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Chris Martin

How to find annual amplitude and phase of time series

Asked by Chris Martin
on 19 Jul 2013

How to find annual amplitude and phase of time series



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1 Answer

Answer by Wayne King
on 19 Jul 2013
 Accepted answer

There are a number of ways you can try and estimate it. Do you have a priori knowledge of the frequency? If so you can use linear regression to find the amplitude and phase.

For example, assume I know the frequency is 10 Hz for data sampled at 100 Hz.

    Fs = 100;
    t = 0:1/Fs:2-1/Fs;
    x = 1.5*cos(2*pi*10*t-pi/4)+randn(size(t));
    % create the design matrix
    X = ones(length(x),3);
    X(:,2) = sin(2*pi*10*t);
    X(:,3) = cos(2*pi*10*t);
    x = x(:);
    beta = X\x;

The amplitude estimate is:

   amp_est = norm([beta(2) beta(3)],2)

The phase angle estimate is:

   phase_est = atan2(-beta(2),beta(3))

If you don't know the frequency a priori, then look at the following example:


Chris Martin
on 2 Aug 2013

Frequency is one cycle per year

Wayne King
on 2 Aug 2013

Then you should be able to use method I give you above.

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