Wed 6 Feb 2008
I have been working on spectral analysis of time series data and I am finding that (duh!) it is often easier to use someone else’s wheel than to invent a new one myself. That is, if their wheel has all of the necessary features and meets your performance criteria. I have been working with multi-taper spectral estimates and have found that the Chronux code (MATLAB scripts), available from Partha Mitra’s lab, to be fairly easy to use and effective for some continuous time-series analysis. The code also handles point process analysis, however, I don’t use that feature much.
The main reason that I like to use the multi-taper methods based on Slepian tapers, is that each taper gives a independent measurement of the signal spectra which then allows for computation of variances and therefore confidence intervals. This gives a certainty measurement to the analysis which can either make a strong case for its significance or will identify deficiencies in the data. Basically, these people put some years into writing this code and if you need to do coherence or spectral analysis in MATLAB, might as well give it a try.
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