On a random vibration model

Abstract

A random vibration model is investigated in this paper. The model is formulated as a cosine function with a constant frequency and a random walk phase. We show that this model is second-order stationary and can be rewritten as a vector-valued AR(1) model as well as a scalar ARMA(2, 1) model. The linear innovation sequence of the AR(1) model is shown to be a martingale difference sequence while the linear innovation sequence of the ARMA(2, 1) model is only an uncorrelated sequence. A non-linear predictor is derived from the AR(1) model while a linear predictor is derived from the ARMA(2, 1) model. We deduce that the non-linear predictor of this model has less mean square error than that of the linear predictor. This has significance, for example, for predicting seasonal phenomena with this model. In addition, the limit distributions of the sample mean, the finite Fourier transforms and the autocovariance functions are derived using a martingale approach. The limit distribution of autocovariance functions differs from the classical result given by Bartlett's formula.