Order #FO7C70BFCC81

Buyer: nicholassalis
December 14, 2018

Version 1.0 (December 15, 2018)

PLEASE DELETE THIS FIRST PAGE IF THIS IS THE FINAL VERSION

Input data
Generate Gaussian process
Filter with 1KHz cutof
Generate impulse response
Generate output of the filter by convolution between the
process realizations and the impulse response
1.1 Autocorrelation plot
1.2 Calculate Power
1.3 Power spectral density - TO CHOOSE METHOD
2. Sample with n*T -> basically this means decimation. Let's
try by a factor of 2
3 Estimate power based on a limited number of N samples,
for diferent sampling periods
4. Mean Square Error

% Clean Start
clear
close all

Input data
Bw = 1e3; % Signal bandwidth
Fs = 10*Bw;% Sampling frequency must be at least 2*Bw. Choose oversampling
dt = 1/Fs; % Sampling period - useful for constructing the time array
N = 2e4; % Number of samples
R = 1e2; % Number of realizations
m = 1; % mean value
sigma = 1; % standard deviation

Generate Gaussian process

x = sigma*randn(N,R) + m;
t = 0:dt:dt*(N-1);
t = t-t(end)/2;
t = t';
figure(1)
plot(t,x)
xlabel('t[s]')
ylabel('x(t)')
title(['All the ',num2str(R),' realizations vs time'])
Filter with 1KHz cutof
Wn = Bw/(Fs/2);
ord = 200;
[B,A] = fir1(ord,Wn,'low');
x_filtered = filtfilt(B,A,x);
figure(2)
plot(t,x_filtered)
xlabel('t[s]')
ylabel('x_{filtered}(t)')
title(['All the ',num2str(R),' filtered realizations vs time'])
Generate impulse response
h = exp(-t/0.1).*heaviside(t);
figure(3)
plot(t,h)
xlabel('t[s]')
ylabel('h(t)')
title('Filter impulse response')
Generate output of the filter by convolution between the process
realizations and the impulse response
y = zeros(N,R);
for i = 1:R
y(:,i) = conv(x(:,i),h,'same');
end
figure(4)
plot(t,y)
xlabel('t[s]')
ylabel('y(t)')
title(['All the ',num2str(R),' filter outputs vs time'])
1.1 Autocorrelation plot
figure(5)
hold on
for i = 1:R
[acf,lags,bounds] = autocorr(y(:,i),N-1);
plot(lags,acf)
end
xlabel('lags(y(t))')
ylabel('autocorr(y)')
title(['All the ',num2str(R),' autocorrelations'])
hold off
1.2 Calculate Power
power_original = (1/N)*(sum(y.^2));
figure(6)
plot(power_original)
xlabel('realizations')
ylabel('Power')
title('Power of y(t) vs realizations')
1.3 Power spectral density - TO CHOOSE METHOD
dF = Fs/N;
F = -Fs/2:dF:Fs/2-dF;
[PSD,F] = pwelch(y,[],[],F,Fs);
figure(7)
plot(F,PSD)
xlabel('Frequency [Hz])')
ylabel('PSD')
title(['All the ',num2str(R),' power spectral densities'])
% or
Y = fft(y);
Y = Y./(N);
Y = Y.*conj(Y);
Sy = mean(Y,2);
SSy = fftshift(Y);
figure(8)
plot(F,SSy)
xlabel('Frequency [Hz]')
ylabel('PSD')
title(['All the ',num2str(R),' power spectral densities'])
2. Sample with n*T -> basically this means decimation. Let's try by a
factor of 2
f = 2;
Fs2 = Fs/f;
T = 1/Fs2;
N2 = round(N/f);
y2 = zeros(N2,R);
figure(9)
hold on
for i = 1:R
y2(:,i) = decimate(y(:,i),f);
[acf,lags,bounds] = autocorr(y2(:,i),N2-1);
plot(lags,acf)
end
xlabel('lags(y2(t))')
ylabel('autocorr(y2)')
title(['All the ',num2str(R),' autocorrelations'])
hold off
% Recalculate power for the resampled(decimated) signal
power_decimated = (1/length(y2) )* sum(y2.^2);
figure(10)
plot(power_decimated)
xlabel('realizations')
ylabel('Resampled power')
title('Resampled power of y(t) vs realizations')
% Recalculate power spectral density for the resampled(decimated signal)
dF = Fs2/N2;
F = -Fs2/2:dF:Fs2/2-dF;
[PSD,F] = pwelch(y2,[],[],F,Fs2);
figure(11)
plot(F,PSD)
xlabel('Frequency [Hz]')
ylabel('PSD')
title(['All the resampled ',num2str(R),' power spectral densities'])
3 Estimate power based on a limited number of N samples, for
diferent sampling periods
f = [1:10];
Fs2 = Fs./f; % Sampling frequency decreases
T2 = 1./Fs2; % Sampling period increases
N2 = round(N./f); % total number of samples decreases
Nmax = N;

for j = 1:length(f)
for i = 1:R
y2 = decimate(y(1:Nmax,i),f(j));
% Power
powerN(j,i) = (1/length(y2))*(sum(y2.^2));
% Average value
mean_N(j,i) = mean(y2);
% Variance
var_N(j,i) = var(y2);
end
end
figure(12)
plot(powerN')
xlabel('realizations')
ylabel('Power')
title('Power of y(t) vs realizations')
figure(13)
plot(mean_N')
xlabel('realizations')
ylabel('Mean value')
title('Mean value of y(t) vs realizations')
figure(14)
plot(var_N')
xlabel('realizations')
ylabel('Variance')
title('Variance of y(t) vs realizations')
4. Mean Square Error
T = f*dt;
errors = (power_original - powerN).^2;
mean_sq_err = sum(errors')/R;
figure(15)
plot(T,mean_sq_err)
xlabel('Sampling period')
ylabel('Mean Square Error')
title('Mean Square Error vs sampling period')
axis('tight')