On the Choice of Sampling Rates in Parametric Identification of Time Series
(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:
https://lup.lub.lu.se/record/8867124
- author
- Åström, Karl Johan LU
- organization
- publishing date
- 1969
- 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}}, }