[SciPy-user] Fourier Tranforms of irregularly sampled data

Fernando Perez fperez.net at gmail.com
Mon Aug 28 19:07:37 CDT 2006


On 8/28/06, Robert Kern <robert.kern at gmail.com> wrote:
> Ewald Zietsman wrote:
> > Hi all,
> >
> > I want to calculate the periodogram of a series of data that have been
> > measured at irregular intervals i.e. A quantity was measured every ten
> > seconds one day and then maybe every 20 seconds a week later etc.
> >
> > Is there any way to do this easily in scipy? I have an algorithm to do
> > this but it is dreadfully slow since it uses python loops and map().
>
> The Lomb-Scargle periodogram works fairly well here (Google for references).
> Numerical Recipes 13.8 describes an implementation that utilizes FFTs in a
> clever way to do speed up the calculation.

It's also worth mentioning more recent work on the topic, which
introduces significant improvements (at the cost of a more difficult
implementation):

On the Fast Fourier Transform of Functions With Singularities
Gregory Beylkin
Applied and Computational Harmonic Analysis, 2, pp. 363-381, 1995

http://amath.colorado.edu/pub/wavelets/papers/usfft.pdf

Cheers,

f


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