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    Random Data

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    Allan Heck

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    & we” RANDOM DATA RANDOM DATA ANALYSIS AND MEASUREMENT PROCEDURES, Second Edition (Revised and Expanded) JULIUS S. BENDAT Mathematical Constantin Random Data Anais ALLAN G. PIERSOL, Senior Scientist, Astron Research and Ensnering oiRevuFU iiivemG Too0gse443 [A Wiley-Interscience Publication JOHN WILEY & SON ‘New York» Chichester Brisbane Toronto Singapore uveRsiare psa SAYRE CS Te ORLA OpLotEcas. reece Phan Ufone Wor BSR seo B IFLR SYR ony © (8 by Joe Wy & Ses ne Sorceress tae RUSS Sa yn Toecmenta ft ener Chee yf Coren Cai Pais Dt PES ml 2 scat PREFACE ‘This book is an extensinely revised and expanded eiton of our 1971 Wiley took bythe same ile whichin turn nas a major reson of Mearremn and “Anaya of Random Bute, fst published in 1966. This eurenteiton co ‘Gnas the proces of improving abd updating the appropite procedures Tor fandom data analjsis and measurement to reflect recent changes in model formulaions, satsieal err evaluations, data colletion procedures, and computational algorithms. The fist four chapters ofthe Bod inl back {round material smart that in the 1971 eaiton on ase dexrpion of ‘ata, properties of linear syste, Fundamentals of probability. and satsicl Principles. Chapter 3 presents a comprehensive dscusion of stationary ra ‘Som proceses ich has een expanded on the hase maters and ince Turther topes such ak deatve proceses Chapters 6 and 7 develop an deta ‘input/output relation for single. and molplepet problems with emphasis ‘on modern anabisprosedues that have evolved since the pblcation ofthe 1971 edition. Smiiy, Chapten 8 and 9 formate expresion for the Staite eror ia various parameter erin snlading vanced ets {or which ror formulas wee not aval ia 1971. Chapters 10 and saver updated discusios of data acquistion and dsl dats analysis rocederes ‘sth added mateal on the processing of muliple-inpur/oupat data using UMicen,teravealgrthms. Chapter 12 presents a completely revised and realy expanded trntment of nonstationary dita analyse. wth phason the diferent special dseptios of nonstationary ta and the formulation of impat/output relations for nonstationary inputs and/or time varying. near ssstems, Chaper 13 coataine new mater on Hibert transform techiqaes nd appieatons not diseased a all inthe previous eins Te reader wil lho find Appendices A and B to be quite wseful Appendix A lists various tistical tables for convenient reference, and. Appendix B eves cone ‘einitions to help standardie many quanies in random data analysis [ike the 197! edion, the erent book fas Been weten prima 10 pride convenient releence fr rating engineers and sent It hat further bon desiged to serve more fly as an aml companion tothe authors’ applications oented book, Engineering Applications of Colton Gand Specral Anahi (Wikey-Inersciene, NewYork, 1980) The secoodaty Intec of providing a peilied textbook or student faite by problen sets at the end of each chapter The ender assumed to have a Working now de of calls and transform mods of applied mathematics. A basic Knowedge of system reponse charac, probability theory, and statics abo would be hep although thse subjects are reviewed in the itil haps of the Book ‘We wish to acknowledge the cotbutons to this book by many colleagues and associat, but in patculas, Gece Richaa for his helpful teview af potions ofthe manustp. We ae also yrateul wo those goverment agencies 'nd industrial companies that hive sopported our work and the University ‘of California, Los Angeles, the Continuing Edvention Insitute, ad ther ‘organizations that have spontored cur presentation of short cuter on this Suber, Our final thks go to Bete Crk Ingrid Sac, and Pylis Paris for thir earefl bei in preparing the mansserp ouvs s. Benxe ‘AutassG, Presa CONTENTS GLOSSARY OF SYMBOLS 1 BASIC DESCRIPTIONS AND PROPERTIES TLL DETERMINISTIC VERSUS RANDOM DATA 12 CLASSIFICATIONS OF DETERMINISTIC DATA 121 Sinusoidal Peo Data 122 Comes Peioie Data 123 Almost-Pesode Data 124 Transen Nonperodic Dat 12 CLASSIFICATIONS OF RANDOM DATA, 11 Stationary Random Date 132 Ergodie Random Data 133 Nonsttioaary Random Date 1534 Staonay Sample Records La ANALYSISOF RANDOM DATA TAL. Basie Descriptive Properties 142 Input/Output Relations 143. Esto Analysis Ciena AA. Date Analysis Procedures 2 LINEAR PHYSICAL SYSTEMS ‘CONSTANT-PARAMETER LINEAR SYSTEMS. 22 basic DINAMMC CHARACTERISTICS 23. FREQUENCY RESPONSE FUNCTIONS 2A ILLUSTRATIONS OF FREQUENCY RESPONSE FUNCTIONS AL Mectancl Systems 242. Elva Systeme 243. Other Systems 215. PRACTICAL CONSIDERATIONS 3. PROBABILITY FUNDAMENTALS 1 ONERANDOM VARIABLE SLL Probability Dstbtion Fansions 312, Expected Vals a i im 26 oe x 2 a 6 6 212, Change of Variables ALLA) Moment Generating and Character Functions B13. Chebyshev Inequality 52. TWO RANDOM VARIABLES S21 Expected Vales nd Coctelation Cofent 322. Disuibuton fr Sum of Two Random Variables 323 Moment Generating and Characteristic Functions 33. GAUSSIAN (NORMAL) DISTRIBUTION SL Cent Lint Theorem 332. Joint Gaussian (Noemal Distribution 333, Moment Generating and Characters Functions AAA N-Dimensionl Gausian (Normal) Ditton 4. STATISTICAL PRINCIPLES: “41 SAMPLE VALUES AND PARAMETER ESTIMATES 42 IMPORTANT PROBABILITY DISTRIBUTION FUNCTIONS 421 Normal Distribution 422 CheSauare Ditton 423, Students Datsbuton 424, The Distibutoo 43 SAMPLING DISTRIBUTIONS AND ILLUSTRATIONS. 41, Distrbuion of Sample Mean with Keown Variance 432. Distbuton of Sample Variance 433 Distbution of Sample Mean with Usinoian Variance 434 Disubuton of Rati of Two Sample Variances 464 CONFIDENCE INTERVALS 45 HYPOTHESIS TESTS 46 CHI-SQUARE GOODNESS OF-FI TEST 47. STATISTICAL INDEPENDENCE AND ‘TREND TESTS, 411 Ren Tat 472 Reverse Arrangements Test 48 CORRELATION AND REORESSION PROCEDURES 4481 Linear Cortelauon Analyis 4482. Linear Regresion Anais 5. STATIONARY RANDOM PROCESSES ‘1 BASICCONCEPTS S11 Corration (Covariance) Functions S12. Examples f Avtocorrelation Functions 6 rf 2 a ra 6 “ 1 a 2 5 a s s * * wa 109 in in 9 513. Consation Cofiient Functions $114. CroseCorrlation Function for Tne Delay 52. SPECTRAL DENSITY FUNCTIONS ‘3211 Specta via Coren Functions 522. Spots vis Finite Fourier Traaforms S23, Spec via FlteningSauaring Averaging S24 CobereceFuncions 323. CrossSpeeuum or Tine Delay 526 Uneeany Relation 53. ERGODIC AND GAUSSIAN RANDOM PROCESSES 531 Ergdie Random Process 552. Sultclent Condition Tor Ergosity 533 Gaussian Random Processes 534 Linear Transformations of Random Procsses 54 DERIVATIVE RANDOM PROCESSES Sail Corelation Fenctons S42 Spceal Denity Functions 5463. Expected Number of Zero Crossings 6 SINGLE-INPUT / OUTPUT RELATIONSHIPS 1, SINGLEANPUT,SINGLE-OUTPUT MODELS, LL Condlation nd Special Relations 612. Ordinary Caberence Functions 13 Modes with Extaneous Nose 614 Optimum Frequency Response Functions 62. SINGLE-INPUT/ MULTIPLE OUTPUT MODELS 621 Singlelapu,/Tao Outpt Mode 622 Shplelopet/Muliple Outpt Mode! 623. Removalof Extaneous Nose 63, MULTIPLEQUTPUT ARRAY MODELS 631 Asay Gain 632. Army Ditetviy 7 MULTIPLE-INPUT / OUTPUT RELATIONSHIPS 1 MULTIPLEINPUT /SINGLE-OUTPUTMODELS TEL Generl Relationships 112 General Case of Array Inpus 213. Spal Cate of Mutual Uncoated np 12. TWOINPUT/ONEOUTPUT MODELS "721 Base Reaionsipe 122. Opimum Frequency Response Forctions 123. Ordinary and Muliple Coherence Functions 128 Conditioned Spectral Deny Funcuons 725. Paral CoberenceFusctions is mm ma 16 ra 10 us 19 132 1s 189 164 4 168 ™m U6 st 185 185 190 193 193 185 201 21 ms Fr ot Fn Ey 13 GENERAL AND CONDITIONED MULTIPLEANPUT Mopris 731 Conditioned Fourier Tansforms 132 Condon Special Density Functions 133. Optimum Systems for Conditioned Inputs 1354 Alposithm for Conditioned Spectr 138. Optimum systems for Orginal Inputs. 736, Parl and Motiple Coherence Funetions 7A MATRIX" FORMULAS FOR. MULTIPLEINPUT / MULTIPLE OUTPUT MODELS 741. Mulipletnput/Malipl-Output Model 742 Mulipletnput/Single Outpt Model 143, Model wth Output Noise 748 SingleInpuSingl- Output Mode! ‘8 STATISTICAL ERRORS IN BASIC ESTIMATES “61 DEFINITION OF ERRORS 32. MEAN AND MEAN SQUARE VALUE ESTIMATES 21 Mean Value Eximnes 22 Mean Square Vale Estimates £23. Variance Etinates {2. PROBABILITY DENSITY FUNCTION ESTIMATES S31 Big of the Estinte S32. Vanance ofthe Estimate 833, Novmalied rms Error £34 Join Probability Density Eaimates BA CORRELATION FUNCTION ESTIMATES EAL Bandwidth Limited White Nowe £42 Notsoto Signal Considerations £42 Location Estimates of Peak Corelation Values 5 AUTOSPECTRAL DENSITY FUNCTION ESTIMATES 851 Bie of the Etiate B52. Variance ofthe Estimate 853. Normale ems Err 854 Extimates rom Finite Fourie Transforms 6 RECORD LENGTH REQUIREMENTS 9. STATISTICAL ERRORS IN ADVANCED ESTIMATES 01 CROSSSPECTRAL DENSITY FUNCTION ESTIMATES ‘SLL Watiance Formulas 912 Covariance Form 91.3, Phase Angle Estimates ne ne ns 20 2 Ey 22 26 286 20 266 Er 28 29 ™ m ma ns me am a 2 26 201 a ae 92. SINOLE-INPUT / OUTPUT MODEL ESTIMATES 921 Basin Fequesey Response Futction Estimates 822 Coberent Output Spetrum Estates 923. Coberence Futon Estimates 534 Guin Fator Esimates 525. Phase Factor Estimates 9.3 MULTIPLE-NPUT / OUTPUT MODEL ESTIMATES "931 Malipie Coherence Function Esimate 932 MulipleCoberent Outpt Spectrum Einates 533. Single Cnditoned-lnput/Outpat Mode 934 Partal Coherene Function Estimates 933. Pata Coherent Outpt Spettum Estimates 936. Gain Factor Eximates for Conioned Mods 97 Phase Factor Eximates for Conditioned Models 10 DATA ACQUISITION AND PROCESSING 101 DATA COLLECTION 102 DATA RECORDING 1021 Mapretation-Reprodetion Procedures 1022 Modaistion-Demoduation roadures 103, DATA PREPARATION 103.1 Sampling Theorems for Random Records 103.2 Sampling Proedures and Aliasig Eros 1033 Quantization rors 103.4 Anaog-o-Digial Converters 104 DATA QUALIFICATION 104.1 Tet for Statonsty 102 Test or Peodsies oad Test for Normality Ins DATA ANALYSIS. 151" Procedures oc Analying Individual Records 1032 Procedues or Analjains a Se of Records 1033 Test for Equitaleee of Autspecra 105.4 Computational Considerations 11. DIGITAL DATA ANALYSIS TLL DATA PREPARATION. TLL" Data Standariation 1112 Trend Removal 1113 Dig Fiteseg 112. FOURIER SERIES AND FAST FOURIER ‘TRANSFORMS ULB Standaed Four Series Procedures 1122. Fast Fourier Transforms 1123. Coote Tukey Procedure aa 30 30 508 32 a io a0 m1 m m 3s ct io x0 cn Bs as a ay ie Ey aS M6 xs xe 3s 35 a8 361 361 xa ta xs 8 3 in n 11.24 Procedures for Rea Valued Records 1125 Furter Relat Formulae 11.26 Winograd Fourier Trasfom 113. PROBABILITY DENSITY FUNCTIONS. ILA AUTOCORRELATION FUNCTIONS M41 Attocorelaion Estimates ia Diet 11.42 Autocorlaton Estimates via FFT Computations 115 AUTOSPECTRAL DENSITY FUNCTIONS 11.5.1 Base AvtospctiaEsination Procedures 1152. Side-Lobe Leakage oppression Procedures 1133 Recommended Computational Steps 118 Zoom Traraform Procure: 1133 Other Spec Anas Procedures 116 JOINT RECORD FUNCTIONS. 1L61. Joint Probability Density Forstins 1152 CroConelation Functions 1.63 Cross Special Dest Functions 1164. Frequency Response Functions 1.65 Unit tmpuse Response (Wephting) Functions 11.66 Ondinary Conrene Functions 17 MULTIPLEINPUT/ OUTPUT FUNCTIONS 11.74 Fourier Trandforms and Spectl Functions 1172 Conditoned Spee Density Functions 1173. Frequency Respone and Coherence Purctions 1174. Coherent Output Spevral Functions 1173 Desompostion of Measred Spectral Punctons NONSTATIONARY DATA ANALYSIS: 11 CLASSES OF NONSTATIONARY DATA 122, PROBABILITY STRUCTURE OF NONSTATIONARY DATA 1221) Higher Orde Prabal Functions 12.22. Time Averaged Probability Functions 123. NONSTATIONARY MEAN VALUES 1231 Independent Samples, 1232 Conltes Samples 1233. Analysis Procedres fr Single Records 124 NONSTATIONARY MEAN SQUARE VALUES 1241. Independent Samples 1242 Conelued Samples 12.43 _Analsis romdares for Single Records 125, CORRELATION STRUCTURE OF NONSTATIONARY DATA 1251 Double Time Coneation Functions x9 aI is Fn ae wo arr Bry as as a“ as 0 ary ” a as a7 a8 05 25 a8 0 py a a 6 os a5 a 48 ne 1252 _Aluratve Double Tit Comrsation Funstions SPECTRAL STRUCTURE OF NONSTATIONARY DATA 1261 Double Frequeny Spectal Fureions 1262 Alematve Dove Frequency Spetal Functions 1263 Fraquency-Time Spel Functions 1264 Product Model Nonstatnary Date INPUT / OUTPUT RELATIONS FOR NONSTATIONARY DATA, 1271 Nonstationey Ipat and Time-Varying Stem 1272 Reels for Special Cases 1273. FrequeneyTie Input/Output Relations 127% Energy Spotl lapat/Oxtpet Relations 13. THE HILBERT TRANSFORM 1 na 13 HILBERT TRANSFORMS FOR GENERAL RECORDS 13.11. Computtion of Hilben Transforms 112 Beamplesof Hiber Transform 113 Properties of Hilbert Transforms 15.14 Relauon to Physically Realzable Systems HILBERT TRANSFORMS FOR CORRELATION FUNCTIONS, 1321 Conelaton snd Eavlope Detsiions 1322 Hibere Transform Relations 1323 Analyte Signals for Correlation Functions 13.24 Nondisperve Propagation Problems 13.25 DapenivePopapition Problems ENVELOPE DETECTION FOLLOWED BY CORRELATION REFERENCES APPENDIX A: STATISTICAL TABLES, APPENDIX B: DEFINITIONS FOR RANDOM DATA ANALYSIS T OF FIGURES, LIST OF TABLES LIST OF EXAMPLES INDEX 6 6 m a “ 9 om * ‘02 sto si st odes dey Ga) GO eiiy GLOSSARY OF SYMBOLS: ‘Sample rereson coefiients,Aritary constants ‘Amplitude, Number of overt arrangements Bias eror of] (Cyt regency bandwith Mechanical damping coon, Aehitrazy constant leicalepastance Covariance ‘Astocovaiace funtion Cosecovarane function ‘Coincident petal density function one-sided) Potential diferece Expected vale of] ‘Cyl requency Bandwidth resolution (a) ure transform of] Autspecal density function (one-sided) ‘Crsespectel density function onesided) ‘Conditioned autospetal density Turton (onesies) Conditioned erse spect density fonction (onesie) Energy” spect density fonetion Unit impute reponse fanction Frequeney response function System gin factor Filbert tanform of {| Index Current I ay part of{] Tnder “Mechanical spring constant, Index Kc a) aes) ay) Poo Pes») Prob wo 2.0) Rad) Re) Rint) an) Rai sty Sa) su, So) SD Fis aA) Ee) s/n a T r tlootey Yaril who) Trace wave number, Number of class intervals Elecial inductance, Length Frequency responce ncn for conditioned inputs Mestanical mas, Maximom numberof ig ales Modulation index Depyeerot dom Index Sample sae Probability density function Sint probability density function Probability dstabutin fonction Joint probability dstibton fonction Probability hat] ‘Number of pis, Number of sample eacds lcs hare (Quadrature petal density fenton (onesies) NNomber of runs, Number of outputs Sample conan coeceat, Electra esitance ‘Autorun fonction Crosecoelation fansion Double tine coreatin usction ‘Ateratedoube time eotlaton function Real pat of] ‘Sample stundatd deviation Sample variance Sample covariance ‘Standard deviation of) Auospetal density fenton (worsted) ‘Crosespeceal density function (sided) ‘Conditioned sutspecal devs faction (wo-ied) (Conditioned creseapectal density fueton (oie) “Energy” spetal density foetion (voided) Double frequen spectral Semi function exsided) [Aterate double frequency spel dens fection (Wo-id) Sigel to aos ati. ‘Time variable Student ¢ variable Sampling inter Record length period “Tota record eng Rave daa values “Time dependent aibles Variance of] ‘Amplitude window width requeny-time spectral density fonction foe both positive and og frequencies (oon) ee uarnite eee its irae tee ine Beet oun TE tin Se ce cae pen che amore irene inane RANDOM DATA Ages pelece. wekerctio. eal Deyeorinion: tro THY xa). xem EE Ctrl. crue ho tm sak ble ena dare dh ke, we mhtel wm Ck olatnrecn a te Benkd 2 rth n wbme 8 tee paige hibeliwak wpe ale agers meds Mi Dereay\ wisTice, Govgles bhan nes esis de sim men beni CHAPTER 1 BASIC DESCRIPTIONS AND PROPERTIES “This st chapter ives baie descriptions and properies of deterministic data, sc andom data fo provide a physal understanding fr later materi in his book. Simple clsifexton Meat are toed fo explain diferences between stationary random data ergodic random data and nonstationary random dla, Fundamental atti fencton re dened by words alone for alin the ‘mplitade tine and fequeny donsin property of singe stations random records and pais of stationary random records. An intoducton is presented ‘8 various pes of input/output problems solved inthis book, as well as eceseryertor ana enter to design experiment and eralute mesure LL DETERMINISTIC VERSUS RANDOM DATA ‘Any absered data representing a physicel phenomenon can be broad ‘lain a being either deterministic or nondetermnisti. Deerinsc dat fe those that canbe described by an expt mathematical relationship For rample consde aig body that i suspended fom a ned foundation by 3 ng 5 shown st Figure 11. Let m be the mas ofthe body (asored {0 be inclanic) and be te spring constant ofthe sping (sumed to be ‘asles). Suppose the body is displaced fom its postion af euilbriom by 2 ‘lstance Xd rend tme f= 0. From ether bai awe of mechan of repeated observations, can he established that the flowing elaonahp wil ly avaranfEs 0 a 2 aaste escnirions ax Pxorenrits ans w Fee 11 Sigle pings sen Equation (11) dees the eat lation of the boy at any instant of ime in the future. Hence the psa data Yepresenting the mation of the mat ae There are many physical phenomens in practice that produce data thst can be represented with reasonable accuracy by explicit mathematical elton ships For example the moon of a stele im orbit about the eat, the potential across coadener asi charge throw a resistor, the bration ‘sponse ofan unbalanced rotating machine, andthe temperate of water at heat is applied ae all basally deterministic. However, ter are many other Bhyscal phenomena that produce dat that ae not Jlemunisic For exemple the eight of wave ia coofsed sea, the acoustic pesures generated bya rushing trough apie, and the lect output of & nae generator epesnt ‘aia that cannot be desrbed by expt mathematical relationships There no way to predict an exact value ata foture instant of time. These data are random ia character and mat be described in terns of probability statements fd statistical averages aber han by expat equations "The casieation of various physical data a being either deterministic or random might be debated in many cates. For example might be arsed that ho pisical dat in practice can be tly determinate sce there is aways Possibility dat some unforseen event in the fare might infloence the Phenomenon producing the dat a maser tha as 29toiialy consi ‘red On the eter band, might be srgued that no physical data te tel fandom, since exact mathematical escipions might be possible i a sufsent owls fe ae mec hy the dat ees spoil classifications of deterministic and random dat wll ow be scusted. Note that the clacton ar selected rm an analy icwpint and donot ecescly represent the mot suitable clsifstions sy ther cuassincarions of neramavisic DATA. 3 posible viewpoits. Further ate that physi data ae usualy thought of 36 Fring fancion of nea wl be dissed in sich terms for convenience. ‘Any other arable, however, can replace tie, egired 12. CLASSIFICATIONS OF DETERMINISTIC DATA Data representing deterministic phenomena ean be eateporied as bing her eviodl or nonpeadie. Periodic dala can be fhe caeprized as beng ier sinusoidal o complex pedi: Nonpendie data cane fre cale ovine as being either “abmost pedi” o sient. These various las tion of deterministic date ae schematically trated fa gue 12. OF Course, any combination ofthese forms may alo occur For purposes of fev, eth ofthese yes of determine dt, slong wth physi example, wil bebe disused 121 Sinusoidal Perinde Data ee Sinusoidal data are thou types of pine data tha canbe defined mathemat cally by atime-varying funtion of he frm 20) = Nsial2efe+ 8) ay where Xeanpltde fyrejehia equeny in eels pe uit ine il phase ange with espet to theme rig in rains ())sinstantaneous vale at ime ‘The sinusoidal ine istry deseibd by Equation (2 i usual efered to 8 sine wave: When analog sinusoidal dats in peace, the phase ange 8 fen ignore. Fortis ase, (= Xsia2ey ay ewe 12 Csibton of deen dats “4 ste Descntrions AN rRopeRTES losses igue 13- Tine ity nd specu of Sia ata Equation (1.3) canbe pctured by a dine history pot oe by a9 amplitude frequency lat (Fequney spectrum) a stated a igure 13. “The time interval requed Tor one fl tution ele of sino ata is called the period 7, The numberof eyes er unit time is called the Feequenc fy The fogdency and pend are rested by as) Not tha th eseny pcm n Fg 1 js ompons of n ampli Scaponent 1 pec fnquny, a spponed 10 counter oof Stade venus fqn Sich ca il dieser oe nae “Mee many camo of yal peomens ht rs pp ioee camp he bry moton of a tance ring weg ‘nother Silat pent Oo he ample ome eng Shr he an iain 122 Compler Proc Day “SU Complex prod data me thre pe of psd dt tht cn be dead trata ys aera fae ose wanton ey pe ‘al a egal teral ch at s(ea(eeon) 21.23, os) [AS for sinusoidal data, the time interval requited for one fll uctaton is falled the period Ty The sumber of cycles per nit time i called the {fandomeril requen fj K spc eae for complex pride dats i ley i da where =f ‘LASsRCATIONS OF BETERMISISTIC DATA. S Wit fw exceptions in practice, complex pee data may be expanied into a Founes sees according to the fllowig formula: w= Bo E taaonrena + bandon 08, were WE 7 = Flfnerentaae 9 Va(shindenfedt n= 12.3, [An alternative way t express the Fourier sees or complex patie data is x(t) =X + E Xyosltenht ~ 6) an nes, eta bJa,) 9-123, tn words, Equation (1.7) sy that complex period data consist ofa sate omponeat Xpand an infaite umber of snusidal components ald harmonics, which have amplitudes, and phases f, The frequencies ofthe farmonie components are lineal multiples of acs i hase anes Sh. os iste in Figure 14 Sometimes, complex pene data al iBcoge ely a ow component Tooter ene the fendemertal eompeent tiny beabuen. For eample, suppor perc agg yougmed 3 gts sin ane gpg te fesse SED aS The Teigsaginmon dic iQ aso he pou of her peri dats To apex Hens when Spodeli «Pour ste, lloaue of yar ro ep foc n= 1, 9= 1, and n= 20. ‘Piyseal phenomena ta proce omplex perc dats are far more common than tov rode ple ius Gata, ac the cise yea wd pe 14 Speco of cone pre dts ‘ion of dats a5 bsng sinusoids! oes only an approsimation for data that fre actally compen. For example, he sllage eurput fom an elecial ‘ermator may actualy dla, unde cael inspection, sme sal contribu tions at higher harmon reucnces Ince case intense barmanis compo. ‘ents may be present in periodic physical dala. For xample, the vibration Fesponte of 2 sulylinder resproesung engine will ually dplay consider the htmoni conten, 123 Almot-Perode Data In Section 1.22 is noe that perndc data can generally be raced to ‘eres of sine waves eth sommensrataly related frequencies. Conversely the {ata Formed by summing two or moe corimensraely elated sine waves ill be peritie However, the data formed by summing two o mode sie waves ‘ith arbitrary fequenciespeerally wil ot be period: Specially che sum Df two or more sine waves il be pei only hen the aos of al posible Dar of requnces for ational sumbes. Thi iaicates that a fundamental period exist, which wl sats the equrement of Equation (5). Hence ao) = Nsin(2t +) + Aine +8) + sal 8) is periodic since 3,4, a | are atonal numbers (lhe fundamental pviod is ‘T=, On the other hand (0) Nine +8) 4 sin-+ ) + Ni T+ 8) is not periodic since 2/V50 and 3/150 are not rational numbers (the uname peiod i fies long). Te renting time history inthis ease ti have an sost-perods character but te regavemets of Eguation (8) will not be satised for ay Bite value of T Based on thee dveston, slope data ae those types of nonges ‘odie data tat canbe defined mathematically bya time-varying function of the cuasiteaTions or perekuntsre Dara 7 t tooo Tree 15 Spec of alee pera d form a= E xsiotengs +) as) sahere f/f # rational samber i all eases Payal phenomena producing Ulmost pele data frequently occur in pace when the eects of tro of Inoce unrelated peiodie phenomena te mixed. A good example i the wba: tion response in multiple engine propels airplane when the engines ae out of syncronization. ‘An important property ofalnos-peiodic dais as flows If the phase angles, ae ighced, Equation (18) can be chaacerzed by 4 discrete {tequenc) spect similar to that for complox periodic dats. The cay anda “The sutozonclation function R(x fora stationary record is a measure of simesreltedproperis nthe data that are separted by fd time delays Ik awe 1.13 Autcolaonfucon plots. (a) Sne wave (2) Sine wave ps ‘ion noe (2) New and random aoe (a) Wideband ano os L l Figure LI2_Prbaitiy density facon poe (a) Site wave. (2) Ste wave pas ‘don aoe () Narow and rand s () Wie and ransom ae A 4. 1 sste bescrrtions ao Pkoreeries ‘am be estimated by dling the rear relative oie by some fixed time elay'r, then mulling the orignal record with the eelged recor, and pene i ing edt aloe he ne eto oe sae ds prion of hs ee eg. The ps repent oi “The aulospcal (aso called power special) dest function Gf) fe 3 stationary record represats the rate of hangs of ean square ale with 6,40 6.40 wo 1 Fee Lit Acie dey ttn pt (a he wave. () Sine mas pe ‘ao ae () Nanow- band anand) Wet anh frequency. I is estimated by computing the mean square value in purrow frequency hand at tarius center frequencies, and then siding by the frequency band. Th total area uader the suiopetal deni futon ‘over al eguencies will be the tll mean sare vile of the record. The pavial aes under the autespectal dnstyTuacion from fo f represents the mean square vale of the record astoited with tha feeutcy range. ‘Autocrtelaton and autospetal density functions ae developed a Chapter ou spiel ie hstoies of x sine wav, sine wave plus nose, nao bani aise and wie bind nose are shown in Figure 1.1. Theoretic plots of thee probability deny functions sutocrlation functions. and sucmpsta density fonctions are shown in Figures 112,113, and 116, respi Bquations for all ofthese pots ze given in Chapter 5, tober wath ote theoretical orl. orp of random eons from wo diferent stationary random proses, Joint stitial properties of importance ae X Isat poate uns Genoa hc 29 ie Grasp deny oon / a ‘Frequency response functions ae een cos {heist eft esr fdametl ropes had by he pi of {recor inthe amplitude, tine, or frequency domains. From kaowledgeof the osespectral density funtion between the pair of cords, 2 wel as thle, iividalautospctl deosiy fonctions oe can compute toe oer frequency response factions (gin factors and phase fatrs) betwee he 140 ere, the two rears are treated as » single-input snp topic spear in Chapters 3,6 and 7 ‘Common applications of probably density and disteibtion funtion, beyond a base probabilistic description of data values, inelose 1. Bvlustion of normality 2 nlcton of tonnes eflets 3. Analy of extreme values The primary applications of covelation measurements ince Detection of pedis Prediction of ina noise Measurement of time delay Loestion of dtrbing sours enifetion of propgation pats and velit 20 nasi DESCRIPTIONS AND PROPERTIES “Typical appiations of specie densty functions include 1, Determination of stm properties fom inp data ad op data 2 Predtion of expat dat om ipl data ah stem proper 5. detifeation of apt dat fem eat dats and stn properties 4 Speieation of dante data forest progr 5. etiction of egy and wos sources 4 Optimum nar predton and ting 42 tape /Ontpt Relations Input output cases of comme interest can usally be considered combina tons of one or mre ofthe following models Single npu/single-otput model Sinple-input/muliple- ouput model lpi inpt/sngleouiot made Malpleinpatmolplooutpt mods to ll cases, there may be one oF more parle! tasision paths wi titre ede betwen ich pt pit sett po or pe put ups my ry es wi hr isn cigs te opt when nnsaonry data iva 22 eatdin Caper z = ‘file glnpt/sngl ouput model i shown in Figur 135. Hes (2) andy) ae the mast opt sad opt stony fede ode and (I unmeasured extanous opt nae. The gant (7) 8 te frequency responte function of consantparaneer tea synch between {"G) and (0) igre 18 stows»ngletmelalplectpl mel als a Simple tenon of Figure 11 where an inp ()proucs many outputs path= der ARY OUpuL J th result of 0) passing though & “ont prac inr tem deere by te freon rrp aon tta(fh toe none enna m0) erent uneasre extrsene utptnste {he aieret ouput I's cer tat Page Lie an be Solder Combination of separate siglinpusigleoupat mode. “appropriate procedures or sing sgl inut models are develope in chapter 6 using messre stspeal and sone spa dna fnetons. gue 115 Sipeipusagleoutgt system wh uit sie Aves oF RANDOM DATA IL O— Pipe L1G _Sglinpe/matipteotut ste ‘onsinary coherence functions ae dein, which play a key role in both Srretnctisenton and sure identfeaton problems. To determine bok JEG tctor and the pce facior of» deured frequency response fonction, {tistatwaye necessary to metre the erossspeta density function betwen {he input and output poits A good estimate ofthe gin factor alone can Be (buaned fom measurements of the input abd output auospectal dost funcons only if theres aeglgibl input and curpetexrancoes nose Tor a wel-deined sungleinpot/singleoutpst model where the data ae stationary, the sytem Hear and as constant parameters, an there is no tzameous noise at eer the fnpat or curpt prt, the ordinary coherence oneal ented nity fr all reuenses. Any dein from thee ‘Gr condidons wil eave he coberence function tobe les than writ. 2 ‘practse, measured obernte funtion wl often be less than ony, a are Tporaat in demining the sata confidence 1 freuency response funtion measurement "Exnsons of thee ideas can be carried out for general mukiplinpt/ mulupie-otputproblens, mick equi the deiiton and proper terres on Et muldpe coherence funcons and partial coherence functions. These [eteal stations ean be eomidred as sombinations of ast of utile Fansngleoutpat models fra given set of stationary inputs and fr dierent onatant parameter ner systems, as show in Tipe 1.17. Mode proe- ene ter olingmulpe-input output probes ae develope in Chapter 7 hing exon (et spect ety fences, Tes proses ER ons of canal repression techniques discussed i Chapter In parti athe ouput atospectal deny fonction in Figre 117 is Sscomposed © ‘Show ow mac of teat spect at anyTequene is due to an input Conditioned on ober inputs in a prescribed ore Bae mail pines oealute andom dts properties are covered in chapter &Evor ana formulas for bis eros and random enor are (Geoped ia Chap and 9 for vavious estimates made in salying Single 22. aysic biscurions avo ProneRTiCS a0 mh “ wo 1 Figure LIT Mole inu/singesupat tem. random records and multiple andom records. Incaded are random erie Tormuls for etimatsof frequency response uncon (both gain factors and ase facior) and eimates of coherence functions (ordaay, mulipl, oF Pata). These computation are eaty to apply and shouldbe performed to Sbtain proper interpretations of menared rete 1A3._ Bron Anabsis Criteria Some eror analysis citra for measured quanties wil now be dein as background forthe material in Chapters 8 and 9 Le bat () symbol over quantity, namely, denote an estimate of this quay, The quantity 3 wll be an estimate of 6 based on fie ine interval or ite amber of sample points. ‘Conceptusly, suppose § can be esimated many times by repeating an experiment or some measurement program. The, the expeced value of 4 Aenoted by {3}, something oe can eimate. For example ian experiment Isepeated many tiesto yield rete by = TDs 8 the alae EES, (3) ‘This expected valve may or may not equal the tee value $1 does, Ne estimate sid tobe ynbned. Others iid ote baud. Te sof the estimate, denoted Bs equa to the expected vale ofthe existe nas -AvAL¥is OF RANDOM OYA. 23 he re vals hai o1a1= el@]-6 (a) 1 follows that he bins ero is a spstematc error that always osu wth the fame magitoe nthe sme direction when measurements ae repeated under identialceeumtances “The carlance of the estimate, denoted Var is defined as the expected value ofthe squared diferencs from the men ven uation fr, vad) » £[(8 ~ e(31)] cs) “The variance describes the random ear ofthe etme that i that poston of the eur that inno sptematc and can occur im ether dreton wih leent Iagaitids (rom one measurement to another ’At ascent of the fll extimation eo ie given by the mean square ‘rar, hich is defined 36th expected vale of the equated ferences from the re value, The mean sare eer of is nite by elG-9)] (116) ‘mean square ero Tes easy to verify that [CG — oF] = vera) +0181" a fn words the mea square exors equal othe variance pls the guar ofthe ‘bias If he bias 2ro or nelle, then the mean square er and variance sre cquitalen Figue 118 illustrates the meaning ofthe bias (systematic) err andthe satane (random) cor for the eae of ting two pas for possible purchase ‘by shooting each gun ata target In Figure 1.180) gun A has alge bias ror and small vaniance ero. In Figure L.18(8), gun B has small is eror ‘ut large variance ero, Av shown, gam Awl never the tare, whereas un ewe Lf Randoo ani cing soe a te (a) Gn A: Lage ‘croc ang sal dos ere (0) Gun Sal aor abd redo eo 2A sasic DESCRIPTIONS aso PHorETIES 1 wit ecsonally Ht the tage. Nevers, most people wuld pee to ty au A bechae the bn rca be semvd (ning ove Know presen) by adjusting the sho the gon ut the rndom cor carol be Temeed. ence gum A prove te potential ors soul mesn gare "Xl important getty i he mrmalsed mera of th eine noted by 9 err Simerionies quay at el othe Scare rout of the ean sare evo died by the ovale (eae, of ‘Sue, be diferent rom sr) Sybolialy, 5) - leo - Te practie, one should try to make the pomalzed ems eter as small a5 ‘ostible This wl ep to gurantee that an abitrary estimate wile close {othe tr wae, (18) LAA Date Anais Procedes Recommended dats asl procedures are discussed in great detain Chapers 10-15. Chapter 10:5 concerned with data aequistion problems casing dt collection, tecording,trnumision, preparation, and quaistion, General Steps ae outlined fe popes dat naa of iavidal records and ellecion of rcords, 5 would be seeded for diferent applications The emphasis ee is fom appropriate mods for analyzing the properties of sonar random au Dieta dats analysis techies csessd in Chapter 1 involve compu tational procedures to perform tend remoal, digital Hlterng, Fourie teres, ‘nd fart Four trafons on drt ime ery data representing sample record rom staonary (ego) fandom data. Digital formals are developed {o compute estimates of probability density functions, carlton functions, tnd spectral density fnctins for ndual records and for asociated joint resorde Further detled dit! procedures re tated oobi eras fall ff the guantites dscnbed sn Chapter 6 and 7 to solve various ‘sper of Single input/output problems and mulpleseput/outpa problems. Chapter {fe devoted to separate methods for sositonay dat analysis aod Chapter 13 concerns Hier teanfocn echaigues PROBLEMS 1.1 For the fllowing function, which ae erode ad which are nowpei= tie G) su) 3snr + i021 + snd () xu) = Sune + 25in2e sin (ald) Sainte 4 Dane + sin @ xe) = esa romans 28 1.2 Determine the pti ofthe fanetion defined by (i) = sin te + int 1a Problems 13-14, sate whic properties ar lays te. 13. A stationary andom process st (a) bedsere (0) be continuous, {be ergodic 1 fa) have ensemble averaged properties that ae independent of ine (G)hve ne averaged properties that ae equal tothe ensemble ae ged properties 14 An ergodic random proces mast, (a) tediscrete (8) be continuous {e) be staonary. (@)_ hove ensemble averaged properties that are independent of ins (6) have ime averaged properties that ae equal to the ensemble aver ged properties. 1.5 A single spe function canbe used tod al stats popes of « fandom proces if te proces i (a), deterministic (by reo {o)_ statins. (Mot the above 1.6. The atocrration fnetion ofa saionary random press (a) mst derease as [increases +b) ea fiction ofthe ine dference ony {st approach constant sf] crass, {Gust nays Be nonnative 1.7 How do the answers to Problem 1.6 change ifthe stationary candor proces is ested no ocd any pero components? 18, Derive Equation (.17. 19 An estimate it known 1 havea mean square exor of 025 and «bis {ror of 0.0, Determine the variance ofthe estimate 1.10 Problem 1.9 the quay being estimated haste vale of §~ 8 thai the normalized rs ror of the estate? CHAPTER 2 LINEAR PHYSICAL SYSTEMS Before the measurement and anal of random physical data is discuss ia eater deta itsdesiable to cli some pecieat Concepts and fence definitions slated tthe dynamic behavior of pyeal stems, Ths chapter reviews the theoreal formulas for describing the response characte iste of tea linear systems and lutte the Basi ess forsale ocal cxamples, 21 CONSTANT:PARAMETER LINEAR SYSTEMS, ‘An ideal system is one that has comtan parameters and is linear Been two clearly deine points of interest called the input tr exitation pnt and he ‘output or espone point system has constant parameters fandamestal Properties ofthe sytem ae invariant wath respect (0 time, For camp a Simple passive electrical crcit would be a conranparamete system he Values fr the resistance, capacitance, and inductance of all element id ot change from oa ime to another. Aspe liner the response characters tis ar aditive and homogeneous. The term adder tean thatthe utp 6 8 su of inputs i egal tothe sum ofthe outputs produced by each input individually, The term homogenous means thatthe outpurproduced 2 onstant ines theft is equal othe enstant tines the eupat paced by ‘he input alone a equation form if (x) represents the outpost inp 2 ‘en the sytem sine ifr any two inputs, x, and coasant May+ 42) 105) +14) additive propeny 2.) fen = ox) bomogeneous property (2.18) 2% (CONSEANT-PARAMETER LINEAR SYSTEMS 27 “The constant parameter ssp i estnaby valid for many py sonoma prac For example the fdanena proper ta Steal ut ors echasel sree wil wmaly sot py goer changes ‘ver any hein of praca interes. Tere ze, of ure, excep “The vale of a etal resistor may change cig to « ih temperate ‘pone ote fs of sac ny change base of fag nage ‘sed by contin sibration. Farthemore some phys yams ar de Sine tobe timevaryng poner that ae fname he eed purpore of the stem, Beton commeniction em ae an obs ‘cample. However sich condone gener eps! ces ha cn be ‘leans deme in pote A inety spin tr val apes i emeviat mae cia All phil atoms wil play neta spon chmateais unr Bekiyestremeioptcondlon For etampl, an etna capaci wi STnay are the app woke nro and, hence, wil loge, pass creat hts ect) propoonal to te apd vai: 2 met ‘tcl ltt bra me Spd lad intend and hence, wl 90 Toner pay smi hats ropa 0 heaped ox. Tota he problem snore diy cominessoclincrses sly oxo pada tet than ably st one poi For eample theta aon fo the inet cable woul aaly sar devatng (0m 2 nar restosip lon ioe the fal sbrpe break ccrs: Neve theron haces {se suny phil sytems ay be ase fo be incr ast ones soe Ned ange of put, witout nvavingunesonble rs. Example 21 Mastin of Noalinar System. Consider simple square taw sytem where the output i given by ya sl)= a0 For any so inputs; sd, Shay +)= ala, +3) = aed + tons + aed but the adv property in Equation (2.13) requires that May +2) = arf +a} Furthemore (ora abtary constant 6, Mex) = alex)? = eax? but the bomopencous property ia Equation (2.16) demands tht sea) = ca 2 sean mnstcaLsvrans Hence the system sat ies, in that fat comply wih both the aitive 4nd homogeneous properties of lesen, 22 BASIC DYNAMIC CHARACTERISTICS ‘The dynamic charscteritcs of a consent parameter linear sytem can be described by & weighing fcon (1) sometimes called the unt inpule ‘esponse function, ich defined the ouput othe system tay inet 8 tv impute inp apled a time + belo, The veins of the weghing {unetion asa description ofthe stem i de to the following fat For any nbirary input x) the stem output ys given by the conan gral w= [7 aleds(e= de ea) “That ig the vale ofthe outpt (0) i given as a weighed nea iii) sum over the etre istry a he np (0). onde for a consanparameter near ssn o be plysicaly reliable (cou, iis neceiary at the stem respond cay to past sats This pis that Ais)=0 ferro ey Hence, for physica stems, the elective love iit of ntzation in Equation (22) i8 200 eather than ~ A constan-prameter linear system is sid 10 be sabe if every possible ‘bounded input function proces Bounded oupat faction. From Equation an Lor-[C aera] s Palo nidr 08) ‘When the input x(1 is bounded, tee exists some Bite constant such that ete forall es) 1 tows rm Egan (24) hat ols 4 Bodide eo ‘Hence if the constantprameter liner weighing function J) is sly integrable tha [lMoes en then the output wll be bounded and the este is sable, asc nyeae cHARACHEASTICS. 29 Example 22. Uhwstraton of Until Sytem Consier a simple system witha unt impulse apo fancon ofthe fom mo=(4g TES Since We) 0 for + <0, the stem i physi realizable by definition However, Slimenae= [Cigerite = 11 follows thatthe sytem is unstable fa 20, but stable a 0. Specify, tear bee, [luemae “This completes Example 22, ‘A constat-paancer lines syst can alo be characterized by 3 ranger “uncon Hp) which s def a the Laplace wansfrm ofr). Tal m= [anerds pease es) “Te eterion fr stability of constant parameter linear system assumed wo be ‘iyscalyreaiabe lakes onan intresting orm shen considered in ems of {he ransfer function Hp) Specials H( p hs no plein the ight halt ofthe complex p pane or onthe imaginary) ans (no poles where @ = 0) then ‘he system stable Convery a (9) sat lest one poe i the rit halt ofthe complerp plane o on te imaginary ax then the ster unstable [Ae important property of constant parameter Tinear systems i freuen preservation, Spel considera constant parameter nat ste with 3 Weighing foneton AC. From Equation (2.2) for any arbitrary inet =) the mth derivative ofthe output 9) wth respect ote is ven by 0 py ytd, 06 py a9) Now, assume the inpat (is inochi, xo) = Xainl2nf+ 0) a1) “The sevond deiaie of (1) (0) a anes) en) | | 30 LuNean Pnvsten stems 1 follows fom Equation (28) that the second derivative forthe output (1) must be 2y(0) 417) 2) “Thus (1) must als be isda with he sme fequeney 8 (1. Ths res ‘hows thats constant parameter liner system cannot case ny Irene) translation, bt can only mx the amphtade and phase of an appli snp 23. FREQUENCY RESPONSE FUNCTIONS 1a constanparametr linet system is physically cealiable and stable, then the dynamic characterises of the system can Be described by a frequeny response uncon HJ), shih i ded 88 the Fourier transont of hs), MD = [Pree de es) Note that the lower init of integration is zr ater than ~ 20 since A(x) = 0 for 7 = 0. The frequency response function is sinply speci eae ofthe laste function wherein he exponeat p = +), ~ 0,288 8 = 2ef For physically realzable and sable stem, the reguency response function may Feplce the transfer function with 0 os of weal information ‘An important relationship forthe frequency cesponse function of constant parame near systems is obalned by aking the Fourier wansform of oth Sides of Equation (22). Leting X(/) be the Fourier uanform of sa input {0 and Ube the Fourie transform of the resulting outpat (0), assuming, ‘thse transforms ext follows fom Equation (22) that HA MX) eu) Hence in tems ofthe fequencyeesponse anton of sytem and the Fourier ransfoems ofthe input and ouput, the costlution nepal a Equation 2.2) reduces to the simple algebraic eqpesion in Equation 2.1). ‘The frequency response fonctions generally # complex-valued quay tha may be coavenenlly thought of in terme of 4 mapntode and an associated phase angle. Tas canbe dove by wrung HJ) complex par notation at AY) =H nem eas) “The absolute valve [H(i called the system gun fotr and he associated ‘hte angle @(/) is called the sem pst fcr in Ihe tems he Frequency response fection taker on dre physical interpretation as ‘nAUSTRATIONE OF FREQUENCY RESPONSE FUNCTIONS 3H fellows, Asus 4 ste subj 10 4 sida apt (ype ‘ising era tn) her) orig a uu ham Sees OT ane be sath he sae een. The a tae ps ste noe nr Feet par stented pt (ee we g(t sen Fae iy coptenet he ete open ton oe i peice of consneparanet ne em tay the following seme properties Hp) HU) (—poi= HEP e10) os -a) Furthermore if ne sytem descte by 10(/) 8 followed by a sesond syste fiscrted by Ha(J) and there is n9 lauding or feedback betwen the C40 ‘Sateme then the overal sgtem may be described by 4). where HEP = HE) ICD = LOE ea) 9) = 81+ WU) “Thus om cascading to sts whe thee ofan or feedbaek,thepin etry malty aed he pate fats a8 (ee mportat to ae that te frequency response fonction HLA) of constantparumece en yen a foto fol quency. a t+ ‘nation cer tine or be sytem extn Ifthe stem wee nore, fie) woul so ben frcton othe apd int the paras of ‘Sele ere nt constant, H(f) would to be a fanction of une 24 ILLUSTRATIONS OF FREQUENCY RESPONSE FUNCTIONS: 1A dearer understanding of (he, frequency response funtion of common ‘ayaa nystems wl beled By considering some examples The craples fae ivalve simple mechanical and elec systems because these ash {arpa stems ar generally cae to wsualie. The analogous characters: tes elaing mechanical and els! sstems to other phy ystems ae ted 32 uean mnystcat sven LAL Mechanical Systems Asume + simple mechanical stractre can Be represented by a lumped portmeter sitem coniing oft maya oprng, aid a abpol, whee Ue Toton ofthe mass resoced to wantin in aly one dwtio, a shows in Figure 21. tn this gure, k i sping constant in pounds/inch cis a viscous damping eoecent in poundseconds/inch, and m i a tass ia Pound seconds ich Before a frequency respons function cn be determined itis neesay to etine the input apd outpt parameters of interest Thee ae 2 umber of posible forthe tem in Figure 21, a wl be lustated now. Force INpur axp Diseuacenet OvreUT. Assume the input of interes ‘8 force applied to the mass and the output of interest i the rving Asplicement ofthe mais, au ilastated in Figure 22 Here, F) ia applied force im pounds andy) the resuling outpel displacement ofthe mass inches “The fit sep toward extblshing an appropriate requeney respons ne, tion for this stem sto determine the equation of motion This abc plished by using the relaonstip trom base mechanics that the sum of forse acing onthe mas mist age 2x, ol FU) + RCO + RE + B= 0 (218) an —| +} tuuusteaTions OF FREQUENCY RESHONSE FUNCTIONS 33 (0) = ~Ho le)» sing force (2189) damping ore (1s) FQ) = 60 = me) ~ neti ore (2189 a 1) = 2 etsy Hence te equation of motion fortis system is nse) + (0) + a) = FCO) tn Section 23, the frequeney response fonction is defined asthe Fourier teannor ofthe output a the system #9 2 ni pls. For this ise, the utp of he system the eeplacement y() whase Foor ansform is ives » un Panesar m0) em tealor at Fouts Tao [01 = 277) e209 eras) (2.206) outer Tansorm [9(0)] = ‘Now, by taking the Fourier transform of bth sides of Equation 218) and ‘ot that the Four raneorm fra wait imple orce FU) = (0) uy. ‘ne obtains the following res [-aeryimesaetes kM) = oa HU P)yam [k-Gaf m+ fe) (a2) snhere the subset J ~ disledto indicate that his pater 1) relates ‘Mores input 162 placement ouput 4 Lastax vaca. avs 11s desirable to write Equation (221) in ileent form by itoducing vo denis. i (ana) L fk ie om) “The tem fin Equation (228) ca dimensionless gsntity called the damping ‘tio. Te term fa Equation (2728) ale the wndamped natura regueny Sc has units of eels per ut ume. When these definitions are substuled into Equation (22, the olloing rest obtained: vk WD 02) Hid RZ. Weng. Equation 223) in complex polar notation gives the frequency r= sponse function in teams of 2 gin factor JI(/) anda phase factor) 35 follows Mis) =m en om WD you (224) Th Can +847 ie M/A Note that IMC] at wit of 1/k of inches/pound. This pariclar functions Sonal eds mapa fon. a Uz a of Sali ation 029 ar ened iain ain fcr ha apa at same eqoency ls than, forall eases there fs 1/ 02 Te tequncy which the peak a actor Coca called the resonance frequeney of the astm. Speiialy, ican be shown bY minimizing the denominator of (fm Equation (24) that the teso ance equate, denoted by J, is en by Whi sos (225) nd that the peak vale ofthe gaia factor that oecues atthe resonance 9(ra= ta (2.2%) recy Fay gure 23. Frequency erp function of mecha sim ih fe pt (ay Gun factor (9) Pe te as [36 uaweaR puvscat syst Frequency is given by Vk WUD Peos (226) B= Second, defining the Aalpomer poet bandwith of system gun Fctor as, Bahn h whee ICA = WHC AP = MHC ‘he halt-power point bandwidth of the gaia factor penk at he resonance feequenc) may be approximated fo ight damping by aan, Fsoa ax) “Tid he phase fcr ais rom 0 degrees fr frequencies much es han {21180 degrees for feuenas ch patty The exact manner stich 67) varies Between hee pas angels eens onthe damping sate f Mower forall OF ep f= 90 dee or Example 23. Msraion of Resonant System. A simple mechanical sy ‘em ike that shown in Figure 21 has the alloming propris 0.1 seen. = 2Ibsee/in, = TOD, Determine the undamped natural lequeney, the damping ai, the resonance Frequency, and the peak pin factor othe stem, From Equation (22) the undamped atu esquency and damping ato arepren by “te a 9H Fae woo “The resonance fequency i then given by gation (2.25) a8 Un iTa AP = 15.9 and the peak gain factors given by Equation (2.26) a8 vk mF Te Js common in practice to presen gain factors for physical estes in waa 0.050 in 7b veLuseRsONs oF FsQUENEY RESPONSE FUNCTIONS 37 insoles ers by psig ot thesis erm tht i Om so “This is often called the quay factor of she system, denoted by Q. The resprocal of @ is sully refered oa the a ator of the stem denoted by wr For the system in qoetion, Q'= 50 and = 02. This compless Exam pez Referring to Seton 23, the fequene response function HJ)» maybe lterpreted follows. Assume the ape force in Figure 22 sinwsoual Sch that FU) = Fyn deft. Then the oust daplaceent would be gen by Ae) = RIAD 82h = 9 ia} ew ‘This particular interpretation actualy piovies another technique for de- termining the frequency response function Special. one can sole for the ‘output ofa ystem fo inssdal input, and determine he frequency response fintion from the amplitude change and phase shit between the output and inp. This wil now be luseated forthe present problem "fhe output of he pte in Figre 2.2 os snarl np wil be given by she particule solution of Equation (2.19) where Fs) sisal. ha, ma) + 99(0) + 4o(0) = Bsinese = tml e?™"| 2.28) where Im | means the imaginary part of [ | Now. asume 3 solution to Equi (229) mth general form of sinus output as flows, a) = Ysingasft~ 0) = tm rere) 0) ‘When Equation 2.30) s substituted into Equation (22) the flowing ea oni soba: Inl(-(erym +e + )¥e--6] = Info] 2) “The particular solaton to Equation 229) i gien from Equation (2.30) nd 2) a8 flows: Prd — ex) Dehn + Reh. (0) = to Wome sts the dtintons fron Equation (222) and comers 1 wigonomet 28 uvean aca serous He form the ouput 90 ome ___fainan— 9()) ah CaP eu 0) a3) where 2 (0 echt sc! apie by ct ole pn Sects un ani nc ona ae seein Ene 0) Tomoanon Diacoyr hut oo Daracot Qa, Now co Ts tas oe ra a le of ities eon Ti po ema Und np hs) pln pcs Inn aon stone non tt 90 te eg Se pn nas nae mond Ser re eto mn cn edo nineninente=0 a9 Flo) = ~kL9(0) ~ x(e)] = spring force (2.34a) FC) = ~eL 5(0) ~ 3(2)] ~ damping force (2.340) fin=-wi) tetas) ut fore 24 tet em si n4UsrHATIONS OF FREQUENCY RESPONSE FUNCTIONS 39 Hence the equation of mation for di system cx + 80) (3s) (Once spain the regency response anion ofthe 5st willbe given by the Pourerteansform of the response dplacementy(7) for 4 unit imple foundation displacement x(t) ~ 30) BY aking the Fourier transform of bath fides of Equi (239, and ting tat Fourier tenor [80 = 2. ene ‘obtains the following rest she) + 0) +9 [-enyins ase +el)=(e+nef] 0) ‘Ts ke nef Fem + Boke WM (2360) where the subscript do means that his patil H(/) eae a displace ment input to a dplaceent ouput Using the defsitins from Equation (222), the result in Equation (236) say be wetten as Labi TUL + RRA my) “ em. In complex polar notation, Eguaion 23) reduces othe flowing gun ator snd phase face: HU) = Hie? e35) were wisn [ om) \i ieee) sos ene atm) Note that 4) dimensionless. This partial function ite called rans fain. PO of [HG fDley abd @UPy-« af presented in Figure 25. Note thatthe gui fctr pine 9 ingle pk sme To the fample fora force tpat Musil in Figure 23. Howey, the deals of the gain actor a well as the phase actor in Figure 2 are quiere fom the factors in Figure 23. gi eueeed: igure 25 Mo =o)“ oot weenie ee Frequency raguse fonction of mechani ten wth founds ‘tin put (a) Cam fe (8) Phe ate, Summa Gan aor oS ec Sm (pe aston cinFoner ‘Fumio on tpt Gan TapietaSape Pewee mY eet edness Dipicnest Yessy ASS an Ponortéelgetiad aa itn AO. xen Fn ‘OupaPaene ae tate emo Se IP, Space LO a a dip 1 oe PD, a x09 ‘Ate ae tnumict fy” Cn Se yee velocity 2a? f ’ n= RD, aD; 19-409 ‘Ame asi, BL poser tewmest Fo ae cura geeaon foe nies core hy ‘ED, 19 -x0) =a “ 42 cavean yeas. overs ‘Omer Input axo OvtevT Covmmesrioss, The previous two examples indicate how two diferent foquencyseponse functions se applicable tthe sme simple mechanical system, depending on the typeof ipa Lobe cons ed. Actually a diferent frequency response Tancton i generally seuied for ‘very diferent combination of input and ouput partes that might be Aesired. For example, the tea dplacement ouput 2(0) = y(1)~ att) oa foundation displacement input x) mip be of intrest for some eppliaions wets the absolute acceleration output y(t) to 4 foundation veloty inet 40) would be sppreprit for eter” A slighty diferent frequency tosponse funeion would be required foreach case. To iustrat hie po, the vais posible gain faciors of the simple phasic syxem in Figute 21 for 21 diferent combination of pt nd ouput paar are presented in Tale Example 24 Sten Regs to Fondation Aceon, 4 simple mechanical sem ite hat thon in Figure 248 sje toa founda tion measured ner of sult asetraton Assuming stem dan ing rao of {= 07, deine the diplscement of the mass ative fe foundation at legos Bow the undumped nature Heaueec) of te “The appropiate un fctor of tem gen om Tale 21 as 1 WED = aera Cay] sin ‘The values ofthe appropsiatly normalized gun factor for various frequency ratios, (///) 5 1 ares flows, aT i ZH Too | am [om [aw [or [om | on "Note that he gun factor i approximately constant for frequencies well low the undamped natural frequency ofthe sytem Its fr ths reason thatthe sbove system sees asthe bas for a type of acceleration transducer, called Selon accelerometer, which cused ater n Chap 10. 242 BlecriclSytems Assume simple lect ut canbe epesated bya amped parameter Syste consisting of an inductor, 4 reson, and a capacitor. Further asune that the inp othe sytem i potetaldiference as shown in Figo 28. To this gure, C isa eapactance in farads, Rist restance in ohms, Ls an rjusteaTIOS oF FREQUENCY RESPONSE FUNCTIONS 3 Fee 26 Elec ssem wih vtage Jndytance in hase, e() isan apted potential in vos, andi) isthe {esulng eure ia amperes Note tha (7) = da) /a, where g() hare in coulomts “Aes the input of interes i an appli voltage and the outpat of itrest isthe reutng charge As for the ese of mechanval stems i Scion 241 the fist step foward establishing a proper frequency response function i (0 ‘ctermine the deena equation dsebing the system, From baie circuit theory, the sum of all potential diferences across the cicuit elements mast, ‘aval ter. That ele) Heel) tegle) He(() m0 039) venere cclt) ~ ~ Lele) ~ potential ditferene across capacitor (23%) ex(e) = ~RG(0)~ potential diference seosstesisioe (2398) ex(t) = Hale ‘Hence the diferent equation for this stem is potential diference serossinductor (2.388) 130) + Rae) + Kale) = ete) ew) Note the similarity between Equation (2.40) andthe equation of motion for a force evsted mechanical stem given by Equation (219) Using the sae ‘nays procedure outlined in Sesion 241, it follows dec that the THequeney reponse ontion of thirimple eet system it Hy) Lena 1 = [Zo tenn?s + s2epR ea) where the subscript = q means that this particular Hf) lates a vokage Input tos charge output Note that M(J),, asthe unis of colombo 44 uaveae puvscat sys ‘The plot for H(P)a-g would be identical tothe plot forthe mechanic frequency response function HCP) presented in Figure 23, whee the damping ratio f and the undamped tial reuency fof the real est sre piven a lows: aC HE aay T Fea) (2420) Ie should now be ea that direct analogy may be mide between mechanical and elecrcal stems a5 presented in Table 2.2, 'A more common frequency response function fr escial systems is one that relates a vole ippt to curen output. This partic Frequency ‘exponse faction ver BY We ee es where HUJ),., has the units of amperes/vot. The reciprocal of Equation (2-43, which’may be devoted by 9, ale an impedanefucton: WD, (oat) response) ‘rae? Anon Term for Mesh nd Bsr Systems etl Syiew witha Mecha Sion wth alas apt ce apt Input Wolage Foxe Fe) ‘ura Charge. 4) Digimon 0 amen) = dyer else) = et Induct, Mas Convan parunees Renta, Darpng¢ GopscianesC Comps 1/4 IapusteaTIONS oF FREQUENCY RESPONSE FUNCTIONS 48 ‘Note that the mechanical analogy to Equation (2.4) ves fom Table 22 by HCP np 38 flows Wrercehere fh) ea “The function in Equation 2.45) often called a mechan impedance function ‘psa fits analogy tothe ean elec impedance function. 23 Other Sytem By the same analytical procedures ouined in Section 241, am appropriate frequeney response funson can be deveopad, a east in theo, Tor any ‘enly defined constant parameter linear stem that is phyiall realizable nd sable, Moreover, te reencyrespote fonctions of diferent pyseal Systems wil often dla analogous parameters, jt ss usvated fo esha [Bal and elec systems in Secton 242 and Table 22. summary of naogous characteris for several easmen pysical systems is presented in Table. Analogns Cartes fo Sees Phys Sytent Se Tepst Opel Conran Pace ‘snd Volage —Careat Tnducume Restance Capcitane (tomiaions) Farce Vety Mas) —Danpng_ Compliance Meshal (Ciao) Tongue Angular Momeatof Angular Angular feos icc damping complance cout —Premue Parle Ineance Acosta) Acousil feooty Gente damping pasta =) 46 cawean rvtcat evens 25 PRACTICAL CONSIDERATIONS The analytical determination of fequeney cesponte futons of physical systems as been lasted in Section 24 To facta the developmen and ‘canton of basi des, enampls mee lied to simple mec! ard ‘etal systems. I shuld not be implied from these examples that the ‘naytal determination of fequeny respons functions of physical ost is heayss0 eas. mie. or ean, chanical nt in he form oa continous las sioture where the various parameters (mss, damping. and sires) re dsibted rather thn lumped as hypothetically assed forthe examples in Socton 241, Suh a mechanical rem would hve many diferent possble input and ouput pins which might be of interest. Putco the cqueney ‘response function ofeach ipul/outpt combination Would geotall play many peaks representing many ‘esonant frequen, 42 oppoved to Se ‘resonance as llrated fr the examples im Socton 241, For relatively ‘ancomplcated continous structures sach at eam, plats, and shel, a rope requency response functions may ail be erable with fexsoable Accuracy by diet anytialprocedurs (References 21 and 22] For more completed sructres, as well as Mids and other physical eyes computer ‘modeling procedures sch as finite element methods [Reference 23] night be tke to estimate egueny eesponte ancione sd eter response propre the plea! system of interest has een constructed ands aveble for experimental studies, requency reponse functions ca be etmate by ee pinkal procedures. The most staphtforerd empirical sppccach sc sbjet the system to a sinusoidal input and measure the output ample and phase a5 the input frequency is varied. From Section 23, the eat ofthe output fo inet amples at any given equency egal the pin facto and he pase ‘ofthe output clave to the input at any given frequency sual the phase factor, However, the sme rests an be obtained with subeantal less ‘experimental te by applying either random or ransea inpts tothe sytem, either natural o ariel, and measuring the sytem responce, The esination of frequeney response functions from random and tansen input/output data willbe develope in detain Chapters 6 and 1 PROBLEMS 21. Weite a single equation that defines the equi eondiions for ineaity of physical ystems. 22 To deine the dynamic properties of syst by a single-valed weigh ing fonction he), which of the flowing requirement spy? he system must (a), have costnt parameters, () be linat ertuincas 47 (e)_ be physaly ealable (@) besuble 23 Wan inp (2) produces an ouput 1) = aCE(L prove thatthe input/output reaonship is noalnet 2.4 Determine the weighting funtion ofthe fore excited mechanic sytem shown in Fire 22 25° Desermine te frequency respons function of 3 physical system with 2 ‘wephting function hr) = Ae", where © > O 24 Asn te mene sown in Fe 22 ba + sping SaaS ys ate amp en cE SOE RRS ss es Oy coop ne © Shapta rao ree teu B PSreacaro a er 27 Asan he ma fe mn te sown ie 21 SSm pt ein nd nel at ‘Tintern cia of pts faye he ang cailton eF= Hfdt= PI tote 1 28 Prove that the resonance frequency ofthe fore excited mechanical system shown in Figure 22 is f,= f= 2, f= 05, a8 sated in Eauation 225) 29. The al-power point bandwidth of resonant physical systems detned 85 B= fa fee MCI = WCF) = Lf) Give he ore ‘ited eoshaical system shown in Fag 22 prove that, = 24, for Small 2 stated in Equation 22), 2110 Draw the clea! analog circuit forthe mechanical system with foundation motion input shown in Figure 24. Determine the values of| the analogs ict parametrs in frm ofthe means pararees kocsand m REFERENCES. 22 Hany We Gal uti SL Dyan of Sire, Pie Hl Enea CHAPTER 3 PROBABILITY FUNDAMENTALS “Ths chaperreviows the fundamental principe of probability theory hat are needed as background for he concept of xndom process theory developed i Inter chapter. The material covers endom variables, probability distbutns, cxpesed vale change of variables, moment generating functions, and cha Scterste functions for oh single and molple eandom varables. More Setiled developments of probbiy theory from as ensacring Vewpoin are presented in Referees 31-33. 2, ONE RANDOM VARIABLE ‘The undying concep in probably theory ie that of & set, deine as a callin of jets (lo elle points or elements) about which itis posible { determine wbetber any partclar object is 2 member of the set Tn Dslr, the posibe cutee ofan experiment (ora measurement epee Feat a set of pon eld the sample space. These points may be grouped {ogetherin vaous ways, ell tent, and under sutable conditions prafabi- {i factions thay be asgned to cach Theteprosbliies aways le Between {ero and ong, the probability of an impossible event being. ero and the probably of the certain ever beng one. Sample spaces are eter nite or ‘afm ‘Consider a sample space of point representing the possible outomes of 2 particular experiment (or meatremeat) A random tanabe s(L) 6 2 set fenton defied for pits & tom th sale space that fandom variable {(k) isa teal number between = and 12 that aso to each sample point that might ocur Stated another way, the random outome ofa Experiment indesed by h can be represented by areal number (6), calles {he random variable. AU posible experimental vents that might oocur con “ COME HANDOM vaRIARLE 9 stitute completely adv las of sets, and a probity measure may be signed to each event SLL Probabitiy Diuriation Functions tat s(k) denote a random variable fittest. Then for any xd value of Thc random event (h) 1 deine ae the st of posible outcomes such that x(k) x tee ofthe undrying probably measure in the same Space ne may dtine pba enbton fancton P(x) 35 he probability ick amigned to the set of pont saying the desired inequay NC) six Observe thatthe st of puns K satsijng x(k) is asset of ie oat of al ports F whch sits 4(4) 2 ae tn eotaon Form, P(x) = Pobla(&) a [Ee 04 low a Hez0 9 [oi ple\6s~ 6o) : ae ro f pe SPs on “To handle discrete cates like Example 1 te probability density funtion x) i permite to inclade dela functions. Example 21, Discrete Distribution. Suppose an experiment consists of tossing» singe coin where the two possible outcomes, called Heads and cis, te assed to occur mith goal probably (4). The random variable (8) for this example tales on only two dice ves, (hed) and (all) 19 which ‘ubirary seal numbers may be assigned. Specialy, let x(heads)= = and {0 rsonsaiLiy Fuspawentnts gue 41 Discrete probailty density and disbon feos (a) Prt Senstyfncon () Probate anc. fo Benny (ail) = 6, where a and b ase real numbers wih, say 6 > a. With these oie for x(k) flo hat the probability dbo function fo ree Q sheet vay-[f aces Ue ee ee and the probability desity faction sive by Plex) = 18 ~ a) + 15(— 4) where 3(e = e) and B(x ~) ate dls functions, sshowa in Figure 3.1. 312 pect Values Assume the random variable x(K) may ake o@ values i the range ~ eo 0 “tae. The mean ae (aso called expec vue or aerage cae) 0 x(K) 8 obisiaed by a8 appropiate limiting operation when cach val asuned by ‘(ke maliplied by i probability of cccurtene, This gives Ela(W)]= {7 (0) de = on ‘one AaNoOM VARIABLE SH where E{ represent the epee vale over the inde kof the term inside The brackets Smart expect vale of any el single-ald continoous Function g(x) of he random variable x(k) i gen by eles) = f° solo ar 9) where p(4) i the probability density function associated with (A) In Dacula, for p(s) == the mean square tale of x(K) 5 gen By Ela] = [Tera de= 98 10) ‘The sarance of s(k) is efi by the mean square valve of (4) about ts nena vale. Here gs) = (8 =) and E(x) - 07] [lle wateladde= v= ak=o? 10) By definition, the sandal davaton of x(k), denoted by ay i the postive Square soot ofthe variance, The standard deviation i measred in the sme fits a he mean vale Example 3.2. Uniform (Rectangust) Disb, an expeinent consist of choosing # pont random in the interval [, 6} eluding We ead point. A continous random varable (4) Torts crample may be dened Ey the umerical valve ofthe chosen point. The corespoading probability

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