Questions tagged [time-series]
The time-series tag has no usage guidance.
115
questions
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
votes
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
vote
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 ...
0
votes
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
votes
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 “...
0
votes
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
votes
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....
1
vote
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?
1
vote
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 ...
0
votes
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
votes
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
vote
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 ...
0
votes
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
vote
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
vote
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
votes
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 ...
0
votes
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
votes
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 ...
1
vote
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
vote
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}$$
How would you find the gain at ω₁=3 rad/s at a sampling time of T=0.25 seconds.
The answer to ...
0
votes
0answers
21 views
decouple signal from environmental effect
Sensor signal depends on environmental factors such as temperature, relative humidity. Temperature compensation is relatively straightforward. But I am not entirely sure how to model the effect of ...
0
votes
1answer
50 views
estimation of ARMA(1,1) with MA parameter greater than 1
I am working with the following simple ARMA(1,1) model:
$$
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
votes
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
votes
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), ...
0
votes
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
votes
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$.
1
vote
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
votes
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
vote
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
votes
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 ...
0
votes
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 ...
1
vote
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
vote
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
votes
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
votes
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
votes
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
votes
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 :
...
1
vote
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
vote
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
votes
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
votes
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
votes
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
vote
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
votes
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\\
\...
1
vote
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
votes
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
votes
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
votes
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
vote
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
votes
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 ...
