Questions tagged [time-series]

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17 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 ...
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3answers
48 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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1answer
31 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 ...
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1answer
32 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 ...
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1answer
42 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 ...
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15 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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25 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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20 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 ...
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49 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 ...
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1answer
78 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 ...
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1answer
177 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 ...
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1answer
35 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 ...
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7 views

How to normalize data by mapping data points from one mixture of multivariate normal distributions to another

Problem description I am trying to normalize multivariate time series data. The individual data sets (spectrograms from temporal EEG) comes from sources that differ widely in their noise ...
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15 views

Bank Filter over a 1D signal

I would like to apply a filter bank decomposition over a time series signal. If I am correct, it is necessary to take a low pass and a high pass filter, and then convolve them with the time series. ...
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0answers
15 views

Matlab time serie mat file format

I'm trying to find the ideal data exchange format for our signal processing data. I've tried various formats like csv, wav (unsuitable), UFF, tdms, but there always seems to be some guy saying "don't ...
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48 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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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 ...
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14 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
89 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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186 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 ...
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3answers
110 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
60 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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55 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 ...
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1answer
117 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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25 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 ...
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1answer
73 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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15 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 ...
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1answer
192 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 ...
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1answer
603 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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40 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
467 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
201 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
191 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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87 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
230 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 ...
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1answer
79 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 ...
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1answer
34 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 ...
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1answer
230 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 ...
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1answer
52 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 ...
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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
105 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 ...
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1answer
193 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 ...
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1answer
248 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 ...
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2answers
165 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+...
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3answers
141 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 ...
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3answers
1k 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
3k 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 ...
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3answers
2k 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 ...
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1answer
239 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 ...