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Questions tagged [time-series]

The tag has no usage guidance.

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34 views

Time scale for the oscillation of a Gaussian random process

I have a Gaussian random process $W$ that's defined as the following: $$W(t)=\sum_{i=1}^{n}\sin(\omega_it),\quad \omega_i\sim\mathcal U(\omega_a,\omega_b)$$ where $n$ is a large positive integer and ...
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0answers
38 views

Negative Exponential Filter SciPy

I'm trying to transform a time series with a recursive filter to model a feedback. I was able to do a simple filter like : ...
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0answers
7 views

After fitting auto ARIMA's order, in prediction I'm getting bad result

For sunspot dataset. Below is the ARIMA code. Auto ARIMA finds the best ARMA(2,1,2)(2,0,1) model. But when I plot the prediction seems wrong: ...
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0answers
13 views

Gray Level Dependence Matrix applied to time domain signals

It make sense to calculate gray level dependend matrix on al time domain signal in order to extract features related to that matrix? I have EEG signals from stroke people in the time domain. My goal ...
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9 views

How to match resolution of two or more signals

I have received the following 4 time-series signals and wanted to do some data analytics using these. Although the sampling is the same for all of these signals, 2 samples per second, problem is that ...
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1answer
64 views

Amplitude and Phase of FFT gives messy results - Matlab [closed]

I'm trying to calculate the spectrum magnitude and phase of a signal, but when I plot them I get pretty messy results: The signal is displayed on the right, then I have the magnitude and phase of ...
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0answers
79 views

Using Wavelet Transform on a 1D signal while updating the values

I'm working on a NN that uses Wavlet Transformed signals (with different wavelets and levels) and combines them with an additional Statistical Features input (input_4) to provide one step ahead ...
2
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3answers
78 views

Causal unstable system turn into stable anticausal?

I would appreciate it very much if someone would be able to provide some clarity, help or comment on this problem. I have been reading several papers on time series identification such as https://www....
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1answer
39 views

Fourier Transforms, symmetry, real/imaginary

I was hoping to clarify if the following was correct: -a real function (neither even nor odd) in time exhibits conjugate symmetry in frequency, so the real part of the frequency response is even, and ...
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0answers
41 views

How to compute the energy of a time series?

I am analyzing the vertical component of 1Hz sampled geomagnetic data. These data were band-passed filtered around 0.01Hz (100s). I would like to compute the daily energy contained in these time ...
1
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1answer
72 views

Filtering and peak finding

I have an observed signal which is the norm of the sum of two 3-vectors: $$ S(t) = || \mathbf{A}(t) + \mathbf{B}(t) || $$ Now, I have full knowledge of the vector $\mathbf{A}(t)$, $$ \mathbf{A}(t) = \...
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24 views

How to detect & eliminate the initial lag that occurs in time series data

I am working with vehicle data. In order to better study the system and I am looking for a automated tool that can delete the initial lag where no work function takes place. It'll be great if someone ...
2
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1answer
70 views

Simulate time series given temporal auto-correlation functions

Given a random process $x[n] \in \mathbb{R}$ (say of length $N$) and all correlation functions such as: \begin{align} \langle x[i]\rangle\\ \langle x[i]x[j]\rangle\\ \langle x[i]x[j]x[k]\rangle\\ \...
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0answers
13 views

How would PCA run on multivariate time-series data affect phase relationships across variables?

I am running PCA on a multivariate time-series dataset using observations across time (i.e. w/out time as an explicit variable) as the design matrix. Given this setup, I've found that it is difficult ...
0
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1answer
124 views

Detrend data with no clear secular trend prior to Fourier analysis?

I am completing Fourier analysis on many different time series of sediment particle flux exiting an experimental flume. Data is collected at a resolution of 1 Hz for durations ranging from ~5,000 to ...
2
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1answer
273 views

Comparing multiple signals for similarity

I have multiple (between 2 and 100) signals and need to determine when a significant number diverge from the rest. We're exploring machine learning techniques, but we also want tackle this as a signal ...
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0answers
34 views

About the power spectrum and confidence upper limit of a time-series data

For now, I have a coupled system with 5 variables and use the Runge-Kutta method to integrate. ...
2
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1answer
230 views

How to make a Power Spectral Density Plot in R

I have a time series point process representing neuron spikes. I have computed and plotted autocovariance using acf but now I need to plot the Power Spectral ...
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1answer
113 views

How to find correlation/cross-correlation of two signals in real time?

Considering there are two signals and the signals are real time in nature. Visibly when one signal does up the other signal does down and vice versa. Sometimes both the signals moved towards the same ...
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1answer
137 views

How good or bad my downsampled data is?

Suppose I have time series data at a one-minute resolution. Now I downsample data by taking mean of every 10-minute window, i.e., after downsampling, 60 readings will reduce to 6 readings. How should ...
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0answers
71 views

How to estimate noise by eigendecomposition of the variance covariance matrix?

I'm new here so I will try to be as clear as possible. I am trying to apply some techniques from signal processing framework to denoise financial time series. I would like to know if what I am ...
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2answers
166 views

Identify random repetitive patterns

Forgive me if it’s too basic, I finish engineering a while ago. Given any time series, not periodic, I would like to find any repetitive pattern that is distinct (by some given measurement) and is ...
0
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1answer
61 views

How to programmatically find a sharp change in slope

First, apologies if I have the wrong group or this question is far too easy for this group. I am (as you'll see) a newbie. Please point me to another, more appropriate group OR tell me how to fix the ...
0
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1answer
32 views

Question on Levinson's proposed discrete form of Wiener filter

The whole foundation of Levinson's discrete version of Wiener filter is based on the assumption of stationarity of a time series, and aims to predict a value based on the past observed values. Now, if ...
2
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1answer
173 views

How to reduce latency under mean filter for high noise?

We have a position sensor that under some conditions receives some high frequency noise. We can eliminate that very well with a simple mean filtering. Unfortunately this causes too much lag when ...
0
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1answer
46 views

Why doesn't law of large numbers apply to this stationary time-series?

There's a paragraph in Wikipedia that states the following: Let Y be any scalar random variable, and define a time-series $\{X_t\}$, by $$X_{t}=Y\qquad {\text{ for all }}t$$ Then $\{X_t\}$ is a ...
2
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1answer
1k views

wavelet decomposition for time series signal

Is it possible to use stationary wavelet decomposition as a tool to extract wavelet features for a time series? I can see how it works for image cases, but for a time series prediction problem say $...
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1answer
99 views

Reproducing paper results about a wavelet transformation using python [closed]

I have been reading this PhD theis about wavelets and I am trying to reproduce some of the results but I don't know the specific code to use to generate similar results. The original time series ...
0
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1answer
123 views

Find Amplitude of each period of time series

I would like to determine the of each period amplitude of a time series (e.g. the amplitude of each day). The time series has a constant period of 1 day and varies only in amplitude. I have tried ...
2
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1answer
206 views

Linear Predictive coding vs AR modeling

I'm looking for a suitable explanation of the circumstances in which the LPC error polynomial for a discrete time process x[n] is replaceable with an error polynomial categorized under the AR model? I ...
3
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2answers
141 views

Auto-correlation function, an inverse problem

$x[n]$ is a complex function $n=0,1,2,\cdots,L-1 $ we assume $x[n]$ is periodic in its index: $x[n+L]=x[n]$ Its auto-correlation function $C[n]$ is uniquely defined as: $$ C[n]=\sum_{i=0}^{L-1} x[i+...
3
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3answers
136 views

Extracting common signal without knowledge about noise [closed]

Given two noisy time series thought to contain a common signal, $$ x_1(t) = s(t) + n_1(t), \quad x_2(t) = s(t) + n_2(t), $$ what is the best way to determine $s(t)$ without assuming any distribution ...
2
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3answers
897 views

What is the filter with the less phase shift?

I have to analyze a dynamic signal but there is too much noise so I applied low pass filter but then there is too much phase shift.So what is the most reactive filter I can apply to my signal ? Best ...
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3answers
2k views

Window period(overlap) and FFT

How does changing the window period (i.e the number of points overlap between two frames) affect the FFT results ? Suppose that a time series signal was converted to frequency domain by FFT with ...
3
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3answers
1k views

Need a better step detection algorithm

I have a time series with lots of steps/jumps (data file here). A plot is given below. I would like to subtract an appropriate value for each of these square wave features to bring them back down to ...
0
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1answer
207 views

Outlier Detection after Detrending a Time Series With Missing Values or NaN

Goal Substitute outliers in a time series by most recent valid data Problem The time series (end-of-day stock prices) has several 'uncomfortable' properties: It is non-stationary and can have ...
1
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0answers
191 views

Estimate standard deviation of random-walk using Kalman filter

I'm new to Kalman filters so this might be a stupid question. I created a Kalman filter that takes in time series observations and estimates the mean of that time series. This is simply modeling a ...
3
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0answers
53 views

Minimum time delay that can be estimated between two sensors

Consider a 1-dimensional toy problem. I have two sensors at different points along the $x$-axis. Somewhere away from the sensors, a disturbance is created which travels towards the sensors, first ...
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2answers
626 views

How to Mesure the smoothness of a signal

so how can i determine if a signal is smooth or not ? And if its possible to get something indicating the level of the smoothness of my signal. I looked at the r-squared and hurst exponent but i ...
2
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1answer
95 views

First Differentatior and Integrator

For discrete time series $Y$, first differentiation ($D_i=Y_i-Y_{i+1}$) and integrator ($S_i=Y_i+Y_{i+1}$) can be defined as two highpass and lowpass LTI digital filters. Where, transfer function for ...
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1answer
259 views

Pattern recognition in time series 4x3000 vector

I have a vector, here is a sample of some data from some heat flow data: I would like to identify features in this image. In the example above I have identified one feature I would like to ...
0
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1answer
826 views

Show That the Power Spectrum Density Matrix Is Positive Semi Definite (PSD) Matrix

Given a Wide Sense Stationary Multi Variate (Vector) Random Process $ \boldsymbol{x} \left[ n \right] $ it Auto Covariance Matrix Function is given by: $$ {R}_{x, x} \left[ m \right] = \mathbb{E} \...
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1answer
110 views

Comparing two time domain signals in a scale and shift-invariant way

I have two signals in the time domain, call them $S_1(t)$ and $S_2$(t). Because of calibration issues relating to the underlying devices that these signals are obtained from, they will not necessarily ...
0
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1answer
54 views

data analysis query

The hydrophone data is in analog-to-digital converter units. The 64000 sps data is 24 bits and the 375 ksps data is 16 bit. The volts per bit conversion factor for the 24-bit channels is 1....
1
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1answer
70 views

Normalization of signal against reference

I am trying to figure out if there is any standard way of normalizing a sequence such as a time series against a reference sequence. I am not an expert on signal processing but I was hoping someone ...
1
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0answers
61 views

Auto-correlation of time signals [closed]

I'm interested in papers which are about auto-correlations of periodic time series signals.All relevant papers and applications are interesting to me, as I am studying the properties of the auto-...
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0answers
85 views

Why prediction by AR model causes time lag

Why does prediction by AR model cause a time lag? Please tell me why theoretically.
1
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1answer
46 views

Index of stationarity of a time domain signal

During my internship, I've come across a software that calculates a percentage called "Index of stationarity". This index shows how much stationary is the signal. Does anyone have any idea on how to ...
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2answers
87 views

What is the type of these signals?

I want to do some DSP and Machine learning experiments on Electrical and Acoustic signals, but, due to some language setbacks, I didn't know how to call the type of my signal, what I use to google now,...
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1answer
132 views

Issue with the time vector returned by $\tt signal.spectrogram$ function

I'm puzzled by some very simple concept with building up a spectrogram. Here is a toy example of the issue: ...