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Re: time series analysis - request for ideas? [message #72643 is a reply to message #72578]

Tue, 21 September 2010 09:35

R.G.Stockwell
Messages: 163
Registered: October 2004

Senior Member

"a" <oxfordenergyservices@googlemail.com> wrote in message
news:da83c4e7-1249-4a7e-8138-90bce4e37df0@l17g2000vbf.google groups.com...
> Hi
>
> I have a number of experimental time-series data (say 100) each of
> which consists of a number of readings at 10 second intervals for a
> year.
>
> I want to simulate many thousand of these time-series but they must
> agree statistically with the experimental data.
>
> Does anybody have any ideas of how this might be done or the types of
> fields that this problem has come up in?
>
> My initial thoughts were
>
> a) the distribution of values of the simulated must agree with
> experimental
> b) the distribution of (the change in each 10 seconds) must agree with
> experimental
> c) the autocorrelations of the simulation must agree with experimental
>
> The experimental data does not look like it can be used with fourier
> analysis - there are lots of spikes, lots of plateaus and lots of very
> low contiguous values etc.
>
> Any ideas appreciated
>
> Cheers!
>
> Russ

I would fit to find what kind of autoregressive process it appears to be.
Check out the power spectrum, and if it is a red spectrum (which is fairly
universal
in geophysics) just create an autoregressive process to mimic the spectral
slope.

(I.e create a time series from random white data, make an recursive filter
to tune
the spectra to look like the real thing).

for example: (you can put in your own alpha, or change how many lags you
want)

function rednoise,len

; rewrite to calc all random numbers at once.

randomnumbers = randomn(seed, len)

alpha = 0.99d ; the one-lag autocorrelation of the red noise

factor = sqrt(1-alpha^2)
x = dblarr(len)
x(0) = factor*randomnumbers[0];
for i=1L,len-1 do begin
x(i)=x(i-1)*alpha + factor*randomnumbers[i];
endfor

return,x

end

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[Message index]

		Re: time series analysis - request for ideas? By: Kenneth P. Bowman on Fri, 24 September 2010 07:58
		Re: time series analysis - request for ideas? By: oxfordenergyservices on Fri, 24 September 2010 06:02
		Re: time series analysis - request for ideas? By: R.G.Stockwell on Tue, 21 September 2010 09:35
		Re: time series analysis - request for ideas? By: oxfordenergyservices on Fri, 01 October 2010 08:33

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