ApplicationsofFilters-Lamont-DohertyEarth.pptVIP

Applications of Filters Running Average of length M Note that average is “delayed” … MatLab Example Laguardia Airport Mean Temperature Laguardia Airport Mean Temperature Laguardia Airport Mean Temperature Criticism of Running Average: it has sharp edges Gaussian running average MatLab Example width = 14; % 67 percent width sigma = 14/2; % standard deviation M = 6*round(sigma/dt); % truncate filter at +/- 3 sigma delay = 3*sigma; % center of filter f = exp( -(t(1:M)-delay).^2 / (2*sigma*sigma) ); amp = sum(f); % normalize to unit amplitude f = f/amp; 14 day Gaussian filter Laguardia Airport Mean Temperature Laguardia Airport Mean Temperature Exponential was easy to implement recursively Some calculations If f(t) = c-1 exp( -t/c ) What value of c puts A1 fraction of area between 0 and t1? A = ?0t1 c-1 exp( -t/c ) dt = exp(-t/c)| 0t1= 1- exp(-t1/c) Note A(t=?)=1 So A1 = 1- exp(-t1/c) (1-A1) = exp(-t1/c) ln(1-A1) = (-t1/c) c = -t1 / ln(1-A1) and t1 = -c / ln(1-A1) MatLab Code width = 14; % 67% width c = -width/log(1.0-0.67); % constant in exponential M = 6*round(width/dt); % truncate filter at 6 widths delay = -width/log(1.0-0.50); % delay at 50% of area f = exp( -t(1:M)/c ); amp = sum(f); % normalize to sum to unity f = f/amp; Laguardia Airport Mean Temperature first derivative filter First-derivative second-derivative prediction error filter x = [x1, x2, x3, x4, … xN-1]T f = [-1, f1, f2, f3, f4, … fN-1]T Choose f such that f*x ? 0 f5, f4, f3, f2, f1, -1 … xM-3, xM-2, xM-1, xM, xM+1, xM+2, xM+3, … xM = f1xM-1 + f2xM-2 + f3xM-3 … xM predicted from past values MatLab Code M=10; % filter of length M, data of length N G = zeros(N+1,M); % solve by least-squares d = zeros(N+1,1); % implement condition f0=1 % as if its prior information for p = [1:M] % usual G matrix for filter G(p:N,p) = T(1:N-p+1); d(p)=0; % d vector is all zero end G(N+1,1)=1e6; % prior in