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Spectral Density Estimation of Stochastic Vector Processes

Yuen, Ka-Veng and Katafygiotis, Lambros S. and Beck, James L. (2002) Spectral Density Estimation of Stochastic Vector Processes. Probabilistic Engineering Mechanics, 17 (3). pp. 265-272. ISSN 0266-8920. doi:10.1016/S0266-8920(02)00011-5. https://resolver.caltech.edu/CaltechAUTHORS:20120829-121122568

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Abstract

A spectral density matrix estimator for stationary stochastic vector processes is studied. As the duration of the analyzed data tends to infinity, the probability distribution for this estimator at each frequency approaches a complex Wishart distribution with mean equal to an aliased version of the power spectral density at that frequency. It is shown that the spectral density matrix estimators corresponding to different frequencies are asymptotically statistically independent. These properties hold for general stationary vector processes, not only Gaussian processes, and they allow efficient calculation of updated probabilities when formulating a Bayesian model updating problem in the frequency domain using response data. A three-degree-of-freedom Duffing oscillator is used to verify the results.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://dx.doi.org/10.1016/S0266-8920(02)00011-5DOIArticle
ORCID:
AuthorORCID
Yuen, Ka-Veng0000-0002-1755-6668
Additional Information:Copyright © 2002 Elsevier.
Subject Keywords:Stochastic vector process; Spectral density estimator; Aliasing; FFT; Stationary process
Issue or Number:3
DOI:10.1016/S0266-8920(02)00011-5
Record Number:CaltechAUTHORS:20120829-121122568
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20120829-121122568
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:33665
Collection:CaltechAUTHORS
Deposited By: Carmen Nemer-Sirois
Deposited On:31 Aug 2012 20:25
Last Modified:09 Nov 2021 21:36

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