Spectral Proper Orthogonal Decomposition using Multitaper Estimates
arXiv:2112.10847 · doi:10.1007/s00162-022-00626-x
Abstract
The use of multitaper estimates for spectral proper orthogonal decomposition (SPOD) is explored. Multitaper and multitaper-Welch estimators that use discrete prolate spheroidal sequences (DPSS) as orthogonal data windows are compared to the standard SPOD algorithm that exclusively relies on weighted overlapped segment averaging, or Welch's method, to estimate the cross-spectral density matrix. Two sets of turbulent flow data, one experimental and the other numerical, are used to discuss the choice of resolution bandwidth and the bias-variance tradeoff. Multitaper-Welch estimators that combine both approaches by applying orthogonal tapers to overlapping segments allow for flexible control of resolution, variance, and bias. At additional computational cost but for the same data, Multitaper-Welch estimators provide lower variance estimates at fixed frequency resolution or higher frequency resolution at similar variance compared to the standard algorithm.
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