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Time scale estimation by tracking parameter variation.

Belcher, John and Tunnicliffe Wilson, Granville (2000) Time scale estimation by tracking parameter variation. Journal of Time Series Analysis, 21 (3). pp. 237-248.

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Abstract

A quasi-periodic time series is sampled at a varying but unknown rate. An autoregressive moving-average model is fitted to the resulting discrete series and the time variation of its parameters is estimated. The functional dependence of the parameters on the sampling rate is then used to estimate this rate and to reconstruct the true time scale.

Item Type: Article
Journal or Publication Title: Journal of Time Series Analysis
Uncontrolled Keywords: Cyclical series • variable sampling rate • ARMA model
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 19327
Deposited By: ep_ss_importer
Deposited On: 18 Nov 2008 11:35
Refereed?: Yes
Published?: Published
Last Modified: 17 Sep 2013 08:16
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/19327

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