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I want to create a time series in MATLAB which has a peak frequency of 40 Hz but is also a wide-sense stationary random process. I then want to use power spectral density estimation to recover the spectral content (with a peak at 40 Hz).

Any ideas on how to to do this?

I have tried doing a variety of things including:

1) Create a time series and add random noise. Both the Fourier transform and the PSD recover the true spectrum and the Fourier transform recovers sharper peak. So why use PSD?

2) Create a time series and add a random phase. Fourier transform recovers sharper peak at 40 Hz. Why use PSD?

3) Create a time series with random noise and then randomly sample the time series by pulling data samples from the time series with replacement. This results in random spectra with no peaks using either Fourier transform or PSD.

4) Create a time series with random noise and then re-sample the time series at a lower sample rate. This results in both Fourier transform and PSD recovering the peak at 40 Hz but, once again, the Fourier transform has sharper peaks.

I am trying to create a synthetic time series where PSD estimation is necessary and useful to recover the correct spectral information. But so far I can only create a time series where either a) Fourier transform is superior and recovers sharper peaks; or b) Neither Fourier transform or PSD recover useful spectral information.

Below is an example of a 1 s noisy time series composed of sinusoids with 200, 300 and 400 Hz. The Fourier transform recovers very sharp peaks (e.g. approximately delta functions) whereas the PSD smooths out the peaks due to windowing and averaging.

enter image description here

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  • $\begingroup$ Is there some specific issue you are having? This sounds like a do-my-homework question. $\endgroup$ – AnonSubmitter85 Jan 31 at 20:14
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    $\begingroup$ Not homework. I'm a geophysicist who often works with time series but has never really been trained with statistics. Our time series are always considered "wide sense stationary" and I'm trying to get a handle on what that actually means in a practical way. I figure that if I can create a synthetic "wide sense stationary" time series then I will have a better understanding of what this type of time series actually is. I've added some more details to the question. $\endgroup$ – Darcy Feb 3 at 17:11
  • $\begingroup$ Can you be more specific or post an example of what you mean by sharper peaks? The PSD is often estimated as just the Fourier transform multiplied by its own conjugate. There are other methods for estimating it that can give finer results under certain conditions, but in general they are not that different. And wide-sense stationary just means that the statistics are not a function of time, so, for instance, estimating the noise power over different time intervals should yield similar values. $\endgroup$ – AnonSubmitter85 Feb 3 at 17:35
  • $\begingroup$ I added an example showing how the Fourier transform recovers very sharp peaks whereas the PSD smooths out the peaks. Why would someone ever use the PSD when the Fourier transform gives greater accuracy? $\endgroup$ – Darcy Feb 3 at 18:21
  • $\begingroup$ How are you estimating the PSD? It looks like it's estimated using a much shorter time span. Can you paste in your matlab code? $\endgroup$ – AnonSubmitter85 Feb 3 at 18:29
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I'm not an expert in this area but I can think of

  • Add random noise to a 40-Hz sine wave: ts = std*randn(1,N) + sin(2*pi*40*t)

  • Add a random phase: phi = std*randn(1,N); ts = sin(2*pi*40*t + phi)

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  • $\begingroup$ Neither of these work. $\endgroup$ – Darcy Feb 3 at 17:09
  • $\begingroup$ Can you give me more details? I've tried both and I know they work. $\endgroup$ – MBaz Feb 3 at 18:41

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