Stationary or Non-Stationary Random Excitation for Vibration-Based Structural Damage Detection? An exploratory study

Size: px
Start display at page:

Download "Stationary or Non-Stationary Random Excitation for Vibration-Based Structural Damage Detection? An exploratory study"

Transcription

1 Stationary or Non-Stationary Random Excitation for Vibration-Based Structural Damage Detection? An exploratory study Andriana S. GEORGANTOPOULOU & Spilios D. FASSOIS Stochastic Mechanical Systems & Automation (SMSA) Laboratory Department of Mechanical & Aeronautical Engineering University of Patras, GR Patras, Greece 6th International Symposium on NDT in Aerospace Madrid, Spain, 12-14th November 2014 SMSA Lab - University of Patras Damage Detectability Madrid, Spain, November 2014

2 Outline Talk Outline 1. Introduction 2. The structure & the damage scenario 3. The non-stationary random excitation signal 4. Assessing damage detectability 5. Damage detectability: non-stationary vs stationary excitation 6. Conclusions SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

3 Introduction 1. Introduction Random vibration based damage detection is popular as (Fan & Qiao 2010; Sakellariou & Fassois 2007) random vibration: May be easily induced in a controlled environment Is also naturally available Equipment for its measurement is widely available & inexpensive It may be lead to effective detection of damage at an early stage SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

4 Vibration-based SHM The UNDERLYING THESIS is that damage affects the dynamical characteristics! Early methods based on response range or similar characteristics are generally less sensitive and/or slower in responding Damage Dynamics Response SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

5 Introduction In a user-controlled excitation context, the excitation is typically chosen as a random white signal. Random white excitation Random vibration response t t ACF ρ σ 2 ACF ρ PSD S 0 τ PSD S 0 τ 0 ω 0 ω White signal equally excites all frequencies PSD reveals structural modes SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

6 Introduction The question posed and explored in this study: Can a more complex ( richer ) random excitation exhibiting non-stationary characteristics lead to improved damage detectability? Motivation Natural random excitation often is non-stationary. Is this a benefit? In a user-controlled environment should the excitation be chosen as nonstationary? Study Method For answering the question non-stationary random excitation is compared to stationary white excitation in terms of damage detectability. Monte Carlo experiments based on a damaged composite structure are used. SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

7 Local time τ (s) Introduction What is non-stationary excitation? Non-stationary excitation is characterized by Time-Varying (TV) characteristics: mean, variance, autocovariance (acf), power spectral density (psd) The special stationary case: Mean μ t = E x t = μ = const Variance σ t 2 = E x t μ 2 = σ 2 = const autocovariance (acf) γ t, t + τ = E x t μ x t + μ = γ[τ] (function of time lag τ) γ[τ] 0 τ power spectral density (psd) S(ω) =F {γ[τ]} (function of ω) S(ω) 0 ω s /2 ω The general non-stationary case: Mean μ t = E x t Variance σ 2 t = E x t μ[t] 2 autocovariance (acf) γ t, t + τ power spectral density (psd) S(ω 1, ω 2 ) =F {γ t, t + τ } A time-frequency distribution is preferred S(ω,t) Time t (s) SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

8 2. The structure and the damage scenario 2. The structure and the damage scenario Information on the Composite Beams Manufacturing Several layers of woven and unidirectional fabric Processing based on one shot Resin Transfer Molding Sampling frequency fs = Hz Sampling bandwidth Hz Signal length N = samples (24.06 s) Exciter Vibration Controller Signal conditioner Accelerometers Force sensor LDS Model V406 LDS COMET USB COM-200 PCB F482A20 8 chanels PCB ICP 352C22, Piezotronics Inc. PCB 288D01 impedance head Beam Dimensions Length: 600 mm Width: 65 mm Height: 65 mm Thickness: 3 mm Square hollow cross section SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

9 2. The structure and the damage scenario Two Structural states: Healthy & Damaged (Damage applied via a pendulum type impact hammer impact 15J) The two structural states are represented by a distinct ARX simulation model each. Model selection ARX (53,53) SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

10 3. The non-stationary random excitation signal 3. The non-stationary random excitation signal The non-stationary excitation is designed as: Zero-mean Gaussian Three lightly damped modes Two anti-resonant modes Signal realization Stationary white noise Time-Varying Filter Non-Stationary random excitation SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

11 3. The non-stationary random excitation signal The TV Filter is synthesized from the selected modes and is of the form: (Poulimenos & Fassois 2006) nb nc x t + b i t x t i = w t + c i t w t i, w t ~ NID(0, σ w 2 ) i=1 i=1 x t b i t, c i t : force excitation signal : Time-dependent AR/MA parameters n a =6, n b =4 w t : non-stationary, zero-mean, uncorrelated (innovations) signal with variance Time-dependent ARMA (TARMA) model for the non-stationary excitation σ w 2 Typical excitation realization SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

12 3. The non-stationary random excitation signal 2D TV-PSD The theoretical "frozen" TARMA-based TV-PSD of the synthesized non-stationary force excitation 3D TV-PSD SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

13 4. Assessing damage detectability 4. Assessing damage detectability In an output-only context damage detection may be based on the structural vibration response & specifically its frozen TV-PSD. (healthy or damaged) Estimate random structural response model Damage Detection Steps Obtain the model-based frozen TV-PSD Obtain the distance of the current TV-PSD to its healthy counterpart: Structure d t = S ω, t S 0 ω, t 2ω < threshold healthy else Structure current healthy damaged SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

14 4. Assessing damage detectability The random structural response model Non-stationary Recursive AR (RAR) model (Poulimenos & Fassois 2006) y t + na a i i=1 vibration response signal [t] y t i = e t, Time-dependent AR parameters zero-mean, uncorrelated (innovations) signal with TV variance e[t]~nid(0, σ e 2 [t]) Estimation Recursive Least Squares (RLS) with forgetting factor λ (Ljung 1999) θ t = θ t 1 + L t [y t φ Τ (t)θ t 1 ] L t = P t 1 φ(t) λ t + φ Τ (t)p t 1 φ(t) P t = P t 1 P t 1 φ t φτ t P t 1 λ t + φ Τ t P t 1 φ t /λ t Model-based Frozen TV-PSD S F ω, t σ e 2 [t] = 1 + n a i=1 1 a i [t] e jωt si 2 ω: frequency Ts: sampling period j: the imaginary unit : complex magnitude SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

15 5. Damage detectability: non-stationary vs stationary excitation 5. Damage detectability: non-stationary vs stationary excitation Non-stationary excitation Model & λ selection: Selected model: RAR(68) with λ= Model order search Estimation find best BIC, RSS/SSS for n a =40,...,80 Forgetting factor λ=0.92:0.001:0.999 Recursive Least Squares (MATLAB rarx.m), initial parameter vector 0, initial covariance vector 10 8 I Selected model λ RSS/SSS (%) BIC SPP* RAR(68) *Samples Per Parameter SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

16 5. Damage detectability: non-stationary vs stationary excitation 2D TV-PSD Healthy state RAR(68)-based frozen TV-PSD 2D TV-PSD Damaged state SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

17 5. Damage detectability: non-stationary vs stationary excitation Model selection Stationary excitation Selected model: AR(62) Healthy vs Damaged PSD Estimation Model Least squares (MATLAB arx.m) AR(62) RSS/SSS (%) BIC SPP* *Samples Per Parameter SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

18 5. Damage detectability: non-stationary vs stationary excitation Damage detectability: non-stationary vs stationary excitation d t = d S o ω, t, S ω, t = S o ω, t S ω, t 2ω (t is dropped in the stationary case) d(t) for experiment 1 d(t) for experiment 2 SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

19 5. Damage detectability: non-stationary vs stationary excitation d(t) for 50 experiments SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

20 5. Damage detectability: non-stationary vs stationary excitation Monte Carlo experiments for 3 damage levels (50 exps per level) Impact 15J Impact 10J Impact 5J SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

21 6. 4. Conclusions 6. Conclusions Q1: Natural random excitation often is non-stationary. Is this a potential benefit? Answer: yes, it could be. Q2: In a user-controlled environment should the excitation be chosen as non-stationary? Answer: As demonstrated, the use of non-stationary excitation may improve damage detectability. This study has provided a first indication on the potential of non-stationary excitation for improved damage detectability. More concrete results require further work. SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

22 Thank you for your attention! Acknowledgements The support of this study by the European Commission (FP7 Project on Global In Flight Health Monitoring Platform for Composite Aerostructures Based on Advanced Vibration Based Methods VIBRATION) is gratefully acknowledged. Thanks to all partners for their contributions. For more information please visit SMSA Lab (University of Patras) Damage Detectability Madrid, Spain, November /23

Stationary or Non-Stationary Random Excitation for Vibration-Based Structural Damage Detection? An exploratory study

Stationary or Non-Stationary Random Excitation for Vibration-Based Structural Damage Detection? An exploratory study 6th International Symposium on NDT in Aerospace, 12-14th November 2014, Madrid, Spain - www.ndt.net/app.aerondt2014 More Info at Open Access Database www.ndt.net/?id=16938 Stationary or Non-Stationary

More information

the Functional Model Based Method

the Functional Model Based Method Multi-Site Damage Localization via the Functional Model Based Method Christos S. Sakaris, John S. Sakellariou and Spilios D. Fassois Stochastic Mechanical Systems & Automation (SMSA) Laboratory Department

More information

Vibration Based Health Monitoring for a Thin Aluminum Plate: Experimental Assessment of Several Statistical Time Series Methods

Vibration Based Health Monitoring for a Thin Aluminum Plate: Experimental Assessment of Several Statistical Time Series Methods Vibration Based Health Monitoring for a Thin Aluminum Plate: Experimental Assessment of Several Statistical Time Series Methods Fotis P. Kopsaftopoulos and Spilios D. Fassois Stochastic Mechanical Systems

More information

A. Poulimenos, M. Spiridonakos, and S. Fassois

A. Poulimenos, M. Spiridonakos, and S. Fassois PARAMETRIC TIME-DOMAIN METHODS FOR NON-STATIONARY RANDOM VIBRATION IDENTIFICATION AND ANALYSIS: AN OVERVIEW AND COMPARISON A. Poulimenos, M. Spiridonakos, and S. Fassois DEPARTMENT OF MECHANICAL & AERONAUTICAL

More information

NON-STATIONARY MECHANICAL VIBRATION MODELING AND ANALYSIS

NON-STATIONARY MECHANICAL VIBRATION MODELING AND ANALYSIS NON-STATIONARY MECHANICAL VIBRATION MODELING AND ANALYSIS VIA FUNCTIONAL SERIES TARMA MODELS A.G. Poulimenos and S.D. Fassois DEPARTMENT OF MECHANICAL &AERONAUTICAL ENGINEERING GR-26500 PATRAS, GREECE

More information

OUTPUT-ONLY STATISTICAL TIME SERIES METHODS FOR STRUCTURAL HEALTH MONITORING: A COMPARATIVE STUDY

OUTPUT-ONLY STATISTICAL TIME SERIES METHODS FOR STRUCTURAL HEALTH MONITORING: A COMPARATIVE STUDY 7th European Workshop on Structural Health Monitoring July 8-11, 2014. La Cité, Nantes, France More Info at Open Access Database www.ndt.net/?id=17198 OUTPUT-ONLY STATISTICAL TIME SERIES METHODS FOR STRUCTURAL

More information

Vibration-Response-Based Damage Detection For Wind Turbine Blades Under Varying Environmental Conditions

Vibration-Response-Based Damage Detection For Wind Turbine Blades Under Varying Environmental Conditions Vibration-Response-Based Damage Detection For Wind Turbine Blades Under Varying Environmental Conditions Ana Gómez González Spilios D. Fassois Stochastic Mechanical Systems & Automation (SMSA) Laboratory

More information

T.-C.J. Aravanis, J.S. Sakellariou and S.D. Fassois

T.-C.J. Aravanis, J.S. Sakellariou and S.D. Fassois Vibration based fault detection under variable non-measurable, operating conditions via a stochastic Functional Model method and application to railway vehicle suspensions T.-C.J. Aravanis, J.S. Sakellariou

More information

Scalar and Vector Time Series Methods for Vibration Based Damage Diagnosis in a Scale Aircraft Skeleton Structure

Scalar and Vector Time Series Methods for Vibration Based Damage Diagnosis in a Scale Aircraft Skeleton Structure Scalar and Vector Time Series Methods for Vibration Based Damage Diagnosis in a Scale Aircraft Skeleton Structure Fotis P. Kopsaftopoulos and Spilios D. Fassois Stochastic Mechanical Systems & Automation

More information

Multi Channel Output Only Identification of an Extendable Arm Structure Under Random Excitation: A comparison of parametric methods

Multi Channel Output Only Identification of an Extendable Arm Structure Under Random Excitation: A comparison of parametric methods Multi Channel Output Only Identification of an Extendable Arm Structure Under Random Excitation: A comparison of parametric methods Minas Spiridonakos and Spilios Fassois Stochastic Mechanical Systems

More information

Non-Stationary Random Vibration Parametric Modeling and its Application to Structural Health Monitoring

Non-Stationary Random Vibration Parametric Modeling and its Application to Structural Health Monitoring Non-Stationary Random Vibration Parametric Modeling and its Application to Structural Health Monitoring Luis David Avendaño-Valencia and Spilios D. Fassois Stochastic Mechanical Systems and Automation

More information

Parametric Output Error Based Identification and Fault Detection in Structures Under Earthquake Excitation

Parametric Output Error Based Identification and Fault Detection in Structures Under Earthquake Excitation Parametric Output Error Based Identification and Fault Detection in Structures Under Earthquake Excitation J.S. Sakellariou and S.D. Fassois Department of Mechanical & Aeronautical Engr. GR 265 Patras,

More information

Onboard Engine FDI in Autonomous Aircraft Using Stochastic Nonlinear Modelling of Flight Signal Dependencies

Onboard Engine FDI in Autonomous Aircraft Using Stochastic Nonlinear Modelling of Flight Signal Dependencies Onboard Engine FDI in Autonomous Aircraft Using Stochastic Nonlinear Modelling of Flight Signal Dependencies Dimitrios G. Dimogianopoulos, John D. Hios and Spilios D. Fassois Stochastic Mechanical Systems

More information

Output Only Parametric Identification of a Scale Cable Stayed Bridge Structure: a comparison of vector AR and stochastic subspace methods

Output Only Parametric Identification of a Scale Cable Stayed Bridge Structure: a comparison of vector AR and stochastic subspace methods Output Only Parametric Identification of a Scale Cable Stayed Bridge Structure: a comparison of vector AR and stochastic subspace methods Fotis P. Kopsaftopoulos, Panagiotis G. Apostolellis and Spilios

More information

model random coefficient approach, time-dependent ARMA models, linear parameter varying ARMA models, wind turbines.

model random coefficient approach, time-dependent ARMA models, linear parameter varying ARMA models, wind turbines. Damage/Fault Diagnosis in an Operating Wind Turbine Under Uncertainty via a Vibration Response Gaussian Mixture Random Coefficient Model Based Framework Luis David Avendaño-Valencia and Spilios D. Fassois,.

More information

Identification Methods for Structural Systems

Identification Methods for Structural Systems Prof. Dr. Eleni Chatzi Lecture 13-29 May, 2013 Courtesy of Prof. S. Fassois & Dr. F. Kopsaftopoulos, SMSA Group, University of Patras Statistical methods for SHM courtesy of Prof. S. Fassois & Dr. F. Kopsaftopoulos,

More information

Week 5 Quantitative Analysis of Financial Markets Characterizing Cycles

Week 5 Quantitative Analysis of Financial Markets Characterizing Cycles Week 5 Quantitative Analysis of Financial Markets Characterizing Cycles Christopher Ting http://www.mysmu.edu/faculty/christophert/ Christopher Ting : christopherting@smu.edu.sg : 6828 0364 : LKCSB 5036

More information

NONLINEAR INTEGRAL MINIMUM VARIANCE-LIKE CONTROL WITH APPLICATION TO AN AIRCRAFT SYSTEM

NONLINEAR INTEGRAL MINIMUM VARIANCE-LIKE CONTROL WITH APPLICATION TO AN AIRCRAFT SYSTEM NONLINEAR INTEGRAL MINIMUM VARIANCE-LIKE CONTROL WITH APPLICATION TO AN AIRCRAFT SYSTEM D.G. Dimogianopoulos, J.D. Hios and S.D. Fassois DEPARTMENT OF MECHANICAL & AERONAUTICAL ENGINEERING GR-26500 PATRAS,

More information

Econometría 2: Análisis de series de Tiempo

Econometría 2: Análisis de series de Tiempo Econometría 2: Análisis de series de Tiempo Karoll GOMEZ kgomezp@unal.edu.co http://karollgomez.wordpress.com Segundo semestre 2016 II. Basic definitions A time series is a set of observations X t, each

More information

Vector-dependent Functionally Pooled ARX Models for the Identification of Systems Under Multiple Operating Conditions

Vector-dependent Functionally Pooled ARX Models for the Identification of Systems Under Multiple Operating Conditions Preprints of the 16th IFAC Symposium on System Identification The International Federation of Automatic Control Vector-dependent Functionally Pooled ARX Models for the Identification of Systems Under Multiple

More information

Identification of Stochastic Systems Under Multiple Operating Conditions: The Vector Dependent FP ARX Parametrization

Identification of Stochastic Systems Under Multiple Operating Conditions: The Vector Dependent FP ARX Parametrization Identification of Stochastic Systems Under Multiple Operating Conditions: The Vector Dependent FP ARX Parametrization Fotis P Kopsaftopoulos and Spilios D Fassois Abstract The problem of identifying stochastic

More information

Non-Stationary Time-dependent ARMA Random Vibration Modeling, Analysis & SHM with Wind Turbine Applications

Non-Stationary Time-dependent ARMA Random Vibration Modeling, Analysis & SHM with Wind Turbine Applications Non-Stationary Time-dependent ARMA Random Vibration Modeling, Analysis & SHM with Wind Turbine Applications Luis David Avendaño-Valencia Department of Mechanical Engineering and Aeronautics University

More information

ELEG 3143 Probability & Stochastic Process Ch. 6 Stochastic Process

ELEG 3143 Probability & Stochastic Process Ch. 6 Stochastic Process Department of Electrical Engineering University of Arkansas ELEG 3143 Probability & Stochastic Process Ch. 6 Stochastic Process Dr. Jingxian Wu wuj@uark.edu OUTLINE 2 Definition of stochastic process (random

More information

Advanced Econometrics

Advanced Econometrics Advanced Econometrics Marco Sunder Nov 04 2010 Marco Sunder Advanced Econometrics 1/ 25 Contents 1 2 3 Marco Sunder Advanced Econometrics 2/ 25 Music Marco Sunder Advanced Econometrics 3/ 25 Music Marco

More information

Some Time-Series Models

Some Time-Series Models Some Time-Series Models Outline 1. Stochastic processes and their properties 2. Stationary processes 3. Some properties of the autocorrelation function 4. Some useful models Purely random processes, random

More information

TAKEHOME FINAL EXAM e iω e 2iω e iω e 2iω

TAKEHOME FINAL EXAM e iω e 2iω e iω e 2iω ECO 513 Spring 2015 TAKEHOME FINAL EXAM (1) Suppose the univariate stochastic process y is ARMA(2,2) of the following form: y t = 1.6974y t 1.9604y t 2 + ε t 1.6628ε t 1 +.9216ε t 2, (1) where ε is i.i.d.

More information

Prof. Dr. Roland Füss Lecture Series in Applied Econometrics Summer Term Introduction to Time Series Analysis

Prof. Dr. Roland Füss Lecture Series in Applied Econometrics Summer Term Introduction to Time Series Analysis Introduction to Time Series Analysis 1 Contents: I. Basics of Time Series Analysis... 4 I.1 Stationarity... 5 I.2 Autocorrelation Function... 9 I.3 Partial Autocorrelation Function (PACF)... 14 I.4 Transformation

More information

Vibration Based Statistical Damage Detection For Scale Wind Turbine Blades Under Varying Environmental Conditions

Vibration Based Statistical Damage Detection For Scale Wind Turbine Blades Under Varying Environmental Conditions Vibration Based Statistical Damage Detection For Scale Wind Turbine Blades Under Varying Environmental Conditions Ana Gómez González, Spilios D. Fassois Stochastic Mechanical Systems & Automation (SMSA)

More information

Minitab Project Report Assignment 3

Minitab Project Report Assignment 3 3.1.1 Simulation of Gaussian White Noise Minitab Project Report Assignment 3 Time Series Plot of zt Function zt 1 0. 0. zt 0-1 0. 0. -0. -0. - -3 1 0 30 0 50 Index 0 70 0 90 0 1 1 1 1 0 marks The series

More information

Time Series Analysis

Time Series Analysis Time Series Analysis hm@imm.dtu.dk Informatics and Mathematical Modelling Technical University of Denmark DK-2800 Kgs. Lyngby 1 Outline of the lecture Input-Output systems The z-transform important issues

More information

Non-stationary functional series modeling and analysis of hardware reliability series: a comparative study using rail vehicle interfailure times

Non-stationary functional series modeling and analysis of hardware reliability series: a comparative study using rail vehicle interfailure times Reliability Engineering and System Safety 68 (2000) 169 183 www.elsevier.com/locate/ress Non-stationary functional series modeling and analysis of hardware reliability series: a comparative study using

More information

Exercises - Time series analysis

Exercises - Time series analysis Descriptive analysis of a time series (1) Estimate the trend of the series of gasoline consumption in Spain using a straight line in the period from 1945 to 1995 and generate forecasts for 24 months. Compare

More information

18.S096 Problem Set 4 Fall 2013 Time Series Due Date: 10/15/2013

18.S096 Problem Set 4 Fall 2013 Time Series Due Date: 10/15/2013 18.S096 Problem Set 4 Fall 2013 Time Series Due Date: 10/15/2013 1. Covariance Stationary AR(2) Processes Suppose the discrete-time stochastic process {X t } follows a secondorder auto-regressive process

More information

Mechanical Systems and Signal Processing

Mechanical Systems and Signal Processing Mechanical Systems and Signal Processing 39 (213) 143 161 Contents lists available at SciVerse ScienceDirect Mechanical Systems and Signal Processing journal homepage: www.elsevier.com/locate/ymssp A functional

More information

Stochastic Processes. A stochastic process is a function of two variables:

Stochastic Processes. A stochastic process is a function of two variables: Stochastic Processes Stochastic: from Greek stochastikos, proceeding by guesswork, literally, skillful in aiming. A stochastic process is simply a collection of random variables labelled by some parameter:

More information

Introduction to ARMA and GARCH processes

Introduction to ARMA and GARCH processes Introduction to ARMA and GARCH processes Fulvio Corsi SNS Pisa 3 March 2010 Fulvio Corsi Introduction to ARMA () and GARCH processes SNS Pisa 3 March 2010 1 / 24 Stationarity Strict stationarity: (X 1,

More information

Time series methods for fault detection and identification in vibrating structures

Time series methods for fault detection and identification in vibrating structures Time series methods for fault detection and identification in vibrating structures By Spilios D. Fassois and John S. Sakellariou Stochastic Mechanical Systems (SMS) Group Department of Mechanical & Aeronautical

More information

Statistical Time Series Methods for Vibration Based Structural Health Monitoring

Statistical Time Series Methods for Vibration Based Structural Health Monitoring Statistical Time Series Methods for Vibration Based Structural Health Monitoring Spilios D. Fassois and Fotis P. Kopsaftopoulos Stochastic Mechanical Systems & Automation (SMSA) Laboratory Department of

More information

Class 1: Stationary Time Series Analysis

Class 1: Stationary Time Series Analysis Class 1: Stationary Time Series Analysis Macroeconometrics - Fall 2009 Jacek Suda, BdF and PSE February 28, 2011 Outline Outline: 1 Covariance-Stationary Processes 2 Wold Decomposition Theorem 3 ARMA Models

More information

If we want to analyze experimental or simulated data we might encounter the following tasks:

If we want to analyze experimental or simulated data we might encounter the following tasks: Chapter 1 Introduction If we want to analyze experimental or simulated data we might encounter the following tasks: Characterization of the source of the signal and diagnosis Studying dependencies Prediction

More information

On Moving Average Parameter Estimation

On Moving Average Parameter Estimation On Moving Average Parameter Estimation Niclas Sandgren and Petre Stoica Contact information: niclas.sandgren@it.uu.se, tel: +46 8 473392 Abstract Estimation of the autoregressive moving average (ARMA)

More information

Estimation of electromechanical modes in power systems using system identification techniques

Estimation of electromechanical modes in power systems using system identification techniques Estimation of electromechanical modes in power systems using system identification techniques Vedran S. Peric, Luigi Vanfretti, X. Bombois E-mail: vperic@kth.se, luigiv@kth.se, xavier.bombois@ec-lyon.fr

More information

CFRP Bonds Evaluation Using Piezoelectric Transducer

CFRP Bonds Evaluation Using Piezoelectric Transducer 4th International Symposium on NDT in Aerospace 2012 - Th.1.B.2 CFRP Bonds Evaluation Using Piezoelectric Transducer Paweł MALINOWSKI*, Łukasz SKARBEK*, Tomasz WANDOWSKI*, Wiesław OSTACHOWICZ* * Institute

More information

CONTROL SYSTEMS, ROBOTICS, AND AUTOMATION - Vol. V - Prediction Error Methods - Torsten Söderström

CONTROL SYSTEMS, ROBOTICS, AND AUTOMATION - Vol. V - Prediction Error Methods - Torsten Söderström PREDICTIO ERROR METHODS Torsten Söderström Department of Systems and Control, Information Technology, Uppsala University, Uppsala, Sweden Keywords: prediction error method, optimal prediction, identifiability,

More information

The Laplace driven moving average a non-gaussian stationary process

The Laplace driven moving average a non-gaussian stationary process The Laplace driven moving average a non-gaussian stationary process 1, Krzysztof Podgórski 2, Igor Rychlik 1 1 Mathematical Sciences, Mathematical Statistics, Chalmers 2 Centre for Mathematical Sciences,

More information

Rozwiązanie zagadnienia odwrotnego wyznaczania sił obciąŝających konstrukcje w czasie eksploatacji

Rozwiązanie zagadnienia odwrotnego wyznaczania sił obciąŝających konstrukcje w czasie eksploatacji Rozwiązanie zagadnienia odwrotnego wyznaczania sił obciąŝających konstrukcje w czasie eksploatacji Tadeusz Uhl Piotr Czop Krzysztof Mendrok Faculty of Mechanical Engineering and Robotics Department of

More information

Stochastic Processes. M. Sami Fadali Professor of Electrical Engineering University of Nevada, Reno

Stochastic Processes. M. Sami Fadali Professor of Electrical Engineering University of Nevada, Reno Stochastic Processes M. Sami Fadali Professor of Electrical Engineering University of Nevada, Reno 1 Outline Stochastic (random) processes. Autocorrelation. Crosscorrelation. Spectral density function.

More information

EEM 409. Random Signals. Problem Set-2: (Power Spectral Density, LTI Systems with Random Inputs) Problem 1: Problem 2:

EEM 409. Random Signals. Problem Set-2: (Power Spectral Density, LTI Systems with Random Inputs) Problem 1: Problem 2: EEM 409 Random Signals Problem Set-2: (Power Spectral Density, LTI Systems with Random Inputs) Problem 1: Consider a random process of the form = + Problem 2: X(t) = b cos(2π t + ), where b is a constant,

More information

Parametric Signal Modeling and Linear Prediction Theory 1. Discrete-time Stochastic Processes (cont d)

Parametric Signal Modeling and Linear Prediction Theory 1. Discrete-time Stochastic Processes (cont d) Parametric Signal Modeling and Linear Prediction Theory 1. Discrete-time Stochastic Processes (cont d) Electrical & Computer Engineering North Carolina State University Acknowledgment: ECE792-41 slides

More information

ECO 513 Fall 2009 C. Sims CONDITIONAL EXPECTATION; STOCHASTIC PROCESSES

ECO 513 Fall 2009 C. Sims CONDITIONAL EXPECTATION; STOCHASTIC PROCESSES ECO 513 Fall 2009 C. Sims CONDIIONAL EXPECAION; SOCHASIC PROCESSES 1. HREE EXAMPLES OF SOCHASIC PROCESSES (I) X t has three possible time paths. With probability.5 X t t, with probability.25 X t t, and

More information

Reliability and Risk Analysis. Time Series, Types of Trend Functions and Estimates of Trends

Reliability and Risk Analysis. Time Series, Types of Trend Functions and Estimates of Trends Reliability and Risk Analysis Stochastic process The sequence of random variables {Y t, t = 0, ±1, ±2 } is called the stochastic process The mean function of a stochastic process {Y t} is the function

More information

EL1820 Modeling of Dynamical Systems

EL1820 Modeling of Dynamical Systems EL1820 Modeling of Dynamical Systems Lecture 10 - System identification as a model building tool Experiment design Examination and prefiltering of data Model structure selection Model validation Lecture

More information

Pure Random process Pure Random Process or White Noise Process: is a random process {X t, t 0} which has: { σ 2 if k = 0 0 if k 0

Pure Random process Pure Random Process or White Noise Process: is a random process {X t, t 0} which has: { σ 2 if k = 0 0 if k 0 MODULE 9: STATIONARY PROCESSES 7 Lecture 2 Autoregressive Processes 1 Moving Average Process Pure Random process Pure Random Process or White Noise Process: is a random process X t, t 0} which has: E[X

More information

Time Series Examples Sheet

Time Series Examples Sheet Lent Term 2001 Richard Weber Time Series Examples Sheet This is the examples sheet for the M. Phil. course in Time Series. A copy can be found at: http://www.statslab.cam.ac.uk/~rrw1/timeseries/ Throughout,

More information

Lesson 15: Building ARMA models. Examples

Lesson 15: Building ARMA models. Examples Lesson 15: Building ARMA models. Examples Dipartimento di Ingegneria e Scienze dell Informazione e Matematica Università dell Aquila, umberto.triacca@ec.univaq.it Examples In this lesson, in order to illustrate

More information

Jinki Kim Department of Mechanical Engineering University of Michigan

Jinki Kim Department of Mechanical Engineering University of Michigan Bistable and Adaptive Piezoelectric Circuitry for Impedance-Based Structural Health Monitoring Jinki Kim Department of Mechanical Engineering University of Michigan April 20 2017 Outline of the Presentation

More information

Stat 248 Lab 2: Stationarity, More EDA, Basic TS Models

Stat 248 Lab 2: Stationarity, More EDA, Basic TS Models Stat 248 Lab 2: Stationarity, More EDA, Basic TS Models Tessa L. Childers-Day February 8, 2013 1 Introduction Today s section will deal with topics such as: the mean function, the auto- and cross-covariance

More information

Estimation of Unsteady Loading for Sting Mounted Wind Tunnel Models

Estimation of Unsteady Loading for Sting Mounted Wind Tunnel Models 52nd AIAA/ASME/ASCE/AHS/ASC Structures, Structural Dynamics and Materials Conference 19th 4-7 April 2011, Denver, Colorado AIAA 2011-1941 Estimation of Unsteady Loading for Sting Mounted Wind Tunnel

More information

Predictive information in Gaussian processes with application to music analysis

Predictive information in Gaussian processes with application to music analysis Predictive information in Gaussian processes with application to music analysis Samer Abdallah 1 and Mark Plumbley 2 1 University College London 2 Queen Mary University of London Abstract. We describe

More information

Stochastic Dynamics of SDOF Systems (cont.).

Stochastic Dynamics of SDOF Systems (cont.). Outline of Stochastic Dynamics of SDOF Systems (cont.). Weakly Stationary Response Processes. Equivalent White Noise Approximations. Gaussian Response Processes as Conditional Normal Distributions. Stochastic

More information

Duration-Based Volatility Estimation

Duration-Based Volatility Estimation A Dual Approach to RV Torben G. Andersen, Northwestern University Dobrislav Dobrev, Federal Reserve Board of Governors Ernst Schaumburg, Northwestern Univeristy CHICAGO-ARGONNE INSTITUTE ON COMPUTATIONAL

More information

Measurement of Structural Intensity Using an Angular Rate Sensor

Measurement of Structural Intensity Using an Angular Rate Sensor Measurement of Structural Intensity Using an Angular Rate Sensor Nobuaki OMATA 1 ; Hiroki NAKAMURA ; Yoshiyuki WAKI 3 ; Atsushi KITAHARA 4 and Toru YAMAZAKI 5 1,, 5 Kanagawa University, Japan 3, 4 BRIDGESTONE,

More information

series of ship structural stresses

series of ship structural stresses TimeWhipping/springing response in the time series analysis series of ship structural stresses in marine science and applicat Wengang Mao*, Igor Rychlik ions for industry Chalmers University of Technology,

More information

Données, SHM et analyse statistique

Données, SHM et analyse statistique Données, SHM et analyse statistique Laurent Mevel Inria, I4S / Ifsttar, COSYS, SII Rennes 1ère Journée nationale SHM-France 15 mars 2018 1 Outline 1 Context of vibration-based SHM 2 Modal analysis 3 Damage

More information

FE570 Financial Markets and Trading. Stevens Institute of Technology

FE570 Financial Markets and Trading. Stevens Institute of Technology FE570 Financial Markets and Trading Lecture 5. Linear Time Series Analysis and Its Applications (Ref. Joel Hasbrouck - Empirical Market Microstructure ) Steve Yang Stevens Institute of Technology 9/25/2012

More information

Module 3. Descriptive Time Series Statistics and Introduction to Time Series Models

Module 3. Descriptive Time Series Statistics and Introduction to Time Series Models Module 3 Descriptive Time Series Statistics and Introduction to Time Series Models Class notes for Statistics 451: Applied Time Series Iowa State University Copyright 2015 W Q Meeker November 11, 2015

More information

Econ 424 Time Series Concepts

Econ 424 Time Series Concepts Econ 424 Time Series Concepts Eric Zivot January 20 2015 Time Series Processes Stochastic (Random) Process { 1 2 +1 } = { } = sequence of random variables indexed by time Observed time series of length

More information

Automated Modal Parameter Estimation For Operational Modal Analysis of Large Systems

Automated Modal Parameter Estimation For Operational Modal Analysis of Large Systems Automated Modal Parameter Estimation For Operational Modal Analysis of Large Systems Palle Andersen Structural Vibration Solutions A/S Niels Jernes Vej 10, DK-9220 Aalborg East, Denmark, pa@svibs.com Rune

More information

Lecture 15. Theory of random processes Part III: Poisson random processes. Harrison H. Barrett University of Arizona

Lecture 15. Theory of random processes Part III: Poisson random processes. Harrison H. Barrett University of Arizona Lecture 15 Theory of random processes Part III: Poisson random processes Harrison H. Barrett University of Arizona 1 OUTLINE Poisson and independence Poisson and rarity; binomial selection Poisson point

More information

X t = a t + r t, (7.1)

X t = a t + r t, (7.1) Chapter 7 State Space Models 71 Introduction State Space models, developed over the past 10 20 years, are alternative models for time series They include both the ARIMA models of Chapters 3 6 and the Classical

More information

Basics on 2-D 2 D Random Signal

Basics on 2-D 2 D Random Signal Basics on -D D Random Signal Spring 06 Instructor: K. J. Ray Liu ECE Department, Univ. of Maryland, College Park Overview Last Time: Fourier Analysis for -D signals Image enhancement via spatial filtering

More information

Time Series I Time Domain Methods

Time Series I Time Domain Methods Astrostatistics Summer School Penn State University University Park, PA 16802 May 21, 2007 Overview Filtering and the Likelihood Function Time series is the study of data consisting of a sequence of DEPENDENT

More information

Econ 623 Econometrics II Topic 2: Stationary Time Series

Econ 623 Econometrics II Topic 2: Stationary Time Series 1 Introduction Econ 623 Econometrics II Topic 2: Stationary Time Series In the regression model we can model the error term as an autoregression AR(1) process. That is, we can use the past value of the

More information

UAV Navigation: Airborne Inertial SLAM

UAV Navigation: Airborne Inertial SLAM Introduction UAV Navigation: Airborne Inertial SLAM Jonghyuk Kim Faculty of Engineering and Information Technology Australian National University, Australia Salah Sukkarieh ARC Centre of Excellence in

More information

An example of correlation matrix based mode shape expansion in OMA

An example of correlation matrix based mode shape expansion in OMA An example of correlation matrix based mode shape expansion in OMA Rune Brincker 1 Edilson Alexandre Camargo 2 Anders Skafte 1 1 : Department of Engineering, Aarhus University, Aarhus, Denmark 2 : Institute

More information

Principal Component Analysis vs. Independent Component Analysis for Damage Detection

Principal Component Analysis vs. Independent Component Analysis for Damage Detection 6th European Workshop on Structural Health Monitoring - Fr..D.4 Principal Component Analysis vs. Independent Component Analysis for Damage Detection D. A. TIBADUIZA, L. E. MUJICA, M. ANAYA, J. RODELLAR

More information

Notes on Random Processes

Notes on Random Processes otes on Random Processes Brian Borchers and Rick Aster October 27, 2008 A Brief Review of Probability In this section of the course, we will work with random variables which are denoted by capital letters,

More information

Lecture 1: Pragmatic Introduction to Stochastic Differential Equations

Lecture 1: Pragmatic Introduction to Stochastic Differential Equations Lecture 1: Pragmatic Introduction to Stochastic Differential Equations Simo Särkkä Aalto University, Finland (visiting at Oxford University, UK) November 13, 2013 Simo Särkkä (Aalto) Lecture 1: Pragmatic

More information

LECTURES 2-3 : Stochastic Processes, Autocorrelation function. Stationarity.

LECTURES 2-3 : Stochastic Processes, Autocorrelation function. Stationarity. LECTURES 2-3 : Stochastic Processes, Autocorrelation function. Stationarity. Important points of Lecture 1: A time series {X t } is a series of observations taken sequentially over time: x t is an observation

More information

An Indicator for Separation of Structural and Harmonic Modes in Output-Only Modal Testing Brincker, Rune; Andersen, P.; Møller, N.

An Indicator for Separation of Structural and Harmonic Modes in Output-Only Modal Testing Brincker, Rune; Andersen, P.; Møller, N. Aalborg Universitet An Indicator for Separation of Structural and Harmonic Modes in Output-Only Modal Testing Brincker, Rune; Andersen, P.; Møller, N. Published in: Proceedings of the European COST F3

More information

Parametric Signal Modeling and Linear Prediction Theory 1. Discrete-time Stochastic Processes

Parametric Signal Modeling and Linear Prediction Theory 1. Discrete-time Stochastic Processes Parametric Signal Modeling and Linear Prediction Theory 1. Discrete-time Stochastic Processes Electrical & Computer Engineering North Carolina State University Acknowledgment: ECE792-41 slides were adapted

More information

Definition of a Stochastic Process

Definition of a Stochastic Process Definition of a Stochastic Process Balu Santhanam Dept. of E.C.E., University of New Mexico Fax: 505 277 8298 bsanthan@unm.edu August 26, 2018 Balu Santhanam (UNM) August 26, 2018 1 / 20 Overview 1 Stochastic

More information

Computer Exercise 1 Estimation and Model Validation

Computer Exercise 1 Estimation and Model Validation Lund University Time Series Analysis Mathematical Statistics Fall 2018 Centre for Mathematical Sciences Computer Exercise 1 Estimation and Model Validation This computer exercise treats identification,

More information

Operational modal analysis using forced excitation and input-output autoregressive coefficients

Operational modal analysis using forced excitation and input-output autoregressive coefficients Operational modal analysis using forced excitation and input-output autoregressive coefficients *Kyeong-Taek Park 1) and Marco Torbol 2) 1), 2) School of Urban and Environment Engineering, UNIST, Ulsan,

More information

VARIANCE COMPUTATION OF MODAL PARAMETER ES- TIMATES FROM UPC SUBSPACE IDENTIFICATION

VARIANCE COMPUTATION OF MODAL PARAMETER ES- TIMATES FROM UPC SUBSPACE IDENTIFICATION VARIANCE COMPUTATION OF MODAL PARAMETER ES- TIMATES FROM UPC SUBSPACE IDENTIFICATION Michael Döhler 1, Palle Andersen 2, Laurent Mevel 1 1 Inria/IFSTTAR, I4S, Rennes, France, {michaeldoehler, laurentmevel}@inriafr

More information

Statistical Damage Detection Using Time Series Analysis on a Structural Health Monitoring Benchmark Problem

Statistical Damage Detection Using Time Series Analysis on a Structural Health Monitoring Benchmark Problem Source: Proceedings of the 9th International Conference on Applications of Statistics and Probability in Civil Engineering, San Francisco, CA, USA, July 6-9, 2003. Statistical Damage Detection Using Time

More information

1 Linear Difference Equations

1 Linear Difference Equations ARMA Handout Jialin Yu 1 Linear Difference Equations First order systems Let {ε t } t=1 denote an input sequence and {y t} t=1 sequence generated by denote an output y t = φy t 1 + ε t t = 1, 2,... with

More information

TIME SERIES AND FORECASTING. Luca Gambetti UAB, Barcelona GSE Master in Macroeconomic Policy and Financial Markets

TIME SERIES AND FORECASTING. Luca Gambetti UAB, Barcelona GSE Master in Macroeconomic Policy and Financial Markets TIME SERIES AND FORECASTING Luca Gambetti UAB, Barcelona GSE 2014-2015 Master in Macroeconomic Policy and Financial Markets 1 Contacts Prof.: Luca Gambetti Office: B3-1130 Edifici B Office hours: email:

More information

STAT Financial Time Series

STAT Financial Time Series STAT 6104 - Financial Time Series Chapter 2 - Probability Models Chun Yip Yau (CUHK) STAT 6104:Financial Time Series 1 / 34 Agenda 1 Introduction 2 Stochastic Process Definition 1 Stochastic Definition

More information

Reliable Condition Assessment of Structures Using Uncertain or Limited Field Modal Data

Reliable Condition Assessment of Structures Using Uncertain or Limited Field Modal Data Reliable Condition Assessment of Structures Using Uncertain or Limited Field Modal Data Mojtaba Dirbaz Mehdi Modares Jamshid Mohammadi 6 th International Workshop on Reliable Engineering Computing 1 Motivation

More information

DEVELOPMENT OF A NOVEL ACTIVE ISOLATION CONCEPT 1

DEVELOPMENT OF A NOVEL ACTIVE ISOLATION CONCEPT 1 DEVELOPMENT OF A NOVEL ACTIVE ISOLATION CONCEPT 1 Michiel J. Vervoordeldonk, Theo A.M. Ruijl, Rob M.G. Rijs Philips Centre for Industrial Technology, PO Box 518, 5600 MD Eindhoven, The Netherlands 2 1

More information

Lecture 4 - Spectral Estimation

Lecture 4 - Spectral Estimation Lecture 4 - Spectral Estimation The Discrete Fourier Transform The Discrete Fourier Transform (DFT) is the equivalent of the continuous Fourier Transform for signals known only at N instants separated

More information

RESPONSE SPECTRUM METHOD FOR ESTIMATION OF PEAK FLOOR ACCELERATION DEMAND

RESPONSE SPECTRUM METHOD FOR ESTIMATION OF PEAK FLOOR ACCELERATION DEMAND RESPONSE SPECTRUM METHOD FOR ESTIMATION OF PEAK FLOOR ACCELERATION DEMAND Shahram Taghavi 1 and Eduardo Miranda 2 1 Senior catastrophe risk modeler, Risk Management Solutions, CA, USA 2 Associate Professor,

More information

Principles of Communications

Principles of Communications Principles of Communications Chapter V: Representation and Transmission of Baseband Digital Signal Yongchao Wang Email: ychwang@mail.xidian.edu.cn Xidian University State Key Lab. on ISN November 18, 2012

More information

Nonlinear Time Series Modeling

Nonlinear Time Series Modeling Nonlinear Time Series Modeling Part II: Time Series Models in Finance Richard A. Davis Colorado State University (http://www.stat.colostate.edu/~rdavis/lectures) MaPhySto Workshop Copenhagen September

More information

A time series is called strictly stationary if the joint distribution of every collection (Y t

A time series is called strictly stationary if the joint distribution of every collection (Y t 5 Time series A time series is a set of observations recorded over time. You can think for example at the GDP of a country over the years (or quarters) or the hourly measurements of temperature over a

More information

Chapter 4: Models for Stationary Time Series

Chapter 4: Models for Stationary Time Series Chapter 4: Models for Stationary Time Series Now we will introduce some useful parametric models for time series that are stationary processes. We begin by defining the General Linear Process. Let {Y t

More information

Least costly probing signal design for power system mode estimation

Least costly probing signal design for power system mode estimation 1 Least costly probing signal design for power system mode estimation Vedran S. Perić, Xavier Bombois, Luigi Vanfretti KTH Royal Institute of Technology, Stockholm, Sweden NASPI Meeting, March 23, 2015.

More information

742. Time-varying systems identification using continuous wavelet analysis of free decay response signals

742. Time-varying systems identification using continuous wavelet analysis of free decay response signals 74. Time-varying systems identification using continuous wavelet analysis of free decay response signals X. Xu, Z. Y. Shi, S. L. Long State Key Laboratory of Mechanics and Control of Mechanical Structures

More information

SF2943: TIME SERIES ANALYSIS COMMENTS ON SPECTRAL DENSITIES

SF2943: TIME SERIES ANALYSIS COMMENTS ON SPECTRAL DENSITIES SF2943: TIME SERIES ANALYSIS COMMENTS ON SPECTRAL DENSITIES This document is meant as a complement to Chapter 4 in the textbook, the aim being to get a basic understanding of spectral densities through

More information