Abstract
A derivation of the power spectral density (PSD) matrix of a continuous-time, linear, constant-coefficient system with white Gaussian noise input is given. The assumption of wide-sense stationarity is not made. By transforming the two-dimensional (2-D) autocorrelation function (ACF), a 2-D spectral density is obtained that takes the system's transient behavior into account. The 2-D PSD is a non-separable rational function. The results are applicable to second-order Volterra series representations of nonlinear systems. Simulations are presented for a fourth order system that compare the 2-D PSD amplitude (both theoretical and empirical) with its 1-D counterpart on 50 realizations of a short data segment containing an initial transient.
Published Version
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