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?
Lv 4
? asked in Science & MathematicsMathematics · 1 decade ago

How to apply a filter or a smoothing technique to time series data (MS Excel)?

I have some time series of data and I'm doing work in MS Excel. I'm attempting to identify homogeneous periods in time based on several characteristics developed from some metrics I have. The problem I'm having is that the data are pretty noisy, and I'd like to apply some kind of smoothing to the series so I can capture some of the more apparent patterns within the data. They are there, it's clear to me and I can see them, but I'd like to smooth the data to improve my identification of these periods. I know the built-in line fitting and moving average functions in Excel, but they're not really what I'm looking for.

If someone can point me to some technical resources, academic journals outlining the processes in a practical manner, good books, websites, give me a rundown, email me, whatever, it would be much appreciated.

Update:

So I guess high school kids getting quick answers for their homework is more important. That's cool, that's fine.

Update 2:

Thanks Nick! I'll be grabbing that from the library later.

3 Answers

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  • Nick S
    Lv 6
    1 decade ago
    Favorite Answer

    It helps to have a model of the noise process you're dealing with. Is it aditive or multiplicative? Is it time correlated? Oh well. I'll just assume it's i.i.d. additive noise of constant intensity.

    My suggestion is to use cubic splines. I don't know how many data sets you have, or how many observations. With splines, you trade off fit for smoothness. At one extreme (good fit), you just get your noisy data handed back. At the other extreme (good smoothness), you get the least squares line fit. In between, you hope you can find a setting where the noise is gone, but you haven't obliterated real trends in the data. For example, if you're looking at observations of flight trajectories, you know how many g's (acceleration = second derivative) the plane/bird/whatever can pull, and maybe how much jerk (=third derivative). Sometimes, you can just eyeball the smoothed output and change the settings if you don't like what you see.

    I like Carl de Boor's book _A Practical Guide to Splines_, Springer-Verlag, 1978.

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    Lv 4
    4 years ago

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