Time Series Analysis: Filtering or Smoothing Data [Python]

Utpal Kumar     1 minute read

In this post, we will see how we can use Python to low pass filter the 10 year long daily fluctuations of GPS time series. We need to use the “Scipy” package of Python.

The only important thing to keep in mind is the understanding of Nyquist frequency. The Nyquist or folding frequency half of the sampling rate of the discrete signal. To understand the concept of Nyquist frequency and aliasing, the reader is advised to visit this post. For filtering the time-series, we use the fraction of Nyquist frequency (cut-off frequency).

Code Description

Following are the codes and line by line explanation for performing the filtering in a few steps:

Import Libraries

  • import numpy module for efficiently executing numerical operations
  • import the pyplot from the matplotlib library
  • predefine figure window size, and default figure settings
  • use matplotlib ggplot style. I personally like to use “ggplot” style of graph for my work but it depends on the user’s preference whether they wanna use it.
import numpy as np 
import matplotlib.pyplot as plt
from scipy import signal

from matplotlib import rcParams
rcParams['figure.figsize'] = (10.0, 6.0) #predefine the size of the figure window
rcParams.update({'font.size': 14}) # setting the default fontsize for the figure
rcParams['axes.labelweight'] = 'bold' #Bold font style for axes labels
from matplotlib import style

Load data

  • We load the data in the mat format (skipped) but this code will work for any sort of time series.
# loading data part skipped (can be done using scipy for mat format data)
stns=[stn_name[i][0] for i in range(len(stn_name))]

Visualizing the original and the Filtered Time Series

fig = plt.figure()
ax = fig.add_subplot(1, 1, 1)
indx=np.where( (tdata > 2012) & (tdata < 2016) )

Filtering of the time series

fs=1/24/3600 #1 day in Hz (sampling frequency)

nyquist = fs / 2 # 0.5 times the sampling frequency
cutoff=0.1 # fraction of nyquist frequency, here  it is 5 days
print('cutoff= ',1/cutoff*nyquist*24*3600,' days') #cutoff=  4.999999999999999  days
b, a = signal.butter(5, cutoff, btype='lowpass') #low pass filter

dUfilt = signal.filtfilt(b, a, dU[:,0])
  • Continue plotting on the exisitng figure window

ax.set_xlabel('Time in years',fontsize=18)

Complete Script:

Output Figure:

This post was last modified at 2020-11-24 01:28.

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