Given – Time Series- (4)

Series 1 Series 2
2.5 2
2 1.5
1.5
1
m/s^2

m/s^2
1
0.5
0.5
0 0
-0.5 -0.5
-1 -1
0 10 20 30 40 0 10 20 30 40
time (sec) time (sec)

Series 3 Series 4
2 2.5
1.5 2
1.5
1
m/s^2
m/s^2

1
0.5
0.5
0
0
-0.5 -0.5
-1 -1
0 10 20 30 40 0 10 20 30 40
time (sec) time (sec)

1. Complex Fourier transform, amplitude and phase of the Fourier transform v/s frequency
2. Compute auto-correlation and compute auto-spectral density for its Fourier transform

Solution:

Autocorrelation is given by Rxx (ζ) = E [x (t). x (t + ζ)]. (Assuming stationarity. Otherwise, correlation function becomes a
function of t also.)

Auto Spectral Density is given by Sxx(f) = ∫Rxx (ζ) e-j2πf ζ dζ (-∞ to ∞)

Series 1

Series 2
Series 3

Series 4
3. Compute ASD from the square of Fourier amplitude of the given time series and compare with that from step-2.

Solution:

Method-1 corresponds to Sxx(f) = ∫Rxx (ζ) e-j2πf ζ dζ and Method-2 corresponds to Sxx(f)= (1/T) X*(f) X(f), where X(f) is the
Fourier transform of x(t) and T is the total time interval under consideration.
4. Compute cross-correlation between all possible time series combinations and compute the corresponding cross-
spectral density.

Solution:

Cross-Correlation is given by Rxy (ζ) = E [x (t). y (t + ζ)]. Cross Spectral Density is given by Sxx(f) = ∫Rxy (ζ) e-j2πf ζ dζ or
Sxy(f)= (1/T) X*(f) Y(f).