Non-Parametric Estimation of Correlation Functions

Rune Brincker, Anders Rytter, Steen Krenk

    Publikation: Bog/antologi/afhandling/rapportRapportForskningpeer review

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    Resumé

    In this paper three methods of non-parametric correlation function estimation are reviewed and evaluated: the direct method, estimation by the Fast Fourier Transform and finally estimation by the Random Decrement technique. The basic ideas of the techniques are reviewed, sources of bias are pointed out, and methods to prevent bias are presented. The techniques are evaluated by comparing their speed and accuracy on the simple case of estimating auto-correlation functions for the response of a single degree-of-freedom system loaded with white noise.
    OriginalsprogEngelsk
    Udgivelses stedAalborg
    ForlagDept. of Building Technology and Structural Engineering, Aalborg University
    Antal sider15
    StatusUdgivet - 1991
    NavnFracture and Dynamics
    Nummer31
    Vol/bindR9120
    ISSN0902-7513

    Fingerprint

    White noise
    Autocorrelation
    Fast Fourier transforms

    Bibliografisk note

    Submitted to Experimental Mechanics

    PDF for print: 20 pp.

    Emneord

    • RDD
    • Fast Fourier Transform

    Citer dette

    Brincker, R., Rytter, A., & Krenk, S. (1991). Non-Parametric Estimation of Correlation Functions. Aalborg: Dept. of Building Technology and Structural Engineering, Aalborg University. Fracture and Dynamics, Nr. 31, Bind. R9120
    Brincker, Rune ; Rytter, Anders ; Krenk, Steen. / Non-Parametric Estimation of Correlation Functions. Aalborg : Dept. of Building Technology and Structural Engineering, Aalborg University, 1991. 15 s. (Fracture and Dynamics; Nr. 31, Bind R9120).
    @book{e55efbb07cbe11dc97b9000ea68e967b,
    title = "Non-Parametric Estimation of Correlation Functions",
    abstract = "In this paper three methods of non-parametric correlation function estimation are reviewed and evaluated: the direct method, estimation by the Fast Fourier Transform and finally estimation by the Random Decrement technique. The basic ideas of the techniques are reviewed, sources of bias are pointed out, and methods to prevent bias are presented. The techniques are evaluated by comparing their speed and accuracy on the simple case of estimating auto-correlation functions for the response of a single degree-of-freedom system loaded with white noise.",
    keywords = "RDD, Fast Fourier Transform, Fast Fourier Transform, RDD",
    author = "Rune Brincker and Anders Rytter and Steen Krenk",
    note = "Submitted to Experimental Mechanics PDF for print: 20 pp.",
    year = "1991",
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    Brincker, R, Rytter, A & Krenk, S 1991, Non-Parametric Estimation of Correlation Functions. Fracture and Dynamics, nr. 31, bind R9120, Dept. of Building Technology and Structural Engineering, Aalborg University, Aalborg.

    Non-Parametric Estimation of Correlation Functions. / Brincker, Rune; Rytter, Anders; Krenk, Steen.

    Aalborg : Dept. of Building Technology and Structural Engineering, Aalborg University, 1991. 15 s. (Fracture and Dynamics; Nr. 31, Bind R9120).

    Publikation: Bog/antologi/afhandling/rapportRapportForskningpeer review

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    AU - Krenk, Steen

    N1 - Submitted to Experimental Mechanics PDF for print: 20 pp.

    PY - 1991

    Y1 - 1991

    N2 - In this paper three methods of non-parametric correlation function estimation are reviewed and evaluated: the direct method, estimation by the Fast Fourier Transform and finally estimation by the Random Decrement technique. The basic ideas of the techniques are reviewed, sources of bias are pointed out, and methods to prevent bias are presented. The techniques are evaluated by comparing their speed and accuracy on the simple case of estimating auto-correlation functions for the response of a single degree-of-freedom system loaded with white noise.

    AB - In this paper three methods of non-parametric correlation function estimation are reviewed and evaluated: the direct method, estimation by the Fast Fourier Transform and finally estimation by the Random Decrement technique. The basic ideas of the techniques are reviewed, sources of bias are pointed out, and methods to prevent bias are presented. The techniques are evaluated by comparing their speed and accuracy on the simple case of estimating auto-correlation functions for the response of a single degree-of-freedom system loaded with white noise.

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    KW - Fast Fourier Transform

    KW - RDD

    M3 - Report

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    PB - Dept. of Building Technology and Structural Engineering, Aalborg University

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    Brincker R, Rytter A, Krenk S. Non-Parametric Estimation of Correlation Functions. Aalborg: Dept. of Building Technology and Structural Engineering, Aalborg University, 1991. 15 s. (Fracture and Dynamics; Nr. 31, Bind R9120).