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    A multitaper spectral estimator for time-series with missing data

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    Article (1.803Mb)
    Date
    2019-06-14
    Author
    Chave, Alan D.  Concept link
    Metadata
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    Citable URI
    https://hdl.handle.net/1912/24836
    As published
    https://doi.org/10.1093/gji/ggz280
    DOI
    10.1093/gji/ggz280
    Keyword
     Fourier analysis; Numerical approximations and analysis; Statistical methods; Time-series analysis 
    Abstract
    A multitaper estimator is proposed that accommodates time-series containing gaps without using any form of interpolation. In contrast with prior missing-data multitaper estimators that force standard Slepian sequences to be zero at gaps, the proposed missing-data Slepian sequences are defined only where data are present. The missing-data Slepian sequences are frequency independent, as are the eigenvalues that define the energy concentration within the resolution bandwidth, when the process bandwidth is [−1/2,1/2) for unit sampling and the sampling scheme comprises integer multiples of unity. As a consequence, one need only compute the ensuing missing-data Slepian sequences for a given sampling scheme once, and then the spectrum at an arbitrary set of frequencies can be computed using them. It is also shown that the resulting missing-data multitaper estimator can incorporate all of the optimality features (i.e. adaptive-weighting, F-test and reshaping) of the standard multitaper estimator, and can be applied to bivariate or multivariate situations in similar ways. Performance of the missing-data multitaper estimator is illustrated using length of day, seafloor pressure and Nile River low stand time-series.
    Description
    Author Posting. © The Authors, 2019. This article is posted here by permission of The Royal Astronomical Society for personal use, not for redistribution. The definitive version was published in Geophysical Journal International 218(3), (2019): 2165-2178, doi: 10.1093/gji/ggz280.
    Collections
    • Applied Ocean Physics and Engineering (AOP&E)
    Suggested Citation
    Chave,Alan D. (2019). A multitaper spectral estimator for time-series with missing data. Geophysical Journal International, 218(3), 2165-2178.
     

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