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Time scale estimation by tracking parameter variation.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
<mark>Journal publication date</mark>05/2000
<mark>Journal</mark>Journal of Time Series Analysis
Issue number3
Volume21
Number of pages12
Pages (from-to)237-248
Publication StatusPublished
<mark>Original language</mark>English

Abstract

A quasi-periodic time series is sampled at a varying but unknown rate. An autoregressive moving-average model is fitted to the resulting discrete series and the time variation of its parameters is estimated. The functional dependence of the parameters on the sampling rate is then used to estimate this rate and to reconstruct the true time scale.