频域时间序列分析

IEEE Instrumentation and Measurement Technology Conference Sensing, Processing, Networking. IMTC Proceedings Pub Date : 1997-05-19 DOI:10.1109/IMTC.1997.604010

R. Pintelon, J. Schoukens

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引用次数: 26

摘要

提出了一种不存在谱泄漏误差的自回归移动平均(ARMA)过程参数频域识别算法。它基于一个扩展的传递函数模型，该模型考虑了有限数据记录的开始和结束效应。建立了与超前一步预测误差法的关系。该方法的优点是易于预滤波和原始数据的无泄漏谱表示。

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Time series analysis in the frequency domain

This paper presents a parametric frequency domain identification algorithm for autoregressive moving average (ARMA) processes that does not suffer from spectral leakage errors. It is based on an extended transfer function model that takes into account the begin and end effect of the finite data record. The relationship with the one step ahead prediction error method is established. The advantages of the proposed method are easy prefiltering and leakage free spectral representation of the raw data.

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来源期刊

IEEE Instrumentation and Measurement Technology Conference Sensing, Processing, Networking. IMTC Proceedings

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