
h f f d () h d
itsderivativeareuncorrelatedandsothenormalizedcovarianceis
alwayszero.
Wenowhavealltheparametersweneedandcansubstitute
1
p( x) = e ( x m ) / 2
2 2

2
1 ( x m ) 2 ( y m y ) 2 2 xy ( x m x )( y m y )
2
x
+
1 2 (1 xy ) x2 y2 x y
p ( x, y ) = e
2 x y (1 ) 2
xyy

toobtaintheprobabilitydensityfunctions

wherearegivenby:
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Introduction
Thesefunctionsaresketchedinthefigurealongsidethecorresponding
h f k h d h f l d h d
spectraldensityandautocorrelationcurves.
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Crossing analysis
Crossinganalysis
Althoughthedatainthepreviousfiguresaysalotaboutthenarrowband
lh h h d h f l b h b d
processy(t)bydescribingitsfrequencycompositionanditsamplitudeand
velocitydistributions,itispossibletogofurtherandobtainimportant
informationaboutthedistributionofpeakvalues,thatistosay
informationabouttheamplitudeofthefluctuatingsinewavethatmakes
uptheprocess.
p p

Supposethatweenquirehowmanycyclesofy(t)haveamplitudesgreater
thanthelevely=aduringthetimeperiodTasshowninthefigure.Forthe
h h l l d i h i i dT h i h fi F h
sampleshown,therearethreecycles.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
Anotherwayofsayingthisisthattherearethreecrossingswithpositive
h f h h h h h
slopeofthelevely=aintimeT.Eachofthesepositiveslopecrossingsis
markedwithacrossinthefigure.

Nowconsiderthefigureasonesamplefunctionofanensembleof
functionswhichmakeupthestationaryrandomprocessy(t).Let
d
denotethenumberofpositiveslopecrossingsofy=aintimeTforatypical
h b f ii l i f i i Tf i l
sampleandletthemeanvalueforallthesamplesbewhere

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
Sincetheprocessisstationary,ifwetakeasecondintervalofdurationT
h f k d l fd
immediatelyfollowingthefirstweshallobtainthesameresult,andforthe
twointervalstogether(totaltime2T)weshallthereforeobtain:

fromwhichitfollowsthat,forastationaryprocess,theaveragenumberof
crossings is proportional to the time interval T Hence
crossingsisproportionaltothetimeintervalT.Hence

whereistheaveragefrequencyofpositiveslopecrossingsofthelevel
y=a.Wenowconsiderhowthefrequencyparametercanbededuced
from the underlying probability distributions for y(t)
fromtheunderlyingprobabilitydistributionsfory(t).

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
Considerasmalllengthofdurationdtofatypicalsamplefunctionas
d ll l h fd d f l l f
showninthefigure.Sinceweareassumingthatthenarrowbandprocess
y(t)isasmoothfunctionoftime,withnosuddenupsanddowns,ifdtis
smallenough,thesamplecanonlycrossy=awithpositiveslopeify<aat
thebeginningoftheinterval,timet.Furthermorethereisaminimum
slopeattimetifthelevely=aistobecrossedintimedtdependingonthe
p y p g
valueofyattimet.Fromthefigure,thisis:
andsotherewillbeapositiveslopecrossingofy=ainthenexttime
interval dt if at time t
intervaldt,ifattimet,
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
IInordertodeterminewhethertheconditionsare
d t d t i h th th diti
satisfiedatanyarbitrarytimet,wemustfindhowthevaluesofyand
aredistributedbyconsideringtheirjointprobabilitydensity.
Supposethatthelevely=aandtimeintervaldtarespecified.Thenweare
onlyinterestedinvaluesofy<aandvaluesofwhich
meanstheshadedwedgeofvaluesyandasshowninthefigure.The
wedgeangle ischosensothatinordertosatisfythe
aboveequation.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
Ifthevaluesofliewithinthisshadedwedge,thentherewillbea
f h l f l h h h d d d h h ll b
positiveslopecrossingofy=aintimedt.Iftheydonotlieintheshaded
wedge,thentherewillnotbeacrossing.Theprobabilitythattheydoliein
theshadedwedgecanbecalculatedfromthejointprobabilitydensity
functionandisjusttheshadedvolumeshowninthefigure,i.e.,the
volumeundertheprobabilitysurfaceabovetheshadedwedgeof
p y g
acceptablevaluesof.Hence,
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
Whendt0,theangleofthewedge=dt0andinthiscaseitis
h d h l f h d d d h
legitimatetoput

sinceatlargevaluesof,theprobabilitydensityfunctionapproaches
zerofastenough.Hencetheequation

maybewrittenas:

inwhichtheintegrandisnolongerafunctionofysothatthefirstintegral
isjust:
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
H
Hencewithtan=dt
ith t dt

whenthetermisunderstoodtomeanthejointprobabilitydensity
evaluatedaty=a.Nowwehavesaidthattheaveragenumberofpositiveslope
crossingsintimeTisTheaveragenumberofcrossingsintimedtis
thereforeSupposethatdt=0.01sandthatthefrequency
crossings/s.Inthiscase,theaveragenumberofcrossingsin0.01swouldbe
crossings.Nextimaginethatwewereconsideringanensembleof500
i N ti i th t id i bl f 500
samples.Eachsamplewouldeithershowonecrossingindtornocrossings,as
dtisassumedverysmallcomparedwiththeaverageperiodofthenarrow
band process The number of samples with a positive slope crossing must
bandprocess.Thenumberofsampleswithapositiveslopecrossingmust
thereforebe10since10/500=0.02.But10/500isalsotheprobabilitythatany
onesamplechosenatrandomhasacrossingintimedt.Sowearriveatthe
g
followingresult:
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
Theresultisonlytrue
h l l

becausedtissmallandtheprocessy(t)issmoothsothattherecannotbe
because dt is small and the process y(t) is smooth so that there can not be
morethanonecrossingofy=aintimedt.Acceptingtheaboveequation
andsubstitutingfromand

gives:
fromwhichdtcancelstogivethefollowingresultforthefrequency
parameterintermsofthejointprobabilitydensityfunction

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
Thisisageneralresultwhichappliesforanyprobabilitydistribution,but
h l l h h l f b bl d b b
forthespecialcaseofaGaussianprocessweknowfrom

that

whichonsubstitutionto

gives:

Theintegralisoneofthestandardresultsanditsvalueissothatthe
finalresultis,foraGaussianprocess,
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Crossing analysis
Crossinganalysis
Aspecialcaseoccursifwetakethelevela=0becausethisgivesa
l f k h l l b h
statisticalaveragefrequencyforcrossingthelevely=0,thefigure,which
maybethoughtofasastatisticalaveragefrequencyfortheprocess.

Noticethatisobtainedbyaveragingacrosstheensembleandsoitis
not the same as the average frequency along the time axis unless the
notthesameastheaveragefrequencyalongthetimeaxisunlessthe
processisergodic.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example
Calculatethefrequencyofpositivecrossingsofthelevely=aforthesingle
l l h f f f h l l f h l
degreeoffreedomoscillatorshowninthefigurewhenitissubjectedto
GaussianwhitenoiseofspectraldensitySo.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example
InExample1ofthefirstchapter,wehaveworkedoutthatthefrequency
l f h f h h k d h h f
responsefunctionis:

sothat

asalreadycalculated.Thefrequencyresponsefunctionrelatingtothe
excitationx(t)isobtainedbymultiplyingH()byi toobtain:

sothat

Toresultofthisintegralis:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example
Finallysubstitutingingives:
ll b

Theaveragefrequencyfortheprocessisobtainedbyputtinga=0togive

whereN isthenaturalfrequencyoftheoscillatorinrad/s.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Distribution of peaks
Distributionofpeaks
Havingobtainedthefrequencyofcrossingsofy=a,itisnotdifficultto
b d h f f f d ff l
extendthiscalculationtodeterminetheprobabilitydistributionofpeaks.
Letbetheprobabilitythatthemagnitudeofapeak,chosenat
random,liesintherangeatoa+da.Theprobabilitythatanypeakis
greaterthanaistherefore

NowintimeT,weknowthatonaverage,therewillbecycles(since
onepositivecrossingofy=0occursforeachfullcycleofthenarrowband
process)ofwhichonlywillhavepeakvaluesexceedingy=a.
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Distribution of peaks
Distributionofpeaks
Theproportionofcycleswhosepeakvalueexceedsy=aistherefore,
h f l h k l d h f
andthismustbetheprobabilitythatanypeakvalue,chosenatrandom
exceedsy=a.Henceweobtain:

andthisequationmaybedifferentiatedwithrespecttoatogive:
d hi i b diff i d ih i

whichisageneralresultfortheprobabilitydensityfunctionforthe
occurrenceofpeaks.Itappliesforanynarrowbandprocessprovidedthat
thisisasmoothprocesswitheachcyclecrossingthemeanlevely=0so
hi i h ih h l i h l l 0
thatallthemaximaoccurabovey=0andalltheminimaoccurbelowy=0.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Distribution of peaks
Distributionofpeaks
Theequationappliesforanyprobabilitydistribution,but
h l f b bl d b b

ify(t)isGaussian,thenthereisasimpleandimportantresultforp
if y(t) is Gaussian then there is a simple and important result for pp(a).
(a)
Substituting

into

gives:

or

whichisthewellknownRayleighdistribution.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Distribution of peaks
Distributionofpeaks
Thefunctionpp(a)hasitsmaximumvalueata=y,thestandarddeviation
h f ( )h l h d dd
oftheyprocess,anditisclearfromthefigurethatthemajorityofthe
peakshaveaboutthismagnitude.

Theprobabilityoffindingverysmallorverylargepeaksissmallandthe
probabilitythatanypeak,chosenatrandom,exceedsaisfrom

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example
CalculatetheprobabilitythatanypeakvalueofaGaussiannarrowband
l l h b bl h k l f b d
processy(t)exceeds3y,Fromwhere3yisitsstandarddeviation.From

therequiredprobabilityis

soonaverageonlyabout1peakina100exceedsthe3ylevel.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Frequency of maxima
Frequencyofmaxima
OuranalysisofpeaksleadingtotheRayleighdistributionforaGaussian
l f k l d h l hd b f
processisbasedontheassumptionthatthenarrowbandprocessy(t)
resemblesasinewaveofvaryingamplitudeandphase.Wecaninvestigate
thevalidityofthisassumptionbycalculatingthedistributionofthelocal
maximaofy(t)byanotherapproach.Weknowthaty(t)isanextremum
whendy/dt=0andthatthisextremumisamaximumif,atthesametime,
y/ , ,
d2y/dt2 isnegative.Thereforethefrequencyofmaximaofy(t)mustbethe
frequencyofthenegativezerocrossingsofthederivedprocessand,
since there is one negative crossing for each positive crossing this is the
sincethereisonenegativecrossingforeachpositivecrossing,thisisthe
sameasthefrequencyofpositivezerocrossingsof.Henceify isthe
frequencyofmaximaofy(t),andisthefrequencyofzerocrossingsof
,wehave
we have

wherecanbecalculatedfrombysubstituting
y g

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Frequency of maxima
Frequencyofmaxima

Andputtingtheleveltoobtain
This is a general expression for the frequency of maxima of the process
Thisisageneralexpressionforthefrequencyofmaximaoftheprocess
y(t).Foratheoreticalnarrowbandprocesswhosespectraldensityis
showninthefigureandforwhichwehave:

andsimilarly,
and similarly
inwhichcase
gives:

forthefrequencyofmaxima.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Frequency of maxima
Frequencyofmaxima
Ifthefrequencyofmaxima
f h f f y iscomparedwith,we
d h
obtain:

forthefrequencyofzerocrossingsofy(t).Thefrequencyofmaximaand
thefrequencyofzerocrossingsarethereforethesameandour
assumption that there is only one peak for each zero crossing is justified
assumptionthatthereisonlyonepeakforeachzerocrossingisjustified.
Ifthebandwidthofthenarrowbandprocessisnotnarrowenoughto
assumethisconclusionishowevermodified.Supposethatthe
spectraldensityofy(t)hastheformshowninthefigure.Inthiscase,the
variancesofy,andare:
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Frequency of maxima
Frequencyofmaxima
Thefrequencyofmaximaisnow:
h f f

comparedwiththefrequencyofzerocrossingswhichis:

andtheseclearlyarenotthesame.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example
Calculatethefrequencyofmaximaandthefrequencyofzerocrossingsfor
l l h f f d h f f f
aGaussianprocesswhosespectrumisflatandcoversanoctaveband
widthfrom1/2=70.7Hz(c/s)to2/2=141.4Hz(c/s),asshowninthe
figure,withacenterfrequencyof100Hz.Notethatforanoctave
bandwidththeuppercutofffrequencyistwicethelowercutoff
frequency.Substitutingnumbersinto
q y g

givesy=115Hzandinto

gives
approximately There are therefore about 6 5 percent more local maxima
approximately.Therearethereforeabout6.5percentmorelocalmaxima
thantherearezerocrossings.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Frequency of maxima
Frequencyofmaxima
Thereasonforthedifferenceisduetothefactthaty(t)canonlybe
h f h d ff d h f h () l b
representedbyasinewaveofslowlyvaryingamplitudeandphaseifits
spectrumhastheformshowninthefigureandincludesonlyavery
narrowbandoffrequencies.

Ithasbeenshownthatforamoregeneralnarrowbandspectrum,as
g p ,
showninthefigurebelow,thehighfrequencycomponentspresent
introduceirregularitiesinthesmoothformofthesinewave
approximation and it is these irregularities which cause the additional
approximationanditistheseirregularitieswhichcausetheadditional
maxima.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Frequency of maxima
Frequencyofmaxima
Inmanyapplications,weareconcernedonlywiththelargeamplitude
l d l h h l l d
excursionsofanarrowbandprocessandtheRayleighdistributionof
peaks,whichassumesonlyonemaximumforeachzerocrossing,isthena
valuableguidetotheprobabilityofoccurrenceoflargepeakvalues
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Accuracyofmeasurements

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Accuracy of measurements
Accuracyofmeasurements
SSofar,wehavebeenconcernedwiththebasicmathematicaltheoryof
f h b d ith th b i th ti l th f
randomprocesssanalysis.Weturnnowtoamorepracticalaspectofthe
subject:experimentalmeasurements.Weshallconcentratealmostentirelyon
measuring the spectral density of a random process or the crossspectral
measuringthespectraldensityofarandomprocessorthecrossspectral
densitybetweentworandomprocesses.Thisemphasisonspectral
measurementsisjustifiedbythecentralrolewhichspectraoccupyinthe
y p p
theoryofrandomvibrations.Theirimportancecomesfromthesimpleformof
theinputoutputrelationsforspectraldensityforalinearsystemsubjectedto
randomexcitation.Inthischapter,weshalldescribetheoperationofan
analoguespectrumanalyseranddiscussatlengththefactorswhichaffectthe
accuracyofanymeasurementofspectraldensity.
f f ld

Thefundamentalexperimentalproblemisthatourmeasurementsmustbe
madeononesamplefunctionofatheoreticallyinfiniteensemble,oratthe
most,ononlyafewsamplefunctionsfromtheinfiniteensemble.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Accuracy of measurements
Accuracyofmeasurements
FFurthermore,weareonlyabletoanalyzealimitedlengthofanygivensample
th l bl t l li it d l th f i l
functionbecausewecannotgoontakingmeasurementsforever.

Thefactthatwearelimitedtoasinglesampleandthatwecanonlyanalyzea
finitelengthofitmeansthat,automatically,weshallintroduceerrorsintothe
measuredspectrum.

Evenassumingthattherandomprocesswearesudyingisergodic,inwhich
anyonesamplefunctioncompletelyrepresentstheinfinityoffunctionswhich
makeuptheensemble,wearestillintroducingerrorswhenweonlydealwith
k th bl till i t d i h l d l ith
afinitelengthofasamplefunction.

Rememberthatasampleaverageforanergodicprocessisonlythesameasan
ensembleaveragewhenthesampleaveragingtimeisinfinite.Obviously,this
isnotapracticalproposition.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Accuracy of measurements
Accuracyofmeasurements
Ifwefollowthemathematicaldefinitionofspectraldensity,wemust
f f ll h h ld f f ld
beginbymeasuringtheautocorrelationfortheprocessbeingstudiedand
thendeviseawayofcalculatingtheFouriertransformofthe
autocorrelationfunction.However,inpractice,thisisnotthebestwayto
proceed.

Itturnsoutthatitiseasiertomeasurespectrabyaprocedurewhichdoes
notinvolvefirstcalculatingcorrelationfunctions.Althoughthe
experimentalprocedurefollowsaroutewhichisnotmathematically
i l d f ll hi h i h i ll
rigorous,andthereforecannotbeusedtodefinethespectraldensity
functions,weshallseethatwecanobtainapproximationsforthetrue
spectrawhicharecorrecttoanystatedaccuracy;furthermorethe
measurementsareconsiderablysimplerandquickerthantheywould
otherwisebe.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analogue spectrum analysis


Analoguespectrumanalysis
Mostengineerswillbefamiliarwithaninstrumentcalledafrequency
ll b f l h ll d f
analyzer.Theoutputofanaccelerometer,orothervibrationtransducer,is
fedintotheinstrumentwhichisessentiallyavariablefrequencynarrow
bandfilterwithanr.m.s.metertodisplaythefilteroutput.

Usually,thefiltercenterfrequencyiscontinuouslyvariableandthe
Usually the filter center frequency is continuously variable and the
experimenteradjuststhisashesearchesforthepredominantfrequencies
presentinavibrationsignal.Ananaloguespectrumanalyzerisasimilar
i
instrumentexceptthatithasmoreaccuratefiltersandpreciselycalibrated
h i h fil d i l lib d
bandwidths.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analogue spectrum analysis


Analoguespectrumanalysis
Supposethattheinputx(t)isasamplefunctionofanergodic(and
h h () l f f d ( d
thereforestationary)randomprocess.Thesignalisfilteredbyafilter
whosetheoreticalfrequencyresponseisshowninthesecondfigure
below.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analogue spectrum analysis


Analoguespectrumanalysis
Thefilteroutputy(t)issquaredandthenthetimeaveragez(t)calculated
h fl () d d h h () l l d
where

SincetheaveragingtimeTcannotbeinfinite,z(t)isitselfafunctionof
time,andfluctuatesaboutitstruemeanvalue(theensembleaverage).
i d fl b i l (h bl )
However,ifTislongenough,thefluctuationsaresmallandthemeanlevel
E[z]canbeapproximatelydeterminedfromtheanalyzersoutputmeter.
Fromtheaboveequation,weknowthat

sincey(t)isstationary,andfrom 2

[ ] H ( ) S ( )d
E y2 = x

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analogue spectrum analysis


Analoguespectrumanalysis

Whichforthefilterfrequencyresponseshowninthefigure,with
canbeapproximatedby
pp y
Combiningtheaboveequationwith

theaverageoutputofthespectrumanalyserisproportionaltothe
spectral density of the input process at the filter center frequency o,or
spectraldensityoftheinputprocessatthefiltercenterfrequency or
turningtheformularound

ThemeanoutputlevelE[z]isthereforeadirectmeasureoftheinput
spectraldensity.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analogue spectrum analysis


Analoguespectrumanalysis
Weshallnowinvestigatetheaccuracyofthismeasurement.Itisclearthat
h ll h f h l h
wearelikelytoimprovetheaccuracyifweuseaninstrumentwithalong
averagingtime,becausethentheoutputdependsonanaverage
integratedoveralongperiodoftimeasshown.

Also,ifwewanttodistinguishsharppeaksinthecurveofspectraldensity
againstfrequency,weshoulduseasharpfilterwithaverynarrow
bandwidth.Inthenextsection,weshallfindanexpressionwhich
relatestheaccuracyofmeasurementstoboththesequantities.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
FromthespectraldensitySx() canbedeterminedif

Ho, andE[z]areallknown.Wecandeterminethefirsttwotoany
desiredaccuracybyusingpreciselycalibratednarrowbandfilters.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
However,E[z]cannotbepreciselydeterminedsinceitisanensemble
[] b l d d bl
averageandthereforenotobtainablefrommeasurementsoffinitelength
onasinglesample.Allwecandoistrytomakesurethatz(t)neverdiffers
verymuchfromitsmeanvalueE[z]sothataspotvalueofz(T)islikelyto
beacloseapproximationforE[z].Thevarianceofz(t)isameasureofthe
magnitudeofitsfluctuationsaboutthemeanandwedefine,
g ,

asthevarianceofthemeasurementaccordingto
2 = E [x 2 ] (E [x ])2
Weshallnowseektodetermine2.Clearly,thiswilldependonthe
characteristics of the y(T) random process which is the output of the
characteristicsofthey(T)randomprocess,whichistheoutputofthe
spectrumanalyzersnarrowbandfiltersincez(t)isafunctionofy(t).
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Webeginbysubstitutingforzintermsofyin
b b b f f

Using

theE[z]termcanbereplacedbyE[y2]toobtain:

buttheE[z2]termismoredifficult.Returningtothedefinitionofz(t),

wecanwrite:

wherethetwodifferenttimevariablest1 andt2 areintroducedsothat

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Thisproductoftwointegralsmaybewrittenastheequivalentdouble
h d f l b h l d bl
integral

Averagingtheaboveequationfortheensemblethengives:

whichsubstitutinginto

givesthefollowingexpressionforthevarianceofthemeasurement2.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Inordertouse
d

wefirstrelatethefourthorderaveragetothe
we first relate the fourth order average to the
autocorrelationfunctionfortheyprocessRy().Thisiseasytodoify(T)is
aGaussianprocess.Fortunately,thisislikelytobeafairapproximation
since y(t) is the output from a narrow band filter and so we may expect its
sincey(t)istheoutputfromanarrowbandfilterandsowemayexpectits
probabilitydistributiontoapproachaGaussiandistributionwhenthe
inputtothefilterisbroadbandnoise.ForaGaussianprocesswithzero
mean,thefourthorderaverageE[y
h f h d E[ 1y2y3y4]canbeexpressedintermsof
] b di f
secondorderaveragesbythefollowingequation

whichfory3=y1 andy4=y2 simplifiesto

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Ifnowweput,weobtain:
f b

in which since y(t) is a stationary process


inwhich,sincey(t)isastationaryprocess,

andsofinallyforaGaussianprocess,

Substituting

givesthefollowingexpressionforthevarianceofthemeasurement,

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Forastationaryinput,theautocorrelationfunctiondependsonlyonthe
h l f d d l h
timedifference=t2t1,sochangingoneofthevariablest2 to+t1 (where
t1 isaconstantfortheintegrationwithrespectto)weobtain:

Sincetheintegrandisafunctionofonlyoneofthetwovariablesof
Si h i d i f i f l f h i bl f
integration,wecanintegrateimmediatelywithrespecttotheother
variable.However,thelimitsofintegrationrequiresomethought.The
rangeofvaluesof andt1 coveredbythedoubleintegralisshowninthe
figure:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Integratingwithrespecttot
Integrating with constant,i.e.Alongtheshadedstrip
with respect to t1 with constant i e Along the shaded strip
inthefiguregives:
andthenintegratingwithrespecttotheothervariableoveritsfullrange
fromTto+T,weobtain:

Inordertoevaluatethisintegral,wemustintroduceanexpressionforthe
In order to evaluate this integral we must introduce an expression for the
autocorrelationfunctionSincey(t)istheoutputofanarrowband
filter,asshowninthefigure,itsautocorrelationfunctionwillhavethe
sin ( / 2 )
form R ( ) = 4 S cos

y 0 0

whichmaybewritten:

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
W
Wenowwanttosubstituteinto
tt b tit t i t

andthenevaluatetheintegraltoobtainthevariance.Fortunately,we
areonlylookingfortheorderofthemagnitudeofratherthananexact
, g y pp y
value,anditissufficienttointegrateonlyapproximately.Firstwenote
thatthefirstequationincludesthequotient

whichwhensquaredandplottedasafunctionof,hastheformshownin
thefigure:
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Thismaybeapproximatedquitecloselybythestraightlinefunctionas
Thi b i t d it l l b th t i ht li f ti
showninthefigures
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Withthisassumption,becomes,after
h h b f
substitutingforRy()

Secondly,weshallassumethattheaveragingtimeTofther.m.s.meterin
fi
figureislongsothat
i l h

inwhichcasewecanmakeafurthersimplificationoftheintegrandto
in which case we can make a further simplification of the integrand to
obtain
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Theintegralisrepresentedbytheshadedareashowninthefigure.
Th i t li t d b th h d d h i th fi
Providedthatthebandwidth issmallcomparedwiththecenter
frequencyofthefilter0,thentherewillbemanycyclesofinside
the triangular envelope of the figure and in this case the shaded area is
thetriangularenvelopeofthefigure,andinthiscase,theshadedareais
equaltohalfthetotalareaenclosedbythedottedtriangleinfigure.

Hencetheintegralisgivenapproximatelyby:
andsowearrivetotheapproximateresult:
pp

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
PuttingthesymbolBtodenotethebandwidthinHz,sothat
h b l d h b d dh h

Thisisthesimplifiedversionof

wehavebeenlookingfor.Itgivesthevarianceoftheoutputofaspectrum
analyzer Since the correct output should be from
analyzer.Sincethecorrectoutputshouldbefrom

wheremdenotesthemeanoutputoftheanalyzer.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Variance of the measurement


Varianceofthemeasurement
Theequationmayfinallybewrittenas:anditis
h f ll b d
clearthatifthestandarddeviationofthemeasurementistobesmall,we
musthave:
whichconfirmstheapproximationinevaluatingtheintegrals.
Wearenowinapositiontoappreciatethebasicdilemmawhicharises
whenmeasuringspectraldensity.Forhighresolution,thefilterbandwidth
h i ld i hi h l i h fil b d id h
oftheanalyzer,B,mustbesmall,whileforgoodstatisticalreliabilityB
mustbelargecomparedwith1/T.Thiscanonlybeachievedifthe
averagingtimeTislong,whichmeansthatthesamplefunctionx(t)must
lastforalongtimeandthattheexperimentermustbepreparedtowaita
sufficientlylongtimetoachieveanaccurateresult.
y g

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Example
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
Wehaveseenhowthestandarddeviationofasinglemeasurementofspectral
We have seen how the standard deviation of a single measurement of spectral
densityisaffectedbythebandwidthBandaveragingtimeTofananalogue
spectrumanalyserand,toagoodapproximation,theratioofthestandard
deviation toitsmeanvaluemisindependentofthevarianceoftheinput
signalanddependsonlyonBandT,accordingtothefundamentalresult

IftheinstrumentsaveragingtimeisT,itsoutputatanyinstantisbasedonly
ontheinputvaluesfortheimmediatelyprecedingtimeintervalT,

Thebasicproblemisthatitisjustnotpossibletocalculatetheprecise
Th b i bl i h i i j ibl l l h i
estimateofspectraldensitywhenonlyalimitedlengthofdataisavailablefor
analysis.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
Now,withananaloguespectrumanalyzer,operatingonacontinuousrandom
Now with an analogue spectrum analyzer operating on a continuous random
process,wecangoontakinginstantaneousmeasurementsofspectraldensityand
bywatchingthemovementoftheinstrumentsoutputmeter,quicklyappreciate
thevariabilityoftheoutput.

Usually,ananalogueinstrumenthastwoormorealternativeaveragingtimesand
severaldifferentbandwidths,andbyalteringthesettingsoftheinstrument,itis
soon possible to judge how the instrument has to be adjusted to give reasonable
soonpossibletojudgehowtheinstrumenthastobeadjustedtogivereasonable
accuracywithanacceptablebandwidth,andthereforeadequateresolutionof
closespectralpeaks.

However,analoguespectrumanalysistakestime,sincemanyseparatereadings
havetobetakentocoverawiderangeoffrequencies;alsothemaximum
resolutionobtainablefromanaloguefiltersislimited.

Digitaldataanalysismetodsarethereforeextensivelyusedandvirtuallyallrandom
dataanalysisexceptforsocalledquicklookspectrumanalysisisnowcarriedout
digitally.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
Thesamplefunctionx(t)isfirstdigitizedbyananaloguetodigitalconverterand
The sample function x(t) is first digitized by an analogue to digital converter and
thenadigitalcomputerisusedtomakecalculationsonthedigitizeddata.

Sincethereisalimittothenumberofdatapointsthatcanbefedintoacomputer,
Since there is a limit to the number of data points that can be fed into a computer,
thereisalimittothelengthofthesamplefunctionthatcanbeanalyzed.

Thisrestrictedlengthofsamplecausesthesamelossofprecisionasthatoccurring
i
inananalogueinstrumentwithafiniteaveragingtime.
l i i h fi i i i

ItturnsoutthataccuracystilldependsonrecordlengthTandbandwidthB,except
that the bandwidth is no longer that of an analogue filter but has to be
thatthebandwidthisnolongerthatofananaloguefilter,buthastobe
interpretedinadifferentway.

Weshallnowconsiderthegeneralproblemofanalysingarecordoffinitelength
andintroducetheconceptofaspectralwindowwhichisusedtodefinethe
equivalentbandwidthBe ofadigitalcalculation.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
Supposethat{x(t)}isastationaryrandomprocessconsistingofan
h { ( )} d f
ensembleofsamplefunctions.Sincetheprocessisstationary,each
samplefunctiontheoreticallygoesforever.However,supposethatrecords
areonlyavailablefortheperiodt=0tot=T,asshowninthefigure.Inthis
case,theautocorrelationfunctioncanonlybedetermined
for||
| | T.Wecannotthereforecalculatethecorrespondingspectral
p g p
densityfromsincewedonotknow
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
ThebestwecandoistoapproximateS
Th b t d i t i t Sx()bytruncatingtheintegralto
( )b t ti th i t lt
givetheapproximation

Althoughasalreadymentioned,thecalculationprocedurecarriedoutina
computermaynotactuallyinvolvefindingtheautocorrelationfunction
neverthelessthebasicdifficultywhicharisesistheinherentlossof
accuracyresultingfromanapproximationequivalenttotheabove
equation.
Toillustratehowtheapproximatespectrumislikelyto
differfromitstruevaluecalculatedfrom

supposethat
suppose that
wheretheamplitudeaandthefrequencyo areconstant,andthephase
angle isconstantforeachsamplefunction,butvariesrandomlyfrom

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
sampletosamplewithallvaluesbetween0and2
l l h ll l b d b
beingequallylikely.In
ll l k l
thiscase,

whichputtingp()=1/2,gives:

Nowsupposethattherecordsx(t)areonlydefinedfort=0tot=T,sothat
weonlyknowandconsidercalculatingtheapproximationfor
in
gives:

sincecos0tisanevenfunctionof,thismayinturnbewrittenas:
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
Whichcanbeeasilyintegratedtogive:
h h b l d

Noticethatthetermsonther.h.s.oftheaboveequationhaveaform
Notice that the terms on the r h s of the above equation have a form
similartothoseinequation
2 2
Rx ( ) =
4So
cos sin
2 2
whichhasbeenshowntobecomeadeltafunction,andsothe
approximationforgivenby

tendstotwodeltafunctionsinthelimitwhenthelengthoftherecord,T,
becomesinfinite.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
IntheFigurea,theapproximateresult
h h l
fromtheequation

forTfiniteisshowncomparedwithfigure
(b),theexactresultwhenT .The
conclusion we can draw from this is that
conclusionwecandrawfromthisisthat
theresultofanalysingonlyafinitelength
ofrecordistosmearoutasharpspectral
li
lineoverabandoffrequenciesofwidth
b d ff i f id h
=2/Tapproximately.Inorderto
resolvetwonearbyspectralpeaks,the
lengthofrecordT,mustbelongenough
fortheirfrequencydifferencetobelarge
comparedwith1/THz.
p /

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
Howeveraccuratetheanaloguetodigitalconversionandhoweverlarge
h l d l dh l
thecomputer,closespectralpeakscanonlybedistinguishediftherecord
lengthTislongenough.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
SupposethatW()istherectangularfunctionshowninfigureb.Inthis
h () h l f h f b h
case,thesmoothedformofthespectrumdefinedby

issketchedinFigurec.SincepositiveandnegativehalfcyclesofS()tend
tocanceleachotherout,thesmoothedspectrumhastheapproximate
l h h h h d h h i
formshownandonaccountoftheshadedareasinFigureaand
Figurecareapproximatelyequal.
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
ThefunctionW()iscalledaspectralwindowfunctionandtheshapeofa
h f () ll d l d f d h h f
graphofW()against issaidtobetheshapeofthewindow.Many
differentshapeshavebeensuggested,buttheeffectivewidthofthe
windowiswhatmattersbecausethisdefinesthebandoffrequenciesover
whichaveragingoccurs.

Forarectangularwindowasshowninthefigure,thebandwidthBe isjust
thefullwidthofthefunction.However,forotherfunctionswhichmayrise
graduallytoapeakandthenfalloffgradually,itisnecessarytocalculate
d ll k d h f ll ff d ll i i l l
aneffectivewidthandthisisusuallydefinedbytheeffectivebandwidthBe
where,

W ( )d = 1
whichwithbecomes

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
JJustasthevarianceofameasurementmadewithananaloguespectral
t th i f t d ith l t l
analyserdependsonthefilterbandwidthandtheaveragingtime,sothe
varianceofanyestimationofmeansquarespectraldensitydepndson(i)
the effective band width of the spectral window Be,and(ii)thelengthof
theeffectivebandwidthofthespectralwindow,B and (ii) the length of
therecord,T.Itcanbeshownthattheresult
1

m BT
stillappliesprovidedthatthespectrumchangesslowlyoverfrequency
intervalsoforder1/T,i.e.,providedthattherecordlengthislongenough
toresolveadjacentspectralpeaks.Inthiscase,wethereforestillhave:

where
where isthestandarddeviationofameasurementwhosemeanvalueis
is the standard deviation of a measurement whose mean value is
m,Be istheeffectivebandwidthofthespectralwindowandTistherecord
length.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
ERASMUSTeaching(2009),TechnischeUniversittBerlin

Analysis of finite length records


Analysisoffinitelengthrecords
Furthermore,theequation
h h

alsoappliesapproximatelytomeasurementsoftheautocorrelation
function.Inthiscase,theeffectivebandwidthBeisthebandwidthofthe
entireinputprocesssoanindividualmeasurementofacorrelation
i i i di id l f l i
functionhasgreaterstatisticalreliabilitythananindividualmeasurement
ofspectraldensityfromthesamelengthoftherecord.However,in
transformingfromthetimedomaintothefrequencydomain,weare
forcedtoemployselectivefilterswhichautomaticallyreducetheeffective
bandwidthandthereforereducethestatisticalreliabilityoftheresults
y
obtained.

Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics