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Using the DFT to synthesize multivariate orthogonal white noise series

  • Silesian University of Technology

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

Abstract

A new type of generators for multivariate orthogonal white time-series is presented. It is based on defining their spectral representation in the form of discrete-frequency flat power spectrum densities with disjoint frequencies, which correspond in the time domain to a multivariate orthogonal multisine random time-series. The spectral representations are via inverse Fast Fourier Transform translated into the time domain resulting in multivariate orthogonal multisines with correlation properties like true orthogonal multivariate white noise series. This approach works perfectly for finite-time realization in case of scalar and bivariate orthogonal white noise time-series and results in asymptotically-white gaussian scalar or bivariate time-series and asymptotically-white multivariate orthogonal time-series for greater dimensions. However, all white time-series generated this way, even short ones, have very good correlation properties. The enhancement of the accuracy of simulated identification using those time-series is illustrated by a number of examples.

Original languageEnglish
Pages (from-to)261-285
Number of pages25
JournalTransactions of the Society for Computer Simulation
Volume12
Issue number3
Publication statusPublished - Sept 1995

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications
  • Computer Graphics and Computer-Aided Design
  • Computational Theory and Mathematics

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