Estimating time series models from irregularly sampled data

Conference Record - IEEE Instrumentation and Measurement Technology Conference

Volumn 3, Issue , 2005, Pages 1723-1728

  Broersen, Piet M T ^a   Bos, Robert ^b  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^b DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

Nearest neighbor resampling; Order selection; Slotting; Spectral estimation; Uneven sampling

Indexed keywords

COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; TIME SERIES ANALYSIS;

NEAREST NEIGHBOR RESAMPLING; ORDER SELECTION; SPECTRAL ESTIMATION; UNEVEN SAMPLING;

DATA REDUCTION;

EID: 33847170452     PISSN: 10915281     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (13)

1. L.H. Benedict, H. Nobach and C. Tropea, "Estimation of turbulent velocity spectra from Laser Doppler data," Measurement Sci. Technol., vol. 11, pp. 1089-1104, 2000.
2. R.H. Jones, "Fitting a continuous time autoregression to discrete data", Applied Time Series Analysis II, (Ed, D.F. Findley), pp. 651-682, 1981.
3. R.H. Jones, "Fitting multivariate models to unequally spaced data", Time Series Analysis of Irregularly Spaced Data, (Ed. E. Parzen), pp. 158-188, 1983.
4. E. Lahalle, G. Fleury and A. Rivoira, "Continuous ARMA spectral estimation from irregularly sampled observations," Proc. IEEE/IMTC Conf., Como, pp. 923-927, 2004.
5. P.M.T. Broersen, S. de Waele and R. Bos, "Autoregressive spectral analysis when observations are missing," Automatica, vol. 40, pp. 1495-1504, 2004.
6. R.J. Adrian and C. S. Yao, "Power spectra of fluid velocities measured by laser Doppler velocimetry," Exper, in Fluids, vol. 5, pp. 17-28, 1987.
7. L. Simon and J. Fitzpatrick, "An improved sample-and-hold reconstruction procedure for estimation of power spectra from LDA data," Experiments in Fluids, vol. 37, pp. 272-280, 2004.
8. S. de Waele and P. M. T. Broersen, "Error measures for resampled irregular data," IEEE Trans. on Instrumentation and Measurement, vol. 49, pp. 216-222, 2000.
9. R. Bos, S. de Waele and P. M. T. Broersen, "Autoregressive spectral estimation by application of the Burg algorithm to irregularly sampled data," IEEE Trans. on Instrumentation and Measurement, vol. 51, pp. 1289-1294, 2002.
10. R.H. Jones, "Maximum likelihood fitting of ARMA models to time series with missing observations," Technometrics, vol. 22, pp. 389-395, 1980.
11. P.M.T. Broersen, S. de Waele and R. Bos, "Application of autoregressive spectral analysis to missing data problems," IEEE Trans. on Instrument. and Measurement, vol. 53, pp. 981-986, 2004.
12. M.B. Priestley, Spectral Analysis and Time Series. London, U.K.: Academic Press, 1981.
13. G.F. Franklin, J.D. Powell and M. Workman, Digital Control of Dynamic Systems. Menlo Park, CA, USA, 1998.