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14 views

Yule walker equation limited matrix size

Definitions For an ARMA model $$x_n=-\sum_{p=1}^P a_px_{n-p}+\sum_{q=0}^Qb_qw_{n-q}$$ where $w_n$ is zero mean stationary white noise with unit variance. It is straightforward to show that the ...
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3answers
87 views

How to implement a moving average in C without a buffer?

Is it possible to implement a moving average in C without the need for a window of samples? I've found that I can optimize a bit, by choosing a window size that's a power of two to allow for ...
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0answers
11 views

how could i fill missing data?

i tried a forecasting method and i want to check if it is correct or not and why? my study is about evaluating mutual funds for two kind of them it is a comparative study and i wan to use gcc index ...
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0answers
100 views

Realization of IIR resonator

The measure of a given frequency $\omega$ in a signal $x(t)$ is: $\frac{1}{N}\sum\limits^N_{t=0}x\left(t\right)e^{^{-i \omega t}}$ This is basically an average of the correlation between the signal ...
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0answers
140 views

Extraction of fundamental signal information-Fourier full cycle algorithm

After filtering my noisy input signal using an anti-aliasing and FIR filter, I now wish to get the basic signal information (peak voltage and impedance; $R$ and $X$) from the pre-filtered as well as ...
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2answers
135 views

When should we using moving average in algorithm design?

I'm new to signal processing. And I just read G.720.1. I find there is a lot of moving average used. And I can also recall there is a lot of moving average been used in other audio processing ...
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1answer
129 views

How to filter uniform noise in a microcontroller?

By uniform noise I mean a band of a fixed width, no spikes, etc. This has to be one of the simplest examples. I'm looking for the appropriate theoretical approach as much as something relatively ...
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1answer
114 views

How to remove historical values from exponential filter

Suppose I have two time series $A:=[0,0,0,4,5,6]$ and $B:=[1,2,3,4,5,6]$. I implement the following filter (with initial value at the first element): $$ f(t) = f(t-1) + \alpha*(f(t)-f(t-1))$$ with ...
2
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1answer
69 views

Is step detection the correct approach to this problem? what if not?

I'm looking for some advice on where and what to start reading for learning to solve this. I've the time series of the position coordinates (x,y) of an animal in an open field (just a cage). I want ...
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0answers
43 views

ACF and PACF Confidence Levels for ARMA

I'm trying to figure out where exactly to draw the confidence levels for the autocorrleation function (ACF) and the partial autocorrelation function (PACF) for an ARMA model. For PACF I found that a ...
0
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0answers
148 views

Moving average on the frequency domain - (Welch's Method?)

Is there a name for a filter that is using a moving average on the frequency domain? I am searching for such a filter to filter out long "pads" (synths) from music. Do any of you know about such ...
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4answers
162 views

Is there an algorithm for second order filtering of data where the filter frequency is not known a priori?

It is well known that a moving average algorithm done in the time domain is equivalent to a filter with frequency response $\mathrm{sinc}(\omega\tau)$ where $\tau$ is the averaging time. (see this ...
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0answers
65 views

Deconvolution of non-stationary, 1-D signal?

I have a time series that has been measured after convolution with a moving average filter. Knowing the parameters of the moving average filter, is it possible to reconstruct/constrain the values of ...
0
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1answer
447 views

Exponential average with time constant of slow, fast and impulse

I have been studying about exponential average. There are enough explanations about this at Internet, but they do not explain about the time constant. I have one channel with a $T$ seconds time ...
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2answers
5k views

What is the cut-off frequency of a moving average filter?

I need to design a moving average filter that has a cut-off frequency of 7.8 Hz. I have used moving average filters before, but as far as I'm aware, the only parameter that can be fed in is the number ...
0
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1answer
834 views

How to determine the window size and weights in Weighted Moving Average (WMA), given desired cut-off frequency?

I am trying to smooth my discrete-time data points using the method of WMA. Currently, I am using n as the window size and the weight array, ...
2
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1answer
176 views

Gain function calculation (frequency response)

Define moving average process $y_t := 0.5 x_t + 0.5 x_{t-1}$ where $x_t := e^{i2 \pi t}$. Its frequency response is then: $$H(f) = 0.5 + 0.5 e^{-i2\pi f}$$ Recall that the frequency response in ...
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2answers
1k views

Weight vector of an exponential moving average?

With weight vector I mean the vector with weights that you have to multiply the observations in the window that slides over your data with so if you add those products together it returns the value of ...
3
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1answer
469 views

Equivalent 2D mask of moving-average

I have the moving-average mask as mask = [1 1 1; 1 1 1; 1 1 1]; and then I compute the convolution 3 times ...
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1answer
517 views

How can I smoothly interpolate between 2 position?

I've got a 1D signal (position of a servo motor over time) and I've extracted 'peaks'/'key' positions picking running average "local extrema" points. Below is are 2 plots from 2 servos and the white ...
2
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3answers
913 views

Averaging filters

If a signal undergoes repeated averaging (n times) with a filter (h) of size m. Is it possible to achieve the same averaging result with an averaging filter(H) of a larger size? h = {1/m, 1/m... m ...
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4answers
2k views

How should a moving average handle missing data points?

I'm writing a program that averages the user's weight across different days. I'm planning to use a 5-point moving-average (current day, two before and two after). Sometimes, a data point is missing ...
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1answer
249 views

“Ensemble averaging … cannot track dynamic changes”?

A book claims this as a motivation for introducing exponential averaging: A disadvantage of ensemble averaging is that the resulting estimate cannot track dynamic changes occurring in the observed ...
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1answer
1k views

How to decide whether to use AR or MA for smoothing data?

Imagine I've got some offline data that I want to smooth. I could use an auto-regressive or moving-average filter of some appropriate order for conducting the smoothing. On which criteria should I ...