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Spectral Analysis of Stochastically Sampled Dynamic Systems

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Abstract.

In this paper a spectral analysis methodology is introduced for stochastically sampled linear, dynamic, and stochastic continuous-time systems. This particular problem is considered for the purpose of investigating the spectral analysis issues associated with turbulent velocity measurements. The properties of the equivalent linear discrete-time system allow for the determination of the covariance between observations as a function of the number of in-between measurements. Subsequently, this autocovariance function is analyzed in the frequency domain.

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Authors and Affiliations

  1. Signals, Systems and Control Group, Department of Applied Physics, Delft University of Technology, Lorentzweg 1, 2628 CJ Delft, The Netherlands. r.banning@tn.tudelft.nl., , , , , , NL

    Reinder Banning

  2. Mathematical System Theory Group, Department of Information Technology and Systems, Delft University of Technology, Delft, The Netherlands., , , , , , NL

    Willem L. de Koning

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  1. Reinder Banning
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  2. Willem L. de Koning
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Date received: March 31, 1998. Date revised: November 11, 1999.

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Banning, R., de Koning, W. Spectral Analysis of Stochastically Sampled Dynamic Systems. Math. Control Signals Systems 14, 86–107 (2001). https://doi.org/10.1007/PL00009878

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  • DOI: https://doi.org/10.1007/PL00009878

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