100 periods have been collected from a 3 dimensional periodic signal. The wavelength slightly varies. The noise of the wavelength follows Gaussian distribution with zero mean. A good estimate of the wavelength is known, that is not an issue here. The noise of the amplitude may not be Gaussian and may be contaminated with outliers.

How can I compute a single period that approximates 'best' all of the collected 100 periods?

I have no idea how time-series models work. Are they prepared for varying wavelengths? Can they handle non-smooth true signals? If a time-series model is fitted, can I compute a 'best estimate' for a single period? How?

A related question is this. Speed is not an issue in my case. Processing is done off-line, after all periods have been collected.

Origin of the problem: I am measuring acceleration during human steps at 200 Hz. After that I am trying to double integrate the data to get the vertical displacement of the center of gravity. Of course the noise introduces a HUGE error when you integrate twice. I would like to exploit periodicity to reduce this noise. Here is a crude graph of the actual data (y: acceleration in g, x: time in second) of 6 steps corresponding to 3 periods (1 left and 1 right step is a period): Human steps

My interest is now purely theoretical, as http://jap.physiology.org/content/39/1/174.abstract gives a pretty good recipe what to do. It does not address periodicity.

Note: I have asked this question on stackoverflow but it seems to be off-topic there.


I'm not sure I totally understand what would be best, but I believe that looking at Dynamic Linear Models, State Space modeling, and the Kalman Filter would be helpful. In R, the package dlm is fairly accessible.

Edit: Describe DLM's simply, eh? One explanation I've seen is that DLMs are regression where your coefficients are allowed to change with time. Doesn't really give me much intuition.

So, here is my I-realize-I-don't-understand-DLMs-well-enough-to-do-this-well-but-you-asked answer, which I hope others will correct as necessary. Let me use a situation that's similar to how they were invented...

Say you were controlling a remotely-piloted vehicle. You could summarize the vehicle's actual state (speed, direction, altitude, fuel, etc, etc) as a vector in a state space. You can't directly observe the actual state, but you do have sensors that observe linear combinations of the actual state, with some (gaussian) noise added in. That is, your sensors are not perfect.

Further, the vehicle has a program that determines how it changes states, as a linear combination of the current state, also with some (gaussian) noise. That is, your controls are not perfect.

Say you want to know the most likely and most accurate path possible for the vehicle -- that is, the states it actually went through: how it actually moved. What you observe is noisy, but you can use a Kalman filter on this system you model and the filter models the variances in the system and outputs the most likely actual states. At each time step, it forecasts what it believes the state will be, then observes what the sensors say, calculates the variances of the different parts, and comes up with a final estimate of the state as a weighted sum of the forecast and the sensor readings. Then the process is repeated for the next time step.

The whole concept is basically a continuous Hidden Markov Model, if you're familiar with those. The model is several equations which involve several matrices that are multiplied together, and you can add columns to the matrix to reflect trend, seasonal, and other types of components of the time series.

The R package dlm makes it particularly easy to define and combine components.

  • $\begingroup$ Thanks! Could you expand on the 'dynamic linear model'? In your own words to someone who has no idea about dlm. I did google it and found a bunch of PDFs but I would happy to read an explanation in plain English. $\endgroup$ – Ali Apr 28 '11 at 18:29
  • $\begingroup$ +1 I appreciate your efforts to answer my question. DLM does not seem to be the method I am looking for but it may be useful in one of my other projects. Thanks anyhow! $\endgroup$ – Ali Apr 30 '11 at 23:01
  • $\begingroup$ I'd recommend looking at en.wikipedia.org/wiki/Particle_filter and en.wikipedia.org/wiki/Kalman_filter and noting the similarity. If your noise is Gaussian, the DLM/Kalman approach will serve you well. $\endgroup$ – Wayne May 4 '11 at 20:59
  • $\begingroup$ Thanks. As I write in the question "The noise of the amplitude may not be Gaussian and may be contaminated with outliers." Please give me some time to come up with more results, I am interested in closing this question by accepting an answer. $\endgroup$ – Ali May 4 '11 at 22:21
  • $\begingroup$ From what I've read, "Without the assumption of normality, uncorrelatedness of the disturbances is sufficient for the Kalman filter to yield optimal linear foreasts." The particle filter is more general though... $\endgroup$ – Wayne May 5 '11 at 2:18

This video (especially the part starting at 23:20) describes the same problem you have with double integration, which amplifies low frequency noise to unbearable levels quickly. They solve the problem by sensor fusion, effectively using other sensors (like magnetic field sensors and gyroscopes) simultaneously to infer a more robust estimate of the acceleration coming from gravity alone and the acceleration coming from the movement of the sensor.

To help you with the drift from the double integration you could also try a particle filter to estimate the true position of the accelerometer over time. There is an interesting Tech Talk about a more robust version of this idea.

Perhaps you could also use characteristic points in your time series as a kind of position anchor, e.g. if you can infer with some confidence the times when the pivot is lowest (or highest) and just assume a fixed height over ground for these times. Then, instead of an initial value problem resulting in onesided double integration, you would have a boundary value problem, where you can additionally integrate backwards from the next anchor position. This reduces the time where errors can grow down to half of a period.

  • $\begingroup$ There is also an accompanying paper for the particle filter talk $\endgroup$ – Thies Heidecke May 1 '11 at 23:23
  • $\begingroup$ +1 and thanks for your answer. I know the first video by heart :) As for your idea in the last paragraph, they perform essentially the same approach in the paper "Force platforms as ergometers" I refer to just below the graph. $\endgroup$ – Ali May 2 '11 at 0:19

You may want to check out Functional Data Analysis, which permits characterization of functional (temporal) phenomena with noise in the wavelength, amplitude, etc.


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