# Questions tagged [time-series]

The tag has no usage guidance.

45 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
0answers
81 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 ...
0answers
32 views

### What is the physical significance of statistical quantities like mean, variance, skewness and kurtosis of a digital signal?

I understood the mathematical meanings of the mean, variance, skewness and kurtosis. But when we calculate these quantities for a signal (say a digital audio signal), what physical meaning do they ...
0answers
46 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), ...
0answers
57 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 ...
2answers
79 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 ...
0answers
36 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-...
2answers
54 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 ...
0answers
606 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 ...
0answers
17 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 ...
0answers
17 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 ...
0answers
146 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 ...
0answers
455 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 ...
1answer
127 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 ...
0answers
96 views

### Why prediction by AR model causes time lag

Why does prediction by AR model cause a time lag? Please tell me why theoretically.
0answers
455 views

### Finding lag times for multiple time series

I have $N$ time series which have unknown time offsets relative to each other. I want to estimate the $(N - 1)$ time offsets, $\tau_{i,i+1}$, which maximise the sum of the cross-correlations between ...
0answers
34 views

### Unique signal extraction from a cumulated signal

I'd like to start off by saying that I am not very experienced at signal processing, so I apologise in advance if I do not explain everything properly the first time. I would like to analyse the ...
0answers
64 views

### Methods for edge detection with non-equidistant samples

This posting describes two methods of edge detection for wave analysis in a water pipe. I am not sure about advantaged and disadvantages. Therefore I want to evaluate the best method for this ...
0answers
11 views

### Comparing two Accelerometer signals in time domain

As a research to answer my question, I've been reading several posts on this stack with a common thread of "comparing signals". The methods recurrently suggested were to use DTW, correlation ...
0answers
10 views

### Calculate ACF in C++?

I would like to manually reproduce the method that authors of an article used in their research (DOI: 10.1038/s41598-017-02750-9 (Page 8. top)). It is mentioned as "ACF", so I wrote ...
0answers
11 views

### Discrete Wavelet Transform Time Series

My problem is to cluster some time series together. But due to a huge length I was interested in using some methods to reduce the dimensionality. I was thinking of Discrete Wavelet Transform since the ...
1answer
83 views

### Python: Dynamic Time Warping, what actually is a 'similarity score' and how to compute it?

I want to compare two time-series data to see their similarity to each other. For this task, I use Dynamic Time Warping (DTW) algorithm. I have tried the implementation using Python ...
0answers
24 views

### Removing frequencies and reconstructing signal

I am trying to implement this section of this paper: https://arxiv.org/abs/2012.15846 The rPPG signal is the spatial average of green value per frame over a video. Head orientation signals are a ...
0answers
27 views

### Periodogram of time series with multiple seasonal behaviors

I have a time series of sampled for every 5 minutes for 20 years of some geological signal. I would like to generate a periodogram in order to analyze what seasonal behavior affects the signal. At ...
0answers
16 views

### Quantify the amplitude of fluctuations

I consider the potential of a nerve cell, which is -65mV. If I introduce a random noise source, for example, this leads to fluctuations (see attached picture). I would like to know what is a good ...
0answers
15 views

### How to find epochs where two time series are less aligned than they should be?

I have two time series that normally should be quite aligned, in the sense that they should show similiar behaviour - i.e. when one goes up, the other should also go up, etc. Unfortunately, they are ...
0answers
18 views

### Better way to turn time series spikes/high frequencies into discrete signals?

I am just wondering if there is a better way to transform time series data spikes/high frequencies into discrete signals? Currently, I have time series data that I am applying a median filter to loop ...
0answers
14 views

### Energy of coefficients of wavelet decomposition?

I have recently been working with a dataset associated with the paper Human Activity Recognition from Accelerometer Data Using a Wearable Device. In Section 3.1 - Feature Selection for Motion Data, ...
0answers
25 views

### Redundancy when using Nyquist rate for a time series

I sample temperature at one sample per second (the hardware I am using takes the temperature at this rate, so this is the max I can efficiently sample.) The Nyquist rate for this signal would be 2 ...
0answers
22 views

### Failed to reproduce the smoothed spectrum plot from a time series

I tried to reproduce Watson's spectrum plot from these set of slides (PDF p. 30, p.29 of the slides), that came from this data of housing building permits. Watson achieves a very smooth spectrum cruve ...
0answers
24 views

### Detrending multiple signals

I have multiple time series coming from pings of phone applications in a specific area. I am suspecting that the signal is sometimes bigger and sometimes lower not because the actual signal is bigger ...
0answers
60 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. ...
0answers
32 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: ...
1answer
267 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 ...
2answers
195 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 ...
1answer
88 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 ...
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 ...
0answers
100 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 : ...
0answers
411 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 ...
1answer
68 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....
0answers
129 views

### Any examples of analysis in time domain to extact information

I am sending a 20Khz signal from my phone and capturing all the signals while doing exercise above it. Here I have a signal of a person doing "hand scissors exercise" I am doing analysis on how many ...
1answer
64 views

### Should you include division by coefficient of variation in WV reconstruction for its normed 1D signal?

I make a new ECG time series from WV spectrum of original signal and its L2 energy normalisation. I am thinking if the reconstruction step benefits from covariance at each time point. I take later a ...
1answer
1k views

### Adaptive Piecewise Constant Approximation (APCA) with wavelets/DWT

I am trying to approximate a vector or a time series, in order to have as little changes as possible. To do so, I pretend to apply the Adaptive piecewise constant approximation (APCA) algorithm. ...
0answers
45 views

### How can I convert time-value pairs to a signal with a constant sampling frequency?

I have a time series consisting of [time, value] pairs. The series is ordered by time but the difference between two consequent times is not constant. For example: ...
0answers
133 views

### Computing error between filtered and noisy time series signal

I have a live signal that needs filtering, and I'm trying to compare a Kalman filter with a simple exponential filter. For this I generated an artificial ground truth signal, add some noise and filter ...
0answers
185 views

### FFT analysis for series of different length

i have some data series in time domain which are in different length. i'm using FFT to transform them to frequency domain and now i want to calculate their average. Since their lengths are not equal i'...