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On the Choice of Sampling Rates in Parametric Identification of Time Series

Åström, Karl Johan LU (1969) In Information Sciences 1(3). p.273-278
Abstract
Aliasing gives a lower bound for the sampling rate in ordinary spectral analysis of a time series. In parametric it appears at first sight that no such limitations are present. In this note we will obtain insight into this paradox by analyzing a simple Gauss-Markov process. We assume that a time series analysis is performed based on N samples of the series at equal spacing h. The result shows that there is an optimal choice of h and that the variance increases rapidly when h increases from the optimal value. The analysis of a time series of fixed length T with different number of samplings is also discussed.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Information Sciences
volume
1
issue
3
pages
273 - 278
publisher
Elsevier
external identifiers
  • scopus:49849124931
ISSN
0020-0255
DOI
10.1016/S0020-0255(69)80013-7
language
English
LU publication?
yes
id
c59ec248-eeb3-4ec9-b154-984c36a76e42 (old id 8867124)
date added to LUP
2016-04-04 09:08:04
date last changed
2021-09-26 03:18:52
@article{c59ec248-eeb3-4ec9-b154-984c36a76e42,
  abstract     = {{Aliasing gives a lower bound for the sampling rate in ordinary spectral analysis of a time series. In parametric it appears at first sight that no such limitations are present. In this note we will obtain insight into this paradox by analyzing a simple Gauss-Markov process. We assume that a time series analysis is performed based on N samples of the series at equal spacing h. The result shows that there is an optimal choice of h and that the variance increases rapidly when h increases from the optimal value. The analysis of a time series of fixed length T with different number of samplings is also discussed.}},
  author       = {{Åström, Karl Johan}},
  issn         = {{0020-0255}},
  language     = {{eng}},
  number       = {{3}},
  pages        = {{273--278}},
  publisher    = {{Elsevier}},
  series       = {{Information Sciences}},
  title        = {{On the Choice of Sampling Rates in Parametric Identification of Time Series}},
  url          = {{http://dx.doi.org/10.1016/S0020-0255(69)80013-7}},
  doi          = {{10.1016/S0020-0255(69)80013-7}},
  volume       = {{1}},
  year         = {{1969}},
}