Questions tagged [time-series]

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3answers
3k views

Algorithm for detecting the time where the signal is above a threshold

I need to detect the time window where a 1D-signal is above a certain threshold. If it dips below the threshold briefly I'd like to merge the two windows, if it dips below for a longer time, split ...
5
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1answer
96 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 &...
5
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3answers
3k 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 ...
5
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1answer
3k views

Difference between Gaussian and moving average filters for peak detection and doppler shift detection?

Consider having a signal in the time domain, and you want to smooth the signal. Moving average and Gaussian filters that are used. How do you choose which is used for what? What are the conditions ...
5
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3answers
967 views

Estimate changing time lag between signals

Suppose I have two timeseries $x_1(t)$ and $x_2(t)$, shown in the image that I drew below. They look almost identical in general form, except some features are shifted slightly in time from one series ...
4
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2answers
419 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+...
4
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1answer
89 views

Recommended Resources / Literature Search Terms for a Solutions to a Specific Kind of Multi Harmonic Signal Structure

Hopefully this isn't considered too off-topic. I'm working in industry these days and came up with a solution to a signal processing problem we'd been facing. I'd like to get a sense as to whether ...
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 ...
4
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1answer
590 views

How to detect whether a signal is unimodal or bimodal?

I have to kinds of signals. The first type of signals are such that their histograms are unimodal (one-peaked). The second type of signals are such that their histograms are bimodal (two-peaked). How ...
3
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2answers
6k views

Is R suitable for digital signal processing

While asking a question about representing large time series in R I was discouraged from using R for digital signal processing. I understand that R is geared towards statistics. However, a signal is ...
3
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2answers
658 views

How do I convert a timeseries to a different frequency band?

I have a real time series sampled at 32 MHz. So, when I channelized it and plot it against time, I get a Frequency vs. Time image plot where the frequency domain spans 16 MHz. To elaborate, this ...
3
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1answer
2k 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 ...
3
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2answers
51 views

How to detect start and finish of temperature control in temperature time series

I have a huge dataset containing temperature data inside a building. I want to extract the time that the building starts and stops controlling the temperature (approximately around the vertical black ...
3
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1answer
87 views

digital signal processing problem

Okay, so I am trying to address a biological problem here. I have asked a variant of this question here, but I was not able to get to solving it. The question: Four objects are vibrating constantly ...
3
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3answers
196 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 ...
3
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0answers
80 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 ...
2
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1answer
1k views

Spikes in time series

I would like a simplified measure to quantify spikes in my time series, I have one series that has many and I would like to compare it to another that has very few. I have thought through several ...
2
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3answers
2k 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 ...
2
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3answers
426 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....
2
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1answer
507 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 ...
2
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1answer
132 views

Terminologies - lags, order in time series model

I am facing some difficulties with the terminologies - lag ($p$) and sequence length (number of data points) (N) used in time series model such as Moving average and Autoregressive model. Considering ...
2
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1answer
3k views

How does one calculate a pole-zero plot?

To my understanding, pole-zero plots are used to analyze or visualize transfer functions. Suppose there is some very simple system, for example a simple low-pass filter (so it is linear and time-...
2
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1answer
192 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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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 $...
2
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1answer
641 views

Predicting account balance based on historical data

Given the values of a bank account balance over time (see figure below as an example), how can one predict the account balance at a given date in the future ? Should I just fit one linear regression ...
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\\ \...
2
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1answer
98 views

First Differentatior and Integrator

For discrete time series $Y$, first differentiation ($D_i=Y_i-Y_{i+1}$) and integrator ($S_i=Y_i+Y_{i+1}$) can be defined as two highpass and lowpass LTI digital filters. Where, transfer function for ...
2
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1answer
88 views

Rollercoaster: determining subject position from inertial data?

I have inertial data (accelerometer, gyroscope, magnetometer) from phones of human subjects riding a single rollercoaster repeatedly. The ride has temporal variance (ex. sometimes getting from A to B ...
2
votes
1answer
359 views

Help in interpreting the auto correlation graph

I want to check if a time series is (a) random (b) independent. For these I am using the autocorrelation (AC). Autocorrelation refers to the correlation of a time series with its own past and future ...
2
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0answers
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), ...
2
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1answer
434 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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2answers
2k 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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3answers
8k 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 ...
1
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1answer
50 views

Index of stationarity of a time domain signal

During my internship, I've come across a software that calculates a percentage called "Index of stationarity". This index shows how much stationary is the signal. Does anyone have any idea on how to ...
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2answers
96 views

What is the type of these signals?

I want to do some DSP and Machine learning experiments on Electrical and Acoustic signals, but, due to some language setbacks, I didn't know how to call the type of my signal, what I use to google now,...
1
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1answer
262 views

Issue with the time vector returned by $\tt signal.spectrogram$ function

I'm puzzled by some very simple concept with building up a spectrogram. Here is a toy example of the issue: ...
1
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1answer
623 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 ...
1
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1answer
379 views

Pattern recognition in time series 4x3000 vector

I have a vector, here is a sample of some data from some heat flow data: I would like to identify features in this image. In the example above I have identified one feature I would like to ...
1
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1answer
1k views

Show That the Power Spectrum Density Matrix Is Positive Semi Definite (PSD) Matrix

Given a Wide Sense Stationary Multi Variate (Vector) Random Process $ \boldsymbol{x} \left[ n \right] $ it Auto Covariance Matrix Function is given by: $$ {R}_{x, x} \left[ m \right] = \mathbb{E} \...
1
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1answer
147 views

Comparing two time domain signals in a scale and shift-invariant way

I have two signals in the time domain, call them $S_1(t)$ and $S_2$(t). Because of calibration issues relating to the underlying devices that these signals are obtained from, they will not necessarily ...
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3answers
222 views

How do I know quantitatively if the correlation of two time series is significant?

I computed the correlation coefficient of two time series of daily observations, x and y, but noticed that the more sampling ...
1
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1answer
199 views

How the noise in time series can be reduced?

I have asked the question in the following link: Are time series data always contain noise? I wonder if we could use variational methods to denoise the time series data just as in computer vision? ...
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2answers
174 views

Are time series data always contain noise?

I wonder if every time series data should contain noise or not. For example I am taking the price of a ticker, say Yahoo, every hour and noting the values. Does this data contains noise or not?
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1answer
26 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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1answer
36 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
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1answer
61 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 ...
1
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1answer
38 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 ...
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2answers
2k 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 ...
1
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1answer
110 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 ...
1
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1answer
346 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) = \...