Wolfram Language

Time Series Processing

Filter Irregularly Sampled Time Series

Various filters can now be applied to irregularly sampled TimeSeries and EventSeries.

In[1]:=
Click for copyable input
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{"Continuous", 1}, 1, { ResamplingMethod -> {"Interpolation", InterpolationOrder -> 1}, ValueDimensions -> 1}}, False, 314.1];
In[2]:=
Click for copyable input
ListLinePlot[ts]
Out[2]=

Check the temporal regularity.

In[3]:=
Click for copyable input
RegularlySampledQ[ts]
Out[3]=

Find the smallest time increment.

In[4]:=
Click for copyable input
step = First@ts["MinimumTimeIncrement"]
Out[4]=

Apply GaussianFilter with a window-length specification depending on the minimum time increment of the time series.

In[5]:=
Click for copyable input
gf = GaussianFilter[ts, 1/step]
Out[5]=
In[6]:=
Click for copyable input
ListLinePlot[{ts, gf}]
Out[6]=

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