Time series analysis

Matlab tutorial
Joachim Gross
 Outline
• Terminology
• Sampling theorem
• Plotting
• Baseline correction
• Detrending
• Smoothing
• Filtering
• Decimation
 Remarks
• Focus on practical aspects, exercises, getting
experience (not on equations, theory)
• Focus on “How to do …”
• Learn some basic skills for TS analysis

• Note: Usually there is not a single perfectly correct way

of doing a TS operation!
=> learn the limitations!
 What is a time series?
A sequence of measurements over time

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 Terminology
– Continuous TS: continuous observations
– Discrete TS: observations at specific times usually equally spaced

– Deterministic TS: future values can be exactly predicted from past

values
– Stochastic TS: exact prediction not possible
 Objectives of TS analysis
• Description
• Explanation
• Prediction
• Control
 Simple descriptive analysis
Summary statistics (mean, std) is not always meaningful for
TS

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 Sampling
• Converting a continuous signal into a discrete time series
• Reconstruction is possible if sampling frequency is greater than twice
the signal bandwidth

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Time (s)
75 Hz sampling
 Sampling
• Nyquist frequency: half of sampling frequency

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10 Hz sampling 10 Hz reconstruction
 Sampling
• Aliasing: Frequencies above Nyquist frequency are
reconstructed below Nyquist frequency

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8 Hz sampling
 Sampling
• Aliasing: Frequencies above Nyquist frequency are
reconstructed below Nyquist frequency

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Power Spectrum Magnitude (dB)

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Power Spectrum Magnitude (dB)

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Frequency Frequency

40 Hz sampling 8 Hz sampling
 Simple operations on TS
• Plotting
• Removing a baseline
• Removing a trend
• Smoothing
• Filtering
• Decimation
 Plotting in Matlab
• For visual inspection of TS
• For publications/talks

• plot
• sptool
 Data preprocessing I
• Removing offset
• ts=ts-mean(ts);

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 Data preprocessing I
• Removing a baseline
• basel=find(t<=0);
• ts=ts-mean(ts(basel));

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 Data preprocessing II
• Removing a trend
• ts=detrend(ts);
• subtracts best fitting line
• detrend can be used to subtract mean: detrend(ts,’constant’)

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data 1
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 Data preprocessing III
• Smoothing
• ts=filter(ones(1,30)/30,1,ts); %mean filter, moving average
• uses zeros at beginning!
• => baseline correction or do not use first 30 samples
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 Data preprocessing III
• introduces a shift! => either correct for it or
• ts=filtfilt(ones(1,15)/15,1,ts); %mean filter, forward and reverse
• no shift!
• filter can take any smoothing kernel (gaussian, etc)

shifted by 15 samples filtfilt

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 Data preprocessing III
• Smoothing
• ts=medfilt1(ts,30); %median filter, takes into account the shift
• uses 0 at beginning and end !

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 Data preprocessing III
• Smoothing
• ts=sgolayfilt(ts,3,41); %Savitzky-Golay filter
• fits 3rd order polynomial to frames of size 41
• good at preserving high frequencies in the data

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 Data preprocessing III
• Smoothing
• compare unsmoothed and smoothed data
• check for shift
• check beginning (and end) of the smoothed time series
Exercise 1
 Data preprocessing IV
• Filtering
• FIR-Filter (finite impulse • IIR-Filter (infinite impulse
response) response)
• stable • potentially unstable
• high filter order • low filter order
• usually have linear phase • non-linear phase distortion
(phase change is proportional to • computationally efficient
frequency)
 Data preprocessing IV
• IIR-Filter:
– Butterworth
– Elliptic
– Chebychev Typ 1
– Chebychev Typ 2
– Bessel

• FIR-Filter:
– fir1
 Data preprocessing IV
Magnitude Response (dB)

• lowpass 0

• highpass -50

• bandpass -100

• bandstop -150
Magnitude (dB)

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dB is logarithmic unit -350

0dB = factor of 1 -400

3dB = factor of 2 0 5 10 15 20 25
Frequency (Hz)
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10dB= factor of 10
5 Hz lowpass
 Data preprocessing IV
Magnitude Response (dB)
• lowpass
0

• highpass -10

• bandpass -20

-30

• bandstop
Magnitude (dB)

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dB is logarithmic unit
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0dB = factor of 1
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3dB = factor of 2 Frequency (Hz)

10dB= factor of 10
30 Hz highpass
 Data preprocessing IV
Magnitude Response (dB)

• lowpass 0

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• highpass
-10

• bandpass -15

Magnitude (dB)
• bandstop -20

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dB is logarithmic unit -40

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0dB = factor of 1 Frequency (Hz)

3dB = factor of 2
10dB= factor of 10
2-30 Hz bandpass
 Data preprocessing IV
Magnitude Response (dB)

• lowpass
0

• highpass
• bandpass -5

Magnitude (dB)

• bandstop -10

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-20

dB is logarithmic unit -25

0dB = factor of 1 0 5 10 15 20 25
Frequency (Hz)
30 35 40 45

3dB = factor of 2
10dB= factor of 10
30-40 Hz bandstop
 Simple design: FIR
• [b]=fir1(4,2*4/sf); %4 Hz lowpass
• [b]=fir1(4,2*4/sf,’high’); %4 Hz highpass
• [b]=fir1(4,2*[4 10]/sf); %4-10 Hz bandpass
• [b]=fir1(4,2*[4 10]/sf,’stop’); %4-10 Hz bandstop

• tsf=filter(b,1,ts);
• tsf=filtfilt(b,1,ts); %forward and reverse
 Simple design: IIR
• [b,a]=butter(4,2*4/sf); %4 Hz lowpass
• [b,a]=butter(4,2*4/sf,’high’); %4 Hz highpass
• [b,a]=butter(4,2*[4 10]/sf); %4-10 Hz bandpass
• [b,a]=butter(4,2*[4 10]/sf,’stop’); %4-10 Hz bandstop

• tsf=filter(b,a,ts);
• tsf=filtfilt(b,a,ts); %forward and reverse
 Simple Inspection
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freqz(b,a,100,100);

Magnitude (dB)
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number of frequencies
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Frequency (Hz)

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Phase (degrees)

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Frequency (Hz)
 Complex design
• fdatool
– magnitude response
– phase response
– impulse response
– compare filters
– effect of changing filter order
 Filter artifacts
• onset transients

filter filtfilt
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-3 1 Hz lowpass (4th order Butterworth) x 10
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 Filter artifacts
• ringing

with artifact
without artifact
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 Filter artifacts
• ringing

filter, 20 Hz lowpass (12th order Butterworth) filtfilt

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 Filter artifacts
• beginning and end of filtered ts is distorted
• filtering artifacts is dangerous
• filtering may change the latency of effects!
• filtering may change the phase
 Suggestions
• be careful with low frequencies
• use low order butterworth forward and reverse (to avoid
phase distortions)
• carefully check beginning and end of filtered ts
• make sure you don’t have artifacts in the data
• use surrogate data (filtered noise)
 Data preprocessing V
• Decimation
• ts=decimate(ts,4);
• decimate uses a lowpass filter to avoid aliasing artifacts
Exercises 2-4