Evolutionary Spectra Estimation Using Wavelets |
| |
Authors: | Pol D Spanos Giuseppe Failla |
| |
Affiliation: | 1George R. Brown School of Engineering, L. B. Ryon Chair in Engineering, Rice Univ., P.O. Box 1892, Houston, TX 77251. 2Researcher, Dipartimento di Meccanica e Materiali, Univ. “Mediterranea” di Reggio Calabria, Località Graziella Feo di Vito, 89060 Reggio Calabria, Italy.
|
| |
Abstract: | A wavelets-based method is developed to estimate the evolutionary power spectral density (EPSD) of nonstationary stochastic processes. The method relies on the property that the continuous wavelet transform of a nonstationary process can be treated as a stochastic process with EPSD given in terms of the EPSD of the process in a closed form. This yields an equation in the frequency domain relating the instantaneous mean-square value of the wavelet transform to the EPSD of the process. A number of these equations are considered, each related to a certain scale of the wavelet transform, in conjunction with representing the target EPSD as a sum of time-independent shape functions modulated by time-dependent coefficients; the squared moduli of the Fourier transforms of the wavelets associated with the selected scales are taken as shape functions. This leads to a linear system of equations which is solved to determine the unknown time-dependent coefficients; the same system matrix applies for all time instances. Numerical examples demonstrate the accuracy and computational efficiency of the proposed method. |
| |
Keywords: | Stationary processes Earthquakes Spectra Spectral density function Stochastic processes |
|
|