Continuous-Time Noise Modeling From Sampled Data

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1、IEEETRANSACTIONSONINSTRUMENTATIONANDMEASUREMENT,VOL.55,NO.6,DECEMBER20062253Continuous-TimeNoiseModelingFromSampledDataRikPintelon,Fellow,IEEE,JohanSchoukens,Fellow,IEEE,andPatrickGuillaumeAbstractMoststochasticprocessesinengineeringapplicationshaveanintrinsiccontinuous-time(CT)

2、nature,forexample,thenoisegeneratedbyresistorsandsemiconductordevices.AfewmethodsexistthatidentifyCTnoisemodelsfromsampleddata.Inthispaper,anewmethodbasedontheconceptoffilteredband-limitedwhitenoiseisintroduced,anin-depthanalysisofthebasicassumptionsmadebythedifferentapproachesis

3、given,andtheprosandconsofeachmethodarediscussed.Finally,thenewmethodisillustratedonarealmeasurementproblem,i.e.,theoperationalmodalanalysisofabridge.IndexTermsContinuoustime(CT),frequencydomain,noisemodels,systemidentification.I.INTRODUCTIONESPITEthefactthatmostnoise-generatingme

4、chanismsDhaveacontinuous-time(CT)nature(e.g.,thermalnoiseFig.1.Threedifferentnoise-generatingmechanismswithinazero-order-holdgeneratedbyresistorsornoisegeneratedbysemiconductor(topandmiddle)orband-limited(bottom)measurementsetup:Wienerprocessdevices),theirimpactinsystemidentifica

5、tionhasmostlybeen(top),piecewiseconstant(middle),andbandlimited(bottom).H(s)istheCTmodeledasdiscrete-time(DT)filteredwhitenoise[1]–[7].systemresponsibleforthenoisecoloring,andAA(s)istheantialiasfilter.Thetwomainreasonsforthisare1)thesuccessofdigi-aband-limitedmeasurementsetup.This

6、paperpresentsanin-talcontrolandtherelatedDTmodelingand2)themathe-depthanalysisofthebasicassumptionsmadebythedifferentmaticaldifficultyofhandlingstochasticdifferentialequationsapproachesanddiscussestheprosandconsofeachmethod.[1],[2].However,invariousdisciplinessuchasoperationalEsp

7、ecially,thenewmethodiselaboratedby1)providingamodalanalysis[8],signalprocessing[9],astrophysics[10],theoreticaljustificationforCTnoisemodeling,2)showingthatandeconometrics[11],CTnoisemodelingisofconsiderablethenonidealities(deviationsfromthebasicassumptions)ofimportance.Forexampl

8、e,inoperationalmodalanalysisofcivilthismethodca