Unevenly spaced time series

In statistics, signal processing, and econometrics, an unevenly (or unequally or irregularly) spaced time
series is a sequence of observation time and value pairs (tn , Xn ) in which the spacing of observation times
is not constant.

Unevenly spaced time series naturally occur in many industrial and scientific domains: natural disasters
such as earthquakes, floods, or volcanic eruptions typically occur at irregular time intervals. In
observational astronomy, measurements such as spectra of celestial objects are taken at times determined by
weather conditions, availability of observation time slots, and suitable planetary configurations. In clinical
trials (or more generally, longitudinal studies), a patient's state of health may be observed only at irregular
time intervals, and different patients are usually observed at different points in time. Wireless sensors in the
Internet of things often transmit information only when a state changes to conserve battery life. There are
many more examples in climatology, ecology, high-frequency finance, geology, and signal processing.

Analysis
A common approach to analyzing unevenly spaced time series is to transform the data into equally spaced
observations using some form of interpolation - most often linear - and then to apply existing methods for
equally spaced data. However, transforming data in such a way can introduce a number of significant and
hard to quantify biases,[1][2][3][4][5] especially if the spacing of observations is highly irregular.

Ideally, unevenly spaced time series are analyzed in their unaltered form. However, most of the basic theory
for time series analysis was developed at a time when limitations in computing resources favored an
analysis of equally spaced data, since in this case efficient linear algebra routines can be used and many
problems have an explicit solution. As a result, fewer methods currently exist specifically for analyzing
unevenly spaced time series data.[5][6][7][8][9][10] [11]

The least-squares spectral analysis methods are commonly used for computing a frequency spectrum from
such time series without any data alterations.

Software
Traces (https://traces.readthedocs.io/) is a Python library for analysis of unevenly spaced
time series in their unaltered form.
CRAN Task View: Time Series Analysis (https://cran.r-project.org/view=TimeSeries) is a list
describing many R (programming language) packages dealing with both unevenly (or
irregularly) and evenly spaced time series and many related aspects, including uncertainty.
MessyTimeSeries (https://github.com/fipelle/MessyTimeSeries.jl) and
MessyTimeSeriesOptim (https://github.com/fipelle/MessyTimeSeriesOptim.jl) are Julia
packages dedicated to incomplete time series.

See also
Least-squares spectral analysis
 Non-uniform discrete Fourier transform

References
1. Myron Scholes; Joseph Williams (1977). "Estimating betas from nonsynchronous data".
Journal of Financial Economics. 5 (3): 309–327. doi:10.1016/0304-405X(77)90041-1 (https://
doi.org/10.1016%2F0304-405X%2877%2990041-1).
2. Mark C. Lundin; Michel M. Dacorogna; Ulrich A. Müller (1999). "Chapter 5: Correlation of
High Frequency Financial Time Series". In Pierre Lequex (ed.). The Financial Markets Tick
by Tick. pp. 91–126.
3. Takaki Hayashi; Nakahiro Yoshida (2005). "On covariance estimation of non-synchronously
observed diffusion processes" (http://projecteuclid.org/DPubS/Repository/1.0/Disseminate?v
iew=body&id=pdf_1&handle=euclid.bj/1116340299). Bernoulli. 11 (2): 359–379.
doi:10.3150/bj/1116340299 (https://doi.org/10.3150%2Fbj%2F1116340299).
4. K. Rehfeld; N. Marwan; J. Heitzig; J. Kurths (2011). "Comparison of correlation analysis
techniques for irregularly sampled time series" (http://www.nonlin-processes-geophys.net/1
8/389/2011/npg-18-389-2011.pdf) (PDF). Nonlinear Processes in Geophysics. 18 (3): 389–
404. doi:10.5194/npg-18-389-2011 (https://doi.org/10.5194%2Fnpg-18-389-2011).
5. Andreas Eckner (2014), A Framework for the Analysis of Unevenly-Spaced Time Series
Data (http://www.eckner.com/papers/unevenly_spaced_time_series_analysis.pdf) (PDF)
6. Ulrich A. Müller (1991). "Specially Weighted Moving Averages with Repeated Application of
the EMA Operator" (http://www.olsen.ch/fileadmin/Publications/Working_Papers/001207-em
aOfEma.pdf) (PDF). Working Paper, Olsen and Associates, Zurich, Switzerland.
7. Gilles Zumbach; Ulrich A. Müller (2001). "Operators on Inhomogeneous Time Series".
International Journal of Theoretical and Applied Finance. 4: 147–178.
doi:10.1142/S0219024901000900 (https://doi.org/10.1142%2FS0219024901000900).
Preprint (http://www.thalesians.com/archive/public/academic/finance/papers/Zumbach_200
0.pdf)
8. Michel M. Dacorogna; Ramazan Gençay; Ulrich A. Müller; Richard B. Olsen; Olivier V. Pictet
(2001). An Introduction to High-Frequency Finance (http://fxtrade.oanda.com/resources/hffbo
okchapter1.pdf) (PDF). Academic Press.
9. Andreas Eckner (2017), Algorithms for Unevenly-Spaced Time Series: Moving Averages
and Other Rolling Operators (http://eckner.com/papers/Algorithms%20for%20Unevenly%20
Spaced%20Time%20Series.pdf) (PDF)
10. Andreas Eckner (2017), A Note on Trend and Seasonality Estimation for Unevenly-Spaced
Time Series (http://eckner.com/papers/Trend%20and%20Seasonality%20Estimation%20fo
r%20Unevenly%20Spaced%20Time%20Series.pdf) (PDF)
11. Mehmet Süzen; Alper Yegenoglu (13 December 2021). "Generalised learning of time-series:
Ornstein-Uhlenbeck processes". arXiv:1910.09394 (https://arxiv.org/abs/1910.09394)
[stat.ML (https://arxiv.org/archive/stat.ML)].

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