NDLI: Five Separate Bias Contributions in Time Series Models for Equidistantly Resampled Irregular Data

Content Provider	IEEE Xplore Digital Library
Author	Broersen, P.
Copyright Year	1963
Abstract	The use of time series models for irregular data requires resampling of the data on an equidistant grid. Slotted resampling transforms an irregular randomly sampled process into an equidistant signal where data are missing. An approximate maximum-likelihood time series estimator has been developed to estimate the power spectral density and the autocorrelation function of multishift slotted nearest-neighbor (NN) resampled data sets. Resampling always causes bias in spectral estimates due to aliasing in the frequency domain and to shifting the observation times to an equidistant grid. Furthermore, orders of the time series models that are too low can cause a significant truncation bias and, probably, an additional missing-data bias, both of which disappear if the model orders are taken high enough. Finally, a special bias is present if the probability of making an observation at a certain time depends on the instantaneous amplitude of the observed signal. All five bias types are independent of the sample size and will not diminish if more data can be used for the estimation.
Sponsorship	IEEE Instrumentation and Measurement Society Bureau international des poids et mesures IEEE International Bureau of Weights and Measures (BIPM) URSI NBS Agency Ind. Sci. & Technol., Min. Int. Trade & Ind. Sci. Council Japan International Union of Pure and Applied Physics (IUPAP) NIST NRCC National Conference of Standards Laboratories (NCSL) Allen Osborne Associates Andeen-Hagerling, Inc. Ballantine Lab. Inc. Clarke-Hess Communications Research Corp. Fluke Corporation Guildline Instruments Hewlett-Packard Co. Julie Res. Lab. Inc. Keithley Instruments, Inc. Measurements International Ltd. Canada QuadTech Inc. Quantum Design Inc. Rotek Instrum. Corp. Tegam Inc. Tektronix Inc
Starting Page	1370
Ending Page	1379
Page Count	10
File Size	603348
File Format	PDF
ISSN	00189456
Volume Number	58
Issue Number	5
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-05-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Neural networks Signal sampling Frequency estimation Signal processing Maximum likelihood estimation Spectral analysis Sampling methods Linear discriminant analysis Autocorrelation Frequency domain analysis uneven sampling Autoregressive (AR) models nearest-neighbor (NN) resampling slotting spectral analysis time series
Content Type	Text
Resource Type	Article
Subject	Instrumentation Electrical and Electronic Engineering

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