时间序列滤波求助

amster

滤波器求助


I have spent 2 weeks on how to remove the cycles in my time series.
My data was sampled once half an hour, so there are 48 data point each day. I want to remove the daily cycle from the time series. The series has 3299 points. I tried a 8-order Low pass butterworth filter to remove the daily cycle, but the the result seemed strange. According to my knowledge, by means of removing the daily cycle, the resulted spectrum should be indentical as that of the original but eliminating the peak indicating the daily cycle.
See below. Could you please what is wrong with it? Pls find the attached.

fc=48/(3299*0.5)=0.03.     ％ Wrong or right to calculate the cutoff frequency?
[b,a]=butter(8, 0.03)   
y=filter(b,a,vola)      ％ ‘vola’ is the time series to be filtered.

[ 本帖最后由 zhangnan3509 于 2007-6-4 22:08 编辑 ]