Cart (Loading....) | Create Account
Close category search window
 

Estimating time-series models from irregularly spaced data

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
Broersen, P.M.T. ; Dept. of Multi-Scale Phys., Delft Univ. of Technol. ; Bos, R.

Maximum-likelihood estimation of the parameters of a continuous-time model for irregularly sampled data is very sensitive to initial conditions. Simulations may converge to a good solution if the true parameters are used as starting values for the nonlinear search of the minimum of the negative log likelihood. From realizable starting values, the convergence to a continuous-time model with an accurate spectrum is rare if more than three parameters have to be estimated. A discrete-time spectral estimator that applies a new algorithm for automatic equidistant missing-data analysis to irregularly spaced data is introduced. This requires equidistant resampling of the data. A slotted nearest neighbor (NN) resampling method replaces a true irregular observation time instant by the nearest equidistant resampling time point if and only if the distance to the true time is within half the slot width. It will be shown that this new resampling algorithm with the slotting principle has favorable properties over existing schemes such as NN resampling. A further improvement is obtained by using a slot width that is only a fraction of the resampling time

Published in:

Instrumentation and Measurement, IEEE Transactions on  (Volume:55 ,  Issue: 4 )

Date of Publication:

Aug. 2006

Need Help?


IEEE Advancing Technology for Humanity About IEEE Xplore | Contact | Help | Terms of Use | Nondiscrimination Policy | Site Map | Privacy & Opting Out of Cookies

A not-for-profit organization, IEEE is the world's largest professional association for the advancement of technology.
© Copyright 2014 IEEE - All rights reserved. Use of this web site signifies your agreement to the terms and conditions.