Frequency determination from sparsely sampled data_问答_开发者

I'm observing a sinusoidally-varying source, i.e. f(x) = a sin (bx + d) + c, and want to determine the amplitude a, offset c and period/frequency b - the shift d is unimportant. Measurements are sparse, with each source measured typically between 6 and 12 times, and observations are at (effectively) random times, with intervals between observations roughly between a quarter and ten times the period (just to stress, the spacing of observations is not constant for each source). In each source the offset c is typically quite large compared to the measurement error, while amplitudes vary - at one extreme they are only on the order of the measurement error, while at the other extreme they are about twenty times the error. Hopefully that fully outlines the problem, if not, please ask and i'll clarify.

Thinking naively about the problem, the average of the measurements will be a good estimate of the offset c, while half the range between the minimum and maximum value of the measured f(x) will be a reasonable estimate of the amplitude, especially as the number of measurements increase so that the prospects of having observed the maximum offset from the mean improve. However, if the amplitude is small then it seems to me that there is little chance of accurately determining b, while the prospects should be better for large-amplitude sources even if they are only observed the minimum number of times.

Anyway, I wrote some code to do a least-squares fit to the data for the range of periods, and it identifies best-fit values of a, b and d quite effectively for the larger-amplitude so开发者_高级运维urces. However, I see it finding a number of possible periods, and while one is the 'best' (in as much as it gives the minimum error-weighted residual) in the majority of cases the difference in the residuals for different candidate periods is not large. So what I would like to do now is quantify the possibility that the derived period is a 'false positive' (or, to put it slightly differently, what confidence I can have that the derived period is correct).

Does anybody have any suggestions on how best to proceed? One thought I had was to use a Monte-Carlo algorithm to construct a large number of sources with known values for a, b and c, construct samples that correspond to my measurement times, fit the resultant sample with my fitting code, and see what percentage of the time I recover the correct period. But that seems quite heavyweight, and i'm not sure that it's particularly useful other than giving a general feel for the false-positive rate.

And any advice for frameworks that might help? I have a feeling this is something that can likely be done in a line or two in Mathematica, but (a) I don't know it, an (b) don't have access to it. I'm fluent in Java, competent in IDL and can probably figure out other things...

This looks tailor-made for working in the frequency domain. Apply a Fourier transform and identify the frequency based on where the power is located, which should be clear for a sinusoidal source.

ADDENDUM To get an idea of how accurate is your estimate, I'd try a resampling approach such as cross-validation. I think this is the direction that you're heading with the Monte Carlo idea; lots of work is out there, so hopefully that's a wheel you won't need to re-invent.

The trick here is to do what might seem at first to make the problem more difficult. Rewrite f in the similar form:

f(x) = a1*sin(b*x) + a2*cos(b*x) + c

This is based on the identity for the sin(u+v).

Recognize that if b is known, then the problem of estimating {a1, a2, c} is a simple LINEAR regression problem. So all you need to do is use a 1-variable minimization tool, working on the value of b, to minimize the sum of squares of the residuals from that linear regression model. There are many such univariate optimizers to be found.

Once you have those parameters, it is easy to find the parameter a in your original model, since that is all you care about.

a = sqrt(a1^2 + a2^2)

The scheme I have described is called a partitioned least squares.

If you have a reasonable estimate of the size and the nature of your noise (e.g. white Gaussian with SD sigma), you can

(a) invert the Hessian matrix to get an estimate of the error in your position and

(b) should be able to easily derive a significance statistic for your fit residues.

For (a), compare http://www.physics.utah.edu/~detar/phys6720/handouts/curve_fit/curve_fit/node6.html For (b), assume that your measurement errors are independent and thus the variance of their sum is the sum of their variances.