Questions tagged [time-series]

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4
votes
0answers
29 views

Why Cramér spectral representation and not DTFT for stochastic process

In a lot of time-series analysis references I find (written by mathematicians or statisticians rather than engineers), I find the following signal decomposition for a stochastic process, termed the &...
0
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1answer
16 views

Are ACF plots sufficient to detect white noise assuming probable existence of non linear associations?

ACF plots use autocorrelations tests to determine associations in time series. Autocorrelations, however, only measure linear associations. To my understanding, certain non-linear associations can ...
1
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1answer
21 views

FFT question as it relates to Neural Networks / Supervised Learning Models

So I've been researching wavelet transforms and FFT. I want to feed wavelet transforms of a 1D signal in time into a neural net and train against a target variable at each time step. The idea being ...
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0answers
59 views

Probability of similarity for two random white noises

I'm looking for the method to calculate theoretical similarity of two random noises $x$ and $y$ with mean $0$ and standard deviation $1$, I've got also $12500$ samples of signal, sampled $2.5$ Ga/s. ...
0
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1answer
15 views

How to extract the Freezing Index from Accelerometer data?

I'm working on a project to detect Freezing of Gait episodes for Parkinson's Disease patients, and according to this paper and other ones, extracting the freezing index which is "The power in the “...
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0answers
20 views

How to identify the frequencies of periodic peak signals in a noisy time series?

Suppose to have two time series with peak signals at different frequencies, like these two: ...
0
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1answer
60 views

Derivation of Circular Mean Square Error

I would like to understand how Eq. (36) in [2] was derived: The rationale behind the definition of circular sample mean in Eq. (37) is clear, but there is no motiviation for the CMSE definition in Eq....
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1answer
31 views

Are there any recursive online max/min filters for time-series

Are there any online recursive filters that can approximate local, time-varying minimum and maximum values of a time series?
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1answer
39 views

Need a similarity metric that describes these two curve as highly similar

I have a large number of time series data and I need to be able to compare the similarity of the curves to a reference curve. The reference curve in question is shown in red in the figure, and I'd ...
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0answers
60 views

How to calculate the coefficients of Auto regression model of multiple data?

I have ACF of a time series data, I want to interpolate the ACF using AR model for which I need to calculate the coefficient of the AR model The problem is I have (6000x6000) matrix of ACF and I cant ...
0
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2answers
50 views

Questions about autocorrelation, correlation, and randomness

I'm learning about autocorrelation functions and trying to calculate some from a time series. Conceptually, what is the difference between the following two autocorrelation functions? $$g_{1}(\tau)=\...
1
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0answers
43 views

How to find if the signals are in sync or out of sync with each other?

Considering these are two signals over time, black and red.Following are some of the properties Every Second a new data point is added over time . There is no control on the generation of the ...
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0answers
16 views

How to reliably identify the starting point of multiple instances of a noisy signal?

I have collected data from a person performing the same action for 10 iterations. As shown in the figure, signals from all iterations look very similar, but contain some unwanted noise in some ...
1
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1answer
31 views

How do I find variance from the PSD of a stochastic process?

I have a time series that consists of noise and a signal, shown here windowed and Wiener filtered: and the PSD of just the noise (used in filtering): I want to find the variance of the noise using ...
1
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1answer
46 views

How to create a wide-sense stationary time series with a frequency of 40 Hz?

I want to create a time series in MATLAB which has a peak frequency of 40 Hz but is also a wide-sense stationary random process. I then want to use power spectral density estimation to recover the ...
0
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1answer
66 views

Decimating Non-Uniform large time-series data

I'm working with accelerometer data that is sampled at a non-uniform rate. There are major gaps in the data. Below is a scatter plot of the data I can also give a sense of the frquencies at which ...
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0answers
19 views

Filtering noise from periodic time series

Apologies if this is answered elsewhere, but I'm not a signal processing expert and am probably not using the right words to describe my problem or search for answers. I'm tracking people's feet ...
0
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2answers
87 views

how can we align wto signals with a time lag in between?

I have two signals from two different sensors. I cropped the area i am interested in from both sensor signals. The problem is that the signals start at different time instants. I am searching for a ...
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0answers
27 views

Time spans in coherence computation

Currently I'm writing my master thesis and I'm having troubles with coherence definition. My question is similar to https://stats.stackexchange.com/questions/92412/clear-steps-to-calculate-coherence-...
1
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2answers
31 views

How to calculate the Gain (in dB) given ω₁ and sampling time, T, of a discrete transfer function?

Having the Transfer Function of a discrete system as such: $$H(z) = (1.011)\frac{z-0.9756}{z-0.9975}$$ How would you find the gain at ω₁=3 rad/s at a sampling time of T=0.25 seconds. The answer to ...
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0answers
21 views

decouple signal from environmental effect

Sensor signal depends on environmental factors such as temperature, relative humidity. Temperature compensation is relatively straightforward. But I am not entirely sure how to model the effect of ...
0
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1answer
50 views

estimation of ARMA(1,1) with MA parameter greater than 1

I am working with the following simple ARMA(1,1) model: $$ z_{t+1} = \phi z_{t} + \theta\varepsilon_{t} + \varepsilon_{t+1} $$ In my case $\theta$ depends on some other parameters, and, therefore, I ...
2
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1answer
189 views

Statistic that is responsive to changes in time series, yet not too volatile

Let's say I have a fairly volatile time series $X_t$ - it doesn't have any reason to show an upward / downward trend, but it does show drops and spikes from time to time. It can also change level (e.g....
2
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0answers
39 views

Relating Fourier and power-law descriptions of noise

I'm trying to understand this PDF, which is in English but has Polish authors, so there may be translation issues confusing me. The subject is the frequencies of sentence lengths in novels. Eq. (1), ...
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0answers
18 views

How to correct for “track jumping” for multi-lined time series

I am creating an algorithm that tries to estimate three time-series that should not cross each other (voice formants). The problem is sometimes the algorithm mistakes one time series with another and ...
0
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3answers
251 views

Is $x[n]=(-1)^{n^2}$ periodic?

Is $x[n]=(-1)^{n^2}$ periodic? The answer said no, but when I draw it on a graph, it seems to be periodic, with fundamental period equal to $2$.
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2answers
867 views

How to compare and measure the similarity between two between two signals?

I'm working on different sensors data, the question is this: I have two signals (coming from two different sensors measuring two different phisical charactheristcs of the same "object"). I know for a ...
0
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1answer
36 views

Test for Equivalence of two time series

I wish to test whether two time series are equal. So I believe best way to define equivalence is that given two time series, say $\{x1_t\}$ and $\{x2_t\}$, we show that both the series come from the ...
1
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1answer
78 views

How to determine the phase of a time-sampled periodic signal?

I know this is a rather common and a rather simple problem, but somehow I can't find a solution that is equally simple to understand (and implement). I have a signal that closely resembles a noisy ...
0
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0answers
25 views

How to search for irregular signals: Fourier, DWT or k-means?

See my notebook here I want to search for irregular time signals in a data set of ~3 500 000 time signals. By eyeballing I have found hundreds of flat and oscillating signals, but just a few that are ...
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0answers
29 views

How can I relate my amplitude from a FTT to the actual signal?

Sorry for disturb you guys, I've been playing with this the last days. I am computing signals of a wave produced with a wavemaker. Cause I have several sensors (wave gauges) I am sensing the same wave ...
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0answers
23 views

Wignerville of market data [closed]

I am trying to get some insight into market data, in this case the stock KO. Here is the chart: If I take the wignerville of ...
1
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0answers
303 views

SNR computation in frequency domain with scipy.fftpack.fft

I have a noisy time series (gaussian coloured noise) to which I add a signal. I call the sum of noise+signal a segment. In the picture you can see an instance: I want to compute the signal-to-noise ...
0
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1answer
82 views

How to group similar patterns together that are shifted along the x axis?

I have a set of time series plots that are shifted along the x-axis. I am looking for an algorithm using which I can group them together. My end goal is to average them. While reviewing the ...
0
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2answers
1k views

How would you use machine learning for peak detection?

I have a noisy signal and I'm trying to find a way to detect peaks with ML. The "peaks" are easy to find as human because they are rhythmic and have the same "general" shape but the amplitude and ...
-1
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1answer
46 views

How do I obtain the fourier series coefficients for a signal obtained by multiplication of two signals of different frequency?

What i assume here is that LCM of time periods of the two taken signals exist that is signals periods are not like pi/2 and 1 but are rather like 1 and 2 (just an example) I am given fourier series ...
0
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0answers
68 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
15 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 ...
1
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1answer
139 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 ...
2
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3answers
349 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....
0
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2answers
224 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 ...
0
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0answers
239 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
289 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) = \...
2
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1answer
78 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
16 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
386 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 ...
4
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1answer
2k 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 ...
3
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1answer
1k 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 ...
1
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1answer
501 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 ...
0
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1answer
283 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 ...