Questions tagged [time-series]

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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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40 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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47 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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1answer
60 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 ...
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29 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-...
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2answers
36 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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438 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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16 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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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 ...
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131 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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422 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 ...
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1answer
111 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 ...
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95 views

Why prediction by AR model causes time lag

Why does prediction by AR model cause a time lag? Please tell me why theoretically.
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451 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 ...
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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 ...
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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 ...
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13 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 ...
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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 ...
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10 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, ...
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23 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 ...
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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 ...
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23 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 ...
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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. ...
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27 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: ...
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62 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 ...
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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 ...
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1answer
147 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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21 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 ...
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2answers
105 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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1answer
60 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 ...
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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 ...
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86 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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324 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
66 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....
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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 ...
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1answer
62 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 ...
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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. ...
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44 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: ...
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131 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 ...
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170 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'...