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Estimating Time-Series Power Spectra

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How to Estimate Time-Series Power Spectra Using the GUI How to Estimate Time-Series Power Spectra at the Command Line

How to Estimate Time-Series Power Spectra Using the GUI

You must have already imported your data into the GUI, as described in Preparing Time-Series Data.

To estimate time-series spectral models in the System Identification Tool GUI:

1. In the System Identification Tool GUI, select Estimate > Spectral models to open the Spectral Model dialog box.

2. In the Method list, select the spectral analysis method you want to use. For information about each method, see Options for Computing Spectral Models.

3. Specify the frequencies at which to compute the spectral model in either of the following ways:

   • In the Frequencies field, enter either a vector of values, a MATLAB expression that evaluates to a vector, or a variable name of a vector in the MATLAB workspace. For example, logspace(-1,2,500).

   • Use the combination of Frequency Spacing and Frequencies to construct the frequency vector of values:

     • In the Frequency Spacing list, select Linear or Logarithmic frequency spacing.

       Note   For etfe, only the Linear option is available.

     • In the Frequencies field, enter the number of frequency points.

     For time-domain data, the frequency ranges from 0 to the Nyquist frequency. For frequency-domain data, the frequency ranges from the smallest to the largest frequency in the data set.

4. In the Frequency Resolution field, enter the frequency resolution, as described in Options for Frequency Resolution. To use the default value, enter default or leave the field empty.

5. In the Model Name field, enter the name of the correlation analysis model. The model name should be unique in the Model Board.

6. Click Estimate to add this model to the Model Board in the System Identification Tool GUI.

7. In the Spectral Model dialog box, click Close.

8. To view the estimated disturbance spectrum, select the Noise spectrum check box in the System Identification Tool GUI. For more information about working with this plot, see Noise Spectrum Plots.

To export the model to the MATLAB workspace, drag it to the To Workspace rectangle in the System Identification Tool GUI. You can view the power spectrum and the confidence intervals of the resulting idfrd model object using the bode command.

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How to Estimate Time-Series Power Spectra at the Command Line

You can use the etfe, spa, and spafdr commands to estimate power spectra of time series for both time-domain and frequency-domain data. The following table provides a brief description of each command.

You must have already prepared your data, as described in Preparing Time-Series Data.

The resulting models are stored as an idfrd model object, which contains SpectrumData and its variance. For multiple-output data, SpectrumData contains power spectra of each output and the cross-spectra between each output pair.

Estimating Frequency Response of Time Series

Command	Description
etfe	Estimates a periodogram using Fourier analysis.
spa	Estimates the power spectrum with its standard deviation using spectral analysis.
spafdr	Estimates the power spectrum with its standard deviation using a variable frequency resolution.

For example, suppose y is time-series data. The following commands estimate the power spectrum g and the periodogram p, and plot both models with three standard deviation confidence intervals:

g = spa(y)
p = etfe(y)
bode(g,p,'sd',3)

For detailed information about these commands, see the corresponding reference pages.

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Preparing Time-Series Data

Estimating AR and ARMA Models

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