Hole: GEOS 4174 3.

1-1 Time Series Analysis: Fourier Analysis

TIME SERIES ANALYSIS
Fourier Analysis
Sheriff & Geldart, Chapter 9
Sheriff & Geldart, Section 15.2
most physical systems are well-behaved:
e.g, piecewise smooth (first derivative is piecewise continuous: finite, finite # of discontinuities)
this function is piecewise smooth this function is not (it has infinite derivative)
Edwards and Penney, 1985, Elementary Differential Equations with Applications
a function is periodic if it repeats itself:

u t +T ( ) = u t ( )
the smallest value of T is called the period of the function
Fourier Theorem:
a well-behaved, periodic function of period T can be written as:

u t ( ) =
a
0
2
+ a
n
cos
2n
T
t
[
\
|

)
j + b
n
sin
2n
T
t
[
\
|

)
j
|
|
|
|
|
|
n=1

2n
T
= 2nf
0
= n
0
this expression is called the Fourier Series
at a discontinuity, the infinite series converges to the average value on either side
Hole: GEOS 4174 3.1-2 Time Series Analysis: Fourier Analysis
orthogonality
for vectors, the projection of one vector upon another is defined by the dot product:


v
u
v
v =
u
x
u
y
u
z

v
x
v
y
v
z










= u
x
v
x
+ u
y
v
y
+ u
z
v
z
two vectors are orthogonal (perpendicular) if the dot product equals zero
the x,y,z coordinate system (basis) is defined by orthogonal unit vectors

x , y , z
vectors are a list of numbers functions are an infinitely long list of numbers
for functions, the projection of one function upon another is defined by the inner product

u t ( ), v t ( ) = u t ( )v t ( )dt

two functions are orthogonal (perpendicular) if the inner product equals zero
the cosines and sines in the Fourier series are orthogonal functions

cos n ( ) cos m ( )d
0
2

=
nm
sin n ( )sin m ( )d
0
2

=
nm
cos n ( )sin m ( )d
0
2

= 0
nm
=
1 n = m
0 n m
thus cosines and sines form a coordinate system (basis) for the -dimensional vector space
Hole: GEOS 4174 3.1-3 Time Series Analysis: Fourier Analysis
Fourier Series

u t ( ) =
a
0
2
+ a
n
cos n
0
t ( ) + b
n
sin n
0
t ( ) [ ]
n=1

using orthogonality of the sines and cosines:

a
n
= 2 f
0
u t ( ) cos n
0
t ( )dt

T
2
T
2

b
n
= 2 f
0
u t ( )sin n
0
t ( )dt

T
2
T
2

the a
n
and b
n
are the projections of u(t) upon the basis functions (sines and cosines)
they are the components of the function in each vector direction
they are called the Fourier coefficients
using the trigonometric identity:

cos ( ) = coscos +sinsin
the Fourier series can alternatively be written as

u t ( ) = A
0
+ A
n
cos n
0
t
n
( )
n=0

A
0
=
a
0
2
A
n
= a
n
2
+ b
n
2

n
= arctan
b
n
a
n
A
n
is the amplitude and
n
is the phase of u(t)
at each frequency f
n
=nf
0
0
n
2 is a cosine wave that arrives later (is delayed)
phase delay corresponds to a time delay

n
= 2f
n
t
delay,n
Ikelle & Amundsen 2005
Hole: GEOS 4174 3.1-4 Time Series Analysis: Fourier Analysis
Fourier Series
example:

Yilmaz 2001
Hole: GEOS 4174 3.1-5 Time Series Analysis: Fourier Analysis
Fourier Transform
the Fourier series can also be expressed in terms of the complex exponential


u t ( ) =
n
e
jn
0
t
n=

e
j
= cos + j sin j = 1

n
= f
0
u t ( )e
m jn
0
t
dt

T
2
T
2

n
=
1
2
a
n
m jb
n
( )
the Fourier coefficients
n
are complex numbers
note that the coefficients at negative frequency (negative n ) are the complex conjugate of the
coefficients at the corresponding positive frequency
up to this point, we have assumed that u(t) is a well-behaved periodic function
a non-periodic function can be considered by letting T go to infinity
then
0
goes to zero and the interval between frequencies
n
goes to zero
thus the summation becomes an integral over infinitesimally close-together frequencies
and the Fourier coefficients
n
are replaced by a continuous function U()

U ( ) = u t ( )e
jt
dt

u t ( ) =
1
2
U ( )e
jt
d

U() is the Fourier transform of u(t) u(t) is the inverse Fourier transform of U()
U() is in the frequency domain u(t) is in the time domain
the same information can be represented in either the time or the frequency domain
Hole: GEOS 4174 3.1-6 Time Series Analysis: Fourier Analysis
Fourier transform
the Fourier transform result U() is called the frequency spectrum of u(t)
it is a complex function

U ( ) = U
R
( ) + jU
I
( )
where R and I indicate the Real and Imaginary parts of U
the complex spectrum can be expressed as an amplitude spectrum and a phase spectrum

U ( ) = A ( )e
j ( )
A = U
R
2
+U
I
2
= arctan
U
I
U
R
the symmetry of the forward and inverse Fourier transforms is obvious
for this reason, two parts of the Fourier transform definition (above) are not consistently used
sometimes the +/- signs in the exponents will be flipped for forward & inverse transforms
sometimes the 1/2 will be moved to the forward transform, or distributed in both
the symmetry of the Fourier transform produces

U ( ) =U
*
( ) =U
R
( ) jU
I
( ) A ( ) = A ( ) ( ) = ( )
where the * indicates the complex conjugate
for this reason, we typically only look at the positive frequencies
Fourier analysis can also be performed on functions of space (or any other variable)

U k ( ) = u x ( )e
jkx
dx

u x ( ) =
1
2
U k ( )e
jkx
dk

k =
2

U(k) is in the wavenumber domain u(x) is in the space domain

Hole: GEOS 4174 3.1-7 Time Series Analysis: Fourier Analysis
theorems on Fourier transforms
use the following notation to indicate a Fourier transform pair

u t ( ) U ( )
the Fourier transform is linear

k
1
u
1
t ( ) + k
2
u
2
t ( ) k
1
U
1
( ) + k
2
U
2
( )
time shift produces a linear phase shift

u t a ( ) e
ja
U ( )
time stretch produces a frequency dilation

u at ( )
1
a
U

a






derivative produces a 90 phase shift and a linear scaling

du t ( )
dt
jU ( )
Yilmaz 2001
Hole: GEOS 4174 3.1-8 Time Series Analysis: Fourier Analysis
transforms of special functions
boxcar function

box t ( ) =
A t
1
2A
0 t >
1
2A

sin

2A

2A
= sinc

2A
sinc
t
2A
box ( )
Ikelle & Amundsen 2005
delta function (Dirac delta)
imagine a boxcar of zero width, but an area underneath of 1

t ( ) 1
Sheriff & Gelldart 1995
cosine, sine functions

cos
0
t ( ) +
0
( ) +
0
( ) [ ]
cos
0
t ( ) j +
0
( )
0
( ) [ ]
Sheriff & Gelldart 1995
comb

comb t ( ) = t n ( )
n=

comb ( ) =
2

m
2

n=

Sheriff & Gelldart 1995

Hole: GEOS 4174 3.1-9 Time Series Analysis: Fourier Analysis
sampling
to collect digital data, we put the continuous ground motion signal through an analog to digital (A-
D) converter
for a total time T , collect N data samples at sample interval t

u
i
= u it ( ) i = 0, N 1
Ikelle & Amundsen 2005
sampling theorem:
the maximum frequency that can be successfully sampled is the Nyquist frequency

f
recoverable
< f
Nyquist
=
1
2t
the maximum frequency in the data must be sampled at
least twice per period
higher spatial frequencies in the original signal will be
aliased
Yilmaz 2001
the frequency recorded is given by

f
aliased
= 2nf
Nyquist
f
true
n = integer f
aliased
< f
Nyquist
higher frequencies appear as signal at less than Nyquist frequency
must filter analog signal before sampling
must filter digital signal before re-sampling at larger sample interval
exercise: for petroleum data to 100 Hz, what sampling interval is required?
Ikelle & Amundsen 2005
Hole: GEOS 4174 3.1-10 Time Series Analysis: Fourier Analysis
discrete Fourier transform
for a discretized signal u
i
, the discrete Fourier transform is

U
k
=
1
N
u
i
e
j
2ik
N
k=0
N1

u
i
= U
k
e
j
2ik
N
i=0
N1

i, k = 0, N 1
again, due to symmetry, the 1/N term is sometimes located in the other equation or in both
by definition, both series u
i
and U
k
are assumed to be periodic, repeating beyond sample (N-
1)
sample U
N/2
is at the Nyquist frequency
sample interval for u
i
is t and the time-length of u
i
is T=Nt
sample interval for U
k
is f=1/T and the total frequency-length of U
k
is f
max
=Nf=1/t
fast Fourier transform (FFT)
a computer algorithm to compute the discrete Fourier transform (and inverse) very efficiently
only works for N = 2
n
the original time series is padded (zeroes added to the end) to satisfy this condition
the existence and efficiency of this algorithm allows computations to be performed in either the time
or frequency domain, whichever is most efficient or natural
built into most numerical toolboxes (e.g., Mathematica, Matlab, etc.)