agnew
agnew
RESEARCH
LETTERS,
VOL.19,NO.4,PAGES
333-336,
FEBRUARY
21,1992
TttETIME-DOMAIN
BEHAVIOR
OFPOWER-LAW
NOISES
DuncanCarrAgnew
Institute
ofGeophysics
andPlanetary
Physics,
University
ofCalifornia,
San
Diego
Abstract.The power spectraof many geophysical phenomena models andthespectral form(1) aremathematicalidealizations,
arewellapproximated by a power-law dependence onfrequency andin differentsituations
either
one might be thebetter
descrip-
or wavenumber.I derivea simpleexpression for the root-mean- tionof actual
data.I havechosen to use(1) asa modelbecause
squarevariability
of a processwithsucha spectrum overaninter- my mainpurpose is theinterpretation
of spectra,
for which(1)
valof timeor space.The resulting expressionyieldsthepower- caneasilybe generalized (Section
4). It is worthnotingthat
lawtimedependence characteristic
of fractalprocesses,butcanbe recentstatistical
studies[Mohr, 1981;Graf, !983] haveshown
generalized
to givethetemporal variability
formoregeneral spec- thatthebestmethod fordeterminingH istocompute thepower
tralbehaviors.The methodis appliedto spectraof crustalstrain
spectorre,
fit a functionof the form (1) to it, andthenfind H
(toshowwhatsizeof straineventscanbe detected
overperiods fromthev sodetermined; in thatviewv could beregarded asthe
of months
to seconds)
andof sealevel(to showthedifficultyof morefundamental parmeter.
extracting
long-termratesfrom shortrecords). However, it should
benotedthat(1) is notin generala com-
1. Introduction
pletespecification
of a process;the powerspectrum is onlya
summary of second
moments (variance
versusfrequency).Sto-
Manytypesof geophysical
datacomefrom processes
so com- chasticprocesseswithidentical powerspectra canhavevery
plexthattheiroutcome
is besttakento be random,
evenif the different
appearances
in thetimedomain[Press,1978]. I address
thispointmorefully below.
underlying
physicsis not; the mostefficientcharacterizations
of
suchdata are likely to be a statisticalmodel. The aim of this
2. Time-Domain Variation
paperis to developa usefulrelationfor a particular(butcommon)
classof suchmodels,and showseveralapplications
if it.
The particulartype of model consideredmight be calledthe Thequestion tobe addressedhereis howto gofromthepower
power-law
process.This is a one-dimensionalstochastic spectrum
process to (1) to thevariationof the process
overtime T; thatis,
the statistics of
whosebehaviorin the time domain(or spacedomainif appropri-
ate)we denoteby x (t); this time-domainbehavioris suchthat its yr(t) = x(t+T) - x(t) (2)
powerspecmanhasthe form
This quantity
wasintroduced
by Kolmogorov
in studiesof the
Pz(f) = PoOe/fo)v (1) theoryof turbulence,
andits secondmoment,underthe nameof
wheref is spatialor temporalfrequency,P o andfo are normal-
structure
function
of x, hasseenwideusein meteorology
and
izingconstants, andv is the spectralindex. The reasonfor adopt-
elsewhere[LindsayandChic,1976].Theattraction of lookingat
thevariation
of x overa fixedtimeT is thatyr(t) is oftensta-
ingthisformis that it is observedto be a goodfit to the spectra
tionary,
andthuseasilycharacterized
statistically,
evenwhenx(t)
of a wide variety of geophysicalphenomena, often over many is nonstationary
(asmustbe truefor v < -1). Butthe statistics of
decades of frequency.The indexv oftenfalls in the range-3 to Yr mayoftenbeasof muchinterest asthoseof x; in particxt!ar,if
-1, meaningthat the energyat low frequencies exceedsthat at we wantto decidewhether
somerecentfluctuation in x (t) is con-
highfrequencies (a "red" spectrum).Spectraof this formhave
beenfoundfor bathymetrywith v = -2.3 [Malinaverno,1989];
sistent
withitspastbehavior
it is tothedistribution
of Yr thatwe
faultandjoint geometry, with v = -2 [Poweret al., 1987];and
mustturn. Unfommately,
if we choose
to summarize
thispast
behavioras havinga spectrum
of the form (1), the fractional
crustaldeformation, with v = -2.7 [Wyattet al., 1988]. Brownianmotionsof Mandelbrotand Van Ness [1968] tam out
Despitethe ubiquityof stochastic processes with power-law
SlYecrm,theyhavereceivedrelativelylittle attentionin the statisti-
to beveryinconvenient,
sincetheexpression
forthepowerspec-
trum of suchprocesses
is extremelycomplicated
[Graf, 1983;
cal literature.The only exceptionhas been the casev =-2,
whichcorresponds to a randomwalk (Brownianmotion):thisis Geweke
andPorter-Hudake,
1983].Thereis thusnosimplerela-
tionshipbetweenthe spectrumof such processesand their
theintegral
of whitenoise(for whichv = 0), the spectral
index variation in the time domain.
beingshifted
to -2 by theoperation
of integration(andsquaring
to get power). Mandelbrot and Van Ness [1968] developed
Thereis howevera relatively
simplemethodwherebywe can
relatethespecUal
level(1) to thedistribution
of yr(t), provided
mathematical
formsfor processes
thathavepowerspectra
closeto thatwe onlyaim to findonly the secondmoment,or variance,of
(1),those
with-3 < v <-1 beingtermed"fractional
BrownJanYr (denoted
by <yr2>),
which,asnotedabove,
is thestructure
motions,"and those with-1 <v < 1, "fractionalGaussian
function.Thisrestrictionis of courseunavoidablegiventhatour
noises."
Mandelbrot[1983]provides a generaldiscussion
of basicdescription is the powerspecman.Specifyingonly the
the•,andFeder[1988]a readable
introduction. secondmoment is adequate to definethedistribution
of Yr if it is
Forclarity,
it shouldbe notedthatthemodels introduced
by Gaussian.This restriction
will not usuallybe seriouslyviolated
Mandelbrot
donothaveexact power-law spectra
[Graf1983],
and for real data,but shouldbe kept in mind beforeinferencesabout
indeedaremoreusually discussed
in termsof theirbehaviorthecomplete distribution
aremade fromthevalueof<yrZ>.
underchangesin timescale(assming themto representa time To determine <yr2> from thespecmun,weobserve thaty(t) is
series).
In thisview,theimportantpmameterbecomes a number derivedfromx (t) by convolution;
we canrewrite(2), in thenota-
H, called
byMandelbrot [1983]theHurstexponent;aswewill tion of Bracewell[1965], as
seebelow,H = -•/2(v + 1). In practice,both Mandelbrot's
y(t) = x(t), [•t-T) - •t)] (3)
Copyright
1992bytheAmerican
Geophysical
Union. Straightforward
application
of the resultsof Fouriertheorythen
showsthatthepowerspectrum
of Yr is givenby
Paper
number
91GL02832
0094-8534/92/9!GL.02832503.00 Py(f) ---IGr(f)l:Px(f)
333
19448007, 1992, 4, Downloaded from https://agupubs.onlinelibrary.wiley.com/doi/10.1029/91GL02832 by Inst of Microbial Technology, Wiley Online Library on [10/08/2023]. See the Terms and Conditions (https://onlinelibrary.wiley.com/terms-and-conditions) on Wiley Online Library for rules of use; OA articles are governed by the applicable Creative Commons License
334 Agnew:The Time-Domain
Behaviorof Power-lawNoises
This immediatelyimplies that the standarddeviationof Yr, Px(f) = Pi(f/f i)vt f i-1< f < f i (6)
or = (<YT2>)
v•,isproportional
to T-(v+ly2,
orTH in Mandelbrot'swith f0 beingsetto zero. The integral(4) thenbecomesthesum
notation;
forv =-2, wefindOTproportionalto T•, thefamiliar of integralsover eachfrequencyinterval. Becauseof the oscilla-
resultfor Brownianmotion. The definiteintegralin (5), and thus tory natureof the integrandandthe wide rangein frequency,
the
the coefficientCv, can be found in closedform: numerical integration must be done with some care. For
-1 •rfT n: 1, we may approximatesin•rfT by xfT; for largevalues
Cv --' of thisquantity
weusesin2•rfT
= 1/2(1- cos2•rfT),
which
leads
2v+l•vr(-v)cos(v•2)
to two integrals,one of which can be doneanalytically,theoth•
which
forv =-2 gives
Cv= 2•. Figure
1 shows
C•aoverthe of which, though still requiringnumericalintegration,becomes
range-3 < v < -1, and illustrateshow the expression(4) goesto small for •rfT large.
infinityat both limits of this rangebecauseof the divergence in
the integralin (5). Thesedivergences occurat oppositelimits of 3. Comparison
with SpectralCrossover
Approach
the integral;put crudely, as v approaches-3, the low-frequency
fluctuationsin x(t) become so large that y(T) becomesnonsta- Agnew[1987] described
anotherproblemrelatingto power-law
tionary,while as v approaches-1,the high-frequency fluctuations processes:
how to comparea recordwhose errorsare of thisfore
in ;•(t) approachan ultravioletcatastrophe,with infinitevariance with measurements with independent erroro madeat regular
at high frequencies.This latter divergencewill not be a concern intervalsA. Cllfis characterizesthe problemof comparing crustal
in practice,and couldbe eliminatedin the theoryby replacingthe deformationmeasurements made usingstrainmetersand tiltme•rs
•-functionsin (3) with finite-widthsamplingfunctions. with thosemadeby geodeticmethods.)For a spectralindexless
A majorassumption hasbeenpassedoverin usingequation(1) than-1, therewill be somefrequencyat which the fluctuations 'm
to go •fromequation(4) to equation(5); namely,thatwhile (4) the power-law errors equal the error gotten by averaging the
presupposes x(t) to possess a powerspectrum,any processwith independent measurements. At a higherfrequencythe power-law
an apparentspectralindexless than-1 mustbe nonstationary, so errorswill be smallerandusingrecordswith sucherrorswillgive
that its spectrumdoes not exist: a contradictionmore apparent a betterresult;at lowerfrequency the independent
errors,suitably
than real. It is true that (1), with v <-1, cannotdescribethe averaged,will be superior.
spectnanof a stationaryprocess. However, if we supposethe This problemis easily solvedif east in spectralform (Figu•
2). The spectrum of the independent-error
measurements mustbe
constant,
withlevelP,,,,from0 totheNyquist
frequency,(2A)
-t.
Since
theintegral
of thespectrum is thevariance,
P,,,= 2o2'•
This equalsthe power-lawspecmnn(1) at a crossoverfrequency
fc=
whichthussetstheboundary
[2o'2Af•l
between
Po vv
oneor another
process
hav-
inga lowerlevel.Thecrossover
frequency
canbeequally
easily
obtained
graphically
fora spectrum
ofmoregeneral
shape,
though
a closed-fomiexpression
becomescumbersome.To give a con-
creteexample,
we maycompare
thestrainspecmnn
shown
Figure
3 With
repeated
distance
measurements
withao of10
-7.
If these
weremade
weekly,
theequivalent
spectral
levelwould
-2.8 -2.4 -2.0 -• .6 -1.2
1.2x 10-8 e2/Hz,or -79 riB, givinga crossover
frequency
corresponding
to a period
of 300days;
if theyweremade
daily,
thisperiodbecomes200 days.
Fig. 1. The coefficientC v for the time-domainwander of a Thetheorydeveloped
in Section
2 givesanotherwayoflook-
purepower-lawnoise(equation5), as a functionof the spectral ingatthisproblem.
At a period
T• = f•4, thermsfluctuation
in
index v. thepower-lawprocess
will be (from(5) and(7))
19448007, 1992, 4, Downloaded from https://agupubs.onlinelibrary.wiley.com/doi/10.1029/91GL02832 by Inst of Microbial Technology, Wiley Online Library on [10/08/2023]. See the Terms and Conditions (https://onlinelibrary.wiley.com/terms-and-conditions) on Wiley Online Library for rules of use; OA articles are governed by the applicable Creative Commons License
Agnew:
TheTime-Domain
Behavior
ofPower-law
Noises 335
-80 "'.
•N ,, Geodetic
Survey
Spectrum -100
nUnuous Deformation
I
fc fN = (2A)-1 LogFreq NW Laser Strain: Wander
10 3 ...........
•e 1 0o
= 2(v+iy(=v)o(]+vyv
A(l+vy(2v)
,..' 10-1
n- 4o Agnew,
D.C., Onnoise
levels
in deformation
measuremenw.
.-,. comparison
inthefrequency
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Surv.
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Fig.4. Theupperpanelshows
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andC.It.
between1964:246 and 1965:29 [Snodgrass et al., 1966;
Shodgrass 1964]. The spectra at longerfrequencies
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Roughness
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Lett., 14, 29-32, 1987.
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Com-
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-• Hz thedataspanwas1905:001
to 1947:158,
andfrom3x10-9 to 106 Hz thedataspan
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in precision
1905:007to 1973:214.The dottedline showsthe spectral frequency
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uniformitarianism
of rates(the "null" hypothesis of Gilluly
[1949]):the presentwill alwaysappearto be the mostactive D.C. Agnew,IGPP-0225,
University
of California,
La Jolla,
period,wheneverit happens
to be. CA 92093-0225
Acknowledgements.
Thisworkhasbeensupported
by NASA (ReceivedOctober8, 199!;
grantNAG-5-905. acceptedNovember7,1991)