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How to find annual amplitude and phase of time series

Asked by Chris Martin

Chris Martin

on 19 Jul 2013
Accepted Answer by Wayne King

Wayne King

How to find annual amplitude and phase of time series

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Chris Martin

Chris Martin

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1 Answer

Answer by Wayne King

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:

https://www.mathworks.com/help/signal/ug/frequency-domain-linear-regression.html

2 Comments

Chris Martin

Chris Martin

on 2 Aug 2013

Frequency is one cycle per year

Wayne King

Wayne King

on 2 Aug 2013

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

Wayne King

Wayne King

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