Random sine function

x(t ) c sin t
stochastic phase angle, for example uniform on [0, 2 ]
c deterministic amplitude
deterministic circle frequency
f()

Random sine function

x(t ) x sin t
x and deterministic, uniform on (0,2)

{x(t )}

x(t ) f ( ) d

2{x(t )}

1
x sin( t ) d 0
2

x 2 (t ) f ( ) d

1
x
x 2 sin 2 ( t ) d
2
2

f ( y)

f ( y)

1.0

1.0
0.5

2
2

2 y

y
2

sin y dy 0

sin 2 y dy 0.5 2

Two important integrals

sum of sine functions with random phase angle:

x(t )

x sin( t ) x (t )

k 1
k

{x(t )}

{x (t)} 0

{x(t )}

{x (t)}

1 2
xk
2

10

x(t )

8
6

4
2
0
2
4
6
8
10
0

10

15

20

25

30

35

40

45

50

k=1,11, x = 1.0

k 1, 2,3, 10k ; Tk k 4 ; k 2 Tk

; 0 5

10; = a6.0
x

a
exp

2rad/s
; b 0.1
=
4.0,

=
4.2.

k 1
0
2 k

10

x(t )

x sin t
k

; 0 t 50 ; random phase angle

k 1

Process with 11 sine functions

x(t )

x cos

k 1
k

sin k t xk sin k cos k t

Ak

2
T

x(t ) sin k t dt

Bk

2
T

x(t ) cos k t dt

A B
x
2
k

2
k

2
k

1 2
{x(t )}
Ak Bk2

2
k 1
2

x
T

xk2

base time T

xk2

2 4
T T

base time 2T

2
T

S (k )k xk2 2

xk2 2
S xx lim

Definition of the variance spectrum

x(t )

x cos

k 1
k

sin k t xk sin k cos k t

Ak

2
T

x(t ) sin k t dt

Bk

2
T

x(t ) cos k t dt

A B
x
2
k

2
k

2
k

1 2
{x(t )}
Ak Bk2

2
k 1
2

xk2 2
2
S xx ( k ) lim
with k 1 k
0
T
( x)
2

1 2
xk
2

xx

( k ) S xx ( ) d
0

T 2

Sx

T 2

T 2

x(t ) e

it

dt

x(t ) cos t i sin t dt

T 2

*
S xx S x ( ) S x ( )
T

with

moments of the spectrum

mi

i S xx ( ) d

The standard deviation

( x) m0
central frequency:

0 m1 m0

02 m2 m0

width of the spectrum

m12
q 1
m0 m2

16%

S xx
q << 1

t
T0 2 0

a) narrow-band process

q 0.5

S xx

b) wide-band process

S xx

q 0.6

t
c) process with two distinctive frequencies

Alternative Approach (Annex)

x(t n t )

x(t )
x(t t )
x(t )

t t

t n t

Fig. A.2: Stochastic process as a series of stochastic variables.

random variable
two randomvariabels
n random variables
random process
stationary random proc

f(x)
f(x,y)
f(x)
f(x(t))
f(x)

x x
x x y y covxy
x x covxy
x(t) x(t) covxy(t1,t2)
x x Rxx(t)

Description of continuous processes

General process:
Multidimensional probability distribution for every
set X(t1), X(t2), X(t3), .
Gaussian process:

Mean value for every point in time

Covariance for every two points in time
Stationary Gaussian process:

Mean value X
Autocovariance function RXX()

Spectrum

2
S xx ( )

Rxx ( ) cos d

Rxx ( )

S xx ( ) cos( ) d

x2 Rxx (0) S xx ( ) d
0

R2 ( ) a R1 ( )

S 2 ( ) a S1 ( )

R2 ( ) R1 ( ) cos 0

S 2 ( )

R2 ( ) R1 ( ) sin 0
R2 ( )

dn
R1 ( )
d n

S 2 ( ) i S1 ( )
n

R2 ( ) R1 ( ) R2 ( )

R ( )

R2 ( )
2

1
S1 ( 0 ) S1 ( 0 )
2
1
S 2 ( )
S1 ( 0 ) S1 ( 0 )
2i

S 2 ( ) S1 ( ) S 2 ( )

R1 ( ) g ( t )dt

S 2 ( ) G ( ) S1 ( )

R1 ( ) g (t )dt

S 2 ( ) G ( ) S1 ( )

Hereby G is the Fourier transform of g (t ) defined by:

G ( )

g (t ) e i t dt

G complex gonjugate of G
g (t ) real function
Table A.1: Properties of Fourier transforms.

R( )

R( ) ( )

S ( )

R( )

R( ) e

dt

S ( ) 1

area 1

1
R( ) 1

S ( ) 2 ( )

R( )

area 2

1
R( ) cos 0

S ( ) (0 ) (0 )

R( )

area 1

3
R ( )
1 sin

S ( )

R( )

4
R( )
sin cos
0

area 1

R( )

S ( )
area 1

1 2

S ( )

1
2
2 2

5
R( ) e

R( )

6
R( )

S ( )

sine function
x(t ) c sin t

c and deterministic, uniform on (0,2)

X= 0
1 2
c cos
2
1
; x c 2
2

cov x (t ) x (t ) Rxx ( )
1
2

x2 Rxx (0) c 2

Rxx ( )
1 2
2

Fig. A.4: Auto-covariancefunction of with uniform on .

SXX() = c2 (-k)

x(t ) c sin t
cov x ( t1 ) x ( t2 ) E{[ x (t1 ) x ( t1 ) ] [ x (t 2 ) x ( t2 ) ]}

cov x (t1 ) x (t2 ) E{x(t1 ) x(t2 )} E{c 2 sin t1 sin t2 }

2

cov x (t1 ) x (t2 )

sin t sin t d
1

cov x ( t1 ) x ( t2 )

c
2

1
c
cos t1 t2 d
2
2

1
cos t1 t2 2 d
2

c
c
cos t1 t2

sin t1 t2 2
4
8
0
0

1 2
c cos t1 t2
2

To Remember (1):

random
generator
k

Sk
ak 2 S k k

a sin t
N

k 1

Generation of a random process

To Remember (2):
x
t

Sx () = (1/) 0 T x(t) exp (it) dt

Sxx() = ( /T) Sx Sx*

x2 Rxx (0)

S xx ( ) d

Construction of the variance spectrum