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Automatic Spectral Analysis

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Automatic Spectral Analysis

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03 Jul 2003 (Updated )

Automatic spectral analysis for irregular sampling/missing data, analysis of spectral subband.

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Description

Accurate estimates of the autocorrelation or power spectrum can be obtained with a parametric model (AR, MA or ARMA). With automatic inference, not only the model parameters but also the model structure are determined from the data. It is assumed that the ARMASA toolbox is present. This toolbox can be downloaded from the MATLAB Central file exchange at www.mathworks.com
The applications of this toolbox are:
- Reduced statistics ARMAsel: A compact yet accurate ARMA model is obtained based on a given power spectrum. Can be used for generation of colored noise with a prescribed spectrum.
- ARfil algorithm: The analysis of missing data/irregularly sampled signals
- Subband analysis: Accurate analysis of a part of the power spectrum
- Vector Autoregressive modeling: The automatic analysis of auto- and crosscorrelations and spectra
- Detection: Generally applicable test statistic to determine whether two signals have been generated by the same process or not. Based on the Kullback-Leibler index or Likelihood Ratio.
- Analysis of segments of data, possibly of unequal length.

For background information see my PhD thesis, available at http://www.dcsc.tudelft.nl/Research/PubSSC/thesis_sdewaele.html

MATLAB release MATLAB 7.0.1 (R14SP1)
Other requirements ARMASA toolbox (MatlabCentral)
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Comments and Ratings (11)
20 Feb 2008 syam Nagendla

Comments: during my thesis i need to fit arma or ar model and i have some problem with it. i havent find the time series toolbox of matlab and this file. how can i get it and how to work. the time is over and im missinng my time. please help me.

05 Oct 2007 Amy Day-Lewis

I used this to analyze geophysical data with a large percentage of missing observations. It worked famously. Thank you so much for making it freely available.

18 Aug 2007 mina tehrani

during my thesis i need to fit arma or ar model and i have some problem with it. i havent find the time series toolbox of matlab and this file. how can i get it and how to work. the time is over and im missinng my time. please help me.

18 Aug 2007 mina tehrani

during my thesis i need to fit arma or ar model and i have some problem with it. i havent find the time series toolbox of matlab and this file. how can i get it and how to work. the time is over and im missinng my time. please help me.

28 Mar 2007 Lianru Gao  
30 Dec 2006 Vishnuvenkatesh Dhage  
13 Sep 2006 sonny yanupraja  
26 Jul 2006 Zen Zeng

excellent job!

03 May 2006 zhou huilin  
20 Feb 2006 Trinh Quang Duc  
10 Apr 2005 ZHONGCHAO HUANG

be great, and thanks Stijn de Waele for the free affer

Updates
09 Jul 2003

minor modification

09 Jul 2003

minor modification

20 Aug 2003

durbin2 can be used separately

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