Re: prewhiten

[Rudolf Widmer-Schnidrig]

Dear Nuncio,

as far as I know there is no general recipe for prewhitening a time 
series.

Removing the mean, removing a linear trend, fitting a low order polynomial
are all techniques to prewhiten a signal with an originally red spectrum.

Applying a notch filter to suppress a 50Hz harmonic from a power supply 
would be another way to prewhiten.

The most extreme way of prewhitening I know of is to (1) fft the signal, 
(2) split the complex spectrum into its amplitude A(f) and phase specta 
phi(f), (3) set the amplitude spectrum to unity (4) compute the complex 
spectrum from its amplitude and phase 
Z(f)=1*exp(i*phi(f)) and (5) inverse fft Z(f).

As a variant I have seen Z(f)=A(f)^(alfa)*exp(i*phi(f)), where alfa
is a real number 0<=alfa<1

My recommendation would be to first inspect the spectrum of your signal,
and based on it decide on the most appropriate technique to use.

hope this helps
                                  -Ruedi

+---------------------------------------------------------------+

On Thu, 13 May 2010, nuncio m wrote:

> Hi Octavians
>          Can anybody educate me on how to prewhiten a timeseries in octave.
>
> thanks
> nuncio
> --
> Nuncio.M
> Research Scientist
> National Center for Antarctic and Ocean research
> Head land Sada
> Vasco da Gamma
> Goa-403804