The removal of spurious spectral peaks from autoregressive models for irregularly sampled data

IEEE Transactions on Instrumentation and Measurement

Volumn 59, Issue 1, 2010, Pages 205-214

  Broersen, Piet M T ^a  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

Autoregressive (AR) model; Nearest neighbor (NN) resampling; Order selection; Parametric model; Slotted resampling; Spectral estimation; Time series analysis; Uneven sampling

Indexed keywords

AUTO REGRESSIVE MODELS; NEAREST NEIGHBORS; ORDER SELECTION; PARAMETRIC MODELS; RESAMPLING; SERIES ANALYSIS; SPECTRAL ESTIMATION; UNEVEN SAMPLING;

ARGON; ESTIMATION; POLES; POWER SPECTRAL DENSITY; SPECTRUM ANALYSIS; TIME SERIES;

TIME SERIES ANALYSIS;

EID: 72349099308     PISSN: 00189456     EISSN: None     Source Type: Journal    
DOI: 10.1109/TIM.2009.2022451     Document Type: Conference Paper

References (19)

1. R. H. Jones, "Fitting a continuous time autoregression to discrete data," in Applied Time Series Analysis II, D. F. Findley, Ed. New York: Academic, 1981, pp. 651-682.
2. P. M. T. Broersen and R. Bos, "Estimating time series models from irregularly spaced data," IEEE Trans. Instrum. Meas., vol. 55, no. 4, pp. 1124-1131, Aug. 2006.
3. E. K. Larsson and T. S̈derstr̈m, "Identification of continuous-time AR processes from unevenly sampled data," Automatica, vol. 38, no. 4, pp. 709-718, Apr. 2002.
4. E. Lahalle, G. Fleury, and A. Rivoira, "Continuous ARMA spectral estimation from irregularly sampled observations," in Proc. IEEE/IMTC Conf., Como, Italy, 2004, pp. 923-927.
5. P. J. Brockwell, R. A. Davis, and Y. Yang, "Continuous-time Gaussian autoregression," Stat. Sin., vol. 17, pp. 63-80, 2007.
6. Q. Yao and P. J. Brockwell, "Gaussian maximum likelihood estimation for ARMA models-Part 1: Time series," J. Time Ser. Anal., vol. 27, no. 6, pp. 857-875, Nov. 2006.
7. R. J. Adrian and C. S. Yao, "Power spectra of fluid velocities measured by laser Doppler velocimetry," Exp. Fluids, vol. 5, no. 1, pp. 17-28, Jan. 1987.
8. L. H. Benedict, H. Nobach, and C. Tropea, "Estimation of turbulent velocity spectra from Laser Doppler data," Meas. Sci. Technol., vol. 11, no. 8, pp. 1089-1104, Aug. 2000.
9. R. H. Jones, "Maximum likelihood fitting of ARMA models to time series with missing observations," Technometrics, vol. 22, pp. 389-395, 1980.
10. P. M. T. Broersen, S. de Waele, and R. Bos, "Autoregressive spectral analysis when observations are missing," Automatica, vol. 40, no. 9, pp. 1495-1504, Sep. 2004.
11. P. M. T. Broersen, "Time series models for spectral analysis of irregular data far beyond the mean data rate," Meas. Sci. Technol., vol. 19, no. 1, p. 015 103, Jan. 2008.
12. P. M. T. Broersen, ARMAsel for Irregular or Missing Data, 2008. Matlab toolbox, (Signal Processing, Spectral Analysis). [Online]. Available: www.mathworks.com/matlabcentral/fileexchange
13. M. B. Priestley, Spectral Analysis and Time Series. London, U.K.: Academic, 1981.
14. P. M. T. Broersen, Automatic Autocorrelation and Spectral Analysis. London, U.K.: Springer-Verlag, 2006.
15. G. Basak, N. H. Chan, and P. P. K. Lee, "Order selection of continuous time models: Applications to estimation of risk premiums," in Proc. IEEE Int. Conf. Comput. Intell. Financial Eng., 2003, pp. 293-300.
16. P. M. T. Broersen, "Autoregressive order selection for irregularly sampled data," in Proc. IEEEIMTC Conf., Sorrento, Italy, 2006, pp. 1004-1009.
17. T. S̈derstr̈m, "Computing stochastic continuous-time models from ARMA models," Int. J. Control, vol. 53, no. 6, pp. 1311-1326, Jun. 1991.
18. W. K. Harteveld, R. F. Mudde, and H. E. A. van den Akker, "Estimation of turbulence power spectra for bubbly flows from laser Doppler anemometry signals," Chem. Eng. Sci., vol. 60, no. 22, pp. 6160-6168, Nov. 2005.
19. L. J. A. M. van Campen, A. Mahmood, M. Rohde, and L. M. Portela, "An experimental study on the capabilities of FEP as refractive index matching material for LDA: Turbulent pipe flow," in Proc. 7th Int. Top. Meeting Nucl. Reactor Therm. Hydraulics, Oper. Safety, Seoul, Korea, 2008, pp. 1-9.