A New Method for Time Series Filtering near Endpoints

Arguez, Anthony; Peng Yu; O'Brien, James J.
April 2008
Journal of Atmospheric & Oceanic Technology;Apr2008, Vol. 25 Issue 4, p534
Academic Journal
Time series filtering (e.g., smoothing) can be done in the spectral domain without loss of endpoints. However, filtering is commonly performed in the time domain using convolutions, resulting in lost points near the series endpoints. Multiple incarnations of a least squares minimization approach are developed that retain the endpoint intervals that are normally discarded due to filtering with convolutions in the time domain. The techniques minimize the errors between the predetermined frequency response function (FRF)—a fundamental property of all filters—of interior points with FRFs that are to be determined for each position in the endpoint zone. The least squares techniques are differentiated by their constraints: 1) unconstrained, 2) equal-mean constraint, and 3) an equal-variance constraint. The equal-mean constraint forces the new weights to sum up to the same value as the predetermined weights. The equal-variance constraint forces the new weights to be such that, after convolved with the input values, the expected time series variance is preserved. The three least squares methods are each tested under three separate filtering scenarios [involving Arctic Oscillation (AO), Madden–Julian oscillation (MJO), and El Niño–Southern Oscillation (ENSO) time series] and compared to each other as well as to the spectral filtering method—the standard of comparison. The results indicate that all four methods (including the spectral method) possess skill at determining suitable endpoints estimates. However, both the unconstrained and equal-mean schemes exhibit bias toward zero near the terminal ends due to problems with appropriating variance. The equal-variance method does not show evidence of this attribute and was never the worst performer. The equal-variance method showed great promise in the ENSO project involving a 5-month running mean filter, and performed at least on par with the other realistic methods for almost all time series positions in all three filtering scenarios.


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