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)

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75 Hz sampling

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Sampling

Nyquist frequency: half of sampling frequency

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10 Hz sampling

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10 Hz reconstruction

Sampling
Aliasing: Frequencies above Nyquist frequency are
reconstructed below Nyquist frequency

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8 Hz sampling

Sampling

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Power Spectrum Magnitude (dB)

Power Spectrum Magnitude (dB)

Aliasing: Frequencies above Nyquist frequency are

reconstructed below Nyquist frequency

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Frequency

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40 Hz sampling

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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)

data 1
linear
data 2

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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)
filtfilt

shifted by 15 samples
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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
response)
stable
high filter order
usually have linear phase
(phase change is proportional to
frequency)

IIR-Filter (infinite impulse

response)
potentially unstable
low filter order
non-linear phase distortion
computationally efficient

Data preprocessing IV
IIR-Filter:

Butterworth
Elliptic
Chebychev Typ 1
Chebychev Typ 2
Bessel

FIR-Filter:
fir1

Data preprocessing IV
Magnitude Response (dB)

lowpass
highpass
bandpass
bandstop

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Magnitude (dB)

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dB is logarithmic unit
0dB = factor of 1
3dB = factor of 2
10dB= factor of 10

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Frequency (Hz)

5 Hz lowpass

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Data preprocessing IV
lowpass
highpass
bandpass
bandstop

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Magnitude (dB)

Magnitude Response (dB)

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dB is logarithmic unit
0dB = factor of 1
3dB = factor of 2
10dB= factor of 10

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Frequency (Hz)

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30 Hz highpass

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Data preprocessing IV
Magnitude Response (dB)

lowpass
highpass
bandpass
bandstop

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Magnitude (dB)

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dB is logarithmic unit
0dB = factor of 1
3dB = factor of 2
10dB= factor of 10

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Frequency (Hz)

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2-30 Hz bandpass

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Data preprocessing IV
Magnitude Response (dB)

lowpass
highpass
bandpass
bandstop

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Magnitude (dB)

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dB is logarithmic unit
0dB = factor of 1
3dB = factor of 2
10dB= factor of 10

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Frequency (Hz)

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30-40 Hz bandstop

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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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Phase (degrees)

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Magnitude (dB)

freqz(b,a,100,100);

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Complex design
fdatool

magnitude response
phase response
impulse response
compare filters
effect of changing filter order

Filter artifacts
onset transients
filter
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filtfilt

1 Hz lowpass (4th order Butterworth)

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Filter artifacts
ringing
with artifact
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without artifact

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Filter artifacts
ringing
filter, 20 Hz lowpass (12th order Butterworth)
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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 dont 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