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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.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Information Sciences
volume
1
issue
3
pages
273 - 278
publisher
Elsevier Inc.
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
2016-03-23 13:29:00
date last changed
2017-01-15 04:25:56
@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 Inc.},
  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},
  volume       = {1},
  year         = {1969},
}