Time Series Analysis and Forecasting by Example

CERN Document Server

Bisgaard, Soren

2011-01-01

An intuition-based approach enables you to master time series analysis with ease Time Series Analysis and Forecasting by Example provides the fundamental techniques in time series analysis using various examples. By introducing necessary theory through examples that showcase the discussed topics, the authors successfully help readers develop an intuitive understanding of seemingly complicated time series models and their implications. The book presents methodologies for time series analysis in a simplified, example-based approach. Using graphics, the authors discuss each presented example in

ESTIMATING RELIABILITY OF DISTURBANCES IN SATELLITE TIME SERIES DATA BASED ON STATISTICAL ANALYSIS

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Z.-G. Zhou

2016-06-01

Full Text Available Normally, the status of land cover is inherently dynamic and changing continuously on temporal scale. However, disturbances or abnormal changes of land cover — caused by such as forest fire, flood, deforestation, and plant diseases — occur worldwide at unknown times and locations. Timely detection and characterization of these disturbances is of importance for land cover monitoring. Recently, many time-series-analysis methods have been developed for near real-time or online disturbance detection, using satellite image time series. However, the detection results were only labelled with “Change/ No change” by most of the present methods, while few methods focus on estimating reliability (or confidence level of the detected disturbances in image time series. To this end, this paper propose a statistical analysis method for estimating reliability of disturbances in new available remote sensing image time series, through analysis of full temporal information laid in time series data. The method consists of three main steps. (1 Segmenting and modelling of historical time series data based on Breaks for Additive Seasonal and Trend (BFAST. (2 Forecasting and detecting disturbances in new time series data. (3 Estimating reliability of each detected disturbance using statistical analysis based on Confidence Interval (CI and Confidence Levels (CL. The method was validated by estimating reliability of disturbance regions caused by a recent severe flooding occurred around the border of Russia and China. Results demonstrated that the method can estimate reliability of disturbances detected in satellite image with estimation error less than 5% and overall accuracy up to 90%.

Clustering of financial time series

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D'Urso, Pierpaolo; Cappelli, Carmela; Di Lallo, Dario; Massari, Riccardo

2013-05-01

This paper addresses the topic of classifying financial time series in a fuzzy framework proposing two fuzzy clustering models both based on GARCH models. In general clustering of financial time series, due to their peculiar features, needs the definition of suitable distance measures. At this aim, the first fuzzy clustering model exploits the autoregressive representation of GARCH models and employs, in the framework of a partitioning around medoids algorithm, the classical autoregressive metric. The second fuzzy clustering model, also based on partitioning around medoids algorithm, uses the Caiado distance, a Mahalanobis-like distance, based on estimated GARCH parameters and covariances that takes into account the information about the volatility structure of time series. In order to illustrate the merits of the proposed fuzzy approaches an application to the problem of classifying 29 time series of Euro exchange rates against international currencies is presented and discussed, also comparing the fuzzy models with their crisp version.

A Two-Dimensional Solar Tracking Stationary Guidance Method Based on Feature-Based Time Series

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Keke Zhang

2018-01-01

Full Text Available The amount of satellite energy acquired has a direct impact on operational capacities of the satellite. As for practical high functional density microsatellites, solar tracking guidance design of solar panels plays an extremely important role. Targeted at stationary tracking problems incurred in a new system that utilizes panels mounted in the two-dimensional turntable to acquire energies to the greatest extent, a two-dimensional solar tracking stationary guidance method based on feature-based time series was proposed under the constraint of limited satellite attitude coupling control capability. By analyzing solar vector variation characteristics within an orbit period and solar vector changes within the whole life cycle, such a method could be adopted to establish a two-dimensional solar tracking guidance model based on the feature-based time series to realize automatic switching of feature-based time series and stationary guidance under the circumstance of different β angles and the maximum angular velocity control, which was applicable to near-earth orbits of all orbital inclination. It was employed to design a two-dimensional solar tracking stationary guidance system, and a mathematical simulation for guidance performance was carried out in diverse conditions under the background of in-orbit application. The simulation results show that the solar tracking accuracy of two-dimensional stationary guidance reaches 10∘ and below under the integrated constraints, which meet engineering application requirements.

Mapping Rice Cropping Systems in Vietnam Using an NDVI-Based Time-Series Similarity Measurement Based on DTW Distance

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Xudong Guan

2016-01-01

Full Text Available Normalized Difference Vegetation Index (NDVI derived from Moderate Resolution Imaging Spectroradiometer (MODIS time-series data has been widely used in the fields of crop and rice classification. The cloudy and rainy weather characteristics of the monsoon season greatly reduce the likelihood of obtaining high-quality optical remote sensing images. In addition, the diverse crop-planting system in Vietnam also hinders the comparison of NDVI among different crop stages. To address these problems, we apply a Dynamic Time Warping (DTW distance-based similarity measure approach and use the entire yearly NDVI time series to reduce the inaccuracy of classification using a single image. We first de-noise the NDVI time series using S-G filtering based on the TIMESAT software. Then, a standard NDVI time-series base for rice growth is established based on field survey data and Google Earth sample data. NDVI time-series data for each pixel are constructed and the DTW distance with the standard rice growth NDVI time series is calculated. Then, we apply thresholds to extract rice growth areas. A qualitative assessment using statistical data and a spatial assessment using sampled data from the rice-cropping map reveal a high mapping accuracy at the national scale between the statistical data, with the corresponding R2 being as high as 0.809; however, the mapped rice accuracy decreased at the provincial scale due to the reduced number of rice planting areas per province. An analysis of the results indicates that the 500-m resolution MODIS data are limited in terms of mapping scattered rice parcels. The results demonstrate that the DTW-based similarity measure of the NDVI time series can be effectively used to map large-area rice cropping systems with diverse cultivation processes.

A novel water quality data analysis framework based on time-series data mining.

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Deng, Weihui; Wang, Guoyin

2017-07-01

The rapid development of time-series data mining provides an emerging method for water resource management research. In this paper, based on the time-series data mining methodology, we propose a novel and general analysis framework for water quality time-series data. It consists of two parts: implementation components and common tasks of time-series data mining in water quality data. In the first part, we propose to granulate the time series into several two-dimensional normal clouds and calculate the similarities in the granulated level. On the basis of the similarity matrix, the similarity search, anomaly detection, and pattern discovery tasks in the water quality time-series instance dataset can be easily implemented in the second part. We present a case study of this analysis framework on weekly Dissolve Oxygen time-series data collected from five monitoring stations on the upper reaches of Yangtze River, China. It discovered the relationship of water quality in the mainstream and tributary as well as the main changing patterns of DO. The experimental results show that the proposed analysis framework is a feasible and efficient method to mine the hidden and valuable knowledge from water quality historical time-series data. Copyright © 2017 Elsevier Ltd. All rights reserved.

Phase synchronization based minimum spanning trees for analysis of financial time series with nonlinear correlations

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Radhakrishnan, Srinivasan; Duvvuru, Arjun; Sultornsanee, Sivarit; Kamarthi, Sagar

2016-02-01

The cross correlation coefficient has been widely applied in financial time series analysis, in specific, for understanding chaotic behaviour in terms of stock price and index movements during crisis periods. To better understand time series correlation dynamics, the cross correlation matrices are represented as networks, in which a node stands for an individual time series and a link indicates cross correlation between a pair of nodes. These networks are converted into simpler trees using different schemes. In this context, Minimum Spanning Trees (MST) are the most favoured tree structures because of their ability to preserve all the nodes and thereby retain essential information imbued in the network. Although cross correlations underlying MSTs capture essential information, they do not faithfully capture dynamic behaviour embedded in the time series data of financial systems because cross correlation is a reliable measure only if the relationship between the time series is linear. To address the issue, this work investigates a new measure called phase synchronization (PS) for establishing correlations among different time series which relate to one another, linearly or nonlinearly. In this approach the strength of a link between a pair of time series (nodes) is determined by the level of phase synchronization between them. We compare the performance of phase synchronization based MST with cross correlation based MST along selected network measures across temporal frame that includes economically good and crisis periods. We observe agreement in the directionality of the results across these two methods. They show similar trends, upward or downward, when comparing selected network measures. Though both the methods give similar trends, the phase synchronization based MST is a more reliable representation of the dynamic behaviour of financial systems than the cross correlation based MST because of the former's ability to quantify nonlinear relationships among time

The detection of local irreversibility in time series based on segmentation

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Teng, Yue; Shang, Pengjian

2018-06-01

We propose a strategy for the detection of local irreversibility in stationary time series based on multiple scale. The detection is beneficial to evaluate the displacement of irreversibility toward local skewness. By means of this method, we can availably discuss the local irreversible fluctuations of time series as the scale changes. The method was applied to simulated nonlinear signals generated by the ARFIMA process and logistic map to show how the irreversibility functions react to the increasing of the multiple scale. The method was applied also to series of financial markets i.e., American, Chinese and European markets. The local irreversibility for different markets demonstrate distinct characteristics. Simulations and real data support the need of exploring local irreversibility.

Network structure of multivariate time series.

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Lacasa, Lucas; Nicosia, Vincenzo; Latora, Vito

2015-10-21

Our understanding of a variety of phenomena in physics, biology and economics crucially depends on the analysis of multivariate time series. While a wide range tools and techniques for time series analysis already exist, the increasing availability of massive data structures calls for new approaches for multidimensional signal processing. We present here a non-parametric method to analyse multivariate time series, based on the mapping of a multidimensional time series into a multilayer network, which allows to extract information on a high dimensional dynamical system through the analysis of the structure of the associated multiplex network. The method is simple to implement, general, scalable, does not require ad hoc phase space partitioning, and is thus suitable for the analysis of large, heterogeneous and non-stationary time series. We show that simple structural descriptors of the associated multiplex networks allow to extract and quantify nontrivial properties of coupled chaotic maps, including the transition between different dynamical phases and the onset of various types of synchronization. As a concrete example we then study financial time series, showing that a multiplex network analysis can efficiently discriminate crises from periods of financial stability, where standard methods based on time-series symbolization often fail.

Multifractal analysis of visibility graph-based Ito-related connectivity time series.

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Czechowski, Zbigniew; Lovallo, Michele; Telesca, Luciano

2016-02-01

In this study, we investigate multifractal properties of connectivity time series resulting from the visibility graph applied to normally distributed time series generated by the Ito equations with multiplicative power-law noise. We show that multifractality of the connectivity time series (i.e., the series of numbers of links outgoing any node) increases with the exponent of the power-law noise. The multifractality of the connectivity time series could be due to the width of connectivity degree distribution that can be related to the exit time of the associated Ito time series. Furthermore, the connectivity time series are characterized by persistence, although the original Ito time series are random; this is due to the procedure of visibility graph that, connecting the values of the time series, generates persistence but destroys most of the nonlinear correlations. Moreover, the visibility graph is sensitive for detecting wide "depressions" in input time series.

Trend analysis using non-stationary time series clustering based on the finite element method

OpenAIRE

Gorji Sefidmazgi, M.; Sayemuzzaman, M.; Homaifar, A.; Jha, M. K.; Liess, S.

2014-01-01

In order to analyze low-frequency variability of climate, it is useful to model the climatic time series with multiple linear trends and locate the times of significant changes. In this paper, we have used non-stationary time series clustering to find change points in the trends. Clustering in a multi-dimensional non-stationary time series is challenging, since the problem is mathematically ill-posed. Clustering based on the finite element method (FEM) is one of the methods ...

Automated classification of Permanent Scatterers time-series based on statistical characterization tests

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Berti, Matteo; Corsini, Alessandro; Franceschini, Silvia; Iannacone, Jean Pascal

2013-04-01

The application of space borne synthetic aperture radar interferometry has progressed, over the last two decades, from the pioneer use of single interferograms for analyzing changes on the earth's surface to the development of advanced multi-interferogram techniques to analyze any sort of natural phenomena which involves movements of the ground. The success of multi-interferograms techniques in the analysis of natural hazards such as landslides and subsidence is widely documented in the scientific literature and demonstrated by the consensus among the end-users. Despite the great potential of this technique, radar interpretation of slope movements is generally based on the sole analysis of average displacement velocities, while the information embraced in multi interferogram time series is often overlooked if not completely neglected. The underuse of PS time series is probably due to the detrimental effect of residual atmospheric errors, which make the PS time series characterized by erratic, irregular fluctuations often difficult to interpret, and also to the difficulty of performing a visual, supervised analysis of the time series for a large dataset. In this work is we present a procedure for automatic classification of PS time series based on a series of statistical characterization tests. The procedure allows to classify the time series into six distinctive target trends (0=uncorrelated; 1=linear; 2=quadratic; 3=bilinear; 4=discontinuous without constant velocity; 5=discontinuous with change in velocity) and retrieve for each trend a series of descriptive parameters which can be efficiently used to characterize the temporal changes of ground motion. The classification algorithms were developed and tested using an ENVISAT datasets available in the frame of EPRS-E project (Extraordinary Plan of Environmental Remote Sensing) of the Italian Ministry of Environment (track "Modena", Northern Apennines). This dataset was generated using standard processing, then the

Data mining in time series databases

CERN Document Server

Kandel, Abraham; Bunke, Horst

2004-01-01

Adding the time dimension to real-world databases produces Time SeriesDatabases (TSDB) and introduces new aspects and difficulties to datamining and knowledge discovery. This book covers the state-of-the-artmethodology for mining time series databases. The novel data miningmethods presented in the book include techniques for efficientsegmentation, indexing, and classification of noisy and dynamic timeseries. A graph-based method for anomaly detection in time series isdescribed and the book also studies the implications of a novel andpotentially useful representation of time series as strings. Theproblem of detecting changes in data mining models that are inducedfrom temporal databases is additionally discussed.

Intuitionistic Fuzzy Time Series Forecasting Model Based on Intuitionistic Fuzzy Reasoning

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Ya’nan Wang

2016-01-01

Full Text Available Fuzzy sets theory cannot describe the data comprehensively, which has greatly limited the objectivity of fuzzy time series in uncertain data forecasting. In this regard, an intuitionistic fuzzy time series forecasting model is built. In the new model, a fuzzy clustering algorithm is used to divide the universe of discourse into unequal intervals, and a more objective technique for ascertaining the membership function and nonmembership function of the intuitionistic fuzzy set is proposed. On these bases, forecast rules based on intuitionistic fuzzy approximate reasoning are established. At last, contrast experiments on the enrollments of the University of Alabama and the Taiwan Stock Exchange Capitalization Weighted Stock Index are carried out. The results show that the new model has a clear advantage of improving the forecast accuracy.

A Recurrent Probabilistic Neural Network with Dimensionality Reduction Based on Time-series Discriminant Component Analysis.

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Hayashi, Hideaki; Shibanoki, Taro; Shima, Keisuke; Kurita, Yuichi; Tsuji, Toshio

2015-12-01

This paper proposes a probabilistic neural network (NN) developed on the basis of time-series discriminant component analysis (TSDCA) that can be used to classify high-dimensional time-series patterns. TSDCA involves the compression of high-dimensional time series into a lower dimensional space using a set of orthogonal transformations and the calculation of posterior probabilities based on a continuous-density hidden Markov model with a Gaussian mixture model expressed in the reduced-dimensional space. The analysis can be incorporated into an NN, which is named a time-series discriminant component network (TSDCN), so that parameters of dimensionality reduction and classification can be obtained simultaneously as network coefficients according to a backpropagation through time-based learning algorithm with the Lagrange multiplier method. The TSDCN is considered to enable high-accuracy classification of high-dimensional time-series patterns and to reduce the computation time taken for network training. The validity of the TSDCN is demonstrated for high-dimensional artificial data and electroencephalogram signals in the experiments conducted during the study.

Markov transition probability-based network from time series for characterizing experimental two-phase flow

International Nuclear Information System (INIS)

Gao Zhong-Ke; Hu Li-Dan; Jin Ning-De

2013-01-01

We generate a directed weighted complex network by a method based on Markov transition probability to represent an experimental two-phase flow. We first systematically carry out gas—liquid two-phase flow experiments for measuring the time series of flow signals. Then we construct directed weighted complex networks from various time series in terms of a network generation method based on Markov transition probability. We find that the generated network inherits the main features of the time series in the network structure. In particular, the networks from time series with different dynamics exhibit distinct topological properties. Finally, we construct two-phase flow directed weighted networks from experimental signals and associate the dynamic behavior of gas-liquid two-phase flow with the topological statistics of the generated networks. The results suggest that the topological statistics of two-phase flow networks allow quantitative characterization of the dynamic flow behavior in the transitions among different gas—liquid flow patterns. (general)

TIME SERIES ANALYSIS USING A UNIQUE MODEL OF TRANSFORMATION

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Goran Klepac

2007-12-01

Full Text Available REFII1 model is an authorial mathematical model for time series data mining. The main purpose of that model is to automate time series analysis, through a unique transformation model of time series. An advantage of this approach of time series analysis is the linkage of different methods for time series analysis, linking traditional data mining tools in time series, and constructing new algorithms for analyzing time series. It is worth mentioning that REFII model is not a closed system, which means that we have a finite set of methods. At first, this is a model for transformation of values of time series, which prepares data used by different sets of methods based on the same model of transformation in a domain of problem space. REFII model gives a new approach in time series analysis based on a unique model of transformation, which is a base for all kind of time series analysis. The advantage of REFII model is its possible application in many different areas such as finance, medicine, voice recognition, face recognition and text mining.

A Gaussian Process Based Online Change Detection Algorithm for Monitoring Periodic Time Series

Energy Technology Data Exchange (ETDEWEB)

Chandola, Varun [ORNL; Vatsavai, Raju [ORNL

2011-01-01

Online time series change detection is a critical component of many monitoring systems, such as space and air-borne remote sensing instruments, cardiac monitors, and network traffic profilers, which continuously analyze observations recorded by sensors. Data collected by such sensors typically has a periodic (seasonal) component. Most existing time series change detection methods are not directly applicable to handle such data, either because they are not designed to handle periodic time series or because they cannot operate in an online mode. We propose an online change detection algorithm which can handle periodic time series. The algorithm uses a Gaussian process based non-parametric time series prediction model and monitors the difference between the predictions and actual observations within a statistically principled control chart framework to identify changes. A key challenge in using Gaussian process in an online mode is the need to solve a large system of equations involving the associated covariance matrix which grows with every time step. The proposed algorithm exploits the special structure of the covariance matrix and can analyze a time series of length T in O(T^2) time while maintaining a O(T) memory footprint, compared to O(T^4) time and O(T^2) memory requirement of standard matrix manipulation methods. We experimentally demonstrate the superiority of the proposed algorithm over several existing time series change detection algorithms on a set of synthetic and real time series. Finally, we illustrate the effectiveness of the proposed algorithm for identifying land use land cover changes using Normalized Difference Vegetation Index (NDVI) data collected for an agricultural region in Iowa state, USA. Our algorithm is able to detect different types of changes in a NDVI validation data set (with ~80% accuracy) which occur due to crop type changes as well as disruptive changes (e.g., natural disasters).

New prediction of chaotic time series based on local Lyapunov exponent

International Nuclear Information System (INIS)

Zhang Yong

2013-01-01

A new method of predicting chaotic time series is presented based on a local Lyapunov exponent, by quantitatively measuring the exponential rate of separation or attraction of two infinitely close trajectories in state space. After reconstructing state space from one-dimensional chaotic time series, neighboring multiple-state vectors of the predicting point are selected to deduce the prediction formula by using the definition of the local Lyapunov exponent. Numerical simulations are carried out to test its effectiveness and verify its higher precision over two older methods. The effects of the number of referential state vectors and added noise on forecasting accuracy are also studied numerically. (general)

Grammar-based feature generation for time-series prediction

CERN Document Server

De Silva, Anthony Mihirana

2015-01-01

This book proposes a novel approach for time-series prediction using machine learning techniques with automatic feature generation. Application of machine learning techniques to predict time-series continues to attract considerable attention due to the difficulty of the prediction problems compounded by the non-linear and non-stationary nature of the real world time-series. The performance of machine learning techniques, among other things, depends on suitable engineering of features. This book proposes a systematic way for generating suitable features using context-free grammar. A number of feature selection criteria are investigated and a hybrid feature generation and selection algorithm using grammatical evolution is proposed. The book contains graphical illustrations to explain the feature generation process. The proposed approaches are demonstrated by predicting the closing price of major stock market indices, peak electricity load and net hourly foreign exchange client trade volume. The proposed method ...

Predicting chaotic time series

International Nuclear Information System (INIS)

Farmer, J.D.; Sidorowich, J.J.

1987-01-01

We present a forecasting technique for chaotic data. After embedding a time series in a state space using delay coordinates, we ''learn'' the induced nonlinear mapping using local approximation. This allows us to make short-term predictions of the future behavior of a time series, using information based only on past values. We present an error estimate for this technique, and demonstrate its effectiveness by applying it to several examples, including data from the Mackey-Glass delay differential equation, Rayleigh-Benard convection, and Taylor-Couette flow

Time Series Outlier Detection Based on Sliding Window Prediction

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Yufeng Yu

2014-01-01

Full Text Available In order to detect outliers in hydrological time series data for improving data quality and decision-making quality related to design, operation, and management of water resources, this research develops a time series outlier detection method for hydrologic data that can be used to identify data that deviate from historical patterns. The method first built a forecasting model on the history data and then used it to predict future values. Anomalies are assumed to take place if the observed values fall outside a given prediction confidence interval (PCI, which can be calculated by the predicted value and confidence coefficient. The use of PCI as threshold is mainly on the fact that it considers the uncertainty in the data series parameters in the forecasting model to address the suitable threshold selection problem. The method performs fast, incremental evaluation of data as it becomes available, scales to large quantities of data, and requires no preclassification of anomalies. Experiments with different hydrologic real-world time series showed that the proposed methods are fast and correctly identify abnormal data and can be used for hydrologic time series analysis.

Time series forecasting based on deep extreme learning machine

NARCIS (Netherlands)

Guo, Xuqi; Pang, Y.; Yan, Gaowei; Qiao, Tiezhu; Yang, Guang-Hong; Yang, Dan

2017-01-01

Multi-layer Artificial Neural Networks (ANN) has caught widespread attention as a new method for time series forecasting due to the ability of approximating any nonlinear function. In this paper, a new local time series prediction model is established with the nearest neighbor domain theory, in

Time Series Based for Online Signature Verification

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I Ketut Gede Darma Putra

2013-11-01

Full Text Available Signature verification system is to match the tested signature with a claimed signature. This paper proposes time series based for feature extraction method and dynamic time warping for match method. The system made by process of testing 900 signatures belong to 50 participants, 3 signatures for reference and 5 signatures from original user, simple imposters and trained imposters for signatures test. The final result system was tested with 50 participants with 3 references. This test obtained that system accuracy without imposters is 90,44897959% at threshold 44 with rejection errors (FNMR is 5,2% and acceptance errors (FMR is 4,35102%, when with imposters system accuracy is 80,1361% at threshold 27 with error rejection (FNMR is 15,6% and acceptance errors (average FMR is 4,263946%, with details as follows: acceptance errors is 0,391837%, acceptance errors simple imposters is 3,2% and acceptance errors trained imposters is 9,2%.

[Predicting Incidence of Hepatitis E in Chinausing Fuzzy Time Series Based on Fuzzy C-Means Clustering Analysis].

Science.gov (United States)

Luo, Yi; Zhang, Tao; Li, Xiao-song

2016-05-01

To explore the application of fuzzy time series model based on fuzzy c-means clustering in forecasting monthly incidence of Hepatitis E in mainland China. Apredictive model (fuzzy time series method based on fuzzy c-means clustering) was developed using Hepatitis E incidence data in mainland China between January 2004 and July 2014. The incidence datafrom August 2014 to November 2014 were used to test the fitness of the predictive model. The forecasting results were compared with those resulted from traditional fuzzy time series models. The fuzzy time series model based on fuzzy c-means clustering had 0.001 1 mean squared error (MSE) of fitting and 6.977 5 x 10⁻⁴ MSE of forecasting, compared with 0.0017 and 0.0014 from the traditional forecasting model. The results indicate that the fuzzy time series model based on fuzzy c-means clustering has a better performance in forecasting incidence of Hepatitis E.

A Time-Series Water Level Forecasting Model Based on Imputation and Variable Selection Method

OpenAIRE

Jun-He Yang; Ching-Hsue Cheng; Chia-Pan Chan

2017-01-01

Reservoirs are important for households and impact the national economy. This paper proposed a time-series forecasting model based on estimating a missing value followed by variable selection to forecast the reservoir's water level. This study collected data from the Taiwan Shimen Reservoir as well as daily atmospheric data from 2008 to 2015. The two datasets are concatenated into an integrated dataset based on ordering of the data as a research dataset. The proposed time-series forecasting m...

A robust anomaly based change detection method for time-series remote sensing images

Science.gov (United States)

Shoujing, Yin; Qiao, Wang; Chuanqing, Wu; Xiaoling, Chen; Wandong, Ma; Huiqin, Mao

2014-03-01

Time-series remote sensing images record changes happening on the earth surface, which include not only abnormal changes like human activities and emergencies (e.g. fire, drought, insect pest etc.), but also changes caused by vegetation phenology and climate changes. Yet, challenges occur in analyzing global environment changes and even the internal forces. This paper proposes a robust Anomaly Based Change Detection method (ABCD) for time-series images analysis by detecting abnormal points in data sets, which do not need to follow a normal distribution. With ABCD we can detect when and where changes occur, which is the prerequisite condition of global change studies. ABCD was tested initially with 10-day SPOT VGT NDVI (Normalized Difference Vegetation Index) times series tracking land cover type changes, seasonality and noise, then validated to real data in a large area in Jiangxi, south of China. Initial results show that ABCD can precisely detect spatial and temporal changes from long time series images rapidly.

Global Population Density Grid Time Series Estimates

Data.gov (United States)

National Aeronautics and Space Administration — Global Population Density Grid Time Series Estimates provide a back-cast time series of population density grids based on the year 2000 population grid from SEDAC's...

Adaptive time-variant models for fuzzy-time-series forecasting.

Science.gov (United States)

Wong, Wai-Keung; Bai, Enjian; Chu, Alice Wai-Ching

2010-12-01

A fuzzy time series has been applied to the prediction of enrollment, temperature, stock indices, and other domains. Related studies mainly focus on three factors, namely, the partition of discourse, the content of forecasting rules, and the methods of defuzzification, all of which greatly influence the prediction accuracy of forecasting models. These studies use fixed analysis window sizes for forecasting. In this paper, an adaptive time-variant fuzzy-time-series forecasting model (ATVF) is proposed to improve forecasting accuracy. The proposed model automatically adapts the analysis window size of fuzzy time series based on the prediction accuracy in the training phase and uses heuristic rules to generate forecasting values in the testing phase. The performance of the ATVF model is tested using both simulated and actual time series including the enrollments at the University of Alabama, Tuscaloosa, and the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). The experiment results show that the proposed ATVF model achieves a significant improvement in forecasting accuracy as compared to other fuzzy-time-series forecasting models.

Power Forecasting of Combined Heating and Cooling Systems Based on Chaotic Time Series

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Liu Hai

2015-01-01

Full Text Available Theoretic analysis shows that the output power of the distributed generation system is nonlinear and chaotic. And it is coupled with the microenvironment meteorological data. Chaos is an inherent property of nonlinear dynamic system. A predicator of the output power of the distributed generation system is to establish a nonlinear model of the dynamic system based on real time series in the reconstructed phase space. Firstly, chaos should be detected and quantified for the intensive studies of nonlinear systems. If the largest Lyapunov exponent is positive, the dynamical system must be chaotic. Then, the embedding dimension and the delay time are chosen based on the improved C-C method. The attractor of chaotic power time series can be reconstructed based on the embedding dimension and delay time in the phase space. By now, the neural network can be trained based on the training samples, which are observed from the distributed generation system. The neural network model will approximate the curve of output power adequately. Experimental results show that the maximum power point of the distributed generation system will be predicted based on the meteorological data. The system can be controlled effectively based on the prediction.

Time averaging, ageing and delay analysis of financial time series

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Cherstvy, Andrey G.; Vinod, Deepak; Aghion, Erez; Chechkin, Aleksei V.; Metzler, Ralf

2017-06-01

We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics.

Forecasting Jakarta composite index (IHSG) based on chen fuzzy time series and firefly clustering algorithm

Science.gov (United States)

Ningrum, R. W.; Surarso, B.; Farikhin; Safarudin, Y. M.

2018-03-01

This paper proposes the combination of Firefly Algorithm (FA) and Chen Fuzzy Time Series Forecasting. Most of the existing fuzzy forecasting methods based on fuzzy time series use the static length of intervals. Therefore, we apply an artificial intelligence, i.e., Firefly Algorithm (FA) to set non-stationary length of intervals for each cluster on Chen Method. The method is evaluated by applying on the Jakarta Composite Index (IHSG) and compare with classical Chen Fuzzy Time Series Forecasting. Its performance verified through simulation using Matlab.

A prediction method based on wavelet transform and multiple models fusion for chaotic time series

International Nuclear Information System (INIS)

Zhongda, Tian; Shujiang, Li; Yanhong, Wang; Yi, Sha

2017-01-01

In order to improve the prediction accuracy of chaotic time series, a prediction method based on wavelet transform and multiple models fusion is proposed. The chaotic time series is decomposed and reconstructed by wavelet transform, and approximate components and detail components are obtained. According to different characteristics of each component, least squares support vector machine (LSSVM) is used as predictive model for approximation components. At the same time, an improved free search algorithm is utilized for predictive model parameters optimization. Auto regressive integrated moving average model (ARIMA) is used as predictive model for detail components. The multiple prediction model predictive values are fusion by Gauss–Markov algorithm, the error variance of predicted results after fusion is less than the single model, the prediction accuracy is improved. The simulation results are compared through two typical chaotic time series include Lorenz time series and Mackey–Glass time series. The simulation results show that the prediction method in this paper has a better prediction.

Hybrid perturbation methods based on statistical time series models

Science.gov (United States)

San-Juan, Juan Félix; San-Martín, Montserrat; Pérez, Iván; López, Rosario

2016-04-01

In this work we present a new methodology for orbit propagation, the hybrid perturbation theory, based on the combination of an integration method and a prediction technique. The former, which can be a numerical, analytical or semianalytical theory, generates an initial approximation that contains some inaccuracies derived from the fact that, in order to simplify the expressions and subsequent computations, not all the involved forces are taken into account and only low-order terms are considered, not to mention the fact that mathematical models of perturbations not always reproduce physical phenomena with absolute precision. The prediction technique, which can be based on either statistical time series models or computational intelligence methods, is aimed at modelling and reproducing missing dynamics in the previously integrated approximation. This combination results in the precision improvement of conventional numerical, analytical and semianalytical theories for determining the position and velocity of any artificial satellite or space debris object. In order to validate this methodology, we present a family of three hybrid orbit propagators formed by the combination of three different orders of approximation of an analytical theory and a statistical time series model, and analyse their capability to process the effect produced by the flattening of the Earth. The three considered analytical components are the integration of the Kepler problem, a first-order and a second-order analytical theories, whereas the prediction technique is the same in the three cases, namely an additive Holt-Winters method.

Characterizing time series via complexity-entropy curves

Science.gov (United States)

Ribeiro, Haroldo V.; Jauregui, Max; Zunino, Luciano; Lenzi, Ervin K.

2017-06-01

The search for patterns in time series is a very common task when dealing with complex systems. This is usually accomplished by employing a complexity measure such as entropies and fractal dimensions. However, such measures usually only capture a single aspect of the system dynamics. Here, we propose a family of complexity measures for time series based on a generalization of the complexity-entropy causality plane. By replacing the Shannon entropy by a monoparametric entropy (Tsallis q entropy) and after considering the proper generalization of the statistical complexity (q complexity), we build up a parametric curve (the q -complexity-entropy curve) that is used for characterizing and classifying time series. Based on simple exact results and numerical simulations of stochastic processes, we show that these curves can distinguish among different long-range, short-range, and oscillating correlated behaviors. Also, we verify that simulated chaotic and stochastic time series can be distinguished based on whether these curves are open or closed. We further test this technique in experimental scenarios related to chaotic laser intensity, stock price, sunspot, and geomagnetic dynamics, confirming its usefulness. Finally, we prove that these curves enhance the automatic classification of time series with long-range correlations and interbeat intervals of healthy subjects and patients with heart disease.

Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods

Science.gov (United States)

He, Jiayi; Shang, Pengjian; Xiong, Hui

2018-06-01

Stocks, as the concrete manifestation of financial time series with plenty of potential information, are often used in the study of financial time series. In this paper, we utilize the stock data to recognize their patterns through out the dissimilarity matrix based on modified cross-sample entropy, then three-dimensional perceptual maps of the results are provided through multidimensional scaling method. Two modified multidimensional scaling methods are proposed in this paper, that is, multidimensional scaling based on Kronecker-delta cross-sample entropy (MDS-KCSE) and multidimensional scaling based on permutation cross-sample entropy (MDS-PCSE). These two methods use Kronecker-delta based cross-sample entropy and permutation based cross-sample entropy to replace the distance or dissimilarity measurement in classical multidimensional scaling (MDS). Multidimensional scaling based on Chebyshev distance (MDSC) is employed to provide a reference for comparisons. Our analysis reveals a clear clustering both in synthetic data and 18 indices from diverse stock markets. It implies that time series generated by the same model are easier to have similar irregularity than others, and the difference in the stock index, which is caused by the country or region and the different financial policies, can reflect the irregularity in the data. In the synthetic data experiments, not only the time series generated by different models can be distinguished, the one generated under different parameters of the same model can also be detected. In the financial data experiment, the stock indices are clearly divided into five groups. Through analysis, we find that they correspond to five regions, respectively, that is, Europe, North America, South America, Asian-Pacific (with the exception of mainland China), mainland China and Russia. The results also demonstrate that MDS-KCSE and MDS-PCSE provide more effective divisions in experiments than MDSC.

Wind Speed Prediction with Wavelet Time Series Based on Lorenz Disturbance

Directory of Open Access Journals (Sweden)

ZHANG, Y.

2017-08-01

Full Text Available Due to the sustainable and pollution-free characteristics, wind energy has been one of the fastest growing renewable energy sources. However, the intermittent and random fluctuation of wind speed presents many challenges for reliable wind power integration and normal operation of wind farm. Accurate wind speed prediction is the key to ensure the safe operation of power system and to develop wind energy resources. Therefore, this paper has presented a wavelet time series wind speed prediction model based on Lorenz disturbance. Therefore, in this paper, combined with the atmospheric dynamical system, a wavelet-time series improved wind speed prediction model based on Lorenz disturbance is proposed and the wind turbines of different climate types in Spain and China are used to simulate the disturbances of Lorenz equations with different initial values. The prediction results show that the improved model can effectively correct the preliminary prediction of wind speed, improving the prediction. In a word, the research work in this paper will be helpful to arrange the electric power dispatching plan and ensure the normal operation of the wind farm.

Geometric noise reduction for multivariate time series.

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Mera, M Eugenia; Morán, Manuel

2006-03-01

We propose an algorithm for the reduction of observational noise in chaotic multivariate time series. The algorithm is based on a maximum likelihood criterion, and its goal is to reduce the mean distance of the points of the cleaned time series to the attractor. We give evidence of the convergence of the empirical measure associated with the cleaned time series to the underlying invariant measure, implying the possibility to predict the long run behavior of the true dynamics.

BRITS: Bidirectional Recurrent Imputation for Time Series

OpenAIRE

Cao, Wei; Wang, Dong; Li, Jian; Zhou, Hao; Li, Lei; Li, Yitan

2018-01-01

Time series are widely used as signals in many classification/regression tasks. It is ubiquitous that time series contains many missing values. Given multiple correlated time series data, how to fill in missing values and to predict their class labels? Existing imputation methods often impose strong assumptions of the underlying data generating process, such as linear dynamics in the state space. In this paper, we propose BRITS, a novel method based on recurrent neural networks for missing va...

Financial time series analysis based on information categorization method

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Tian, Qiang; Shang, Pengjian; Feng, Guochen

2014-12-01

The paper mainly applies the information categorization method to analyze the financial time series. The method is used to examine the similarity of different sequences by calculating the distances between them. We apply this method to quantify the similarity of different stock markets. And we report the results of similarity in US and Chinese stock markets in periods 1991-1998 (before the Asian currency crisis), 1999-2006 (after the Asian currency crisis and before the global financial crisis), and 2007-2013 (during and after global financial crisis) by using this method. The results show the difference of similarity between different stock markets in different time periods and the similarity of the two stock markets become larger after these two crises. Also we acquire the results of similarity of 10 stock indices in three areas; it means the method can distinguish different areas' markets from the phylogenetic trees. The results show that we can get satisfactory information from financial markets by this method. The information categorization method can not only be used in physiologic time series, but also in financial time series.

Quantifying memory in complex physiological time-series.

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Shirazi, Amir H; Raoufy, Mohammad R; Ebadi, Haleh; De Rui, Michele; Schiff, Sami; Mazloom, Roham; Hajizadeh, Sohrab; Gharibzadeh, Shahriar; Dehpour, Ahmad R; Amodio, Piero; Jafari, G Reza; Montagnese, Sara; Mani, Ali R

2013-01-01

In a time-series, memory is a statistical feature that lasts for a period of time and distinguishes the time-series from a random, or memory-less, process. In the present study, the concept of "memory length" was used to define the time period, or scale over which rare events within a physiological time-series do not appear randomly. The method is based on inverse statistical analysis and provides empiric evidence that rare fluctuations in cardio-respiratory time-series are 'forgotten' quickly in healthy subjects while the memory for such events is significantly prolonged in pathological conditions such as asthma (respiratory time-series) and liver cirrhosis (heart-beat time-series). The memory length was significantly higher in patients with uncontrolled asthma compared to healthy volunteers. Likewise, it was significantly higher in patients with decompensated cirrhosis compared to those with compensated cirrhosis and healthy volunteers. We also observed that the cardio-respiratory system has simple low order dynamics and short memory around its average, and high order dynamics around rare fluctuations.

A stochastic HMM-based forecasting model for fuzzy time series.

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Li, Sheng-Tun; Cheng, Yi-Chung

2010-10-01

Recently, fuzzy time series have attracted more academic attention than traditional time series due to their capability of dealing with the uncertainty and vagueness inherent in the data collected. The formulation of fuzzy relations is one of the key issues affecting forecasting results. Most of the present works adopt IF-THEN rules for relationship representation, which leads to higher computational overhead and rule redundancy. Sullivan and Woodall proposed a Markov-based formulation and a forecasting model to reduce computational overhead; however, its applicability is limited to handling one-factor problems. In this paper, we propose a novel forecasting model based on the hidden Markov model by enhancing Sullivan and Woodall's work to allow handling of two-factor forecasting problems. Moreover, in order to make the nature of conjecture and randomness of forecasting more realistic, the Monte Carlo method is adopted to estimate the outcome. To test the effectiveness of the resulting stochastic model, we conduct two experiments and compare the results with those from other models. The first experiment consists of forecasting the daily average temperature and cloud density in Taipei, Taiwan, and the second experiment is based on the Taiwan Weighted Stock Index by forecasting the exchange rate of the New Taiwan dollar against the U.S. dollar. In addition to improving forecasting accuracy, the proposed model adheres to the central limit theorem, and thus, the result statistically approximates to the real mean of the target value being forecast.

Climate Prediction Center (CPC) Global Temperature Time Series

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National Oceanic and Atmospheric Administration, Department of Commerce — The global temperature time series provides time series charts using station based observations of daily temperature. These charts provide information about the...

GPS Position Time Series @ JPL

Science.gov (United States)

Owen, Susan; Moore, Angelyn; Kedar, Sharon; Liu, Zhen; Webb, Frank; Heflin, Mike; Desai, Shailen

2013-01-01

Different flavors of GPS time series analysis at JPL - Use same GPS Precise Point Positioning Analysis raw time series - Variations in time series analysis/post-processing driven by different users. center dot JPL Global Time Series/Velocities - researchers studying reference frame, combining with VLBI/SLR/DORIS center dot JPL/SOPAC Combined Time Series/Velocities - crustal deformation for tectonic, volcanic, ground water studies center dot ARIA Time Series/Coseismic Data Products - Hazard monitoring and response focused center dot ARIA data system designed to integrate GPS and InSAR - GPS tropospheric delay used for correcting InSAR - Caltech's GIANT time series analysis uses GPS to correct orbital errors in InSAR - Zhen Liu's talking tomorrow on InSAR Time Series analysis

Multivariate Time Series Decomposition into Oscillation Components.

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Matsuda, Takeru; Komaki, Fumiyasu

2017-08-01

Many time series are considered to be a superposition of several oscillation components. We have proposed a method for decomposing univariate time series into oscillation components and estimating their phases (Matsuda & Komaki, 2017 ). In this study, we extend that method to multivariate time series. We assume that several oscillators underlie the given multivariate time series and that each variable corresponds to a superposition of the projections of the oscillators. Thus, the oscillators superpose on each variable with amplitude and phase modulation. Based on this idea, we develop gaussian linear state-space models and use them to decompose the given multivariate time series. The model parameters are estimated from data using the empirical Bayes method, and the number of oscillators is determined using the Akaike information criterion. Therefore, the proposed method extracts underlying oscillators in a data-driven manner and enables investigation of phase dynamics in a given multivariate time series. Numerical results show the effectiveness of the proposed method. From monthly mean north-south sunspot number data, the proposed method reveals an interesting phase relationship.

Shilling attack detection for recommender systems based on credibility of group users and rating time series.

Science.gov (United States)

Zhou, Wei; Wen, Junhao; Qu, Qiang; Zeng, Jun; Cheng, Tian

2018-01-01

Recommender systems are vulnerable to shilling attacks. Forged user-generated content data, such as user ratings and reviews, are used by attackers to manipulate recommendation rankings. Shilling attack detection in recommender systems is of great significance to maintain the fairness and sustainability of recommender systems. The current studies have problems in terms of the poor universality of algorithms, difficulty in selection of user profile attributes, and lack of an optimization mechanism. In this paper, a shilling behaviour detection structure based on abnormal group user findings and rating time series analysis is proposed. This paper adds to the current understanding in the field by studying the credibility evaluation model in-depth based on the rating prediction model to derive proximity-based predictions. A method for detecting suspicious ratings based on suspicious time windows and target item analysis is proposed. Suspicious rating time segments are determined by constructing a time series, and data streams of the rating items are examined and suspicious rating segments are checked. To analyse features of shilling attacks by a group user's credibility, an abnormal group user discovery method based on time series and time window is proposed. Standard testing datasets are used to verify the effect of the proposed method.

Time series modeling by a regression approach based on a latent process.

Science.gov (United States)

Chamroukhi, Faicel; Samé, Allou; Govaert, Gérard; Aknin, Patrice

2009-01-01

Time series are used in many domains including finance, engineering, economics and bioinformatics generally to represent the change of a measurement over time. Modeling techniques may then be used to give a synthetic representation of such data. A new approach for time series modeling is proposed in this paper. It consists of a regression model incorporating a discrete hidden logistic process allowing for activating smoothly or abruptly different polynomial regression models. The model parameters are estimated by the maximum likelihood method performed by a dedicated Expectation Maximization (EM) algorithm. The M step of the EM algorithm uses a multi-class Iterative Reweighted Least-Squares (IRLS) algorithm to estimate the hidden process parameters. To evaluate the proposed approach, an experimental study on simulated data and real world data was performed using two alternative approaches: a heteroskedastic piecewise regression model using a global optimization algorithm based on dynamic programming, and a Hidden Markov Regression Model whose parameters are estimated by the Baum-Welch algorithm. Finally, in the context of the remote monitoring of components of the French railway infrastructure, and more particularly the switch mechanism, the proposed approach has been applied to modeling and classifying time series representing the condition measurements acquired during switch operations.

Time series analysis time series analysis methods and applications

CERN Document Server

Rao, Tata Subba; Rao, C R

2012-01-01

The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments. The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. Comprehensively presents the various aspects of statistical methodology Discusses a wide variety of diverse applications and recent developments Contributors are internationally renowened experts in their respect...

Efficient Algorithms for Segmentation of Item-Set Time Series

Science.gov (United States)

Chundi, Parvathi; Rosenkrantz, Daniel J.

We propose a special type of time series, which we call an item-set time series, to facilitate the temporal analysis of software version histories, email logs, stock market data, etc. In an item-set time series, each observed data value is a set of discrete items. We formalize the concept of an item-set time series and present efficient algorithms for segmenting a given item-set time series. Segmentation of a time series partitions the time series into a sequence of segments where each segment is constructed by combining consecutive time points of the time series. Each segment is associated with an item set that is computed from the item sets of the time points in that segment, using a function which we call a measure function. We then define a concept called the segment difference, which measures the difference between the item set of a segment and the item sets of the time points in that segment. The segment difference values are required to construct an optimal segmentation of the time series. We describe novel and efficient algorithms to compute segment difference values for each of the measure functions described in the paper. We outline a dynamic programming based scheme to construct an optimal segmentation of the given item-set time series. We use the item-set time series segmentation techniques to analyze the temporal content of three different data sets—Enron email, stock market data, and a synthetic data set. The experimental results show that an optimal segmentation of item-set time series data captures much more temporal content than a segmentation constructed based on the number of time points in each segment, without examining the item set data at the time points, and can be used to analyze different types of temporal data.

Highly comparative time-series analysis: the empirical structure of time series and their methods.

Science.gov (United States)

Fulcher, Ben D; Little, Max A; Jones, Nick S

2013-06-06

The process of collecting and organizing sets of observations represents a common theme throughout the history of science. However, despite the ubiquity of scientists measuring, recording and analysing the dynamics of different processes, an extensive organization of scientific time-series data and analysis methods has never been performed. Addressing this, annotated collections of over 35 000 real-world and model-generated time series, and over 9000 time-series analysis algorithms are analysed in this work. We introduce reduced representations of both time series, in terms of their properties measured by diverse scientific methods, and of time-series analysis methods, in terms of their behaviour on empirical time series, and use them to organize these interdisciplinary resources. This new approach to comparing across diverse scientific data and methods allows us to organize time-series datasets automatically according to their properties, retrieve alternatives to particular analysis methods developed in other scientific disciplines and automate the selection of useful methods for time-series classification and regression tasks. The broad scientific utility of these tools is demonstrated on datasets of electroencephalograms, self-affine time series, heartbeat intervals, speech signals and others, in each case contributing novel analysis techniques to the existing literature. Highly comparative techniques that compare across an interdisciplinary literature can thus be used to guide more focused research in time-series analysis for applications across the scientific disciplines.

Dimension reduction of frequency-based direct Granger causality measures on short time series.

Science.gov (United States)

Siggiridou, Elsa; Kimiskidis, Vasilios K; Kugiumtzis, Dimitris

2017-09-01

The mainstream in the estimation of effective brain connectivity relies on Granger causality measures in the frequency domain. If the measure is meant to capture direct causal effects accounting for the presence of other observed variables, as in multi-channel electroencephalograms (EEG), typically the fit of a vector autoregressive (VAR) model on the multivariate time series is required. For short time series of many variables, the estimation of VAR may not be stable requiring dimension reduction resulting in restricted or sparse VAR models. The restricted VAR obtained by the modified backward-in-time selection method (mBTS) is adapted to the generalized partial directed coherence (GPDC), termed restricted GPDC (RGPDC). Dimension reduction on other frequency based measures, such the direct directed transfer function (dDTF), is straightforward. First, a simulation study using linear stochastic multivariate systems is conducted and RGPDC is favorably compared to GPDC on short time series in terms of sensitivity and specificity. Then the two measures are tested for their ability to detect changes in brain connectivity during an epileptiform discharge (ED) from multi-channel scalp EEG. It is shown that RGPDC identifies better than GPDC the connectivity structure of the simulated systems, as well as changes in the brain connectivity, and is less dependent on the free parameter of VAR order. The proposed dimension reduction in frequency measures based on VAR constitutes an appropriate strategy to estimate reliably brain networks within short-time windows. Copyright © 2017 Elsevier B.V. All rights reserved.

Analysis of financial time series using multiscale entropy based on skewness and kurtosis

Science.gov (United States)

Xu, Meng; Shang, Pengjian

2018-01-01

There is a great interest in studying dynamic characteristics of the financial time series of the daily stock closing price in different regions. Multi-scale entropy (MSE) is effective, mainly in quantifying the complexity of time series on different time scales. This paper applies a new method for financial stability from the perspective of MSE based on skewness and kurtosis. To better understand the superior coarse-graining method for the different kinds of stock indexes, we take into account the developmental characteristics of the three continents of Asia, North America and European stock markets. We study the volatility of different financial time series in addition to analyze the similarities and differences of coarsening time series from the perspective of skewness and kurtosis. A kind of corresponding relationship between the entropy value of stock sequences and the degree of stability of financial markets, were observed. The three stocks which have particular characteristics in the eight piece of stock sequences were discussed, finding the fact that it matches the result of applying the MSE method to showing results on a graph. A comparative study is conducted to simulate over synthetic and real world data. Results show that the modified method is more effective to the change of dynamics and has more valuable information. The result is obtained at the same time, finding the results of skewness and kurtosis discrimination is obvious, but also more stable.

Reconstruction of ensembles of coupled time-delay systems from time series.

Science.gov (United States)

Sysoev, I V; Prokhorov, M D; Ponomarenko, V I; Bezruchko, B P

2014-06-01

We propose a method to recover from time series the parameters of coupled time-delay systems and the architecture of couplings between them. The method is based on a reconstruction of model delay-differential equations and estimation of statistical significance of couplings. It can be applied to networks composed of nonidentical nodes with an arbitrary number of unidirectional and bidirectional couplings. We test our method on chaotic and periodic time series produced by model equations of ensembles of diffusively coupled time-delay systems in the presence of noise, and apply it to experimental time series obtained from electronic oscillators with delayed feedback coupled by resistors.

Introduction to Time Series Modeling

CERN Document Server

Kitagawa, Genshiro

2010-01-01

In time series modeling, the behavior of a certain phenomenon is expressed in relation to the past values of itself and other covariates. Since many important phenomena in statistical analysis are actually time series and the identification of conditional distribution of the phenomenon is an essential part of the statistical modeling, it is very important and useful to learn fundamental methods of time series modeling. Illustrating how to build models for time series using basic methods, "Introduction to Time Series Modeling" covers numerous time series models and the various tools f

Introduction to time series and forecasting

CERN Document Server

Brockwell, Peter J

2016-01-01

This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering and the natural and social sciences. It assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This third edition contains detailed instructions for the use of the professional version of the Windows-based computer package ITSM2000, now available as a free download from the Springer Extras website. The logic and tools of time series model-building are developed in detail. Numerous exercises are included and the software can be used to analyze and forecast data sets of the user's own choosing. The book can also be used in conjunction with other time series packages such as those included in R. The programs in ITSM2000 however are menu-driven and can be used with minimal investment of time in the computational details. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space mod...

Scale-dependent intrinsic entropies of complex time series.

Science.gov (United States)

Yeh, Jia-Rong; Peng, Chung-Kang; Huang, Norden E

2016-04-13

Multi-scale entropy (MSE) was developed as a measure of complexity for complex time series, and it has been applied widely in recent years. The MSE algorithm is based on the assumption that biological systems possess the ability to adapt and function in an ever-changing environment, and these systems need to operate across multiple temporal and spatial scales, such that their complexity is also multi-scale and hierarchical. Here, we present a systematic approach to apply the empirical mode decomposition algorithm, which can detrend time series on various time scales, prior to analysing a signal's complexity by measuring the irregularity of its dynamics on multiple time scales. Simulated time series of fractal Gaussian noise and human heartbeat time series were used to study the performance of this new approach. We show that our method can successfully quantify the fractal properties of the simulated time series and can accurately distinguish modulations in human heartbeat time series in health and disease. © 2016 The Author(s).

Similarity estimators for irregular and age uncertain time series

Science.gov (United States)

Rehfeld, K.; Kurths, J.

2013-09-01

Paleoclimate time series are often irregularly sampled and age uncertain, which is an important technical challenge to overcome for successful reconstruction of past climate variability and dynamics. Visual comparison and interpolation-based linear correlation approaches have been used to infer dependencies from such proxy time series. While the first is subjective, not measurable and not suitable for the comparison of many datasets at a time, the latter introduces interpolation bias, and both face difficulties if the underlying dependencies are nonlinear. In this paper we investigate similarity estimators that could be suitable for the quantitative investigation of dependencies in irregular and age uncertain time series. We compare the Gaussian-kernel based cross correlation (gXCF, Rehfeld et al., 2011) and mutual information (gMI, Rehfeld et al., 2013) against their interpolation-based counterparts and the new event synchronization function (ESF). We test the efficiency of the methods in estimating coupling strength and coupling lag numerically, using ensembles of synthetic stalagmites with short, autocorrelated, linear and nonlinearly coupled proxy time series, and in the application to real stalagmite time series. In the linear test case coupling strength increases are identified consistently for all estimators, while in the nonlinear test case the correlation-based approaches fail. The lag at which the time series are coupled is identified correctly as the maximum of the similarity functions in around 60-55% (in the linear case) to 53-42% (for the nonlinear processes) of the cases when the dating of the synthetic stalagmite is perfectly precise. If the age uncertainty increases beyond 5% of the time series length, however, the true coupling lag is not identified more often than the others for which the similarity function was estimated. Age uncertainty contributes up to half of the uncertainty in the similarity estimation process. Time series irregularity

Similarity estimators for irregular and age-uncertain time series

Science.gov (United States)

Rehfeld, K.; Kurths, J.

2014-01-01

Paleoclimate time series are often irregularly sampled and age uncertain, which is an important technical challenge to overcome for successful reconstruction of past climate variability and dynamics. Visual comparison and interpolation-based linear correlation approaches have been used to infer dependencies from such proxy time series. While the first is subjective, not measurable and not suitable for the comparison of many data sets at a time, the latter introduces interpolation bias, and both face difficulties if the underlying dependencies are nonlinear. In this paper we investigate similarity estimators that could be suitable for the quantitative investigation of dependencies in irregular and age-uncertain time series. We compare the Gaussian-kernel-based cross-correlation (gXCF, Rehfeld et al., 2011) and mutual information (gMI, Rehfeld et al., 2013) against their interpolation-based counterparts and the new event synchronization function (ESF). We test the efficiency of the methods in estimating coupling strength and coupling lag numerically, using ensembles of synthetic stalagmites with short, autocorrelated, linear and nonlinearly coupled proxy time series, and in the application to real stalagmite time series. In the linear test case, coupling strength increases are identified consistently for all estimators, while in the nonlinear test case the correlation-based approaches fail. The lag at which the time series are coupled is identified correctly as the maximum of the similarity functions in around 60-55% (in the linear case) to 53-42% (for the nonlinear processes) of the cases when the dating of the synthetic stalagmite is perfectly precise. If the age uncertainty increases beyond 5% of the time series length, however, the true coupling lag is not identified more often than the others for which the similarity function was estimated. Age uncertainty contributes up to half of the uncertainty in the similarity estimation process. Time series irregularity

Short-Term Bus Passenger Demand Prediction Based on Time Series Model and Interactive Multiple Model Approach

Directory of Open Access Journals (Sweden)

Rui Xue

2015-01-01

Full Text Available Although bus passenger demand prediction has attracted increased attention during recent years, limited research has been conducted in the context of short-term passenger demand forecasting. This paper proposes an interactive multiple model (IMM filter algorithm-based model to predict short-term passenger demand. After aggregated in 15 min interval, passenger demand data collected from a busy bus route over four months were used to generate time series. Considering that passenger demand exhibits various characteristics in different time scales, three time series were developed, named weekly, daily, and 15 min time series. After the correlation, periodicity, and stationarity analyses, time series models were constructed. Particularly, the heteroscedasticity of time series was explored to achieve better prediction performance. Finally, IMM filter algorithm was applied to combine individual forecasting models with dynamically predicted passenger demand for next interval. Different error indices were adopted for the analyses of individual and hybrid models. The performance comparison indicates that hybrid model forecasts are superior to individual ones in accuracy. Findings of this study are of theoretical and practical significance in bus scheduling.

Item Anomaly Detection Based on Dynamic Partition for Time Series in Recommender Systems.

Science.gov (United States)

Gao, Min; Tian, Renli; Wen, Junhao; Xiong, Qingyu; Ling, Bin; Yang, Linda

2015-01-01

In recent years, recommender systems have become an effective method to process information overload. However, recommendation technology still suffers from many problems. One of the problems is shilling attacks-attackers inject spam user profiles to disturb the list of recommendation items. There are two characteristics of all types of shilling attacks: 1) Item abnormality: The rating of target items is always maximum or minimum; and 2) Attack promptness: It takes only a very short period time to inject attack profiles. Some papers have proposed item anomaly detection methods based on these two characteristics, but their detection rate, false alarm rate, and universality need to be further improved. To solve these problems, this paper proposes an item anomaly detection method based on dynamic partitioning for time series. This method first dynamically partitions item-rating time series based on important points. Then, we use chi square distribution (χ2) to detect abnormal intervals. The experimental results on MovieLens 100K and 1M indicate that this approach has a high detection rate and a low false alarm rate and is stable toward different attack models and filler sizes.

Item Anomaly Detection Based on Dynamic Partition for Time Series in Recommender Systems

Science.gov (United States)

Gao, Min; Tian, Renli; Wen, Junhao; Xiong, Qingyu; Ling, Bin; Yang, Linda

2015-01-01

In recent years, recommender systems have become an effective method to process information overload. However, recommendation technology still suffers from many problems. One of the problems is shilling attacks-attackers inject spam user profiles to disturb the list of recommendation items. There are two characteristics of all types of shilling attacks: 1) Item abnormality: The rating of target items is always maximum or minimum; and 2) Attack promptness: It takes only a very short period time to inject attack profiles. Some papers have proposed item anomaly detection methods based on these two characteristics, but their detection rate, false alarm rate, and universality need to be further improved. To solve these problems, this paper proposes an item anomaly detection method based on dynamic partitioning for time series. This method first dynamically partitions item-rating time series based on important points. Then, we use chi square distribution (χ2) to detect abnormal intervals. The experimental results on MovieLens 100K and 1M indicate that this approach has a high detection rate and a low false alarm rate and is stable toward different attack models and filler sizes. PMID:26267477

[Winter wheat area estimation with MODIS-NDVI time series based on parcel].

Science.gov (United States)

Li, Le; Zhang, Jin-shui; Zhu, Wen-quan; Hu, Tan-gao; Hou, Dong

2011-05-01

Several attributes of MODIS (moderate resolution imaging spectrometer) data, especially the short temporal intervals and the global coverage, provide an extremely efficient way to map cropland and monitor its seasonal change. However, the reliability of their measurement results is challenged because of the limited spatial resolution. The parcel data has clear geo-location and obvious boundary information of cropland. Also, the spectral differences and the complexity of mixed pixels are weak in parcels. All of these make that area estimation based on parcels presents more advantage than on pixels. In the present study, winter wheat area estimation based on MODIS-NDVI time series has been performed with the support of cultivated land parcel in Tongzhou, Beijing. In order to extract the regional winter wheat acreage, multiple regression methods were used to simulate the stable regression relationship between MODIS-NDVI time series data and TM samples in parcels. Through this way, the consistency of the extraction results from MODIS and TM can stably reach up to 96% when the amount of samples accounts for 15% of the whole area. The results shows that the use of parcel data can effectively improve the error in recognition results in MODIS-NDVI based multi-series data caused by the low spatial resolution. Therefore, with combination of moderate and low resolution data, the winter wheat area estimation became available in large-scale region which lacks completed medium resolution images or has images covered with clouds. Meanwhile, it carried out the preliminary experiments for other crop area estimation.

A graph-based approach to detect spatiotemporal dynamics in satellite image time series

Science.gov (United States)

Guttler, Fabio; Ienco, Dino; Nin, Jordi; Teisseire, Maguelonne; Poncelet, Pascal

2017-08-01

Enhancing the frequency of satellite acquisitions represents a key issue for Earth Observation community nowadays. Repeated observations are crucial for monitoring purposes, particularly when intra-annual process should be taken into account. Time series of images constitute a valuable source of information in these cases. The goal of this paper is to propose a new methodological framework to automatically detect and extract spatiotemporal information from satellite image time series (SITS). Existing methods dealing with such kind of data are usually classification-oriented and cannot provide information about evolutions and temporal behaviors. In this paper we propose a graph-based strategy that combines object-based image analysis (OBIA) with data mining techniques. Image objects computed at each individual timestamp are connected across the time series and generates a set of evolution graphs. Each evolution graph is associated to a particular area within the study site and stores information about its temporal evolution. Such information can be deeply explored at the evolution graph scale or used to compare the graphs and supply a general picture at the study site scale. We validated our framework on two study sites located in the South of France and involving different types of natural, semi-natural and agricultural areas. The results obtained from a Landsat SITS support the quality of the methodological approach and illustrate how the framework can be employed to extract and characterize spatiotemporal dynamics.

A Python-based interface to examine motions in time series of solar images

Science.gov (United States)

Campos-Rozo, J. I.; Vargas Domínguez, S.

2017-10-01

Python is considered to be a mature programming language, besides of being widely accepted as an engaging option for scientific analysis in multiple areas, as will be presented in this work for the particular case of solar physics research. SunPy is an open-source library based on Python that has been recently developed to furnish software tools to solar data analysis and visualization. In this work we present a graphical user interface (GUI) based on Python and Qt to effectively compute proper motions for the analysis of time series of solar data. This user-friendly computing interface, that is intended to be incorporated to the Sunpy library, uses a local correlation tracking technique and some extra tools that allows the selection of different parameters to calculate, vizualize and analyze vector velocity fields of solar data, i.e. time series of solar filtergrams and magnetograms.

Time Series Forecasting with Missing Values

Directory of Open Access Journals (Sweden)

Shin-Fu Wu

2015-11-01

Full Text Available Time series prediction has become more popular in various kinds of applications such as weather prediction, control engineering, financial analysis, industrial monitoring, etc. To deal with real-world problems, we are often faced with missing values in the data due to sensor malfunctions or human errors. Traditionally, the missing values are simply omitted or replaced by means of imputation methods. However, omitting those missing values may cause temporal discontinuity. Imputation methods, on the other hand, may alter the original time series. In this study, we propose a novel forecasting method based on least squares support vector machine (LSSVM. We employ the input patterns with the temporal information which is defined as local time index (LTI. Time series data as well as local time indexes are fed to LSSVM for doing forecasting without imputation. We compare the forecasting performance of our method with other imputation methods. Experimental results show that the proposed method is promising and is worth further investigations.

International Work-Conference on Time Series

CERN Document Server

Pomares, Héctor; Valenzuela, Olga

2017-01-01

This volume of selected and peer-reviewed contributions on the latest developments in time series analysis and forecasting updates the reader on topics such as analysis of irregularly sampled time series, multi-scale analysis of univariate and multivariate time series, linear and non-linear time series models, advanced time series forecasting methods, applications in time series analysis and forecasting, advanced methods and online learning in time series and high-dimensional and complex/big data time series. The contributions were originally presented at the International Work-Conference on Time Series, ITISE 2016, held in Granada, Spain, June 27-29, 2016. The series of ITISE conferences provides a forum for scientists, engineers, educators and students to discuss the latest ideas and implementations in the foundations, theory, models and applications in the field of time series analysis and forecasting.  It focuses on interdisciplinary and multidisciplinary rese arch encompassing the disciplines of comput...

A Dynamic Fuzzy Cluster Algorithm for Time Series

Directory of Open Access Journals (Sweden)

Min Ji

2013-01-01

clustering time series by introducing the definition of key point and improving FCM algorithm. The proposed algorithm works by determining those time series whose class labels are vague and further partitions them into different clusters over time. The main advantage of this approach compared with other existing algorithms is that the property of some time series belonging to different clusters over time can be partially revealed. Results from simulation-based experiments on geographical data demonstrate the excellent performance and the desired results have been obtained. The proposed algorithm can be applied to solve other clustering problems in data mining.

DTW-APPROACH FOR UNCORRELATED MULTIVARIATE TIME SERIES IMPUTATION

OpenAIRE

Phan , Thi-Thu-Hong; Poisson Caillault , Emilie; Bigand , André; Lefebvre , Alain

2017-01-01

International audience; Missing data are inevitable in almost domains of applied sciences. Data analysis with missing values can lead to a loss of efficiency and unreliable results, especially for large missing sub-sequence(s). Some well-known methods for multivariate time series imputation require high correlations between series or their features. In this paper , we propose an approach based on the shape-behaviour relation in low/un-correlated multivariate time series under an assumption of...

Introduction to time series analysis and forecasting

CERN Document Server

Montgomery, Douglas C; Kulahci, Murat

2008-01-01

An accessible introduction to the most current thinking in and practicality of forecasting techniques in the context of time-oriented data. Analyzing time-oriented data and forecasting are among the most important problems that analysts face across many fields, ranging from finance and economics to production operations and the natural sciences. As a result, there is a widespread need for large groups of people in a variety of fields to understand the basic concepts of time series analysis and forecasting. Introduction to Time Series Analysis and Forecasting presents the time series analysis branch of applied statistics as the underlying methodology for developing practical forecasts, and it also bridges the gap between theory and practice by equipping readers with the tools needed to analyze time-oriented data and construct useful, short- to medium-term, statistically based forecasts.

From Networks to Time Series

Science.gov (United States)

Shimada, Yutaka; Ikeguchi, Tohru; Shigehara, Takaomi

2012-10-01

In this Letter, we propose a framework to transform a complex network to a time series. The transformation from complex networks to time series is realized by the classical multidimensional scaling. Applying the transformation method to a model proposed by Watts and Strogatz [Nature (London) 393, 440 (1998)], we show that ring lattices are transformed to periodic time series, small-world networks to noisy periodic time series, and random networks to random time series. We also show that these relationships are analytically held by using the circulant-matrix theory and the perturbation theory of linear operators. The results are generalized to several high-dimensional lattices.

Time series prediction of apple scab using meteorological ...

African Journals Online (AJOL)

A new prediction model for the early warning of apple scab is proposed in this study. The method is based on artificial intelligence and time series prediction. The infection period of apple scab was evaluated as the time series prediction model instead of summation of wetness duration. Also, the relations of different ...

Modeling pollen time series using seasonal-trend decomposition procedure based on LOESS smoothing.

Science.gov (United States)

Rojo, Jesús; Rivero, Rosario; Romero-Morte, Jorge; Fernández-González, Federico; Pérez-Badia, Rosa

2017-02-01

Analysis of airborne pollen concentrations provides valuable information on plant phenology and is thus a useful tool in agriculture-for predicting harvests in crops such as the olive and for deciding when to apply phytosanitary treatments-as well as in medicine and the environmental sciences. Variations in airborne pollen concentrations, moreover, are indicators of changing plant life cycles. By modeling pollen time series, we can not only identify the variables influencing pollen levels but also predict future pollen concentrations. In this study, airborne pollen time series were modeled using a seasonal-trend decomposition procedure based on LOcally wEighted Scatterplot Smoothing (LOESS) smoothing (STL). The data series-daily Poaceae pollen concentrations over the period 2006-2014-was broken up into seasonal and residual (stochastic) components. The seasonal component was compared with data on Poaceae flowering phenology obtained by field sampling. Residuals were fitted to a model generated from daily temperature and rainfall values, and daily pollen concentrations, using partial least squares regression (PLSR). This method was then applied to predict daily pollen concentrations for 2014 (independent validation data) using results for the seasonal component of the time series and estimates of the residual component for the period 2006-2013. Correlation between predicted and observed values was r = 0.79 (correlation coefficient) for the pre-peak period (i.e., the period prior to the peak pollen concentration) and r = 0.63 for the post-peak period. Separate analysis of each of the components of the pollen data series enables the sources of variability to be identified more accurately than by analysis of the original non-decomposed data series, and for this reason, this procedure has proved to be a suitable technique for analyzing the main environmental factors influencing airborne pollen concentrations.

On the plurality of times: disunified time and the A-series | Nefdt ...

African Journals Online (AJOL)

Then, I attempt to show that disunified time is a problem for a semantics based on the A-series since A-truthmakers are hard to come by in a universe of temporally disconnected time-series. Finally, I provide a novel argument showing that presentists should be particularly fearful of such a universe. South African Journal of ...

Chaos Time Series Prediction Based on Membrane Optimization Algorithms

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Meng Li

2015-01-01

Full Text Available This paper puts forward a prediction model based on membrane computing optimization algorithm for chaos time series; the model optimizes simultaneously the parameters of phase space reconstruction (τ,m and least squares support vector machine (LS-SVM (γ,σ by using membrane computing optimization algorithm. It is an important basis for spectrum management to predict accurately the change trend of parameters in the electromagnetic environment, which can help decision makers to adopt an optimal action. Then, the model presented in this paper is used to forecast band occupancy rate of frequency modulation (FM broadcasting band and interphone band. To show the applicability and superiority of the proposed model, this paper will compare the forecast model presented in it with conventional similar models. The experimental results show that whether single-step prediction or multistep prediction, the proposed model performs best based on three error measures, namely, normalized mean square error (NMSE, root mean square error (RMSE, and mean absolute percentage error (MAPE.

Robust Forecasting of Non-Stationary Time Series

OpenAIRE

Croux, C.; Fried, R.; Gijbels, I.; Mahieu, K.

2010-01-01

This paper proposes a robust forecasting method for non-stationary time series. The time series is modelled using non-parametric heteroscedastic regression, and fitted by a localized MM-estimator, combining high robustness and large efficiency. The proposed method is shown to produce reliable forecasts in the presence of outliers, non-linearity, and heteroscedasticity. In the absence of outliers, the forecasts are only slightly less precise than those based on a localized Least Squares estima...

A SPIRAL-BASED DOWNSCALING METHOD FOR GENERATING 30 M TIME SERIES IMAGE DATA

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B. Liu

2017-09-01

Full Text Available The spatial detail and updating frequency of land cover data are important factors influencing land surface dynamic monitoring applications in high spatial resolution scale. However, the fragmentized patches and seasonal variable of some land cover types (e. g. small crop field, wetland make it labor-intensive and difficult in the generation of land cover data. Utilizing the high spatial resolution multi-temporal image data is a possible solution. Unfortunately, the spatial and temporal resolution of available remote sensing data like Landsat or MODIS datasets can hardly satisfy the minimum mapping unit and frequency of current land cover mapping / updating at the same time. The generation of high resolution time series may be a compromise to cover the shortage in land cover updating process. One of popular way is to downscale multi-temporal MODIS data with other high spatial resolution auxiliary data like Landsat. But the usual manner of downscaling pixel based on a window may lead to the underdetermined problem in heterogeneous area, result in the uncertainty of some high spatial resolution pixels. Therefore, the downscaled multi-temporal data can hardly reach high spatial resolution as Landsat data. A spiral based method was introduced to downscale low spatial and high temporal resolution image data to high spatial and high temporal resolution image data. By the way of searching the similar pixels around the adjacent region based on the spiral, the pixel set was made up in the adjacent region pixel by pixel. The underdetermined problem is prevented to a large extent from solving the linear system when adopting the pixel set constructed. With the help of ordinary least squares, the method inverted the endmember values of linear system. The high spatial resolution image was reconstructed on the basis of high spatial resolution class map and the endmember values band by band. Then, the high spatial resolution time series was formed with these

Efficient Approximate OLAP Querying Over Time Series

DEFF Research Database (Denmark)

Perera, Kasun Baruhupolage Don Kasun Sanjeewa; Hahmann, Martin; Lehner, Wolfgang

2016-01-01

The ongoing trend for data gathering not only produces larger volumes of data, but also increases the variety of recorded data types. Out of these, especially time series, e.g. various sensor readings, have attracted attention in the domains of business intelligence and decision making. As OLAP...... queries play a major role in these domains, it is desirable to also execute them on time series data. While this is not a problem on the conceptual level, it can become a bottleneck with regards to query run-time. In general, processing OLAP queries gets more computationally intensive as the volume...... of data grows. This is a particular problem when querying time series data, which generally contains multiple measures recorded at fine time granularities. Usually, this issue is addressed either by scaling up hardware or by employing workload based query optimization techniques. However, these solutions...

A Data-Driven Modeling Strategy for Smart Grid Power Quality Coupling Assessment Based on Time Series Pattern Matching

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Hao Yu

2018-01-01

Full Text Available This study introduces a data-driven modeling strategy for smart grid power quality (PQ coupling assessment based on time series pattern matching to quantify the influence of single and integrated disturbance among nodes in different pollution patterns. Periodic and random PQ patterns are constructed by using multidimensional frequency-domain decomposition for all disturbances. A multidimensional piecewise linear representation based on local extreme points is proposed to extract the patterns features of single and integrated disturbance in consideration of disturbance variation trend and severity. A feature distance of pattern (FDP is developed to implement pattern matching on univariate PQ time series (UPQTS and multivariate PQ time series (MPQTS to quantify the influence of single and integrated disturbance among nodes in the pollution patterns. Case studies on a 14-bus distribution system are performed and analyzed; the accuracy and applicability of the FDP in the smart grid PQ coupling assessment are verified by comparing with other time series pattern matching methods.

Duality between Time Series and Networks

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Campanharo, Andriana S. L. O.; Sirer, M. Irmak; Malmgren, R. Dean; Ramos, Fernando M.; Amaral, Luís A. Nunes.

2011-01-01

Studying the interaction between a system's components and the temporal evolution of the system are two common ways to uncover and characterize its internal workings. Recently, several maps from a time series to a network have been proposed with the intent of using network metrics to characterize time series. Although these maps demonstrate that different time series result in networks with distinct topological properties, it remains unclear how these topological properties relate to the original time series. Here, we propose a map from a time series to a network with an approximate inverse operation, making it possible to use network statistics to characterize time series and time series statistics to characterize networks. As a proof of concept, we generate an ensemble of time series ranging from periodic to random and confirm that application of the proposed map retains much of the information encoded in the original time series (or networks) after application of the map (or its inverse). Our results suggest that network analysis can be used to distinguish different dynamic regimes in time series and, perhaps more importantly, time series analysis can provide a powerful set of tools that augment the traditional network analysis toolkit to quantify networks in new and useful ways. PMID:21858093

Long time series

DEFF Research Database (Denmark)

Hisdal, H.; Holmqvist, E.; Hyvärinen, V.

Awareness that emission of greenhouse gases will raise the global temperature and change the climate has led to studies trying to identify such changes in long-term climate and hydrologic time series. This report, written by the......Awareness that emission of greenhouse gases will raise the global temperature and change the climate has led to studies trying to identify such changes in long-term climate and hydrologic time series. This report, written by the...

Detrended fluctuation analysis based on higher-order moments of financial time series

Science.gov (United States)

Teng, Yue; Shang, Pengjian

2018-01-01

In this paper, a generalized method of detrended fluctuation analysis (DFA) is proposed as a new measure to assess the complexity of a complex dynamical system such as stock market. We extend DFA and local scaling DFA to higher moments such as skewness and kurtosis (labeled SMDFA and KMDFA), so as to investigate the volatility scaling property of financial time series. Simulations are conducted over synthetic and financial data for providing the comparative study. We further report the results of volatility behaviors in three American countries, three Chinese and three European stock markets by using DFA and LSDFA method based on higher moments. They demonstrate the dynamics behaviors of time series in different aspects, which can quantify the changes of complexity for stock market data and provide us with more meaningful information than single exponent. And the results reveal some higher moments volatility and higher moments multiscale volatility details that cannot be obtained using the traditional DFA method.

Time Series Decomposition into Oscillation Components and Phase Estimation.

Science.gov (United States)

Matsuda, Takeru; Komaki, Fumiyasu

2017-02-01

Many time series are naturally considered as a superposition of several oscillation components. For example, electroencephalogram (EEG) time series include oscillation components such as alpha, beta, and gamma. We propose a method for decomposing time series into such oscillation components using state-space models. Based on the concept of random frequency modulation, gaussian linear state-space models for oscillation components are developed. In this model, the frequency of an oscillator fluctuates by noise. Time series decomposition is accomplished by this model like the Bayesian seasonal adjustment method. Since the model parameters are estimated from data by the empirical Bayes' method, the amplitudes and the frequencies of oscillation components are determined in a data-driven manner. Also, the appropriate number of oscillation components is determined with the Akaike information criterion (AIC). In this way, the proposed method provides a natural decomposition of the given time series into oscillation components. In neuroscience, the phase of neural time series plays an important role in neural information processing. The proposed method can be used to estimate the phase of each oscillation component and has several advantages over a conventional method based on the Hilbert transform. Thus, the proposed method enables an investigation of the phase dynamics of time series. Numerical results show that the proposed method succeeds in extracting intermittent oscillations like ripples and detecting the phase reset phenomena. We apply the proposed method to real data from various fields such as astronomy, ecology, tidology, and neuroscience.

Research on PM2.5 time series characteristics based on data mining technology

Science.gov (United States)

Zhao, Lifang; Jia, Jin

2018-02-01

With the development of data mining technology and the establishment of environmental air quality database, it is necessary to discover the potential correlations and rules by digging the massive environmental air quality information and analyzing the air pollution process. In this paper, we have presented a sequential pattern mining method based on the air quality data and pattern association technology to analyze the PM2.5 time series characteristics. Utilizing the real-time monitoring data of urban air quality in China, the time series rule and variation properties of PM2.5 under different pollution levels are extracted and analyzed. The analysis results show that the time sequence features of the PM2.5 concentration is directly affected by the alteration of the pollution degree. The longest time that PM2.5 remained stable is about 24 hours. As the pollution degree gets severer, the instability time and step ascending time gradually changes from 12-24 hours to 3 hours. The presented method is helpful for the controlling and forecasting of the air quality while saving the measuring costs, which is of great significance for the government regulation and public prevention of the air pollution.

A Time Series Forecasting Method

Directory of Open Access Journals (Sweden)

Wang Zhao-Yu

2017-01-01

Full Text Available This paper proposes a novel time series forecasting method based on a weighted self-constructing clustering technique. The weighted self-constructing clustering processes all the data patterns incrementally. If a data pattern is not similar enough to an existing cluster, it forms a new cluster of its own. However, if a data pattern is similar enough to an existing cluster, it is removed from the cluster it currently belongs to and added to the most similar cluster. During the clustering process, weights are learned for each cluster. Given a series of time-stamped data up to time t, we divide it into a set of training patterns. By using the weighted self-constructing clustering, the training patterns are grouped into a set of clusters. To estimate the value at time t + 1, we find the k nearest neighbors of the input pattern and use these k neighbors to decide the estimation. Experimental results are shown to demonstrate the effectiveness of the proposed approach.

[Correlation coefficient-based principle and method for the classification of jump degree in hydrological time series].

Science.gov (United States)

Wu, Zi Yi; Xie, Ping; Sang, Yan Fang; Gu, Hai Ting

2018-04-01

The phenomenon of jump is one of the importantly external forms of hydrological variabi-lity under environmental changes, representing the adaption of hydrological nonlinear systems to the influence of external disturbances. Presently, the related studies mainly focus on the methods for identifying the jump positions and jump times in hydrological time series. In contrast, few studies have focused on the quantitative description and classification of jump degree in hydrological time series, which make it difficult to understand the environmental changes and evaluate its potential impacts. Here, we proposed a theatrically reliable and easy-to-apply method for the classification of jump degree in hydrological time series, using the correlation coefficient as a basic index. The statistical tests verified the accuracy, reasonability, and applicability of this method. The relationship between the correlation coefficient and the jump degree of series were described using mathematical equation by derivation. After that, several thresholds of correlation coefficients under different statistical significance levels were chosen, based on which the jump degree could be classified into five levels: no, weak, moderate, strong and very strong. Finally, our method was applied to five diffe-rent observed hydrological time series, with diverse geographic and hydrological conditions in China. The results of the classification of jump degrees in those series were closely accorded with their physically hydrological mechanisms, indicating the practicability of our method.

Incremental fuzzy C medoids clustering of time series data using dynamic time warping distance.

Science.gov (United States)

Liu, Yongli; Chen, Jingli; Wu, Shuai; Liu, Zhizhong; Chao, Hao

2018-01-01

Clustering time series data is of great significance since it could extract meaningful statistics and other characteristics. Especially in biomedical engineering, outstanding clustering algorithms for time series may help improve the health level of people. Considering data scale and time shifts of time series, in this paper, we introduce two incremental fuzzy clustering algorithms based on a Dynamic Time Warping (DTW) distance. For recruiting Single-Pass and Online patterns, our algorithms could handle large-scale time series data by splitting it into a set of chunks which are processed sequentially. Besides, our algorithms select DTW to measure distance of pair-wise time series and encourage higher clustering accuracy because DTW could determine an optimal match between any two time series by stretching or compressing segments of temporal data. Our new algorithms are compared to some existing prominent incremental fuzzy clustering algorithms on 12 benchmark time series datasets. The experimental results show that the proposed approaches could yield high quality clusters and were better than all the competitors in terms of clustering accuracy.

Incremental fuzzy C medoids clustering of time series data using dynamic time warping distance

Science.gov (United States)

Chen, Jingli; Wu, Shuai; Liu, Zhizhong; Chao, Hao

2018-01-01

Clustering time series data is of great significance since it could extract meaningful statistics and other characteristics. Especially in biomedical engineering, outstanding clustering algorithms for time series may help improve the health level of people. Considering data scale and time shifts of time series, in this paper, we introduce two incremental fuzzy clustering algorithms based on a Dynamic Time Warping (DTW) distance. For recruiting Single-Pass and Online patterns, our algorithms could handle large-scale time series data by splitting it into a set of chunks which are processed sequentially. Besides, our algorithms select DTW to measure distance of pair-wise time series and encourage higher clustering accuracy because DTW could determine an optimal match between any two time series by stretching or compressing segments of temporal data. Our new algorithms are compared to some existing prominent incremental fuzzy clustering algorithms on 12 benchmark time series datasets. The experimental results show that the proposed approaches could yield high quality clusters and were better than all the competitors in terms of clustering accuracy. PMID:29795600

Forest Disturbance Mapping Using Dense Synthetic Landsat/MODIS Time-Series and Permutation-Based Disturbance Index Detection

Directory of Open Access Journals (Sweden)

David Frantz

2016-03-01

Full Text Available Spatio-temporal information on process-based forest loss is essential for a wide range of applications. Despite remote sensing being the only feasible means of monitoring forest change at regional or greater scales, there is no retrospectively available remote sensor that meets the demand of monitoring forests with the required spatial detail and guaranteed high temporal frequency. As an alternative, we employed the Spatial and Temporal Adaptive Reflectance Fusion Model (STARFM to produce a dense synthetic time series by fusing Landsat and Moderate Resolution Imaging Spectroradiometer (MODIS nadir Bidirectional Reflectance Distribution Function (BRDF adjusted reflectance. Forest loss was detected by applying a multi-temporal disturbance detection approach implementing a Disturbance Index-based detection strategy. The detection thresholds were permutated with random numbers for the normal distribution in order to generate a multi-dimensional threshold confidence area. As a result, a more robust parameterization and a spatially more coherent detection could be achieved. (i The original Landsat time series; (ii synthetic time series; and a (iii combined hybrid approach were used to identify the timing and extent of disturbances. The identified clearings in the Landsat detection were verified using an annual woodland clearing dataset from Queensland’s Statewide Landcover and Trees Study. Disturbances caused by stand-replacing events were successfully identified. The increased temporal resolution of the synthetic time series indicated promising additional information on disturbance timing. The results of the hybrid detection unified the benefits of both approaches, i.e., the spatial quality and general accuracy of the Landsat detection and the increased temporal information of synthetic time series. Results indicated that a temporal improvement in the detection of the disturbance date could be achieved relative to the irregularly spaced Landsat

A Course in Time Series Analysis

CERN Document Server

Peña, Daniel; Tsay, Ruey S

2011-01-01

New statistical methods and future directions of research in time series A Course in Time Series Analysis demonstrates how to build time series models for univariate and multivariate time series data. It brings together material previously available only in the professional literature and presents a unified view of the most advanced procedures available for time series model building. The authors begin with basic concepts in univariate time series, providing an up-to-date presentation of ARIMA models, including the Kalman filter, outlier analysis, automatic methods for building ARIMA models, a

Multi-Scale Dissemination of Time Series Data

DEFF Research Database (Denmark)

Guo, Qingsong; Zhou, Yongluan; Su, Li

2013-01-01

In this paper, we consider the problem of continuous dissemination of time series data, such as sensor measurements, to a large number of subscribers. These subscribers fall into multiple subscription levels, where each subscription level is specified by the bandwidth constraint of a subscriber......, which is an abstract indicator for both the physical limits and the amount of data that the subscriber would like to handle. To handle this problem, we propose a system framework for multi-scale time series data dissemination that employs a typical tree-based dissemination network and existing time...

Predicting Charging Time of Battery Electric Vehicles Based on Regression and Time-Series Methods: A Case Study of Beijing

Directory of Open Access Journals (Sweden)

Jun Bi

2018-04-01

Full Text Available Battery electric vehicles (BEVs reduce energy consumption and air pollution as compared with conventional vehicles. However, the limited driving range and potential long charging time of BEVs create new problems. Accurate charging time prediction of BEVs helps drivers determine travel plans and alleviate their range anxiety during trips. This study proposed a combined model for charging time prediction based on regression and time-series methods according to the actual data from BEVs operating in Beijing, China. After data analysis, a regression model was established by considering the charged amount for charging time prediction. Furthermore, a time-series method was adopted to calibrate the regression model, which significantly improved the fitting accuracy of the model. The parameters of the model were determined by using the actual data. Verification results confirmed the accuracy of the model and showed that the model errors were small. The proposed model can accurately depict the charging time characteristics of BEVs in Beijing.

Segmentation of Nonstationary Time Series with Geometric Clustering

DEFF Research Database (Denmark)

Bocharov, Alexei; Thiesson, Bo

2013-01-01

We introduce a non-parametric method for segmentation in regimeswitching time-series models. The approach is based on spectral clustering of target-regressor tuples and derives a switching regression tree, where regime switches are modeled by oblique splits. Such models can be learned efficiently...... from data, where clustering is used to propose one single split candidate at each split level. We use the class of ART time series models to serve as illustration, but because of the non-parametric nature of our segmentation approach, it readily generalizes to a wide range of time-series models that go...

Building Chaotic Model From Incomplete Time Series

Science.gov (United States)

Siek, Michael; Solomatine, Dimitri

2010-05-01

This paper presents a number of novel techniques for building a predictive chaotic model from incomplete time series. A predictive chaotic model is built by reconstructing the time-delayed phase space from observed time series and the prediction is made by a global model or adaptive local models based on the dynamical neighbors found in the reconstructed phase space. In general, the building of any data-driven models depends on the completeness and quality of the data itself. However, the completeness of the data availability can not always be guaranteed since the measurement or data transmission is intermittently not working properly due to some reasons. We propose two main solutions dealing with incomplete time series: using imputing and non-imputing methods. For imputing methods, we utilized the interpolation methods (weighted sum of linear interpolations, Bayesian principle component analysis and cubic spline interpolation) and predictive models (neural network, kernel machine, chaotic model) for estimating the missing values. After imputing the missing values, the phase space reconstruction and chaotic model prediction are executed as a standard procedure. For non-imputing methods, we reconstructed the time-delayed phase space from observed time series with missing values. This reconstruction results in non-continuous trajectories. However, the local model prediction can still be made from the other dynamical neighbors reconstructed from non-missing values. We implemented and tested these methods to construct a chaotic model for predicting storm surges at Hoek van Holland as the entrance of Rotterdam Port. The hourly surge time series is available for duration of 1990-1996. For measuring the performance of the proposed methods, a synthetic time series with missing values generated by a particular random variable to the original (complete) time series is utilized. There exist two main performance measures used in this work: (1) error measures between the actual

FPGA-Based Stochastic Echo State Networks for Time-Series Forecasting.

Science.gov (United States)

Alomar, Miquel L; Canals, Vincent; Perez-Mora, Nicolas; Martínez-Moll, Víctor; Rosselló, Josep L

2016-01-01

Hardware implementation of artificial neural networks (ANNs) allows exploiting the inherent parallelism of these systems. Nevertheless, they require a large amount of resources in terms of area and power dissipation. Recently, Reservoir Computing (RC) has arisen as a strategic technique to design recurrent neural networks (RNNs) with simple learning capabilities. In this work, we show a new approach to implement RC systems with digital gates. The proposed method is based on the use of probabilistic computing concepts to reduce the hardware required to implement different arithmetic operations. The result is the development of a highly functional system with low hardware resources. The presented methodology is applied to chaotic time-series forecasting.

Nonparametric factor analysis of time series

OpenAIRE

Rodríguez-Poo, Juan M.; Linton, Oliver Bruce

1998-01-01

We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel.

Effectiveness of Multivariate Time Series Classification Using Shapelets

Directory of Open Access Journals (Sweden)

A. P. Karpenko

2015-01-01

Full Text Available Typically, time series classifiers require signal pre-processing (filtering signals from noise and artifact removal, etc., enhancement of signal features (amplitude, frequency, spectrum, etc., classification of signal features in space using the classical techniques and classification algorithms of multivariate data. We consider a method of classifying time series, which does not require enhancement of the signal features. The method uses the shapelets of time series (time series shapelets i.e. small fragments of this series, which reflect properties of one of its classes most of all.Despite the significant number of publications on the theory and shapelet applications for classification of time series, the task to evaluate the effectiveness of this technique remains relevant. An objective of this publication is to study the effectiveness of a number of modifications of the original shapelet method as applied to the multivariate series classification that is a littlestudied problem. The paper presents the problem statement of multivariate time series classification using the shapelets and describes the shapelet–based basic method of binary classification, as well as various generalizations and proposed modification of the method. It also offers the software that implements a modified method and results of computational experiments confirming the effectiveness of the algorithmic and software solutions.The paper shows that the modified method and the software to use it allow us to reach the classification accuracy of about 85%, at best. The shapelet search time increases in proportion to input data dimension.

Kolmogorov Space in Time Series Data

OpenAIRE

Kanjamapornkul, K.; Pinčák, R.

2016-01-01

We provide the proof that the space of time series data is a Kolmogorov space with $T_{0}$-separation axiom using the loop space of time series data. In our approach we define a cyclic coordinate of intrinsic time scale of time series data after empirical mode decomposition. A spinor field of time series data comes from the rotation of data around price and time axis by defining a new extradimension to time series data. We show that there exist hidden eight dimensions in Kolmogorov space for ...

On the Use of Running Trends as Summary Statistics for Univariate Time Series and Time Series Association

OpenAIRE

Trottini, Mario; Vigo, Isabel; Belda, Santiago

2015-01-01

Given a time series, running trends analysis (RTA) involves evaluating least squares trends over overlapping time windows of L consecutive time points, with overlap by all but one observation. This produces a new series called the “running trends series,” which is used as summary statistics of the original series for further analysis. In recent years, RTA has been widely used in climate applied research as summary statistics for time series and time series association. There is no doubt that ...

Multiple Indicator Stationary Time Series Models.

Science.gov (United States)

Sivo, Stephen A.

2001-01-01

Discusses the propriety and practical advantages of specifying multivariate time series models in the context of structural equation modeling for time series and longitudinal panel data. For time series data, the multiple indicator model specification improves on classical time series analysis. For panel data, the multiple indicator model…

A perturbative approach for enhancing the performance of time series forecasting.

Science.gov (United States)

de Mattos Neto, Paulo S G; Ferreira, Tiago A E; Lima, Aranildo R; Vasconcelos, Germano C; Cavalcanti, George D C

2017-04-01

This paper proposes a method to perform time series prediction based on perturbation theory. The approach is based on continuously adjusting an initial forecasting model to asymptotically approximate a desired time series model. First, a predictive model generates an initial forecasting for a time series. Second, a residual time series is calculated as the difference between the original time series and the initial forecasting. If that residual series is not white noise, then it can be used to improve the accuracy of the initial model and a new predictive model is adjusted using residual series. The whole process is repeated until convergence or the residual series becomes white noise. The output of the method is then given by summing up the outputs of all trained predictive models in a perturbative sense. To test the method, an experimental investigation was conducted on six real world time series. A comparison was made with six other methods experimented and ten other results found in the literature. Results show that not only the performance of the initial model is significantly improved but also the proposed method outperforms the other results previously published. Copyright © 2017 Elsevier Ltd. All rights reserved.

Time Series Momentum

DEFF Research Database (Denmark)

Moskowitz, Tobias J.; Ooi, Yao Hua; Heje Pedersen, Lasse

2012-01-01

We document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial...... under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset pricing factors and performs best during extreme markets. Examining the trading activities...

International Work-Conference on Time Series

CERN Document Server

Pomares, Héctor

2016-01-01

This volume presents selected peer-reviewed contributions from The International Work-Conference on Time Series, ITISE 2015, held in Granada, Spain, July 1-3, 2015. It discusses topics in time series analysis and forecasting, advanced methods and online learning in time series, high-dimensional and complex/big data time series as well as forecasting in real problems. The International Work-Conferences on Time Series (ITISE) provide a forum for scientists, engineers, educators and students to discuss the latest ideas and implementations in the foundations, theory, models and applications in the field of time series analysis and forecasting. It focuses on interdisciplinary and multidisciplinary research encompassing the disciplines of computer science, mathematics, statistics and econometrics.

A cluster merging method for time series microarray with production values.

Science.gov (United States)

Chira, Camelia; Sedano, Javier; Camara, Monica; Prieto, Carlos; Villar, Jose R; Corchado, Emilio

2014-09-01

A challenging task in time-course microarray data analysis is to cluster genes meaningfully combining the information provided by multiple replicates covering the same key time points. This paper proposes a novel cluster merging method to accomplish this goal obtaining groups with highly correlated genes. The main idea behind the proposed method is to generate a clustering starting from groups created based on individual temporal series (representing different biological replicates measured in the same time points) and merging them by taking into account the frequency by which two genes are assembled together in each clustering. The gene groups at the level of individual time series are generated using several shape-based clustering methods. This study is focused on a real-world time series microarray task with the aim to find co-expressed genes related to the production and growth of a certain bacteria. The shape-based clustering methods used at the level of individual time series rely on identifying similar gene expression patterns over time which, in some models, are further matched to the pattern of production/growth. The proposed cluster merging method is able to produce meaningful gene groups which can be naturally ranked by the level of agreement on the clustering among individual time series. The list of clusters and genes is further sorted based on the information correlation coefficient and new problem-specific relevant measures. Computational experiments and results of the cluster merging method are analyzed from a biological perspective and further compared with the clustering generated based on the mean value of time series and the same shape-based algorithm.

FPGA-Based Stochastic Echo State Networks for Time-Series Forecasting

Directory of Open Access Journals (Sweden)

Miquel L. Alomar

2016-01-01

Full Text Available Hardware implementation of artificial neural networks (ANNs allows exploiting the inherent parallelism of these systems. Nevertheless, they require a large amount of resources in terms of area and power dissipation. Recently, Reservoir Computing (RC has arisen as a strategic technique to design recurrent neural networks (RNNs with simple learning capabilities. In this work, we show a new approach to implement RC systems with digital gates. The proposed method is based on the use of probabilistic computing concepts to reduce the hardware required to implement different arithmetic operations. The result is the development of a highly functional system with low hardware resources. The presented methodology is applied to chaotic time-series forecasting.

The Hierarchical Spectral Merger Algorithm: A New Time Series Clustering Procedure

KAUST Repository

Euá n, Carolina; Ombao, Hernando; Ortega, Joaquí n

2018-01-01

We present a new method for time series clustering which we call the Hierarchical Spectral Merger (HSM) method. This procedure is based on the spectral theory of time series and identifies series that share similar oscillations or waveforms

UniFIeD Univariate Frequency-based Imputation for Time Series Data

OpenAIRE

Friese, Martina; Stork, Jörg; Ramos Guerra, Ricardo; Bartz-Beielstein, Thomas; Thaker, Soham; Flasch, Oliver; Zaefferer, Martin

2013-01-01

This paper introduces UniFIeD, a new data preprocessing method for time series. UniFIeD can cope with large intervals of missing data. A scalable test function generator, which allows the simulation of time series with different gap sizes, is presented additionally. An experimental study demonstrates that (i) UniFIeD shows a significant better performance than simple imputation methods and (ii) UniFIeD is able to handle situations, where advanced imputation methods fail. The results are indep...

Stochastic models for time series

CERN Document Server

Doukhan, Paul

2018-01-01

This book presents essential tools for modelling non-linear time series. The first part of the book describes the main standard tools of probability and statistics that directly apply to the time series context to obtain a wide range of modelling possibilities. Functional estimation and bootstrap are discussed, and stationarity is reviewed. The second part describes a number of tools from Gaussian chaos and proposes a tour of linear time series models. It goes on to address nonlinearity from polynomial or chaotic models for which explicit expansions are available, then turns to Markov and non-Markov linear models and discusses Bernoulli shifts time series models. Finally, the volume focuses on the limit theory, starting with the ergodic theorem, which is seen as the first step for statistics of time series. It defines the distributional range to obtain generic tools for limit theory under long or short-range dependences (LRD/SRD) and explains examples of LRD behaviours. More general techniques (central limit ...

Graphical Data Analysis on the Circle: Wrap-Around Time Series Plots for (Interrupted) Time Series Designs.

Science.gov (United States)

Rodgers, Joseph Lee; Beasley, William Howard; Schuelke, Matthew

2014-01-01

Many data structures, particularly time series data, are naturally seasonal, cyclical, or otherwise circular. Past graphical methods for time series have focused on linear plots. In this article, we move graphical analysis onto the circle. We focus on 2 particular methods, one old and one new. Rose diagrams are circular histograms and can be produced in several different forms using the RRose software system. In addition, we propose, develop, illustrate, and provide software support for a new circular graphical method, called Wrap-Around Time Series Plots (WATS Plots), which is a graphical method useful to support time series analyses in general but in particular in relation to interrupted time series designs. We illustrate the use of WATS Plots with an interrupted time series design evaluating the effect of the Oklahoma City bombing on birthrates in Oklahoma County during the 10 years surrounding the bombing of the Murrah Building in Oklahoma City. We compare WATS Plots with linear time series representations and overlay them with smoothing and error bands. Each method is shown to have advantages in relation to the other; in our example, the WATS Plots more clearly show the existence and effect size of the fertility differential.

Autoregressive-model-based missing value estimation for DNA microarray time series data.

Science.gov (United States)

Choong, Miew Keen; Charbit, Maurice; Yan, Hong

2009-01-01

Missing value estimation is important in DNA microarray data analysis. A number of algorithms have been developed to solve this problem, but they have several limitations. Most existing algorithms are not able to deal with the situation where a particular time point (column) of the data is missing entirely. In this paper, we present an autoregressive-model-based missing value estimation method (ARLSimpute) that takes into account the dynamic property of microarray temporal data and the local similarity structures in the data. ARLSimpute is especially effective for the situation where a particular time point contains many missing values or where the entire time point is missing. Experiment results suggest that our proposed algorithm is an accurate missing value estimator in comparison with other imputation methods on simulated as well as real microarray time series datasets.

Time series regression-based pairs trading in the Korean equities market

Science.gov (United States)

Kim, Saejoon; Heo, Jun

2017-07-01

Pairs trading is an instance of statistical arbitrage that relies on heavy quantitative data analysis to profit by capitalising low-risk trading opportunities provided by anomalies of related assets. A key element in pairs trading is the rule by which open and close trading triggers are defined. This paper investigates the use of time series regression to define the rule which has previously been identified with fixed threshold-based approaches. Empirical results indicate that our approach may yield significantly increased excess returns compared to ones obtained by previous approaches on large capitalisation stocks in the Korean equities market.

Time Series with Long Memory

OpenAIRE

西埜, 晴久

2004-01-01

The paper investigates an application of long-memory processes to economic time series. We show properties of long-memory processes, which are motivated to model a long-memory phenomenon in economic time series. An FARIMA model is described as an example of long-memory model in statistical terms. The paper explains basic limit theorems and estimation methods for long-memory processes in order to apply long-memory models to economic time series.

On clustering fMRI time series

DEFF Research Database (Denmark)

Goutte, Cyril; Toft, Peter Aundal; Rostrup, E.

1999-01-01

Analysis of fMRI time series is often performed by extracting one or more parameters for the individual voxels. Methods based, e.g., on various statistical tests are then used to yield parameters corresponding to probability of activation or activation strength. However, these methods do...

Development of indicators of vegetation recovery based on time series analysis of SPOT Vegetation data

Science.gov (United States)

Lhermitte, S.; Tips, M.; Verbesselt, J.; Jonckheere, I.; Van Aardt, J.; Coppin, Pol

2005-10-01

Large-scale wild fires have direct impacts on natural ecosystems and play a major role in the vegetation ecology and carbon budget. Accurate methods for describing post-fire development of vegetation are therefore essential for the understanding and monitoring of terrestrial ecosystems. Time series analysis of satellite imagery offers the potential to quantify these parameters with spatial and temporal accuracy. Current research focuses on the potential of time series analysis of SPOT Vegetation S10 data (1999-2001) to quantify the vegetation recovery of large-scale burns detected in the framework of GBA2000. The objective of this study was to provide quantitative estimates of the spatio-temporal variation of vegetation recovery based on remote sensing indicators. Southern Africa was used as a pilot study area, given the availability of ground and satellite data. An automated technique was developed to extract consistent indicators of vegetation recovery from the SPOT-VGT time series. Reference areas were used to quantify the vegetation regrowth by means of Regeneration Indices (RI). Two kinds of recovery indicators (time and value- based) were tested for RI's of NDVI, SR, SAVI, NDWI, and pure band information. The effects of vegetation structure and temporal fire regime features on the recovery indicators were subsequently analyzed. Statistical analyses were conducted to assess whether the recovery indicators were different for different vegetation types and dependent on timing of the burning season. Results highlighted the importance of appropriate reference areas and the importance of correct normalization of the SPOT-VGT data.

Multi-step-prediction of chaotic time series based on co-evolutionary recurrent neural network

International Nuclear Information System (INIS)

Ma Qianli; Zheng Qilun; Peng Hong; Qin Jiangwei; Zhong Tanwei

2008-01-01

This paper proposes a co-evolutionary recurrent neural network (CERNN) for the multi-step-prediction of chaotic time series, it estimates the proper parameters of phase space reconstruction and optimizes the structure of recurrent neural networks by co-evolutionary strategy. The searching space was separated into two subspaces and the individuals are trained in a parallel computational procedure. It can dynamically combine the embedding method with the capability of recurrent neural network to incorporate past experience due to internal recurrence. The effectiveness of CERNN is evaluated by using three benchmark chaotic time series data sets: the Lorenz series, Mackey-Glass series and real-world sun spot series. The simulation results show that CERNN improves the performances of multi-step-prediction of chaotic time series

Two-fractal overlap time series: Earthquakes and market crashes

Indian Academy of Sciences (India)

velocity over the other and time series of stock prices. An anticipation method for some of the crashes have been proposed here, based on these observations. Keywords. Cantor set; time series; earthquake; market crash. PACS Nos 05.00; 02.50.-r; 64.60; 89.65.Gh; 95.75.Wx. 1. Introduction. Capturing dynamical patterns of ...

Non-linear time series extreme events and integer value problems

CERN Document Server

Turkman, Kamil Feridun; Zea Bermudez, Patrícia

2014-01-01

This book offers a useful combination of probabilistic and statistical tools for analyzing nonlinear time series. Key features of the book include a study of the extremal behavior of nonlinear time series and a comprehensive list of nonlinear models that address different aspects of nonlinearity. Several inferential methods, including quasi likelihood methods, sequential Markov Chain Monte Carlo Methods and particle filters, are also included so as to provide an overall view of the available tools for parameter estimation for nonlinear models. A chapter on integer time series models based on several thinning operations, which brings together all recent advances made in this area, is also included. Readers should have attended a prior course on linear time series, and a good grasp of simulation-based inferential methods is recommended. This book offers a valuable resource for second-year graduate students and researchers in statistics and other scientific areas who need a basic understanding of nonlinear time ...

Non-linear forecasting in high-frequency financial time series

Science.gov (United States)

Strozzi, F.; Zaldívar, J. M.

2005-08-01

A new methodology based on state space reconstruction techniques has been developed for trading in financial markets. The methodology has been tested using 18 high-frequency foreign exchange time series. The results are in apparent contradiction with the efficient market hypothesis which states that no profitable information about future movements can be obtained by studying the past prices series. In our (off-line) analysis positive gain may be obtained in all those series. The trading methodology is quite general and may be adapted to other financial time series. Finally, the steps for its on-line application are discussed.

Burned area detection based on Landsat time series in savannas of southern Burkina Faso

Science.gov (United States)

Liu, Jinxiu; Heiskanen, Janne; Maeda, Eduardo Eiji; Pellikka, Petri K. E.

2018-02-01

West African savannas are subject to regular fires, which have impacts on vegetation structure, biodiversity and carbon balance. An efficient and accurate mapping of burned area associated with seasonal fires can greatly benefit decision making in land management. Since coarse resolution burned area products cannot meet the accuracy needed for fire management and climate modelling at local scales, the medium resolution Landsat data is a promising alternative for local scale studies. In this study, we developed an algorithm for continuous monitoring of annual burned areas using Landsat time series. The algorithm is based on burned pixel detection using harmonic model fitting with Landsat time series and breakpoint identification in the time series data. This approach was tested in a savanna area in southern Burkina Faso using 281 images acquired between October 2000 and April 2016. An overall accuracy of 79.2% was obtained with balanced omission and commission errors. This represents a significant improvement in comparison with MODIS burned area product (67.6%), which had more omission errors than commission errors, indicating underestimation of the total burned area. By observing the spatial distribution of burned areas, we found that the Landsat based method misclassified cropland and cloud shadows as burned areas due to the similar spectral response, and MODIS burned area product omitted small and fragmented burned areas. The proposed algorithm is flexible and robust against decreased data availability caused by clouds and Landsat 7 missing lines, therefore having a high potential for being applied in other landscapes in future studies.

Dynamic Forecasting Conditional Probability of Bombing Attacks Based on Time-Series and Intervention Analysis.

Science.gov (United States)

Li, Shuying; Zhuang, Jun; Shen, Shifei

2017-07-01

In recent years, various types of terrorist attacks occurred, causing worldwide catastrophes. According to the Global Terrorism Database (GTD), among all attack tactics, bombing attacks happened most frequently, followed by armed assaults. In this article, a model for analyzing and forecasting the conditional probability of bombing attacks (CPBAs) based on time-series methods is developed. In addition, intervention analysis is used to analyze the sudden increase in the time-series process. The results show that the CPBA increased dramatically at the end of 2011. During that time, the CPBA increased by 16.0% in a two-month period to reach the peak value, but still stays 9.0% greater than the predicted level after the temporary effect gradually decays. By contrast, no significant fluctuation can be found in the conditional probability process of armed assault. It can be inferred that some social unrest, such as America's troop withdrawal from Afghanistan and Iraq, could have led to the increase of the CPBA in Afghanistan, Iraq, and Pakistan. The integrated time-series and intervention model is used to forecast the monthly CPBA in 2014 and through 2064. The average relative error compared with the real data in 2014 is 3.5%. The model is also applied to the total number of attacks recorded by the GTD between 2004 and 2014. © 2016 Society for Risk Analysis.

Chaotic time series prediction: From one to another

International Nuclear Information System (INIS)

Zhao Pengfei; Xing Lei; Yu Jun

2009-01-01

In this Letter, a new local linear prediction model is proposed to predict a chaotic time series of a component x(t) by using the chaotic time series of another component y(t) in the same system with x(t). Our approach is based on the phase space reconstruction coming from the Takens embedding theorem. To illustrate our results, we present an example of Lorenz system and compare with the performance of the original local linear prediction model.

What marketing scholars should know about time series analysis : time series applications in marketing

NARCIS (Netherlands)

Horváth, Csilla; Kornelis, Marcel; Leeflang, Peter S.H.

2002-01-01

In this review, we give a comprehensive summary of time series techniques in marketing, and discuss a variety of time series analysis (TSA) techniques and models. We classify them in the sets (i) univariate TSA, (ii) multivariate TSA, and (iii) multiple TSA. We provide relevant marketing

Time-varying surrogate data to assess nonlinearity in nonstationary time series: application to heart rate variability.

Science.gov (United States)

Faes, Luca; Zhao, He; Chon, Ki H; Nollo, Giandomenico

2009-03-01

We propose a method to extend to time-varying (TV) systems the procedure for generating typical surrogate time series, in order to test the presence of nonlinear dynamics in potentially nonstationary signals. The method is based on fitting a TV autoregressive (AR) model to the original series and then regressing the model coefficients with random replacements of the model residuals to generate TV AR surrogate series. The proposed surrogate series were used in combination with a TV sample entropy (SE) discriminating statistic to assess nonlinearity in both simulated and experimental time series, in comparison with traditional time-invariant (TIV) surrogates combined with the TIV SE discriminating statistic. Analysis of simulated time series showed that using TIV surrogates, linear nonstationary time series may be erroneously regarded as nonlinear and weak TV nonlinearities may remain unrevealed, while the use of TV AR surrogates markedly increases the probability of a correct interpretation. Application to short (500 beats) heart rate variability (HRV) time series recorded at rest (R), after head-up tilt (T), and during paced breathing (PB) showed: 1) modifications of the SE statistic that were well interpretable with the known cardiovascular physiology; 2) significant contribution of nonlinear dynamics to HRV in all conditions, with significant increase during PB at 0.2 Hz respiration rate; and 3) a disagreement between TV AR surrogates and TIV surrogates in about a quarter of the series, suggesting that nonstationarity may affect HRV recordings and bias the outcome of the traditional surrogate-based nonlinearity test.

Models for dependent time series

CERN Document Server

Tunnicliffe Wilson, Granville; Haywood, John

2015-01-01

Models for Dependent Time Series addresses the issues that arise and the methodology that can be applied when the dependence between time series is described and modeled. Whether you work in the economic, physical, or life sciences, the book shows you how to draw meaningful, applicable, and statistically valid conclusions from multivariate (or vector) time series data.The first four chapters discuss the two main pillars of the subject that have been developed over the last 60 years: vector autoregressive modeling and multivariate spectral analysis. These chapters provide the foundational mater

Data imputation analysis for Cosmic Rays time series

Science.gov (United States)

Fernandes, R. C.; Lucio, P. S.; Fernandez, J. H.

2017-05-01

The occurrence of missing data concerning Galactic Cosmic Rays time series (GCR) is inevitable since loss of data is due to mechanical and human failure or technical problems and different periods of operation of GCR stations. The aim of this study was to perform multiple dataset imputation in order to depict the observational dataset. The study has used the monthly time series of GCR Climax (CLMX) and Roma (ROME) from 1960 to 2004 to simulate scenarios of 10%, 20%, 30%, 40%, 50%, 60%, 70%, 80% and 90% of missing data compared to observed ROME series, with 50 replicates. Then, the CLMX station as a proxy for allocation of these scenarios was used. Three different methods for monthly dataset imputation were selected: AMÉLIA II - runs the bootstrap Expectation Maximization algorithm, MICE - runs an algorithm via Multivariate Imputation by Chained Equations and MTSDI - an Expectation Maximization algorithm-based method for imputation of missing values in multivariate normal time series. The synthetic time series compared with the observed ROME series has also been evaluated using several skill measures as such as RMSE, NRMSE, Agreement Index, R, R2, F-test and t-test. The results showed that for CLMX and ROME, the R2 and R statistics were equal to 0.98 and 0.96, respectively. It was observed that increases in the number of gaps generate loss of quality of the time series. Data imputation was more efficient with MTSDI method, with negligible errors and best skill coefficients. The results suggest a limit of about 60% of missing data for imputation, for monthly averages, no more than this. It is noteworthy that CLMX, ROME and KIEL stations present no missing data in the target period. This methodology allowed reconstructing 43 time series.

Algorithm for Compressing Time-Series Data

Science.gov (United States)

Hawkins, S. Edward, III; Darlington, Edward Hugo

2012-01-01

An algorithm based on Chebyshev polynomials effects lossy compression of time-series data or other one-dimensional data streams (e.g., spectral data) that are arranged in blocks for sequential transmission. The algorithm was developed for use in transmitting data from spacecraft scientific instruments to Earth stations. In spite of its lossy nature, the algorithm preserves the information needed for scientific analysis. The algorithm is computationally simple, yet compresses data streams by factors much greater than two. The algorithm is not restricted to spacecraft or scientific uses: it is applicable to time-series data in general. The algorithm can also be applied to general multidimensional data that have been converted to time-series data, a typical example being image data acquired by raster scanning. However, unlike most prior image-data-compression algorithms, this algorithm neither depends on nor exploits the two-dimensional spatial correlations that are generally present in images. In order to understand the essence of this compression algorithm, it is necessary to understand that the net effect of this algorithm and the associated decompression algorithm is to approximate the original stream of data as a sequence of finite series of Chebyshev polynomials. For the purpose of this algorithm, a block of data or interval of time for which a Chebyshev polynomial series is fitted to the original data is denoted a fitting interval. Chebyshev approximation has two properties that make it particularly effective for compressing serial data streams with minimal loss of scientific information: The errors associated with a Chebyshev approximation are nearly uniformly distributed over the fitting interval (this is known in the art as the "equal error property"); and the maximum deviations of the fitted Chebyshev polynomial from the original data have the smallest possible values (this is known in the art as the "min-max property").

Visual time series analysis

DEFF Research Database (Denmark)

Fischer, Paul; Hilbert, Astrid

2012-01-01

We introduce a platform which supplies an easy-to-handle, interactive, extendable, and fast analysis tool for time series analysis. In contrast to other software suits like Maple, Matlab, or R, which use a command-line-like interface and where the user has to memorize/look-up the appropriate...... commands, our application is select-and-click-driven. It allows to derive many different sequences of deviations for a given time series and to visualize them in different ways in order to judge their expressive power and to reuse the procedure found. For many transformations or model-ts, the user may...... choose between manual and automated parameter selection. The user can dene new transformations and add them to the system. The application contains efficient implementations of advanced and recent techniques for time series analysis including techniques related to extreme value analysis and filtering...

Applied time series analysis and innovative computing

CERN Document Server

Ao, Sio-Iong

2010-01-01

This text is a systematic, state-of-the-art introduction to the use of innovative computing paradigms as an investigative tool for applications in time series analysis. It includes frontier case studies based on recent research.

Time series patterns and language support in DBMS

Science.gov (United States)

Telnarova, Zdenka

2017-07-01

This contribution is focused on pattern type Time Series as a rich in semantics representation of data. Some example of implementation of this pattern type in traditional Data Base Management Systems is briefly presented. There are many approaches how to manipulate with patterns and query patterns. Crucial issue can be seen in systematic approach to pattern management and specific pattern query language which takes into consideration semantics of patterns. Query language SQL-TS for manipulating with patterns is shown on Time Series data.

Parametric, nonparametric and parametric modelling of a chaotic circuit time series

Science.gov (United States)

Timmer, J.; Rust, H.; Horbelt, W.; Voss, H. U.

2000-09-01

The determination of a differential equation underlying a measured time series is a frequently arising task in nonlinear time series analysis. In the validation of a proposed model one often faces the dilemma that it is hard to decide whether possible discrepancies between the time series and model output are caused by an inappropriate model or by bad estimates of parameters in a correct type of model, or both. We propose a combination of parametric modelling based on Bock's multiple shooting algorithm and nonparametric modelling based on optimal transformations as a strategy to test proposed models and if rejected suggest and test new ones. We exemplify this strategy on an experimental time series from a chaotic circuit where we obtain an extremely accurate reconstruction of the observed attractor.

A Review of Subsequence Time Series Clustering

Directory of Open Access Journals (Sweden)

Seyedjamal Zolhavarieh

2014-01-01

Full Text Available Clustering of subsequence time series remains an open issue in time series clustering. Subsequence time series clustering is used in different fields, such as e-commerce, outlier detection, speech recognition, biological systems, DNA recognition, and text mining. One of the useful fields in the domain of subsequence time series clustering is pattern recognition. To improve this field, a sequence of time series data is used. This paper reviews some definitions and backgrounds related to subsequence time series clustering. The categorization of the literature reviews is divided into three groups: preproof, interproof, and postproof period. Moreover, various state-of-the-art approaches in performing subsequence time series clustering are discussed under each of the following categories. The strengths and weaknesses of the employed methods are evaluated as potential issues for future studies.

A review of subsequence time series clustering.

Science.gov (United States)

Zolhavarieh, Seyedjamal; Aghabozorgi, Saeed; Teh, Ying Wah

2014-01-01

Clustering of subsequence time series remains an open issue in time series clustering. Subsequence time series clustering is used in different fields, such as e-commerce, outlier detection, speech recognition, biological systems, DNA recognition, and text mining. One of the useful fields in the domain of subsequence time series clustering is pattern recognition. To improve this field, a sequence of time series data is used. This paper reviews some definitions and backgrounds related to subsequence time series clustering. The categorization of the literature reviews is divided into three groups: preproof, interproof, and postproof period. Moreover, various state-of-the-art approaches in performing subsequence time series clustering are discussed under each of the following categories. The strengths and weaknesses of the employed methods are evaluated as potential issues for future studies.

A Review of Subsequence Time Series Clustering

Science.gov (United States)

Teh, Ying Wah

2014-01-01

Clustering of subsequence time series remains an open issue in time series clustering. Subsequence time series clustering is used in different fields, such as e-commerce, outlier detection, speech recognition, biological systems, DNA recognition, and text mining. One of the useful fields in the domain of subsequence time series clustering is pattern recognition. To improve this field, a sequence of time series data is used. This paper reviews some definitions and backgrounds related to subsequence time series clustering. The categorization of the literature reviews is divided into three groups: preproof, interproof, and postproof period. Moreover, various state-of-the-art approaches in performing subsequence time series clustering are discussed under each of the following categories. The strengths and weaknesses of the employed methods are evaluated as potential issues for future studies. PMID:25140332

A KST framework for correlation network construction from time series signals

Science.gov (United States)

Qi, Jin-Peng; Gu, Quan; Zhu, Ying; Zhang, Ping

2018-04-01

A KST (Kolmogorov-Smirnov test and T statistic) method is used for construction of a correlation network based on the fluctuation of each time series within the multivariate time signals. In this method, each time series is divided equally into multiple segments, and the maximal data fluctuation in each segment is calculated by a KST change detection procedure. Connections between each time series are derived from the data fluctuation matrix, and are used for construction of the fluctuation correlation network (FCN). The method was tested with synthetic simulations and the result was compared with those from using KS or T only for detection of data fluctuation. The novelty of this study is that the correlation analyses was based on the data fluctuation in each segment of each time series rather than on the original time signals, which would be more meaningful for many real world applications and for analysis of large-scale time signals where prior knowledge is uncertain.

An accuracy assessment of realtime GNSS time series toward semi- real time seafloor geodetic observation

Science.gov (United States)

Osada, Y.; Ohta, Y.; Demachi, T.; Kido, M.; Fujimoto, H.; Azuma, R.; Hino, R.

2013-12-01

Large interplate earthquake repeatedly occurred in Japan Trench. Recently, the detail crustal deformation revealed by the nation-wide inland GPS network called as GEONET by GSI. However, the maximum displacement region for interplate earthquake is mainly located offshore region. GPS/Acoustic seafloor geodetic observation (hereafter GPS/A) is quite important and useful for understanding of shallower part of the interplate coupling between subducting and overriding plates. We typically conduct GPS/A in specific ocean area based on repeated campaign style using research vessel or buoy. Therefore, we cannot monitor the temporal variation of seafloor crustal deformation in real time. The one of technical issue on real time observation is kinematic GPS analysis because kinematic GPS analysis based on reference and rover data. If the precise kinematic GPS analysis will be possible in the offshore region, it should be promising method for real time GPS/A with USV (Unmanned Surface Vehicle) and a moored buoy. We assessed stability, precision and accuracy of StarFireTM global satellites based augmentation system. We primarily tested for StarFire in the static condition. In order to assess coordinate precision and accuracy, we compared 1Hz StarFire time series and post-processed precise point positioning (PPP) 1Hz time series by GIPSY-OASIS II processing software Ver. 6.1.2 with three difference product types (ultra-rapid, rapid, and final orbits). We also used difference interval clock information (30 and 300 seconds) for the post-processed PPP processing. The standard deviation of real time StarFire time series is less than 30 mm (horizontal components) and 60 mm (vertical component) based on 1 month continuous processing. We also assessed noise spectrum of the estimated time series by StarFire and post-processed GIPSY PPP results. We found that the noise spectrum of StarFire time series is similar pattern with GIPSY-OASIS II processing result based on JPL rapid orbit

Analysis of Heavy-Tailed Time Series

DEFF Research Database (Denmark)

Xie, Xiaolei

This thesis is about analysis of heavy-tailed time series. We discuss tail properties of real-world equity return series and investigate the possibility that a single tail index is shared by all return series of actively traded equities in a market. Conditions for this hypothesis to be true...... are identified. We study the eigenvalues and eigenvectors of sample covariance and sample auto-covariance matrices of multivariate heavy-tailed time series, and particularly for time series with very high dimensions. Asymptotic approximations of the eigenvalues and eigenvectors of such matrices are found...... and expressed in terms of the parameters of the dependence structure, among others. Furthermore, we study an importance sampling method for estimating rare-event probabilities of multivariate heavy-tailed time series generated by matrix recursion. We show that the proposed algorithm is efficient in the sense...

Quantifying Selection with Pool-Seq Time Series Data.

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Taus, Thomas; Futschik, Andreas; Schlötterer, Christian

2017-11-01

Allele frequency time series data constitute a powerful resource for unraveling mechanisms of adaptation, because the temporal dimension captures important information about evolutionary forces. In particular, Evolve and Resequence (E&R), the whole-genome sequencing of replicated experimentally evolving populations, is becoming increasingly popular. Based on computer simulations several studies proposed experimental parameters to optimize the identification of the selection targets. No such recommendations are available for the underlying parameters selection strength and dominance. Here, we introduce a highly accurate method to estimate selection parameters from replicated time series data, which is fast enough to be applied on a genome scale. Using this new method, we evaluate how experimental parameters can be optimized to obtain the most reliable estimates for selection parameters. We show that the effective population size (Ne) and the number of replicates have the largest impact. Because the number of time points and sequencing coverage had only a minor effect, we suggest that time series analysis is feasible without major increase in sequencing costs. We anticipate that time series analysis will become routine in E&R studies. © The Author 2017. Published by Oxford University Press on behalf of the Society for Molecular Biology and Evolution.

Interpretable Categorization of Heterogeneous Time Series Data

Science.gov (United States)

Lee, Ritchie; Kochenderfer, Mykel J.; Mengshoel, Ole J.; Silbermann, Joshua

2017-01-01

We analyze data from simulated aircraft encounters to validate and inform the development of a prototype aircraft collision avoidance system. The high-dimensional and heterogeneous time series dataset is analyzed to discover properties of near mid-air collisions (NMACs) and categorize the NMAC encounters. Domain experts use these properties to better organize and understand NMAC occurrences. Existing solutions either are not capable of handling high-dimensional and heterogeneous time series datasets or do not provide explanations that are interpretable by a domain expert. The latter is critical to the acceptance and deployment of safety-critical systems. To address this gap, we propose grammar-based decision trees along with a learning algorithm. Our approach extends decision trees with a grammar framework for classifying heterogeneous time series data. A context-free grammar is used to derive decision expressions that are interpretable, application-specific, and support heterogeneous data types. In addition to classification, we show how grammar-based decision trees can also be used for categorization, which is a combination of clustering and generating interpretable explanations for each cluster. We apply grammar-based decision trees to a simulated aircraft encounter dataset and evaluate the performance of four variants of our learning algorithm. The best algorithm is used to analyze and categorize near mid-air collisions in the aircraft encounter dataset. We describe each discovered category in detail and discuss its relevance to aircraft collision avoidance.

Forecasting with nonlinear time series models

DEFF Research Database (Denmark)

Kock, Anders Bredahl; Teräsvirta, Timo

In this paper, nonlinear models are restricted to mean nonlinear parametric models. Several such models popular in time series econo- metrics are presented and some of their properties discussed. This in- cludes two models based on universal approximators: the Kolmogorov- Gabor polynomial model...... applied to economic fore- casting problems, is briefly highlighted. A number of large published studies comparing macroeconomic forecasts obtained using different time series models are discussed, and the paper also contains a small simulation study comparing recursive and direct forecasts in a partic...... and two versions of a simple artificial neural network model. Techniques for generating multi-period forecasts from nonlinear models recursively are considered, and the direct (non-recursive) method for this purpose is mentioned as well. Forecasting with com- plex dynamic systems, albeit less frequently...

Frequency-based time-series gene expression recomposition using PRIISM

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Rosa Bruce A

2012-06-01

Full Text Available Abstract Background Circadian rhythm pathways influence the expression patterns of as much as 31% of the Arabidopsis genome through complicated interaction pathways, and have been found to be significantly disrupted by biotic and abiotic stress treatments, complicating treatment-response gene discovery methods due to clock pattern mismatches in the fold change-based statistics. The PRIISM (Pattern Recomposition for the Isolation of Independent Signals in Microarray data algorithm outlined in this paper is designed to separate pattern changes induced by different forces, including treatment-response pathways and circadian clock rhythm disruptions. Results Using the Fourier transform, high-resolution time-series microarray data is projected to the frequency domain. By identifying the clock frequency range from the core circadian clock genes, we separate the frequency spectrum to different sections containing treatment-frequency (representing up- or down-regulation by an adaptive treatment response, clock-frequency (representing the circadian clock-disruption response and noise-frequency components. Then, we project the components’ spectra back to the expression domain to reconstruct isolated, independent gene expression patterns representing the effects of the different influences. By applying PRIISM on a high-resolution time-series Arabidopsis microarray dataset under a cold treatment, we systematically evaluated our method using maximum fold change and principal component analyses. The results of this study showed that the ranked treatment-frequency fold change results produce fewer false positives than the original methodology, and the 26-hour timepoint in our dataset was the best statistic for distinguishing the most known cold-response genes. In addition, six novel cold-response genes were discovered. PRIISM also provides gene expression data which represents only circadian clock influences, and may be useful for circadian clock studies

Time series with tailored nonlinearities

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Räth, C.; Laut, I.

2015-10-01

It is demonstrated how to generate time series with tailored nonlinearities by inducing well-defined constraints on the Fourier phases. Correlations between the phase information of adjacent phases and (static and dynamic) measures of nonlinearities are established and their origin is explained. By applying a set of simple constraints on the phases of an originally linear and uncorrelated Gaussian time series, the observed scaling behavior of the intensity distribution of empirical time series can be reproduced. The power law character of the intensity distributions being typical for, e.g., turbulence and financial data can thus be explained in terms of phase correlations.

An advection-based model to increase the temporal resolution of PIV time series.

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Scarano, Fulvio; Moore, Peter

A numerical implementation of the advection equation is proposed to increase the temporal resolution of PIV time series. The method is based on the principle that velocity fluctuations are transported passively, similar to Taylor's hypothesis of frozen turbulence . In the present work, the advection model is extended to unsteady three-dimensional flows. The main objective of the method is that of lowering the requirement on the PIV repetition rate from the Eulerian frequency toward the Lagrangian one. The local trajectory of the fluid parcel is obtained by forward projection of the instantaneous velocity at the preceding time instant and backward projection from the subsequent time step. The trajectories are approximated by the instantaneous streamlines, which yields accurate results when the amplitude of velocity fluctuations is small with respect to the convective motion. The verification is performed with two experiments conducted at temporal resolutions significantly higher than that dictated by Nyquist criterion. The flow past the trailing edge of a NACA0012 airfoil closely approximates frozen turbulence , where the largest ratio between the Lagrangian and Eulerian temporal scales is expected. An order of magnitude reduction of the needed acquisition frequency is demonstrated by the velocity spectra of super-sampled series. The application to three-dimensional data is made with time-resolved tomographic PIV measurements of a transitional jet. Here, the 3D advection equation is implemented to estimate the fluid trajectories. The reduction in the minimum sampling rate by the use of super-sampling in this case is less, due to the fact that vortices occurring in the jet shear layer are not well approximated by sole advection at large time separation. Both cases reveal that the current requirements for time-resolved PIV experiments can be revised when information is poured from space to time . An additional favorable effect is observed by the analysis in the

Classification of biosensor time series using dynamic time warping: applications in screening cancer cells with characteristic biomarkers.

Science.gov (United States)

Rai, Shesh N; Trainor, Patrick J; Khosravi, Farhad; Kloecker, Goetz; Panchapakesan, Balaji

2016-01-01

The development of biosensors that produce time series data will facilitate improvements in biomedical diagnostics and in personalized medicine. The time series produced by these devices often contains characteristic features arising from biochemical interactions between the sample and the sensor. To use such characteristic features for determining sample class, similarity-based classifiers can be utilized. However, the construction of such classifiers is complicated by the variability in the time domains of such series that renders the traditional distance metrics such as Euclidean distance ineffective in distinguishing between biological variance and time domain variance. The dynamic time warping (DTW) algorithm is a sequence alignment algorithm that can be used to align two or more series to facilitate quantifying similarity. In this article, we evaluated the performance of DTW distance-based similarity classifiers for classifying time series that mimics electrical signals produced by nanotube biosensors. Simulation studies demonstrated the positive performance of such classifiers in discriminating between time series containing characteristic features that are obscured by noise in the intensity and time domains. We then applied a DTW distance-based k -nearest neighbors classifier to distinguish the presence/absence of mesenchymal biomarker in cancer cells in buffy coats in a blinded test. Using a train-test approach, we find that the classifier had high sensitivity (90.9%) and specificity (81.8%) in differentiating between EpCAM-positive MCF7 cells spiked in buffy coats and those in plain buffy coats.

A novel model for Time-Series Data Clustering Based on piecewise SVD and BIRCH for Stock Data Analysis on Hadoop Platform

Directory of Open Access Journals (Sweden)

Ibgtc Bowala

2017-06-01

Full Text Available With the rapid growth of financial markets, analyzers are paying more attention on predictions. Stock data are time series data, with huge amounts. Feasible solution for handling the increasing amount of data is to use a cluster for parallel processing, and Hadoop parallel computing platform is a typical representative. There are various statistical models for forecasting time series data, but accurate clusters are a pre-requirement. Clustering analysis for time series data is one of the main methods for mining time series data for many other analysis processes. However, general clustering algorithms cannot perform clustering for time series data because series data has a special structure and a high dimensionality has highly co-related values due to high noise level. A novel model for time series clustering is presented using BIRCH, based on piecewise SVD, leading to a novel dimension reduction approach. Highly co-related features are handled using SVD with a novel approach for dimensionality reduction in order to keep co-related behavior optimal and then use BIRCH for clustering. The algorithm is a novel model that can handle massive time series data. Finally, this new model is successfully applied to real stock time series data of Yahoo finance with satisfactory results.

Small Sample Properties of Bayesian Multivariate Autoregressive Time Series Models

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Price, Larry R.

2012-01-01

The aim of this study was to compare the small sample (N = 1, 3, 5, 10, 15) performance of a Bayesian multivariate vector autoregressive (BVAR-SEM) time series model relative to frequentist power and parameter estimation bias. A multivariate autoregressive model was developed based on correlated autoregressive time series vectors of varying…

A Time-Series Water Level Forecasting Model Based on Imputation and Variable Selection Method.

Science.gov (United States)

Yang, Jun-He; Cheng, Ching-Hsue; Chan, Chia-Pan

2017-01-01

Reservoirs are important for households and impact the national economy. This paper proposed a time-series forecasting model based on estimating a missing value followed by variable selection to forecast the reservoir's water level. This study collected data from the Taiwan Shimen Reservoir as well as daily atmospheric data from 2008 to 2015. The two datasets are concatenated into an integrated dataset based on ordering of the data as a research dataset. The proposed time-series forecasting model summarily has three foci. First, this study uses five imputation methods to directly delete the missing value. Second, we identified the key variable via factor analysis and then deleted the unimportant variables sequentially via the variable selection method. Finally, the proposed model uses a Random Forest to build the forecasting model of the reservoir's water level. This was done to compare with the listing method under the forecasting error. These experimental results indicate that the Random Forest forecasting model when applied to variable selection with full variables has better forecasting performance than the listing model. In addition, this experiment shows that the proposed variable selection can help determine five forecast methods used here to improve the forecasting capability.

On-line diagnostic techniques for air-operated control valves based on time series analysis

International Nuclear Information System (INIS)

Ito, Kenji; Matsuoka, Yoshinori; Minamikawa, Shigeru; Komatsu, Yasuki; Satoh, Takeshi.

1996-01-01

The objective of this research is to study the feasibility of applying on-line diagnostic techniques based on time series analysis to air-operated control valves - numerous valves of the type which are used in PWR plants. Generally the techniques can detect anomalies by failures in the initial stages for which detection is difficult by conventional surveillance of process parameters measured directly. However, the effectiveness of these techniques depends on the system being diagnosed. The difficulties in applying diagnostic techniques to air-operated control valves seem to come from the reduced sensitivity of their response as compared with hydraulic control systems, as well as the need to identify anomalies in low level signals that fluctuate only slightly but continuously. In this research, simulation tests were performed by setting various kinds of failure modes for a test valve with the same specifications as of a valve actually used in the plants. Actual control signals recorded from an operating plant were then used as input signals for simulation. The results of the tests confirmed the feasibility of applying on-line diagnostic techniques based on time series analysis to air-operated control valves. (author)

Stochastic generation of hourly wind speed time series

International Nuclear Information System (INIS)

Shamshad, A.; Wan Mohd Ali Wan Hussin; Bawadi, M.A.; Mohd Sanusi, S.A.

2006-01-01

In the present study hourly wind speed data of Kuala Terengganu in Peninsular Malaysia are simulated by using transition matrix approach of Markovian process. The wind speed time series is divided into various states based on certain criteria. The next wind speed states are selected based on the previous states. The cumulative probability transition matrix has been formed in which each row ends with 1. Using the uniform random numbers between 0 and 1, a series of future states is generated. These states have been converted to the corresponding wind speed values using another uniform random number generator. The accuracy of the model has been determined by comparing the statistical characteristics such as average, standard deviation, root mean square error, probability density function and autocorrelation function of the generated data to those of the original data. The generated wind speed time series data is capable to preserve the wind speed characteristics of the observed data

Rainfall Prediction of Indian Peninsula: Comparison of Time Series Based Approach and Predictor Based Approach using Machine Learning Techniques

Science.gov (United States)

Dash, Y.; Mishra, S. K.; Panigrahi, B. K.

2017-12-01

Prediction of northeast/post monsoon rainfall which occur during October, November and December (OND) over Indian peninsula is a challenging task due to the dynamic nature of uncertain chaotic climate. It is imperative to elucidate this issue by examining performance of different machine leaning (ML) approaches. The prime objective of this research is to compare between a) statistical prediction using historical rainfall observations and global atmosphere-ocean predictors like Sea Surface Temperature (SST) and Sea Level Pressure (SLP) and b) empirical prediction based on a time series analysis of past rainfall data without using any other predictors. Initially, ML techniques have been applied on SST and SLP data (1948-2014) obtained from NCEP/NCAR reanalysis monthly mean provided by the NOAA ESRL PSD. Later, this study investigated the applicability of ML methods using OND rainfall time series for 1948-2014 and forecasted up to 2018. The predicted values of aforementioned methods were verified using observed time series data collected from Indian Institute of Tropical Meteorology and the result revealed good performance of ML algorithms with minimal error scores. Thus, it is found that both statistical and empirical methods are useful for long range climatic projections.

Nonlinear Time Series Analysis via Neural Networks

Science.gov (United States)

Volná, Eva; Janošek, Michal; Kocian, Václav; Kotyrba, Martin

This article deals with a time series analysis based on neural networks in order to make an effective forex market [Moore and Roche, J. Int. Econ. 58, 387-411 (2002)] pattern recognition. Our goal is to find and recognize important patterns which repeatedly appear in the market history to adapt our trading system behaviour based on them.

Downsizer - A Graphical User Interface-Based Application for Browsing, Acquiring, and Formatting Time-Series Data for Hydrologic Modeling

Science.gov (United States)

Ward-Garrison, Christian; Markstrom, Steven L.; Hay, Lauren E.

2009-01-01

The U.S. Geological Survey Downsizer is a computer application that selects, downloads, verifies, and formats station-based time-series data for environmental-resource models, particularly the Precipitation-Runoff Modeling System. Downsizer implements the client-server software architecture. The client presents a map-based, graphical user interface that is intuitive to modelers; the server provides streamflow and climate time-series data from over 40,000 measurement stations across the United States. This report is the Downsizer user's manual and provides (1) an overview of the software design, (2) installation instructions, (3) a description of the graphical user interface, (4) a description of selected output files, and (5) troubleshooting information.

Track Irregularity Time Series Analysis and Trend Forecasting

Directory of Open Access Journals (Sweden)

Jia Chaolong

2012-01-01

Full Text Available The combination of linear and nonlinear methods is widely used in the prediction of time series data. This paper analyzes track irregularity time series data by using gray incidence degree models and methods of data transformation, trying to find the connotative relationship between the time series data. In this paper, GM (1,1 is based on first-order, single variable linear differential equations; after an adaptive improvement and error correction, it is used to predict the long-term changing trend of track irregularity at a fixed measuring point; the stochastic linear AR, Kalman filtering model, and artificial neural network model are applied to predict the short-term changing trend of track irregularity at unit section. Both long-term and short-term changes prove that the model is effective and can achieve the expected accuracy.

Wet tropospheric delays forecast based on Vienna Mapping Function time series analysis

Science.gov (United States)

Rzepecka, Zofia; Kalita, Jakub

2016-04-01

It is well known that the dry part of the zenith tropospheric delay (ZTD) is much easier to model than the wet part (ZTW). The aim of the research is applying stochastic modeling and prediction of ZTW using time series analysis tools. Application of time series analysis enables closer understanding of ZTW behavior as well as short-term prediction of future ZTW values. The ZTW data used for the studies were obtained from the GGOS service hold by Vienna technical University. The resolution of the data is six hours. ZTW for the years 2010 -2013 were adopted for the study. The International GNSS Service (IGS) permanent stations LAMA and GOPE, located in mid-latitudes, were admitted for the investigations. Initially the seasonal part was separated and modeled using periodic signals and frequency analysis. The prominent annual and semi-annual signals were removed using sines and consines functions. The autocorrelation of the resulting signal is significant for several days (20-30 samples). The residuals of this fitting were further analyzed and modeled with ARIMA processes. For both the stations optimal ARMA processes based on several criterions were obtained. On this basis predicted ZTW values were computed for one day ahead, leaving the white process residuals. Accuracy of the prediction can be estimated at about 3 cm.

Modelling road accidents: An approach using structural time series

Science.gov (United States)

Junus, Noor Wahida Md; Ismail, Mohd Tahir

2014-09-01

In this paper, the trend of road accidents in Malaysia for the years 2001 until 2012 was modelled using a structural time series approach. The structural time series model was identified using a stepwise method, and the residuals for each model were tested. The best-fitted model was chosen based on the smallest Akaike Information Criterion (AIC) and prediction error variance. In order to check the quality of the model, a data validation procedure was performed by predicting the monthly number of road accidents for the year 2012. Results indicate that the best specification of the structural time series model to represent road accidents is the local level with a seasonal model.

Koopman Operator Framework for Time Series Modeling and Analysis

Science.gov (United States)

Surana, Amit

2018-01-01

We propose an interdisciplinary framework for time series classification, forecasting, and anomaly detection by combining concepts from Koopman operator theory, machine learning, and linear systems and control theory. At the core of this framework is nonlinear dynamic generative modeling of time series using the Koopman operator which is an infinite-dimensional but linear operator. Rather than working with the underlying nonlinear model, we propose two simpler linear representations or model forms based on Koopman spectral properties. We show that these model forms are invariants of the generative model and can be readily identified directly from data using techniques for computing Koopman spectral properties without requiring the explicit knowledge of the generative model. We also introduce different notions of distances on the space of such model forms which is essential for model comparison/clustering. We employ the space of Koopman model forms equipped with distance in conjunction with classical machine learning techniques to develop a framework for automatic feature generation for time series classification. The forecasting/anomaly detection framework is based on using Koopman model forms along with classical linear systems and control approaches. We demonstrate the proposed framework for human activity classification, and for time series forecasting/anomaly detection in power grid application.

Analysis of JET ELMy time series

International Nuclear Information System (INIS)

Zvejnieks, G.; Kuzovkov, V.N.

2005-01-01

Full text: Achievement of the planned operational regime in the next generation tokamaks (such as ITER) still faces principal problems. One of the main challenges is obtaining the control of edge localized modes (ELMs), which should lead to both long plasma pulse times and reasonable divertor life time. In order to control ELMs the hypothesis was proposed by Degeling [1] that ELMs exhibit features of chaotic dynamics and thus a standard chaos control methods might be applicable. However, our findings which are based on the nonlinear autoregressive (NAR) model contradict this hypothesis for JET ELMy time-series. In turn, it means that ELM behavior is of a relaxation or random type. These conclusions coincide with our previous results obtained for ASDEX Upgrade time series [2]. [1] A.W. Degeling, Y.R. Martin, P.E. Bak, J. B.Lister, and X. Llobet, Plasma Phys. Control. Fusion 43, 1671 (2001). [2] G. Zvejnieks, V.N. Kuzovkov, O. Dumbrajs, A.W. Degeling, W. Suttrop, H. Urano, and H. Zohm, Physics of Plasmas 11, 5658 (2004)

Data Mining Smart Energy Time Series

Directory of Open Access Journals (Sweden)

Janina POPEANGA

2015-07-01

Full Text Available With the advent of smart metering technology the amount of energy data will increase significantly and utilities industry will have to face another big challenge - to find relationships within time-series data and even more - to analyze such huge numbers of time series to find useful patterns and trends with fast or even real-time response. This study makes a small review of the literature in the field, trying to demonstrate how essential is the application of data mining techniques in the time series to make the best use of this large quantity of data, despite all the difficulties. Also, the most important Time Series Data Mining techniques are presented, highlighting their applicability in the energy domain.

Application of Time Series Analysis in Determination of Lag Time in Jahanbin Basin

Directory of Open Access Journals (Sweden)

Seied Yahya Mirzaee

2005-11-01

    One of the important issues that have significant role in study of hydrology of basin is determination of lag time. Lag time has significant role in hydrological studies. Quantity of rainfall related lag time depends on several factors, such as permeability, vegetation cover, catchments slope, rainfall intensity, storm duration and type of rain. Determination of lag time is important parameter in many projects such as dam design and also water resource studies. Lag time of basin could be calculated using various methods. One of these methods is time series analysis of spectral density. The analysis is based on fouries series. The time series is approximated with Sinuous and Cosines functions. In this method harmonically significant quantities with individual frequencies are presented. Spectral density under multiple time series could be used to obtain basin lag time for annual runoff and short-term rainfall fluctuation. A long lag time could be due to snowmelt as well as melting ice due to rainfalls in freezing days. In this research the lag time of Jahanbin basin has been determined using spectral density method. The catchments is subjected to both rainfall and snowfall. For short term rainfall fluctuation with a return period  2, 3, 4 months, the lag times were found 0.18, 0.5 and 0.083 month, respectively.

Long Range Dependence Prognostics for Bearing Vibration Intensity Chaotic Time Series

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Qing Li

2016-01-01

Full Text Available According to the chaotic features and typical fractional order characteristics of the bearing vibration intensity time series, a forecasting approach based on long range dependence (LRD is proposed. In order to reveal the internal chaotic properties, vibration intensity time series are reconstructed based on chaos theory in phase-space, the delay time is computed with C-C method and the optimal embedding dimension and saturated correlation dimension are calculated via the Grassberger–Procaccia (G-P method, respectively, so that the chaotic characteristics of vibration intensity time series can be jointly determined by the largest Lyapunov exponent and phase plane trajectory of vibration intensity time series, meanwhile, the largest Lyapunov exponent is calculated by the Wolf method and phase plane trajectory is illustrated using Duffing-Holmes Oscillator (DHO. The Hurst exponent and long range dependence prediction method are proposed to verify the typical fractional order features and improve the prediction accuracy of bearing vibration intensity time series, respectively. Experience shows that the vibration intensity time series have chaotic properties and the LRD prediction method is better than the other prediction methods (largest Lyapunov, auto regressive moving average (ARMA and BP neural network (BPNN model in prediction accuracy and prediction performance, which provides a new approach for running tendency predictions for rotating machinery and provide some guidance value to the engineering practice.

Transformation-cost time-series method for analyzing irregularly sampled data.

Science.gov (United States)

Ozken, Ibrahim; Eroglu, Deniz; Stemler, Thomas; Marwan, Norbert; Bagci, G Baris; Kurths, Jürgen

2015-06-01

Irregular sampling of data sets is one of the challenges often encountered in time-series analysis, since traditional methods cannot be applied and the frequently used interpolation approach can corrupt the data and bias the subsequence analysis. Here we present the TrAnsformation-Cost Time-Series (TACTS) method, which allows us to analyze irregularly sampled data sets without degenerating the quality of the data set. Instead of using interpolation we consider time-series segments and determine how close they are to each other by determining the cost needed to transform one segment into the following one. Using a limited set of operations-with associated costs-to transform the time series segments, we determine a new time series, that is our transformation-cost time series. This cost time series is regularly sampled and can be analyzed using standard methods. While our main interest is the analysis of paleoclimate data, we develop our method using numerical examples like the logistic map and the Rössler oscillator. The numerical data allows us to test the stability of our method against noise and for different irregular samplings. In addition we provide guidance on how to choose the associated costs based on the time series at hand. The usefulness of the TACTS method is demonstrated using speleothem data from the Secret Cave in Borneo that is a good proxy for paleoclimatic variability in the monsoon activity around the maritime continent.

Transformation-cost time-series method for analyzing irregularly sampled data

Science.gov (United States)

Ozken, Ibrahim; Eroglu, Deniz; Stemler, Thomas; Marwan, Norbert; Bagci, G. Baris; Kurths, Jürgen

2015-06-01

Irregular sampling of data sets is one of the challenges often encountered in time-series analysis, since traditional methods cannot be applied and the frequently used interpolation approach can corrupt the data and bias the subsequence analysis. Here we present the TrAnsformation-Cost Time-Series (TACTS) method, which allows us to analyze irregularly sampled data sets without degenerating the quality of the data set. Instead of using interpolation we consider time-series segments and determine how close they are to each other by determining the cost needed to transform one segment into the following one. Using a limited set of operations—with associated costs—to transform the time series segments, we determine a new time series, that is our transformation-cost time series. This cost time series is regularly sampled and can be analyzed using standard methods. While our main interest is the analysis of paleoclimate data, we develop our method using numerical examples like the logistic map and the Rössler oscillator. The numerical data allows us to test the stability of our method against noise and for different irregular samplings. In addition we provide guidance on how to choose the associated costs based on the time series at hand. The usefulness of the TACTS method is demonstrated using speleothem data from the Secret Cave in Borneo that is a good proxy for paleoclimatic variability in the monsoon activity around the maritime continent.

Identification of pests and diseases of Dalbergia hainanensis based on EVI time series and classification of decision tree

Science.gov (United States)

Luo, Qiu; Xin, Wu; Qiming, Xiong

2017-06-01

In the process of vegetation remote sensing information extraction, the problem of phenological features and low performance of remote sensing analysis algorithm is not considered. To solve this problem, the method of remote sensing vegetation information based on EVI time-series and the classification of decision-tree of multi-source branch similarity is promoted. Firstly, to improve the time-series stability of recognition accuracy, the seasonal feature of vegetation is extracted based on the fitting span range of time-series. Secondly, the decision-tree similarity is distinguished by adaptive selection path or probability parameter of component prediction. As an index, it is to evaluate the degree of task association, decide whether to perform migration of multi-source decision tree, and ensure the speed of migration. Finally, the accuracy of classification and recognition of pests and diseases can reach 87%--98% of commercial forest in Dalbergia hainanensis, which is significantly better than that of MODIS coverage accuracy of 80%--96% in this area. Therefore, the validity of the proposed method can be verified.

Clustering Multivariate Time Series Using Hidden Markov Models

Directory of Open Access Journals (Sweden)

Shima Ghassempour

2014-03-01

Full Text Available In this paper we describe an algorithm for clustering multivariate time series with variables taking both categorical and continuous values. Time series of this type are frequent in health care, where they represent the health trajectories of individuals. The problem is challenging because categorical variables make it difficult to define a meaningful distance between trajectories. We propose an approach based on Hidden Markov Models (HMMs, where we first map each trajectory into an HMM, then define a suitable distance between HMMs and finally proceed to cluster the HMMs with a method based on a distance matrix. We test our approach on a simulated, but realistic, data set of 1,255 trajectories of individuals of age 45 and over, on a synthetic validation set with known clustering structure, and on a smaller set of 268 trajectories extracted from the longitudinal Health and Retirement Survey. The proposed method can be implemented quite simply using standard packages in R and Matlab and may be a good candidate for solving the difficult problem of clustering multivariate time series with categorical variables using tools that do not require advanced statistic knowledge, and therefore are accessible to a wide range of researchers.

Measuring multiscaling in financial time-series

International Nuclear Information System (INIS)

Buonocore, R.J.; Aste, T.; Di Matteo, T.

2016-01-01

We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analyzing the multi/uni-scaling behavior of synthetic time-series with known properties. We use the results from the synthetic time-series to interpret the measure of multifractality of real log-returns time-series. The main finding is that the aggregation horizon of the returns can introduce a strong bias effect on the measure of multifractality. This effect can become especially important when returns distributions have power law tails with exponents in the range (2, 5). We discuss the right aggregation horizon to mitigate this bias.

A non linear analysis of human gait time series based on multifractal analysis and cross correlations

International Nuclear Information System (INIS)

Munoz-Diosdado, A

2005-01-01

We analyzed databases with gait time series of adults and persons with Parkinson, Huntington and amyotrophic lateral sclerosis (ALS) diseases. We obtained the staircase graphs of accumulated events that can be bounded by a straight line whose slope can be used to distinguish between gait time series from healthy and ill persons. The global Hurst exponent of these series do not show tendencies, we intend that this is because some gait time series have monofractal behavior and others have multifractal behavior so they cannot be characterized with a single Hurst exponent. We calculated the multifractal spectra, obtained the spectra width and found that the spectra of the healthy young persons are almost monofractal. The spectra of ill persons are wider than the spectra of healthy persons. In opposition to the interbeat time series where the pathology implies loss of multifractality, in the gait time series the multifractal behavior emerges with the pathology. Data were collected from healthy and ill subjects as they walked in a roughly circular path and they have sensors in both feet, so we have one time series for the left foot and other for the right foot. First, we analyzed these time series separately, and then we compared both results, with direct comparison and with a cross correlation analysis. We tried to find differences in both time series that can be used as indicators of equilibrium problems

A non linear analysis of human gait time series based on multifractal analysis and cross correlations

Energy Technology Data Exchange (ETDEWEB)

Munoz-Diosdado, A [Department of Mathematics, Unidad Profesional Interdisciplinaria de Biotecnologia, Instituto Politecnico Nacional, Av. Acueducto s/n, 07340, Mexico City (Mexico)

2005-01-01

We analyzed databases with gait time series of adults and persons with Parkinson, Huntington and amyotrophic lateral sclerosis (ALS) diseases. We obtained the staircase graphs of accumulated events that can be bounded by a straight line whose slope can be used to distinguish between gait time series from healthy and ill persons. The global Hurst exponent of these series do not show tendencies, we intend that this is because some gait time series have monofractal behavior and others have multifractal behavior so they cannot be characterized with a single Hurst exponent. We calculated the multifractal spectra, obtained the spectra width and found that the spectra of the healthy young persons are almost monofractal. The spectra of ill persons are wider than the spectra of healthy persons. In opposition to the interbeat time series where the pathology implies loss of multifractality, in the gait time series the multifractal behavior emerges with the pathology. Data were collected from healthy and ill subjects as they walked in a roughly circular path and they have sensors in both feet, so we have one time series for the left foot and other for the right foot. First, we analyzed these time series separately, and then we compared both results, with direct comparison and with a cross correlation analysis. We tried to find differences in both time series that can be used as indicators of equilibrium problems.

Applied time series analysis

CERN Document Server

Woodward, Wayne A; Elliott, Alan C

2011-01-01

""There is scarcely a standard technique that the reader will find left out … this book is highly recommended for those requiring a ready introduction to applicable methods in time series and serves as a useful resource for pedagogical purposes.""-International Statistical Review (2014), 82""Current time series theory for practice is well summarized in this book.""-Emmanuel Parzen, Texas A&M University""What an extraordinary range of topics covered, all very insightfully. I like [the authors'] innovations very much, such as the AR factor table.""-David Findley, U.S. Census Bureau (retired)""…

Entropic Analysis of Electromyography Time Series

Science.gov (United States)

Kaufman, Miron; Sung, Paul

2005-03-01

We are in the process of assessing the effectiveness of fractal and entropic measures for the diagnostic of low back pain from surface electromyography (EMG) time series. Surface electromyography (EMG) is used to assess patients with low back pain. In a typical EMG measurement, the voltage is measured every millisecond. We observed back muscle fatiguing during one minute, which results in a time series with 60,000 entries. We characterize the complexity of time series by computing the Shannon entropy time dependence. The analysis of the time series from different relevant muscles from healthy and low back pain (LBP) individuals provides evidence that the level of variability of back muscle activities is much larger for healthy individuals than for individuals with LBP. In general the time dependence of the entropy shows a crossover from a diffusive regime to a regime characterized by long time correlations (self organization) at about 0.01s.

The Exponential Model for the Spectrum of a Time Series: Extensions and Applications

DEFF Research Database (Denmark)

Proietti, Tommaso; Luati, Alessandra

The exponential model for the spectrum of a time series and its fractional extensions are based on the Fourier series expansion of the logarithm of the spectral density. The coefficients of the expansion form the cepstrum of the time series. After deriving the cepstrum of important classes of time...

Recurrence and symmetry of time series: Application to transition detection

International Nuclear Information System (INIS)

Girault, Jean-Marc

2015-01-01

Highlights: •A new theoretical framework based on the symmetry concept is proposed. •Four types of symmetry present in any time series were analyzed. •New descriptors make possible the analysis of regime changes in logistic systems. •Chaos–chaos, chaos–periodic, symmetry-breaking, symmetry-increasing bifurcations can be detected. -- Abstract: The study of transitions in low dimensional, nonlinear dynamical systems is a complex problem for which there is not yet a simple, global numerical method able to detect chaos–chaos, chaos–periodic bifurcations and symmetry-breaking, symmetry-increasing bifurcations. We present here for the first time a general framework focusing on the symmetry concept of time series that at the same time reveals new kinds of recurrence. We propose several numerical tools based on the symmetry concept allowing both the qualification and quantification of different kinds of possible symmetry. By using several examples based on periodic symmetrical time series and on logistic and cubic maps, we show that it is possible with simple numerical tools to detect a large number of bifurcations of chaos–chaos, chaos–periodic, broken symmetry and increased symmetry types

Fractal analysis and nonlinear forecasting of indoor 222Rn time series

International Nuclear Information System (INIS)

Pausch, G.; Bossew, P.; Hofmann, W.; Steger, F.

1998-01-01

Fractal analyses of indoor 222 Rn time series were performed using different chaos theory based measurements such as time delay method, Hurst's rescaled range analysis, capacity (fractal) dimension, and Lyapunov exponent. For all time series we calculated only positive Lyapunov exponents which is a hint to chaos, while the Hurst exponents were well below 0.5, indicating antipersistent behaviour (past trends tend to reverse in the future). These time series were also analyzed with a nonlinear prediction method which allowed an estimation of the embedding dimensions with some restrictions, limiting the prediction to about three relative time steps. (orig.)

Testing for intracycle determinism in pseudoperiodic time series.

Science.gov (United States)

Coelho, Mara C S; Mendes, Eduardo M A M; Aguirre, Luis A

2008-06-01

A determinism test is proposed based on the well-known method of the surrogate data. Assuming predictability to be a signature of determinism, the proposed method checks for intracycle (e.g., short-term) determinism in the pseudoperiodic time series for which standard methods of surrogate analysis do not apply. The approach presented is composed of two steps. First, the data are preprocessed to reduce the effects of seasonal and trend components. Second, standard tests of surrogate analysis can then be used. The determinism test is applied to simulated and experimental pseudoperiodic time series and the results show the applicability of the proposed test.

A multidisciplinary database for geophysical time series management

Science.gov (United States)

Montalto, P.; Aliotta, M.; Cassisi, C.; Prestifilippo, M.; Cannata, A.

2013-12-01

The variables collected by a sensor network constitute a heterogeneous data source that needs to be properly organized in order to be used in research and geophysical monitoring. With the time series term we refer to a set of observations of a given phenomenon acquired sequentially in time. When the time intervals are equally spaced one speaks of period or sampling frequency. Our work describes in detail a possible methodology for storage and management of time series using a specific data structure. We designed a framework, hereinafter called TSDSystem (Time Series Database System), in order to acquire time series from different data sources and standardize them within a relational database. The operation of standardization provides the ability to perform operations, such as query and visualization, of many measures synchronizing them using a common time scale. The proposed architecture follows a multiple layer paradigm (Loaders layer, Database layer and Business Logic layer). Each layer is specialized in performing particular operations for the reorganization and archiving of data from different sources such as ASCII, Excel, ODBC (Open DataBase Connectivity), file accessible from the Internet (web pages, XML). In particular, the loader layer performs a security check of the working status of each running software through an heartbeat system, in order to automate the discovery of acquisition issues and other warning conditions. Although our system has to manage huge amounts of data, performance is guaranteed by using a smart partitioning table strategy, that keeps balanced the percentage of data stored in each database table. TSDSystem also contains modules for the visualization of acquired data, that provide the possibility to query different time series on a specified time range, or follow the realtime signal acquisition, according to a data access policy from the users.

The Hierarchical Spectral Merger Algorithm: A New Time Series Clustering Procedure

KAUST Repository

Euán, Carolina

2018-04-12

We present a new method for time series clustering which we call the Hierarchical Spectral Merger (HSM) method. This procedure is based on the spectral theory of time series and identifies series that share similar oscillations or waveforms. The extent of similarity between a pair of time series is measured using the total variation distance between their estimated spectral densities. At each step of the algorithm, every time two clusters merge, a new spectral density is estimated using the whole information present in both clusters, which is representative of all the series in the new cluster. The method is implemented in an R package HSMClust. We present two applications of the HSM method, one to data coming from wave-height measurements in oceanography and the other to electroencefalogram (EEG) data.

A Time-Series Water Level Forecasting Model Based on Imputation and Variable Selection Method

Directory of Open Access Journals (Sweden)

Jun-He Yang

2017-01-01

Full Text Available Reservoirs are important for households and impact the national economy. This paper proposed a time-series forecasting model based on estimating a missing value followed by variable selection to forecast the reservoir’s water level. This study collected data from the Taiwan Shimen Reservoir as well as daily atmospheric data from 2008 to 2015. The two datasets are concatenated into an integrated dataset based on ordering of the data as a research dataset. The proposed time-series forecasting model summarily has three foci. First, this study uses five imputation methods to directly delete the missing value. Second, we identified the key variable via factor analysis and then deleted the unimportant variables sequentially via the variable selection method. Finally, the proposed model uses a Random Forest to build the forecasting model of the reservoir’s water level. This was done to compare with the listing method under the forecasting error. These experimental results indicate that the Random Forest forecasting model when applied to variable selection with full variables has better forecasting performance than the listing model. In addition, this experiment shows that the proposed variable selection can help determine five forecast methods used here to improve the forecasting capability.

Effective Feature Preprocessing for Time Series Forecasting

DEFF Research Database (Denmark)

Zhao, Junhua; Dong, Zhaoyang; Xu, Zhao

2006-01-01

Time series forecasting is an important area in data mining research. Feature preprocessing techniques have significant influence on forecasting accuracy, therefore are essential in a forecasting model. Although several feature preprocessing techniques have been applied in time series forecasting...... performance in time series forecasting. It is demonstrated in our experiment that, effective feature preprocessing can significantly enhance forecasting accuracy. This research can be a useful guidance for researchers on effectively selecting feature preprocessing techniques and integrating them with time...... series forecasting models....

Measuring time series regularity using nonlinear similarity-based sample entropy

International Nuclear Information System (INIS)

Xie Hongbo; He Weixing; Liu Hui

2008-01-01

Sampe Entropy (SampEn), a measure quantifying regularity and complexity, is believed to be an effective analyzing method of diverse settings that include both deterministic chaotic and stochastic processes, particularly operative in the analysis of physiological signals that involve relatively small amount of data. However, the similarity definition of vectors is based on Heaviside function, of which the boundary is discontinuous and hard, may cause some problems in the validity and accuracy of SampEn. Sigmoid function is a smoothed and continuous version of Heaviside function. To overcome the problems SampEn encountered, a modified SampEn (mSampEn) based on nonlinear Sigmoid function was proposed. The performance of mSampEn was tested on the independent identically distributed (i.i.d.) uniform random numbers, the MIX stochastic model, the Rossler map, and the Hennon map. The results showed that mSampEn was superior to SampEn in several aspects, including giving entropy definition in case of small parameters, better relative consistency, robust to noise, and more independence on record length when characterizing time series generated from either deterministic or stochastic system with different regularities

Advanced data extraction infrastructure: Web based system for management of time series data

Energy Technology Data Exchange (ETDEWEB)

Chilingaryan, S; Beglarian, A [Forschungszentrum Karlsruhe, Hermann-von-Helmholtz-Platz 1, 76344 Eggenstein-Leopoldshafen (Germany); Kopmann, A; Voecking, S, E-mail: Suren.Chilingaryan@kit.ed [University of Muenster, Institut fuer Kernphysik, Wilhelm-Klemm-Strasse 9, 48149 Mnster (Germany)

2010-04-01

During operation of high energy physics experiments a big amount of slow control data is recorded. It is necessary to examine all collected data checking the integrity and validity of measurements. With growing maturity of AJAX technologies it becomes possible to construct sophisticated interfaces using web technologies only. Our solution for handling time series, generally slow control data, has a modular architecture: backend system for data analysis and preparation, a web service interface for data access and a fast AJAX web display. In order to provide fast interactive access the time series are aggregated over time slices of few predefined lengths. The aggregated values are stored in the temporary caching database and, then, are used to create generalizing data plots. These plots may include indication of data quality and are generated within few hundreds of milliseconds even if very high data rates are involved. The extensible export subsystem provides data in multiple formats including CSV, Excel, ROOT, and TDMS. The search engine can be used to find periods of time where indications of selected sensors are falling into the specified ranges. Utilization of the caching database allows performing most of such lookups within a second. Based on this functionality a web interface facilitating fast (Google-maps style) navigation through the data has been implemented. The solution is at the moment used by several slow control systems at Test Facility for Fusion Magnets (TOSKA) and Karlsruhe Tritium Neutrino (KATRIN).

Advanced data extraction infrastructure: Web based system for management of time series data

International Nuclear Information System (INIS)

Chilingaryan, S; Beglarian, A; Kopmann, A; Voecking, S

2010-01-01

During operation of high energy physics experiments a big amount of slow control data is recorded. It is necessary to examine all collected data checking the integrity and validity of measurements. With growing maturity of AJAX technologies it becomes possible to construct sophisticated interfaces using web technologies only. Our solution for handling time series, generally slow control data, has a modular architecture: backend system for data analysis and preparation, a web service interface for data access and a fast AJAX web display. In order to provide fast interactive access the time series are aggregated over time slices of few predefined lengths. The aggregated values are stored in the temporary caching database and, then, are used to create generalizing data plots. These plots may include indication of data quality and are generated within few hundreds of milliseconds even if very high data rates are involved. The extensible export subsystem provides data in multiple formats including CSV, Excel, ROOT, and TDMS. The search engine can be used to find periods of time where indications of selected sensors are falling into the specified ranges. Utilization of the caching database allows performing most of such lookups within a second. Based on this functionality a web interface facilitating fast (Google-maps style) navigation through the data has been implemented. The solution is at the moment used by several slow control systems at Test Facility for Fusion Magnets (TOSKA) and Karlsruhe Tritium Neutrino (KATRIN).

Robust Control Charts for Time Series Data

NARCIS (Netherlands)

Croux, C.; Gelper, S.; Mahieu, K.

2010-01-01

This article presents a control chart for time series data, based on the one-step- ahead forecast errors of the Holt-Winters forecasting method. We use robust techniques to prevent that outliers affect the estimation of the control limits of the chart. Moreover, robustness is important to maintain

PRESEE: an MDL/MML algorithm to time-series stream segmenting.

Science.gov (United States)

Xu, Kaikuo; Jiang, Yexi; Tang, Mingjie; Yuan, Changan; Tang, Changjie

2013-01-01

Time-series stream is one of the most common data types in data mining field. It is prevalent in fields such as stock market, ecology, and medical care. Segmentation is a key step to accelerate the processing speed of time-series stream mining. Previous algorithms for segmenting mainly focused on the issue of ameliorating precision instead of paying much attention to the efficiency. Moreover, the performance of these algorithms depends heavily on parameters, which are hard for the users to set. In this paper, we propose PRESEE (parameter-free, real-time, and scalable time-series stream segmenting algorithm), which greatly improves the efficiency of time-series stream segmenting. PRESEE is based on both MDL (minimum description length) and MML (minimum message length) methods, which could segment the data automatically. To evaluate the performance of PRESEE, we conduct several experiments on time-series streams of different types and compare it with the state-of-art algorithm. The empirical results show that PRESEE is very efficient for real-time stream datasets by improving segmenting speed nearly ten times. The novelty of this algorithm is further demonstrated by the application of PRESEE in segmenting real-time stream datasets from ChinaFLUX sensor networks data stream.

Recurrent Neural Networks for Multivariate Time Series with Missing Values.

Science.gov (United States)

Che, Zhengping; Purushotham, Sanjay; Cho, Kyunghyun; Sontag, David; Liu, Yan

2018-04-17

Multivariate time series data in practical applications, such as health care, geoscience, and biology, are characterized by a variety of missing values. In time series prediction and other related tasks, it has been noted that missing values and their missing patterns are often correlated with the target labels, a.k.a., informative missingness. There is very limited work on exploiting the missing patterns for effective imputation and improving prediction performance. In this paper, we develop novel deep learning models, namely GRU-D, as one of the early attempts. GRU-D is based on Gated Recurrent Unit (GRU), a state-of-the-art recurrent neural network. It takes two representations of missing patterns, i.e., masking and time interval, and effectively incorporates them into a deep model architecture so that it not only captures the long-term temporal dependencies in time series, but also utilizes the missing patterns to achieve better prediction results. Experiments of time series classification tasks on real-world clinical datasets (MIMIC-III, PhysioNet) and synthetic datasets demonstrate that our models achieve state-of-the-art performance and provide useful insights for better understanding and utilization of missing values in time series analysis.

A novel time series link prediction method: Learning automata approach

Science.gov (United States)

Moradabadi, Behnaz; Meybodi, Mohammad Reza

2017-09-01

Link prediction is a main social network challenge that uses the network structure to predict future links. The common link prediction approaches to predict hidden links use a static graph representation where a snapshot of the network is analyzed to find hidden or future links. For example, similarity metric based link predictions are a common traditional approach that calculates the similarity metric for each non-connected link and sort the links based on their similarity metrics and label the links with higher similarity scores as the future links. Because people activities in social networks are dynamic and uncertainty, and the structure of the networks changes over time, using deterministic graphs for modeling and analysis of the social network may not be appropriate. In the time-series link prediction problem, the time series link occurrences are used to predict the future links In this paper, we propose a new time series link prediction based on learning automata. In the proposed algorithm for each link that must be predicted there is one learning automaton and each learning automaton tries to predict the existence or non-existence of the corresponding link. To predict the link occurrence in time T, there is a chain consists of stages 1 through T - 1 and the learning automaton passes from these stages to learn the existence or non-existence of the corresponding link. Our preliminary link prediction experiments with co-authorship and email networks have provided satisfactory results when time series link occurrences are considered.

Statistical criteria for characterizing irradiance time series.

Energy Technology Data Exchange (ETDEWEB)

Stein, Joshua S.; Ellis, Abraham; Hansen, Clifford W.

2010-10-01

We propose and examine several statistical criteria for characterizing time series of solar irradiance. Time series of irradiance are used in analyses that seek to quantify the performance of photovoltaic (PV) power systems over time. Time series of irradiance are either measured or are simulated using models. Simulations of irradiance are often calibrated to or generated from statistics for observed irradiance and simulations are validated by comparing the simulation output to the observed irradiance. Criteria used in this comparison should derive from the context of the analyses in which the simulated irradiance is to be used. We examine three statistics that characterize time series and their use as criteria for comparing time series. We demonstrate these statistics using observed irradiance data recorded in August 2007 in Las Vegas, Nevada, and in June 2009 in Albuquerque, New Mexico.

Development and application of a modified dynamic time warping algorithm (DTW-S) to analyses of primate brain expression time series.

Science.gov (United States)

Yuan, Yuan; Chen, Yi-Ping Phoebe; Ni, Shengyu; Xu, Augix Guohua; Tang, Lin; Vingron, Martin; Somel, Mehmet; Khaitovich, Philipp

2011-08-18

Comparing biological time series data across different conditions, or different specimens, is a common but still challenging task. Algorithms aligning two time series represent a valuable tool for such comparisons. While many powerful computation tools for time series alignment have been developed, they do not provide significance estimates for time shift measurements. Here, we present an extended version of the original DTW algorithm that allows us to determine the significance of time shift estimates in time series alignments, the DTW-Significance (DTW-S) algorithm. The DTW-S combines important properties of the original algorithm and other published time series alignment tools: DTW-S calculates the optimal alignment for each time point of each gene, it uses interpolated time points for time shift estimation, and it does not require alignment of the time-series end points. As a new feature, we implement a simulation procedure based on parameters estimated from real time series data, on a series-by-series basis, allowing us to determine the false positive rate (FPR) and the significance of the estimated time shift values. We assess the performance of our method using simulation data and real expression time series from two published primate brain expression datasets. Our results show that this method can provide accurate and robust time shift estimates for each time point on a gene-by-gene basis. Using these estimates, we are able to uncover novel features of the biological processes underlying human brain development and maturation. The DTW-S provides a convenient tool for calculating accurate and robust time shift estimates at each time point for each gene, based on time series data. The estimates can be used to uncover novel biological features of the system being studied. The DTW-S is freely available as an R package TimeShift at http://www.picb.ac.cn/Comparative/data.html.

A four-stage hybrid model for hydrological time series forecasting.

Science.gov (United States)

Di, Chongli; Yang, Xiaohua; Wang, Xiaochao

2014-01-01

Hydrological time series forecasting remains a difficult task due to its complicated nonlinear, non-stationary and multi-scale characteristics. To solve this difficulty and improve the prediction accuracy, a novel four-stage hybrid model is proposed for hydrological time series forecasting based on the principle of 'denoising, decomposition and ensemble'. The proposed model has four stages, i.e., denoising, decomposition, components prediction and ensemble. In the denoising stage, the empirical mode decomposition (EMD) method is utilized to reduce the noises in the hydrological time series. Then, an improved method of EMD, the ensemble empirical mode decomposition (EEMD), is applied to decompose the denoised series into a number of intrinsic mode function (IMF) components and one residual component. Next, the radial basis function neural network (RBFNN) is adopted to predict the trend of all of the components obtained in the decomposition stage. In the final ensemble prediction stage, the forecasting results of all of the IMF and residual components obtained in the third stage are combined to generate the final prediction results, using a linear neural network (LNN) model. For illustration and verification, six hydrological cases with different characteristics are used to test the effectiveness of the proposed model. The proposed hybrid model performs better than conventional single models, the hybrid models without denoising or decomposition and the hybrid models based on other methods, such as the wavelet analysis (WA)-based hybrid models. In addition, the denoising and decomposition strategies decrease the complexity of the series and reduce the difficulties of the forecasting. With its effective denoising and accurate decomposition ability, high prediction precision and wide applicability, the new model is very promising for complex time series forecasting. This new forecast model is an extension of nonlinear prediction models.

A Four-Stage Hybrid Model for Hydrological Time Series Forecasting

Science.gov (United States)

Di, Chongli; Yang, Xiaohua; Wang, Xiaochao

2014-01-01

Hydrological time series forecasting remains a difficult task due to its complicated nonlinear, non-stationary and multi-scale characteristics. To solve this difficulty and improve the prediction accuracy, a novel four-stage hybrid model is proposed for hydrological time series forecasting based on the principle of ‘denoising, decomposition and ensemble’. The proposed model has four stages, i.e., denoising, decomposition, components prediction and ensemble. In the denoising stage, the empirical mode decomposition (EMD) method is utilized to reduce the noises in the hydrological time series. Then, an improved method of EMD, the ensemble empirical mode decomposition (EEMD), is applied to decompose the denoised series into a number of intrinsic mode function (IMF) components and one residual component. Next, the radial basis function neural network (RBFNN) is adopted to predict the trend of all of the components obtained in the decomposition stage. In the final ensemble prediction stage, the forecasting results of all of the IMF and residual components obtained in the third stage are combined to generate the final prediction results, using a linear neural network (LNN) model. For illustration and verification, six hydrological cases with different characteristics are used to test the effectiveness of the proposed model. The proposed hybrid model performs better than conventional single models, the hybrid models without denoising or decomposition and the hybrid models based on other methods, such as the wavelet analysis (WA)-based hybrid models. In addition, the denoising and decomposition strategies decrease the complexity of the series and reduce the difficulties of the forecasting. With its effective denoising and accurate decomposition ability, high prediction precision and wide applicability, the new model is very promising for complex time series forecasting. This new forecast model is an extension of nonlinear prediction models. PMID:25111782

Homogenising time series: beliefs, dogmas and facts

Science.gov (United States)

Domonkos, P.

2011-06-01

In the recent decades various homogenisation methods have been developed, but the real effects of their application on time series are still not known sufficiently. The ongoing COST action HOME (COST ES0601) is devoted to reveal the real impacts of homogenisation methods more detailed and with higher confidence than earlier. As a part of the COST activity, a benchmark dataset was built whose characteristics approach well the characteristics of real networks of observed time series. This dataset offers much better opportunity than ever before to test the wide variety of homogenisation methods, and analyse the real effects of selected theoretical recommendations. Empirical results show that real observed time series usually include several inhomogeneities of different sizes. Small inhomogeneities often have similar statistical characteristics than natural changes caused by climatic variability, thus the pure application of the classic theory that change-points of observed time series can be found and corrected one-by-one is impossible. However, after homogenisation the linear trends, seasonal changes and long-term fluctuations of time series are usually much closer to the reality than in raw time series. Some problems around detecting multiple structures of inhomogeneities, as well as that of time series comparisons within homogenisation procedures are discussed briefly in the study.

Estimation of system parameters in discrete dynamical systems from time series

International Nuclear Information System (INIS)

Palaniyandi, P.; Lakshmanan, M.

2005-01-01

We propose a simple method to estimate the parameters involved in discrete dynamical systems from time series. The method is based on the concept of controlling chaos by constant feedback. The major advantages of the method are that it needs a minimal number of time series data (either vector or scalar) and is applicable to dynamical systems of any dimension. The method also works extremely well even in the presence of noise in the time series. The method is specifically illustrated by means of logistic and Henon maps

Ocean time-series near Bermuda: Hydrostation S and the US JGOFS Bermuda Atlantic time-series study

Science.gov (United States)

Michaels, Anthony F.; Knap, Anthony H.

1992-01-01

Bermuda is the site of two ocean time-series programs. At Hydrostation S, the ongoing biweekly profiles of temperature, salinity and oxygen now span 37 years. This is one of the longest open-ocean time-series data sets and provides a view of decadal scale variability in ocean processes. In 1988, the U.S. JGOFS Bermuda Atlantic Time-series Study began a wide range of measurements at a frequency of 14-18 cruises each year to understand temporal variability in ocean biogeochemistry. On each cruise, the data range from chemical analyses of discrete water samples to data from electronic packages of hydrographic and optics sensors. In addition, a range of biological and geochemical rate measurements are conducted that integrate over time-periods of minutes to days. This sampling strategy yields a reasonable resolution of the major seasonal patterns and of decadal scale variability. The Sargasso Sea also has a variety of episodic production events on scales of days to weeks and these are only poorly resolved. In addition, there is a substantial amount of mesoscale variability in this region and some of the perceived temporal patterns are caused by the intersection of the biweekly sampling with the natural spatial variability. In the Bermuda time-series programs, we have added a series of additional cruises to begin to assess these other sources of variation and their impacts on the interpretation of the main time-series record. However, the adequate resolution of higher frequency temporal patterns will probably require the introduction of new sampling strategies and some emerging technologies such as biogeochemical moorings and autonomous underwater vehicles.

A Virtual Machine Migration Strategy Based on Time Series Workload Prediction Using Cloud Model

Directory of Open Access Journals (Sweden)

Yanbing Liu

2014-01-01

Full Text Available Aimed at resolving the issues of the imbalance of resources and workloads at data centers and the overhead together with the high cost of virtual machine (VM migrations, this paper proposes a new VM migration strategy which is based on the cloud model time series workload prediction algorithm. By setting the upper and lower workload bounds for host machines, forecasting the tendency of their subsequent workloads by creating a workload time series using the cloud model, and stipulating a general VM migration criterion workload-aware migration (WAM, the proposed strategy selects a source host machine, a destination host machine, and a VM on the source host machine carrying out the task of the VM migration. Experimental results and analyses show, through comparison with other peer research works, that the proposed method can effectively avoid VM migrations caused by momentary peak workload values, significantly lower the number of VM migrations, and dynamically reach and maintain a resource and workload balance for virtual machines promoting an improved utilization of resources in the entire data center.

Time domain series system definition and gear set reliability modeling

International Nuclear Information System (INIS)

Xie, Liyang; Wu, Ningxiang; Qian, Wenxue

2016-01-01

Time-dependent multi-configuration is a typical feature for mechanical systems such as gear trains and chain drives. As a series system, a gear train is distinct from a traditional series system, such as a chain, in load transmission path, system-component relationship, system functioning manner, as well as time-dependent system configuration. Firstly, the present paper defines time-domain series system to which the traditional series system reliability model is not adequate. Then, system specific reliability modeling technique is proposed for gear sets, including component (tooth) and subsystem (tooth-pair) load history description, material priori/posterior strength expression, time-dependent and system specific load-strength interference analysis, as well as statistically dependent failure events treatment. Consequently, several system reliability models are developed for gear sets with different tooth numbers in the scenario of tooth root material ultimate tensile strength failure. The application of the models is discussed in the last part, and the differences between the system specific reliability model and the traditional series system reliability model are illustrated by virtue of several numerical examples. - Highlights: • A new type of series system, i.e. time-domain multi-configuration series system is defined, that is of great significance to reliability modeling. • Multi-level statistical analysis based reliability modeling method is presented for gear transmission system. • Several system specific reliability models are established for gear set reliability estimation. • The differences between the traditional series system reliability model and the new model are illustrated.

Simple nuclear norm based algorithms for imputing missing data and forecasting in time series

OpenAIRE

Butcher, Holly Louise; Gillard, Jonathan William

2017-01-01

There has been much recent progress on the use of the nuclear norm for the so-called matrix completion problem (the problem of imputing missing values of a matrix). In this paper we investigate the use of the nuclear norm for modelling time series, with particular attention to imputing missing data and forecasting. We introduce a simple alternating projections type algorithm based on the nuclear norm for these tasks, and consider a number of practical examples.

Forecasting Enrollments with Fuzzy Time Series.

Science.gov (United States)

Song, Qiang; Chissom, Brad S.

The concept of fuzzy time series is introduced and used to forecast the enrollment of a university. Fuzzy time series, an aspect of fuzzy set theory, forecasts enrollment using a first-order time-invariant model. To evaluate the model, the conventional linear regression technique is applied and the predicted values obtained are compared to the…

Forecasting Cryptocurrencies Financial Time Series

DEFF Research Database (Denmark)

Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco

2018-01-01

This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, Litecoin, Ripple and Ethereum. We apply a set of crypto–predictors and rely...

Forecasting Cryptocurrencies Financial Time Series

OpenAIRE

Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco

2018-01-01

This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, Litecoin, Ripple and Ethereum. We apply a set of crypto–predictors and rely on Dynamic Model Averaging to combine a large set of univariate Dynamic Linear Models and several multivariate Vector Autoregressive models with different forms of time variation. We find statistical si...

Stochastic modeling of hourly rainfall times series in Campania (Italy)

Science.gov (United States)

Giorgio, M.; Greco, R.

2009-04-01

Occurrence of flowslides and floods in small catchments is uneasy to predict, since it is affected by a number of variables, such as mechanical and hydraulic soil properties, slope morphology, vegetation coverage, rainfall spatial and temporal variability. Consequently, landslide risk assessment procedures and early warning systems still rely on simple empirical models based on correlation between recorded rainfall data and observed landslides and/or river discharges. Effectiveness of such systems could be improved by reliable quantitative rainfall prediction, which can allow gaining larger lead-times. Analysis of on-site recorded rainfall height time series represents the most effective approach for a reliable prediction of local temporal evolution of rainfall. Hydrological time series analysis is a widely studied field in hydrology, often carried out by means of autoregressive models, such as AR, ARMA, ARX, ARMAX (e.g. Salas [1992]). Such models gave the best results when applied to the analysis of autocorrelated hydrological time series, like river flow or level time series. Conversely, they are not able to model the behaviour of intermittent time series, like point rainfall height series usually are, especially when recorded with short sampling time intervals. More useful for this issue are the so-called DRIP (Disaggregated Rectangular Intensity Pulse) and NSRP (Neymann-Scott Rectangular Pulse) model [Heneker et al., 2001; Cowpertwait et al., 2002], usually adopted to generate synthetic point rainfall series. In this paper, the DRIP model approach is adopted, in which the sequence of rain storms and dry intervals constituting the structure of rainfall time series is modeled as an alternating renewal process. Final aim of the study is to provide a useful tool to implement an early warning system for hydrogeological risk management. Model calibration has been carried out with hourly rainfall hieght data provided by the rain gauges of Campania Region civil

Mackenzie River Delta morphological change based on Landsat time series

Science.gov (United States)

Vesakoski, Jenni-Mari; Alho, Petteri; Gustafsson, David; Arheimer, Berit; Isberg, Kristina

2015-04-01

Arctic rivers are sensitive and yet quite unexplored river systems to which the climate change will impact on. Research has not focused in detail on the fluvial geomorphology of the Arctic rivers mainly due to the remoteness and wideness of the watersheds, problems with data availability and difficult accessibility. Nowadays wide collaborative spatial databases in hydrology as well as extensive remote sensing datasets over the Arctic are available and they enable improved investigation of the Arctic watersheds. Thereby, it is also important to develop and improve methods that enable detecting the fluvio-morphological processes based on the available data. Furthermore, it is essential to reconstruct and improve the understanding of the past fluvial processes in order to better understand prevailing and future fluvial processes. In this study we sum up the fluvial geomorphological change in the Mackenzie River Delta during the last ~30 years. The Mackenzie River Delta (~13 000 km2) is situated in the North Western Territories, Canada where the Mackenzie River enters to the Beaufort Sea, Arctic Ocean near the city of Inuvik. Mackenzie River Delta is lake-rich, productive ecosystem and ecologically sensitive environment. Research objective is achieved through two sub-objectives: 1) Interpretation of the deltaic river channel planform change by applying Landsat time series. 2) Definition of the variables that have impacted the most on detected changes by applying statistics and long hydrological time series derived from Arctic-HYPE model (HYdrologic Predictions for Environment) developed by Swedish Meteorological and Hydrological Institute. According to our satellite interpretation, field observations and statistical analyses, notable spatio-temporal changes have occurred in the morphology of the river channel and delta during the past 30 years. For example, the channels have been developing in braiding and sinuosity. In addition, various linkages between the studied

Time series modeling, computation, and inference

CERN Document Server

Prado, Raquel

2010-01-01

The authors systematically develop a state-of-the-art analysis and modeling of time series. … this book is well organized and well written. The authors present various statistical models for engineers to solve problems in time series analysis. Readers no doubt will learn state-of-the-art techniques from this book.-Hsun-Hsien Chang, Computing Reviews, March 2012My favorite chapters were on dynamic linear models and vector AR and vector ARMA models.-William Seaver, Technometrics, August 2011… a very modern entry to the field of time-series modelling, with a rich reference list of the current lit

Time Series Analysis Forecasting and Control

CERN Document Server

Box, George E P; Reinsel, Gregory C

2011-01-01

A modernized new edition of one of the most trusted books on time series analysis. Since publication of the first edition in 1970, Time Series Analysis has served as one of the most influential and prominent works on the subject. This new edition maintains its balanced presentation of the tools for modeling and analyzing time series and also introduces the latest developments that have occurred n the field over the past decade through applications from areas such as business, finance, and engineering. The Fourth Edition provides a clearly written exploration of the key methods for building, cl

Costationarity of Locally Stationary Time Series Using costat

OpenAIRE

Cardinali, Alessandro; Nason, Guy P.

2013-01-01

This article describes the R package costat. This package enables a user to (i) perform a test for time series stationarity; (ii) compute and plot time-localized autocovariances, and (iii) to determine and explore any costationary relationship between two locally stationary time series. Two locally stationary time series are said to be costationary if there exists two time-varying combination functions such that the linear combination of the two series with the functions produces another time...

A New Modified Histogram Matching Normalization for Time Series Microarray Analysis.

Science.gov (United States)

Astola, Laura; Molenaar, Jaap

2014-07-01

Microarray data is often utilized in inferring regulatory networks. Quantile normalization (QN) is a popular method to reduce array-to-array variation. We show that in the context of time series measurements QN may not be the best choice for this task, especially not if the inference is based on continuous time ODE model. We propose an alternative normalization method that is better suited for network inference from time series data.

Detecting nonlinear structure in time series

International Nuclear Information System (INIS)

Theiler, J.

1991-01-01

We describe an approach for evaluating the statistical significance of evidence for nonlinearity in a time series. The formal application of our method requires the careful statement of a null hypothesis which characterizes a candidate linear process, the generation of an ensemble of ''surrogate'' data sets which are similar to the original time series but consistent with the null hypothesis, and the computation of a discriminating statistic for the original and for each of the surrogate data sets. The idea is to test the original time series against the null hypothesis by checking whether the discriminating statistic computed for the original time series differs significantly from the statistics computed for each of the surrogate sets. While some data sets very cleanly exhibit low-dimensional chaos, there are many cases where the evidence is sketchy and difficult to evaluate. We hope to provide a framework within which such claims of nonlinearity can be evaluated. 5 refs., 4 figs

The application of complex network time series analysis in turbulent heated jets

International Nuclear Information System (INIS)

Charakopoulos, A. K.; Karakasidis, T. E.; Liakopoulos, A.; Papanicolaou, P. N.

2014-01-01

In the present study, we applied the methodology of the complex network-based time series analysis to experimental temperature time series from a vertical turbulent heated jet. More specifically, we approach the hydrodynamic problem of discriminating time series corresponding to various regions relative to the jet axis, i.e., time series corresponding to regions that are close to the jet axis from time series originating at regions with a different dynamical regime based on the constructed network properties. Applying the transformation phase space method (k nearest neighbors) and also the visibility algorithm, we transformed time series into networks and evaluated the topological properties of the networks such as degree distribution, average path length, diameter, modularity, and clustering coefficient. The results show that the complex network approach allows distinguishing, identifying, and exploring in detail various dynamical regions of the jet flow, and associate it to the corresponding physical behavior. In addition, in order to reject the hypothesis that the studied networks originate from a stochastic process, we generated random network and we compared their statistical properties with that originating from the experimental data. As far as the efficiency of the two methods for network construction is concerned, we conclude that both methodologies lead to network properties that present almost the same qualitative behavior and allow us to reveal the underlying system dynamics

Mapping Crop Cycles in China Using MODIS-EVI Time Series

Directory of Open Access Journals (Sweden)

Le Li

2014-03-01

Full Text Available As the Earth’s population continues to grow and demand for food increases, the need for improved and timely information related to the properties and dynamics of global agricultural systems is becoming increasingly important. Global land cover maps derived from satellite data provide indispensable information regarding the geographic distribution and areal extent of global croplands. However, land use information, such as cropping intensity (defined here as the number of cropping cycles per year, is not routinely available over large areas because mapping this information from remote sensing is challenging. In this study, we present a simple but efficient algorithm for automated mapping of cropping intensity based on data from NASA’s (NASA: The National Aeronautics and Space Administration MODerate Resolution Imaging Spectroradiometer (MODIS. The proposed algorithm first applies an adaptive Savitzky-Golay filter to smooth Enhanced Vegetation Index (EVI time series derived from MODIS surface reflectance data. It then uses an iterative moving-window methodology to identify cropping cycles from the smoothed EVI time series. Comparison of results from our algorithm with national survey data at both the provincial and prefectural level in China show that the algorithm provides estimates of gross sown area that agree well with inventory data. Accuracy assessment comparing visually interpreted time series with algorithm results for a random sample of agricultural areas in China indicates an overall accuracy of 91.0% for three classes defined based on the number of cycles observed in EVI time series. The algorithm therefore appears to provide a straightforward and efficient method for mapping cropping intensity from MODIS time series data.

The Earth Observation Monitor - Automated monitoring and alerting for spatial time-series data based on OGC web services

Science.gov (United States)

Eberle, J.; Hüttich, C.; Schmullius, C.

2014-12-01

Spatial time series data are freely available around the globe from earth observation satellites and meteorological stations for many years until now. They provide useful and important information to detect ongoing changes of the environment; but for end-users it is often too complex to extract this information out of the original time series datasets. This issue led to the development of the Earth Observation Monitor (EOM), an operational framework and research project to provide simple access, analysis and monitoring tools for global spatial time series data. A multi-source data processing middleware in the backend is linked to MODIS data from Land Processes Distributed Archive Center (LP DAAC) and Google Earth Engine as well as daily climate station data from NOAA National Climatic Data Center. OGC Web Processing Services are used to integrate datasets from linked data providers or external OGC-compliant interfaces to the EOM. Users can either use the web portal (webEOM) or the mobile application (mobileEOM) to execute these processing services and to retrieve the requested data for a given point or polygon in userfriendly file formats (CSV, GeoTiff). Beside providing just data access tools, users can also do further time series analyses like trend calculations, breakpoint detections or the derivation of phenological parameters from vegetation time series data. Furthermore data from climate stations can be aggregated over a given time interval. Calculated results can be visualized in the client and downloaded for offline usage. Automated monitoring and alerting of the time series data integrated by the user is provided by an OGC Sensor Observation Service with a coupled OGC Web Notification Service. Users can decide which datasets and parameters are monitored with a given filter expression (e.g., precipitation value higher than x millimeter per day, occurrence of a MODIS Fire point, detection of a time series anomaly). Datasets integrated in the SOS service are

Time series analytics using sliding window metaheuristic optimization-based machine learning system for identifying building energy consumption patterns

International Nuclear Information System (INIS)

Chou, Jui-Sheng; Ngo, Ngoc-Tri

2016-01-01

Highlights: • This study develops a novel time-series sliding window forecast system. • The system integrates metaheuristics, machine learning and time-series models. • Site experiment of smart grid infrastructure is installed to retrieve real-time data. • The proposed system accurately predicts energy consumption in residential buildings. • The forecasting system can help users minimize their electricity usage. - Abstract: Smart grids are a promising solution to the rapidly growing power demand because they can considerably increase building energy efficiency. This study developed a novel time-series sliding window metaheuristic optimization-based machine learning system for predicting real-time building energy consumption data collected by a smart grid. The proposed system integrates a seasonal autoregressive integrated moving average (SARIMA) model and metaheuristic firefly algorithm-based least squares support vector regression (MetaFA-LSSVR) model. Specifically, the proposed system fits the SARIMA model to linear data components in the first stage, and the MetaFA-LSSVR model captures nonlinear data components in the second stage. Real-time data retrieved from an experimental smart grid installed in a building were used to evaluate the efficacy and effectiveness of the proposed system. A k-week sliding window approach is proposed for employing historical data as input for the novel time-series forecasting system. The prediction system yielded high and reliable accuracy rates in 1-day-ahead predictions of building energy consumption, with a total error rate of 1.181% and mean absolute error of 0.026 kW h. Notably, the system demonstrates an improved accuracy rate in the range of 36.8–113.2% relative to those of the linear forecasting model (i.e., SARIMA) and nonlinear forecasting models (i.e., LSSVR and MetaFA-LSSVR). Therefore, end users can further apply the forecasted information to enhance efficiency of energy usage in their buildings, especially

Development and application of a modified dynamic time warping algorithm (DTW-S to analyses of primate brain expression time series

Directory of Open Access Journals (Sweden)

Vingron Martin

2011-08-01

Full Text Available Abstract Background Comparing biological time series data across different conditions, or different specimens, is a common but still challenging task. Algorithms aligning two time series represent a valuable tool for such comparisons. While many powerful computation tools for time series alignment have been developed, they do not provide significance estimates for time shift measurements. Results Here, we present an extended version of the original DTW algorithm that allows us to determine the significance of time shift estimates in time series alignments, the DTW-Significance (DTW-S algorithm. The DTW-S combines important properties of the original algorithm and other published time series alignment tools: DTW-S calculates the optimal alignment for each time point of each gene, it uses interpolated time points for time shift estimation, and it does not require alignment of the time-series end points. As a new feature, we implement a simulation procedure based on parameters estimated from real time series data, on a series-by-series basis, allowing us to determine the false positive rate (FPR and the significance of the estimated time shift values. We assess the performance of our method using simulation data and real expression time series from two published primate brain expression datasets. Our results show that this method can provide accurate and robust time shift estimates for each time point on a gene-by-gene basis. Using these estimates, we are able to uncover novel features of the biological processes underlying human brain development and maturation. Conclusions The DTW-S provides a convenient tool for calculating accurate and robust time shift estimates at each time point for each gene, based on time series data. The estimates can be used to uncover novel biological features of the system being studied. The DTW-S is freely available as an R package TimeShift at http://www.picb.ac.cn/Comparative/data.html.

Reconstruction of tritium time series in precipitation

International Nuclear Information System (INIS)

Celle-Jeanton, H.; Gourcy, L.; Aggarwal, P.K.

2002-01-01

Tritium is commonly used in groundwaters studies to calculate the recharge rate and to identify the presence of a modern recharge. The knowledge of 3 H precipitation time series is then very important for the study of groundwater recharge. Rozanski and Araguas provided good information on precipitation tritium content in 180 stations of the GNIP network to the end of 1987, but it shows some lacks of measurements either within one chronicle or within one region (the Southern hemisphere for instance). Therefore, it seems to be essential to find a method to recalculate data for a region where no measurement is available.To solve this problem, we propose another method which is based on triangulation. It needs the knowledge of 3 H time series of 3 stations surrounding geographically the 4-th station for which tritium input curve has to be reconstructed

Forecasting business cycle with chaotic time series based on neural network with weighted fuzzy membership functions

International Nuclear Information System (INIS)

Chai, Soo H.; Lim, Joon S.

2016-01-01

This study presents a forecasting model of cyclical fluctuations of the economy based on the time delay coordinate embedding method. The model uses a neuro-fuzzy network called neural network with weighted fuzzy membership functions (NEWFM). The preprocessed time series of the leading composite index using the time delay coordinate embedding method are used as input data to the NEWFM to forecast the business cycle. A comparative study is conducted using other methods based on wavelet transform and Principal Component Analysis for the performance comparison. The forecasting results are tested using a linear regression analysis to compare the approximation of the input data against the target class, gross domestic product (GDP). The chaos based model captures nonlinear dynamics and interactions within the system, which other two models ignore. The test results demonstrated that chaos based method significantly improved the prediction capability, thereby demonstrating superior performance to the other methods.

Frontiers in Time Series and Financial Econometrics

OpenAIRE

Ling, S.; McAleer, M.J.; Tong, H.

2015-01-01

__Abstract__ Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of this special issue of the journal on “Frontiers in Time Series and Financial Econometrics” is to highlight several areas of research by leading academics in which novel methods have contrib...

A New Modified Histogram Matching Normalization for Time Series Microarray Analysis

Directory of Open Access Journals (Sweden)

Laura Astola

2014-07-01

Full Text Available Microarray data is often utilized in inferring regulatory networks. Quantile normalization (QN is a popular method to reduce array-to-array variation. We show that in the context of time series measurements QN may not be the best choice for this task, especially not if the inference is based on continuous time ODE model. We propose an alternative normalization method that is better suited for network inference from time series data.

Elements of nonlinear time series analysis and forecasting

CERN Document Server

De Gooijer, Jan G

2017-01-01

This book provides an overview of the current state-of-the-art of nonlinear time series analysis, richly illustrated with examples, pseudocode algorithms and real-world applications. Avoiding a “theorem-proof” format, it shows concrete applications on a variety of empirical time series. The book can be used in graduate courses in nonlinear time series and at the same time also includes interesting material for more advanced readers. Though it is largely self-contained, readers require an understanding of basic linear time series concepts, Markov chains and Monte Carlo simulation methods. The book covers time-domain and frequency-domain methods for the analysis of both univariate and multivariate (vector) time series. It makes a clear distinction between parametric models on the one hand, and semi- and nonparametric models/methods on the other. This offers the reader the option of concentrating exclusively on one of these nonlinear time series analysis methods. To make the book as user friendly as possible...

Wavelet based correlation coefficient of time series of Saudi Meteorological Data

International Nuclear Information System (INIS)

Rehman, S.; Siddiqi, A.H.

2009-01-01

In this paper, wavelet concepts are used to study a correlation between pairs of time series of meteorological parameters such as pressure, temperature, rainfall, relative humidity and wind speed. The study utilized the daily average values of meteorological parameters of nine meteorological stations of Saudi Arabia located at different strategic locations. The data used in this study cover a period of 16 years between 1990 and 2005. Besides obtaining wavelet spectra, we also computed the wavelet correlation coefficients between two same parameters from two different locations and show that strong correlation or strong anti-correlation depends on scale. The cross-correlation coefficients of meteorological parameters between two stations were also calculated using statistical function. For coastal to costal pair of stations, pressure time series was found to be strongly correlated. In general, the temperature data were found to be strongly correlated for all pairs of stations and the rainfall data the least.

Detecting chaos in irregularly sampled time series.

Science.gov (United States)

Kulp, C W

2013-09-01

Recently, Wiebe and Virgin [Chaos 22, 013136 (2012)] developed an algorithm which detects chaos by analyzing a time series' power spectrum which is computed using the Discrete Fourier Transform (DFT). Their algorithm, like other time series characterization algorithms, requires that the time series be regularly sampled. Real-world data, however, are often irregularly sampled, thus, making the detection of chaotic behavior difficult or impossible with those methods. In this paper, a characterization algorithm is presented, which effectively detects chaos in irregularly sampled time series. The work presented here is a modification of Wiebe and Virgin's algorithm and uses the Lomb-Scargle Periodogram (LSP) to compute a series' power spectrum instead of the DFT. The DFT is not appropriate for irregularly sampled time series. However, the LSP is capable of computing the frequency content of irregularly sampled data. Furthermore, a new method of analyzing the power spectrum is developed, which can be useful for differentiating between chaotic and non-chaotic behavior. The new characterization algorithm is successfully applied to irregularly sampled data generated by a model as well as data consisting of observations of variable stars.

Multivariate Time Series Search

Data.gov (United States)

National Aeronautics and Space Administration — Multivariate Time-Series (MTS) are ubiquitous, and are generated in areas as disparate as sensor recordings in aerospace systems, music and video streams, medical...

Analysing Stable Time Series

National Research Council Canada - National Science Library

Adler, Robert

1997-01-01

We describe how to take a stable, ARMA, time series through the various stages of model identification, parameter estimation, and diagnostic checking, and accompany the discussion with a goodly number...

A Kalman Filter-Based Method to Generate Continuous Time Series of Medium-Resolution NDVI Images

Directory of Open Access Journals (Sweden)

Fernando Sedano

2014-12-01

Full Text Available A data assimilation method to produce complete temporal sequences of synthetic medium-resolution images is presented. The method implements a Kalman filter recursive algorithm that integrates medium and moderate resolution imagery. To demonstrate the approach, time series of 30-m spatial resolution NDVI images at 16-day time steps were generated using Landsat NDVI images and MODIS NDVI products at four sites with different ecosystems and land cover-land use dynamics. The results show that the time series of synthetic NDVI images captured seasonal land surface dynamics and maintained the spatial structure of the landscape at higher spatial resolution. The time series of synthetic medium-resolution NDVI images were validated within a Monte Carlo simulation framework. Normalized residuals decreased as the number of available observations increased, ranging from 0.2 to below 0.1. Residuals were also significantly lower for time series of synthetic NDVI images generated at combined recursion (smoothing than individually at forward and backward recursions (filtering. Conversely, the uncertainties of the synthetic images also decreased when the number of available observations increased and combined recursions were implemented.

Neural Network Models for Time Series Forecasts

OpenAIRE

Tim Hill; Marcus O'Connor; William Remus

1996-01-01

Neural networks have been advocated as an alternative to traditional statistical forecasting methods. In the present experiment, time series forecasts produced by neural networks are compared with forecasts from six statistical time series methods generated in a major forecasting competition (Makridakis et al. [Makridakis, S., A. Anderson, R. Carbone, R. Fildes, M. Hibon, R. Lewandowski, J. Newton, E. Parzen, R. Winkler. 1982. The accuracy of extrapolation (time series) methods: Results of a ...

Detecting determinism with improved sensitivity in time series: rank-based nonlinear predictability score.

Science.gov (United States)

Naro, Daniel; Rummel, Christian; Schindler, Kaspar; Andrzejak, Ralph G

2014-09-01

The rank-based nonlinear predictability score was recently introduced as a test for determinism in point processes. We here adapt this measure to time series sampled from time-continuous flows. We use noisy Lorenz signals to compare this approach against a classical amplitude-based nonlinear prediction error. Both measures show an almost identical robustness against Gaussian white noise. In contrast, when the amplitude distribution of the noise has a narrower central peak and heavier tails than the normal distribution, the rank-based nonlinear predictability score outperforms the amplitude-based nonlinear prediction error. For this type of noise, the nonlinear predictability score has a higher sensitivity for deterministic structure in noisy signals. It also yields a higher statistical power in a surrogate test of the null hypothesis of linear stochastic correlated signals. We show the high relevance of this improved performance in an application to electroencephalographic (EEG) recordings from epilepsy patients. Here the nonlinear predictability score again appears of higher sensitivity to nonrandomness. Importantly, it yields an improved contrast between signals recorded from brain areas where the first ictal EEG signal changes were detected (focal EEG signals) versus signals recorded from brain areas that were not involved at seizure onset (nonfocal EEG signals).

Urbanization and Income Inequality in Post-Reform China: A Causal Analysis Based on Time Series Data.

Science.gov (United States)

Chen, Guo; Glasmeier, Amy K; Zhang, Min; Shao, Yang

2016-01-01

This paper investigates the potential causal relationship(s) between China's urbanization and income inequality since the start of the economic reform. Based on the economic theory of urbanization and income distribution, we analyze the annual time series of China's urbanization rate and Gini index from 1978 to 2014. The results show that urbanization has an immediate alleviating effect on income inequality, as indicated by the negative relationship between the two time series at the same year (lag = 0). However, urbanization also seems to have a lagged aggravating effect on income inequality, as indicated by positive relationship between urbanization and the Gini index series at lag 1. Although the link between urbanization and income inequality is not surprising, the lagged aggravating effect of urbanization on the Gini index challenges the popular belief that urbanization in post-reform China generally helps reduce income inequality. At deeper levels, our results suggest an urgent need to focus on the social dimension of urbanization as China transitions to the next stage of modernization. Comprehensive social reforms must be prioritized to avoid a long-term economic dichotomy and permanent social segregation.

Urbanization and Income Inequality in Post-Reform China: A Causal Analysis Based on Time Series Data.

Directory of Open Access Journals (Sweden)

Guo Chen

Full Text Available This paper investigates the potential causal relationship(s between China's urbanization and income inequality since the start of the economic reform. Based on the economic theory of urbanization and income distribution, we analyze the annual time series of China's urbanization rate and Gini index from 1978 to 2014. The results show that urbanization has an immediate alleviating effect on income inequality, as indicated by the negative relationship between the two time series at the same year (lag = 0. However, urbanization also seems to have a lagged aggravating effect on income inequality, as indicated by positive relationship between urbanization and the Gini index series at lag 1. Although the link between urbanization and income inequality is not surprising, the lagged aggravating effect of urbanization on the Gini index challenges the popular belief that urbanization in post-reform China generally helps reduce income inequality. At deeper levels, our results suggest an urgent need to focus on the social dimension of urbanization as China transitions to the next stage of modernization. Comprehensive social reforms must be prioritized to avoid a long-term economic dichotomy and permanent social segregation.

Time Series Observations in the North Indian Ocean

Digital Repository Service at National Institute of Oceanography (India)

Shenoy, D.M.; Naik, H.; Kurian, S.; Naqvi, S.W.A.; Khare, N.

Ocean and the ongoing time series study (Candolim Time Series; CaTS) off Goa. In addition, this article also focuses on the new time series initiative in the Arabian Sea and the Bay of Bengal under Sustained Indian Ocean Biogeochemistry and Ecosystem...

Quantitative evaluation of time-series GHG emissions by sector and region using consumption-based accounting

International Nuclear Information System (INIS)

Homma, Takashi; Akimoto, Keigo; Tomoda, Toshimasa

2012-01-01

This study estimates global time-series consumption-based GHG emissions by region from 1990 to 2005, including both CO 2 and non-CO 2 GHG emissions. Estimations are conducted for the whole economy and for two specific sectors: manufacturing and agriculture. Especially in the agricultural sector, it is important to include non-CO 2 GHG emissions because these are the major emissions present. In most of the regions examined, the improvements in GHG intensities achieved in the manufacturing sector are larger than those in the agricultural sector. Compared with developing regions, most developed regions have consistently larger per-capita consumption-based GHG emissions over the whole economy, as well as higher production-based emissions. In the manufacturing sector, differences calculated by subtracting production-based emissions from consumption-based GHG emissions are determined by the regional economic level while, in the agricultural sector, they are dependent on regional production structures that are determined by international trade competitiveness. In the manufacturing sector, these differences are consistently and increasingly positive for the U.S., EU15 and Japan but negative for developing regions. In the agricultural sector, the differences calculated for the major agricultural importers like Japan and the EU15 are consistently positive while those of exporters like the U.S., Australia and New Zealand are consistently negative. - Highlights: ► We evaluate global time-series production-based and consumption-based GHG emissions. ► We focus on both CO 2 and non-CO 2 GHG emissions, broken down by region and by sector. ► Including non-CO 2 GHG emissions is important in agricultural sector. ► In agriculture, differences in accountings are dependent on production structures. ► In manufacturing sector, differences in accountings are determined by economic level.

Periodic fluctuations in correlation-based connectivity density time series: Application to wind speed-monitoring network in Switzerland

Science.gov (United States)

Laib, Mohamed; Telesca, Luciano; Kanevski, Mikhail

2018-02-01

In this paper, we study the periodic fluctuations of connectivity density time series of a wind speed-monitoring network in Switzerland. By using the correlogram-based robust periodogram annual periodic oscillations were found in the correlation-based network. The intensity of such annual periodic oscillations is larger for lower correlation thresholds and smaller for higher. The annual periodicity in the connectivity density seems reasonably consistent with the seasonal meteo-climatic cycle.

Studies on time series applications in environmental sciences

CERN Document Server

Bărbulescu, Alina

2016-01-01

Time series analysis and modelling represent a large study field, implying the approach from the perspective of the time and frequency, with applications in different domains. Modelling hydro-meteorological time series is difficult due to the characteristics of these series, as long range dependence, spatial dependence, the correlation with other series. Continuous spatial data plays an important role in planning, risk assessment and decision making in environmental management. In this context, in this book we present various statistical tests and modelling techniques used for time series analysis, as well as applications to hydro-meteorological series from Dobrogea, a region situated in the south-eastern part of Romania, less studied till now. Part of the results are accompanied by their R code. .

Characteristics of the co-fluctuation matrix transmission network based on financial multi-time series

OpenAIRE

Huajiao Li; Haizhong An; Xiangyun Gao; Wei Fang

2015-01-01

The co-fluctuation of two time series has often been studied by analysing the correlation coefficient over a selected period. However, in both domestic and global financial markets, there are more than two active time series that fluctuate constantly as a result of various factors, including geographic locations, information communications and so on. In addition to correlation relationships over longer periods, daily co-fluctuation relationships and their transmission features are also import...

Interactive Web-based Visualization of Atomic Position-time Series Data

Science.gov (United States)

Thapa, S.; Karki, B. B.

2017-12-01

Extracting and interpreting the information contained in large sets of time-varying three dimensional positional data for the constituent atoms of simulated material is a challenging task. We have recently implemented a web-based visualization system to analyze the position-time series data extracted from the local or remote hosts. It involves a pre-processing step for data reduction, which involves skipping uninteresting parts of the data uniformly (at full atomic configuration level) or non-uniformly (at atomic species level or individual atom level). Atomic configuration snapshot is rendered using the ball-stick representation and can be animated by rendering successive configurations. The entire atomic dynamics can be captured as the trajectories by rendering the atomic positions at all time steps together as points. The trajectories can be manipulated at both species and atomic levels so that we can focus on one or more trajectories of interest, and can be also superimposed with the instantaneous atomic structure. The implementation was done using WebGL and Three.js for graphical rendering, HTML5 and Javascript for GUI, and Elasticsearch and JSON for data storage and retrieval within the Grails Framework. We have applied our visualization system to the simulation datatsets for proton-bearing forsterite (Mg2SiO4) - an abundant mineral of Earths upper mantle. Visualization reveals that protons (hydrogen ions) incorporated as interstitials are much more mobile than protons substituting the host Mg and Si cation sites. The proton diffusion appears to be anisotropic with high mobility along the x-direction, showing limited discrete jumps in other two directions.

Prediction and Geometry of Chaotic Time Series

National Research Council Canada - National Science Library

Leonardi, Mary

1997-01-01

This thesis examines the topic of chaotic time series. An overview of chaos, dynamical systems, and traditional approaches to time series analysis is provided, followed by an examination of state space reconstruction...

Sensor-Generated Time Series Events: A Definition Language

Science.gov (United States)

Anguera, Aurea; Lara, Juan A.; Lizcano, David; Martínez, Maria Aurora; Pazos, Juan

2012-01-01

There are now a great many domains where information is recorded by sensors over a limited time period or on a permanent basis. This data flow leads to sequences of data known as time series. In many domains, like seismography or medicine, time series analysis focuses on particular regions of interest, known as events, whereas the remainder of the time series contains hardly any useful information. In these domains, there is a need for mechanisms to identify and locate such events. In this paper, we propose an events definition language that is general enough to be used to easily and naturally define events in time series recorded by sensors in any domain. The proposed language has been applied to the definition of time series events generated within the branch of medicine dealing with balance-related functions in human beings. A device, called posturograph, is used to study balance-related functions. The platform has four sensors that record the pressure intensity being exerted on the platform, generating four interrelated time series. As opposed to the existing ad hoc proposals, the results confirm that the proposed language is valid, that is generally applicable and accurate, for identifying the events contained in the time series.

Correlation measure to detect time series distances, whence economy globalization

Science.gov (United States)

Miśkiewicz, Janusz; Ausloos, Marcel

2008-11-01

An instantaneous time series distance is defined through the equal time correlation coefficient. The idea is applied to the Gross Domestic Product (GDP) yearly increments of 21 rich countries between 1950 and 2005 in order to test the process of economic globalisation. Some data discussion is first presented to decide what (EKS, GK, or derived) GDP series should be studied. Distances are then calculated from the correlation coefficient values between pairs of series. The role of time averaging of the distances over finite size windows is discussed. Three network structures are next constructed based on the hierarchy of distances. It is shown that the mean distance between the most developed countries on several networks actually decreases in time, -which we consider as a proof of globalization. An empirical law is found for the evolution after 1990, similar to that found in flux creep. The optimal observation time window size is found ≃15 years.

Cross-sample entropy of foreign exchange time series

Science.gov (United States)

Liu, Li-Zhi; Qian, Xi-Yuan; Lu, Heng-Yao

2010-11-01

The correlation of foreign exchange rates in currency markets is investigated based on the empirical data of DKK/USD, NOK/USD, CAD/USD, JPY/USD, KRW/USD, SGD/USD, THB/USD and TWD/USD for a period from 1995 to 2002. Cross-SampEn (cross-sample entropy) method is used to compare the returns of every two exchange rate time series to assess their degree of asynchrony. The calculation method of confidence interval of SampEn is extended and applied to cross-SampEn. The cross-SampEn and its confidence interval for every two of the exchange rate time series in periods 1995-1998 (before the Asian currency crisis) and 1999-2002 (after the Asian currency crisis) are calculated. The results show that the cross-SampEn of every two of these exchange rates becomes higher after the Asian currency crisis, indicating a higher asynchrony between the exchange rates. Especially for Singapore, Thailand and Taiwan, the cross-SampEn values after the Asian currency crisis are significantly higher than those before the Asian currency crisis. Comparison with the correlation coefficient shows that cross-SampEn is superior to describe the correlation between time series.

Correlation and multifractality in climatological time series

International Nuclear Information System (INIS)

Pedron, I T

2010-01-01

Climate can be described by statistical analysis of mean values of atmospheric variables over a period. It is possible to detect correlations in climatological time series and to classify its behavior. In this work the Hurst exponent, which can characterize correlation and persistence in time series, is obtained by using the Detrended Fluctuation Analysis (DFA) method. Data series of temperature, precipitation, humidity, solar radiation, wind speed, maximum squall, atmospheric pressure and randomic series are studied. Furthermore, the multifractality of such series is analyzed applying the Multifractal Detrended Fluctuation Analysis (MF-DFA) method. The results indicate presence of correlation (persistent character) in all climatological series and multifractality as well. A larger set of data, and longer, could provide better results indicating the universality of the exponents.

InSAR Deformation Time Series Processed On-Demand in the Cloud

Science.gov (United States)

Horn, W. B.; Weeden, R.; Dimarchi, H.; Arko, S. A.; Hogenson, K.

2017-12-01

During this past year, ASF has developed a cloud-based on-demand processing system known as HyP3 (http://hyp3.asf.alaska.edu/), the Hybrid Pluggable Processing Pipeline, for Synthetic Aperture Radar (SAR) data. The system makes it easy for a user who doesn't have the time or inclination to install and use complex SAR processing software to leverage SAR data in their research or operations. One such processing algorithm is generation of a deformation time series product, which is a series of images representing ground displacements over time, which can be computed using a time series of interferometric SAR (InSAR) products. The set of software tools necessary to generate this useful product are difficult to install, configure, and use. Moreover, for a long time series with many images, the processing of just the interferograms can take days. Principally built by three undergraduate students at the ASF DAAC, the deformation time series processing relies the new Amazon Batch service, which enables processing of jobs with complex interconnected dependencies in a straightforward and efficient manner. In the case of generating a deformation time series product from a stack of single-look complex SAR images, the system uses Batch to serialize the up-front processing, interferogram generation, optional tropospheric correction, and deformation time series generation. The most time consuming portion is the interferogram generation, because even for a fairly small stack of images many interferograms need to be processed. By using AWS Batch, the interferograms are all generated in parallel; the entire process completes in hours rather than days. Additionally, the individual interferograms are saved in Amazon's cloud storage, so that when new data is acquired in the stack, an updated time series product can be generated with minimal addiitonal processing. This presentation will focus on the development techniques and enabling technologies that were used in developing the time

Developing a local least-squares support vector machines-based neuro-fuzzy model for nonlinear and chaotic time series prediction.

Science.gov (United States)

Miranian, A; Abdollahzade, M

2013-02-01

Local modeling approaches, owing to their ability to model different operating regimes of nonlinear systems and processes by independent local models, seem appealing for modeling, identification, and prediction applications. In this paper, we propose a local neuro-fuzzy (LNF) approach based on the least-squares support vector machines (LSSVMs). The proposed LNF approach employs LSSVMs, which are powerful in modeling and predicting time series, as local models and uses hierarchical binary tree (HBT) learning algorithm for fast and efficient estimation of its parameters. The HBT algorithm heuristically partitions the input space into smaller subdomains by axis-orthogonal splits. In each partitioning, the validity functions automatically form a unity partition and therefore normalization side effects, e.g., reactivation, are prevented. Integration of LSSVMs into the LNF network as local models, along with the HBT learning algorithm, yield a high-performance approach for modeling and prediction of complex nonlinear time series. The proposed approach is applied to modeling and predictions of different nonlinear and chaotic real-world and hand-designed systems and time series. Analysis of the prediction results and comparisons with recent and old studies demonstrate the promising performance of the proposed LNF approach with the HBT learning algorithm for modeling and prediction of nonlinear and chaotic systems and time series.

Time series modeling of live-cell shape dynamics for image-based phenotypic profiling.

Science.gov (United States)

Gordonov, Simon; Hwang, Mun Kyung; Wells, Alan; Gertler, Frank B; Lauffenburger, Douglas A; Bathe, Mark

2016-01-01

Live-cell imaging can be used to capture spatio-temporal aspects of cellular responses that are not accessible to fixed-cell imaging. As the use of live-cell imaging continues to increase, new computational procedures are needed to characterize and classify the temporal dynamics of individual cells. For this purpose, here we present the general experimental-computational framework SAPHIRE (Stochastic Annotation of Phenotypic Individual-cell Responses) to characterize phenotypic cellular responses from time series imaging datasets. Hidden Markov modeling is used to infer and annotate morphological state and state-switching properties from image-derived cell shape measurements. Time series modeling is performed on each cell individually, making the approach broadly useful for analyzing asynchronous cell populations. Two-color fluorescent cells simultaneously expressing actin and nuclear reporters enabled us to profile temporal changes in cell shape following pharmacological inhibition of cytoskeleton-regulatory signaling pathways. Results are compared with existing approaches conventionally applied to fixed-cell imaging datasets, and indicate that time series modeling captures heterogeneous dynamic cellular responses that can improve drug classification and offer additional important insight into mechanisms of drug action. The software is available at http://saphire-hcs.org.

The analysis of time series: an introduction

National Research Council Canada - National Science Library

Chatfield, Christopher

1989-01-01

.... A variety of practical examples are given to support the theory. The book covers a wide range of time-series topics, including probability models for time series, Box-Jenkins forecasting, spectral analysis, linear systems and system identification...

Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

NARCIS (Netherlands)

Durbin, J.; Koopman, S.J.M.

1998-01-01

The analysis of non-Gaussian time series using state space models is considered from both classical and Bayesian perspectives. The treatment in both cases is based on simulation using importance sampling and antithetic variables; Monte Carlo Markov chain methods are not employed. Non-Gaussian

A Seasonal Time-Series Model Based on Gene Expression Programming for Predicting Financial Distress.

Science.gov (United States)

Cheng, Ching-Hsue; Chan, Chia-Pang; Yang, Jun-He

2018-01-01

The issue of financial distress prediction plays an important and challenging research topic in the financial field. Currently, there have been many methods for predicting firm bankruptcy and financial crisis, including the artificial intelligence and the traditional statistical methods, and the past studies have shown that the prediction result of the artificial intelligence method is better than the traditional statistical method. Financial statements are quarterly reports; hence, the financial crisis of companies is seasonal time-series data, and the attribute data affecting the financial distress of companies is nonlinear and nonstationary time-series data with fluctuations. Therefore, this study employed the nonlinear attribute selection method to build a nonlinear financial distress prediction model: that is, this paper proposed a novel seasonal time-series gene expression programming model for predicting the financial distress of companies. The proposed model has several advantages including the following: (i) the proposed model is different from the previous models lacking the concept of time series; (ii) the proposed integrated attribute selection method can find the core attributes and reduce high dimensional data; and (iii) the proposed model can generate the rules and mathematical formulas of financial distress for providing references to the investors and decision makers. The result shows that the proposed method is better than the listing classifiers under three criteria; hence, the proposed model has competitive advantages in predicting the financial distress of companies.

A Personalized Predictive Framework for Multivariate Clinical Time Series via Adaptive Model Selection.

Science.gov (United States)

Liu, Zitao; Hauskrecht, Milos

2017-11-01

Building of an accurate predictive model of clinical time series for a patient is critical for understanding of the patient condition, its dynamics, and optimal patient management. Unfortunately, this process is not straightforward. First, patient-specific variations are typically large and population-based models derived or learned from many different patients are often unable to support accurate predictions for each individual patient. Moreover, time series observed for one patient at any point in time may be too short and insufficient to learn a high-quality patient-specific model just from the patient's own data. To address these problems we propose, develop and experiment with a new adaptive forecasting framework for building multivariate clinical time series models for a patient and for supporting patient-specific predictions. The framework relies on the adaptive model switching approach that at any point in time selects the most promising time series model out of the pool of many possible models, and consequently, combines advantages of the population, patient-specific and short-term individualized predictive models. We demonstrate that the adaptive model switching framework is very promising approach to support personalized time series prediction, and that it is able to outperform predictions based on pure population and patient-specific models, as well as, other patient-specific model adaptation strategies.

Object-Based Classification of Grasslands from High Resolution Satellite Image Time Series Using Gaussian Mean Map Kernels

Directory of Open Access Journals (Sweden)

Mailys Lopes

2017-07-01

Full Text Available This paper deals with the classification of grasslands using high resolution satellite image time series. Grasslands considered in this work are semi-natural elements in fragmented landscapes, i.e., they are heterogeneous and small elements. The first contribution of this study is to account for grassland heterogeneity while working at the object level by modeling its pixels distributions by a Gaussian distribution. To measure the similarity between two grasslands, a new kernel is proposed as a second contribution: the α -Gaussian mean kernel. It allows one to weight the influence of the covariance matrix when comparing two Gaussian distributions. This kernel is introduced in support vector machines for the supervised classification of grasslands from southwest France. A dense intra-annual multispectral time series of the Formosat-2 satellite is used for the classification of grasslands’ management practices, while an inter-annual NDVI time series of Formosat-2 is used for old and young grasslands’ discrimination. Results are compared to other existing pixel- and object-based approaches in terms of classification accuracy and processing time. The proposed method is shown to be a good compromise between processing speed and classification accuracy. It can adapt to the classification constraints, and it encompasses several similarity measures known in the literature. It is appropriate for the classification of small and heterogeneous objects such as grasslands.

Time series modeling in traffic safety research.

Science.gov (United States)

Lavrenz, Steven M; Vlahogianni, Eleni I; Gkritza, Konstantina; Ke, Yue

2018-08-01

The use of statistical models for analyzing traffic safety (crash) data has been well-established. However, time series techniques have traditionally been underrepresented in the corresponding literature, due to challenges in data collection, along with a limited knowledge of proper methodology. In recent years, new types of high-resolution traffic safety data, especially in measuring driver behavior, have made time series modeling techniques an increasingly salient topic of study. Yet there remains a dearth of information to guide analysts in their use. This paper provides an overview of the state of the art in using time series models in traffic safety research, and discusses some of the fundamental techniques and considerations in classic time series modeling. It also presents ongoing and future opportunities for expanding the use of time series models, and explores newer modeling techniques, including computational intelligence models, which hold promise in effectively handling ever-larger data sets. The information contained herein is meant to guide safety researchers in understanding this broad area of transportation data analysis, and provide a framework for understanding safety trends that can influence policy-making. Copyright © 2017 Elsevier Ltd. All rights reserved.

Forecasting nonlinear chaotic time series with function expression method based on an improved genetic-simulated annealing algorithm.

Science.gov (United States)

Wang, Jun; Zhou, Bi-hua; Zhou, Shu-dao; Sheng, Zheng

2015-01-01

The paper proposes a novel function expression method to forecast chaotic time series, using an improved genetic-simulated annealing (IGSA) algorithm to establish the optimum function expression that describes the behavior of time series. In order to deal with the weakness associated with the genetic algorithm, the proposed algorithm incorporates the simulated annealing operation which has the strong local search ability into the genetic algorithm to enhance the performance of optimization; besides, the fitness function and genetic operators are also improved. Finally, the method is applied to the chaotic time series of Quadratic and Rossler maps for validation. The effect of noise in the chaotic time series is also studied numerically. The numerical results verify that the method can forecast chaotic time series with high precision and effectiveness, and the forecasting precision with certain noise is also satisfactory. It can be concluded that the IGSA algorithm is energy-efficient and superior.

Time series prediction: statistical and neural techniques

Science.gov (United States)

Zahirniak, Daniel R.; DeSimio, Martin P.

1996-03-01

In this paper we compare the performance of nonlinear neural network techniques to those of linear filtering techniques in the prediction of time series. Specifically, we compare the results of using the nonlinear systems, known as multilayer perceptron and radial basis function neural networks, with the results obtained using the conventional linear Wiener filter, Kalman filter and Widrow-Hoff adaptive filter in predicting future values of stationary and non- stationary time series. Our results indicate the performance of each type of system is heavily dependent upon the form of the time series being predicted and the size of the system used. In particular, the linear filters perform adequately for linear or near linear processes while the nonlinear systems perform better for nonlinear processes. Since the linear systems take much less time to be developed, they should be tried prior to using the nonlinear systems when the linearity properties of the time series process are unknown.

Deriving crop calendar using NDVI time-series

Science.gov (United States)

Patel, J. H.; Oza, M. P.

2014-11-01

Agricultural intensification is defined in terms as cropping intensity, which is the numbers of crops (single, double and triple) per year in a unit cropland area. Information about crop calendar (i.e. number of crops in a parcel of land and their planting & harvesting dates and date of peak vegetative stage) is essential for proper management of agriculture. Remote sensing sensors provide a regular, consistent and reliable measurement of vegetation response at various growth stages of crop. Therefore it is ideally suited for monitoring purpose. The spectral response of vegetation, as measured by the Normalized Difference Vegetation Index (NDVI) and its profiles, can provide a new dimension for describing vegetation growth cycle. The analysis based on values of NDVI at regular time interval provides useful information about various crop growth stages and performance of crop in a season. However, the NDVI data series has considerable amount of local fluctuation in time domain and needs to be smoothed so that dominant seasonal behavior is enhanced. Based on temporal analysis of smoothed NDVI series, it is possible to extract number of crop cycles per year and their crop calendar. In the present study, a methodology is developed to extract key elements of crop growth cycle (i.e. number of crops per year and their planting - peak - harvesting dates). This is illustrated by analysing MODIS-NDVI data series of one agricultural year (from June 2012 to May 2013) over Gujarat. Such an analysis is very useful for analysing dynamics of kharif and rabi crops.

On Stabilizing the Variance of Dynamic Functional Brain Connectivity Time Series.

Science.gov (United States)

Thompson, William Hedley; Fransson, Peter

2016-12-01

Assessment of dynamic functional brain connectivity based on functional magnetic resonance imaging (fMRI) data is an increasingly popular strategy to investigate temporal dynamics of the brain's large-scale network architecture. Current practice when deriving connectivity estimates over time is to use the Fisher transformation, which aims to stabilize the variance of correlation values that fluctuate around varying true correlation values. It is, however, unclear how well the stabilization of signal variance performed by the Fisher transformation works for each connectivity time series, when the true correlation is assumed to be fluctuating. This is of importance because many subsequent analyses either assume or perform better when the time series have stable variance or adheres to an approximate Gaussian distribution. In this article, using simulations and analysis of resting-state fMRI data, we analyze the effect of applying different variance stabilization strategies on connectivity time series. We focus our investigation on the Fisher transformation, the Box-Cox (BC) transformation and an approach that combines both transformations. Our results show that, if the intention of stabilizing the variance is to use metrics on the time series, where stable variance or a Gaussian distribution is desired (e.g., clustering), the Fisher transformation is not optimal and may even skew connectivity time series away from being Gaussian. Furthermore, we show that the suboptimal performance of the Fisher transformation can be substantially improved by including an additional BC transformation after the dynamic functional connectivity time series has been Fisher transformed.

Time-series-analysis techniques applied to nuclear-material accounting

International Nuclear Information System (INIS)

Pike, D.H.; Morrison, G.W.; Downing, D.J.

1982-05-01

This document is designed to introduce the reader to the applications of Time Series Analysis techniques to Nuclear Material Accountability data. Time series analysis techniques are designed to extract information from a collection of random variables ordered by time by seeking to identify any trends, patterns, or other structure in the series. Since nuclear material accountability data is a time series, one can extract more information using time series analysis techniques than by using other statistical techniques. Specifically, the objective of this document is to examine the applicability of time series analysis techniques to enhance loss detection of special nuclear materials. An introductory section examines the current industry approach which utilizes inventory differences. The error structure of inventory differences is presented. Time series analysis techniques discussed include the Shewhart Control Chart, the Cumulative Summation of Inventory Differences Statistics (CUSUM) and the Kalman Filter and Linear Smoother

Estimating the level of dynamical noise in time series by using fractal dimensions

Energy Technology Data Exchange (ETDEWEB)

Sase, Takumi, E-mail: sase@sat.t.u-tokyo.ac.jp [Graduate School of Information Science and Technology, The University of Tokyo, Tokyo 153-8505 (Japan); Ramírez, Jonatán Peña [CONACYT Research Fellow, Center for Scientific Research and Higher Education at Ensenada (CICESE), Carretera Ensenada-Tijuana No. 3918, Zona Playitas, C.P. 22860, Ensenada, Baja California (Mexico); Kitajo, Keiichi [BSI-Toyota Collaboration Center, RIKEN Brain Science Institute, Wako, Saitama 351-0198 (Japan); Aihara, Kazuyuki; Hirata, Yoshito [Graduate School of Information Science and Technology, The University of Tokyo, Tokyo 153-8505 (Japan); Institute of Industrial Science, The University of Tokyo, Tokyo 153-8505 (Japan)

2016-03-11

We present a method for estimating the dynamical noise level of a ‘short’ time series even if the dynamical system is unknown. The proposed method estimates the level of dynamical noise by calculating the fractal dimensions of the time series. Additionally, the method is applied to EEG data to demonstrate its possible effectiveness as an indicator of temporal changes in the level of dynamical noise. - Highlights: • A dynamical noise level estimator for time series is proposed. • The estimator does not need any information about the dynamics generating the time series. • The estimator is based on a novel definition of time series dimension (TSD). • It is demonstrated that there exists a monotonic relationship between the • TSD and the level of dynamical noise. • We apply the proposed method to human electroencephalographic data.

Estimating the level of dynamical noise in time series by using fractal dimensions

International Nuclear Information System (INIS)

Sase, Takumi; Ramírez, Jonatán Peña; Kitajo, Keiichi; Aihara, Kazuyuki; Hirata, Yoshito

2016-01-01

We present a method for estimating the dynamical noise level of a ‘short’ time series even if the dynamical system is unknown. The proposed method estimates the level of dynamical noise by calculating the fractal dimensions of the time series. Additionally, the method is applied to EEG data to demonstrate its possible effectiveness as an indicator of temporal changes in the level of dynamical noise. - Highlights: • A dynamical noise level estimator for time series is proposed. • The estimator does not need any information about the dynamics generating the time series. • The estimator is based on a novel definition of time series dimension (TSD). • It is demonstrated that there exists a monotonic relationship between the • TSD and the level of dynamical noise. • We apply the proposed method to human electroencephalographic data.

Constructing networks from a dynamical system perspective for multivariate nonlinear time series.

Science.gov (United States)

Nakamura, Tomomichi; Tanizawa, Toshihiro; Small, Michael

2016-03-01

We describe a method for constructing networks for multivariate nonlinear time series. We approach the interaction between the various scalar time series from a deterministic dynamical system perspective and provide a generic and algorithmic test for whether the interaction between two measured time series is statistically significant. The method can be applied even when the data exhibit no obvious qualitative similarity: a situation in which the naive method utilizing the cross correlation function directly cannot correctly identify connectivity. To establish the connectivity between nodes we apply the previously proposed small-shuffle surrogate (SSS) method, which can investigate whether there are correlation structures in short-term variabilities (irregular fluctuations) between two data sets from the viewpoint of deterministic dynamical systems. The procedure to construct networks based on this idea is composed of three steps: (i) each time series is considered as a basic node of a network, (ii) the SSS method is applied to verify the connectivity between each pair of time series taken from the whole multivariate time series, and (iii) the pair of nodes is connected with an undirected edge when the null hypothesis cannot be rejected. The network constructed by the proposed method indicates the intrinsic (essential) connectivity of the elements included in the system or the underlying (assumed) system. The method is demonstrated for numerical data sets generated by known systems and applied to several experimental time series.

Classification of time series patterns from complex dynamic systems

Energy Technology Data Exchange (ETDEWEB)

Schryver, J.C.; Rao, N.

1998-07-01

An increasing availability of high-performance computing and data storage media at decreasing cost is making possible the proliferation of large-scale numerical databases and data warehouses. Numeric warehousing enterprises on the order of hundreds of gigabytes to terabytes are a reality in many fields such as finance, retail sales, process systems monitoring, biomedical monitoring, surveillance and transportation. Large-scale databases are becoming more accessible to larger user communities through the internet, web-based applications and database connectivity. Consequently, most researchers now have access to a variety of massive datasets. This trend will probably only continue to grow over the next several years. Unfortunately, the availability of integrated tools to explore, analyze and understand the data warehoused in these archives is lagging far behind the ability to gain access to the same data. In particular, locating and identifying patterns of interest in numerical time series data is an increasingly important problem for which there are few available techniques. Temporal pattern recognition poses many interesting problems in classification, segmentation, prediction, diagnosis and anomaly detection. This research focuses on the problem of classification or characterization of numerical time series data. Highway vehicles and their drivers are examples of complex dynamic systems (CDS) which are being used by transportation agencies for field testing to generate large-scale time series datasets. Tools for effective analysis of numerical time series in databases generated by highway vehicle systems are not yet available, or have not been adapted to the target problem domain. However, analysis tools from similar domains may be adapted to the problem of classification of numerical time series data.

Clinical and epidemiological rounds. Time series

Directory of Open Access Journals (Sweden)

León-Álvarez, Alba Luz

2016-07-01

Full Text Available Analysis of time series is a technique that implicates the study of individuals or groups observed in successive moments in time. This type of analysis allows the study of potential causal relationships between different variables that change over time and relate to each other. It is the most important technique to make inferences about the future, predicting, on the basis or what has happened in the past and it is applied in different disciplines of knowledge. Here we discuss different components of time series, the analysis technique and specific examples in health research.

On-line analysis of reactor noise using time-series analysis

International Nuclear Information System (INIS)

McGevna, V.G.

1981-10-01

A method to allow use of time series analysis for on-line noise analysis has been developed. On-line analysis of noise in nuclear power reactors has been limited primarily to spectral analysis and related frequency domain techniques. Time series analysis has many distinct advantages over spectral analysis in the automated processing of reactor noise. However, fitting an autoregressive-moving average (ARMA) model to time series data involves non-linear least squares estimation. Unless a high speed, general purpose computer is available, the calculations become too time consuming for on-line applications. To eliminate this problem, a special purpose algorithm was developed for fitting ARMA models. While it is based on a combination of steepest descent and Taylor series linearization, properties of the ARMA model are used so that the auto- and cross-correlation functions can be used to eliminate the need for estimating derivatives. The number of calculations, per iteration varies lineegardless of the mee 0.2% yield strength displayed anisotropy, with axial and circumferential values being greater than radial. For CF8-CPF8 and CF8M-CPF8M castings to meet current ASME Code S acid fuel cells

Automated time series forecasting for biosurveillance.

Science.gov (United States)

Burkom, Howard S; Murphy, Sean Patrick; Shmueli, Galit

2007-09-30

For robust detection performance, traditional control chart monitoring for biosurveillance is based on input data free of trends, day-of-week effects, and other systematic behaviour. Time series forecasting methods may be used to remove this behaviour by subtracting forecasts from observations to form residuals for algorithmic input. We describe three forecast methods and compare their predictive accuracy on each of 16 authentic syndromic data streams. The methods are (1) a non-adaptive regression model using a long historical baseline, (2) an adaptive regression model with a shorter, sliding baseline, and (3) the Holt-Winters method for generalized exponential smoothing. Criteria for comparing the forecasts were the root-mean-square error, the median absolute per cent error (MedAPE), and the median absolute deviation. The median-based criteria showed best overall performance for the Holt-Winters method. The MedAPE measures over the 16 test series averaged 16.5, 11.6, and 9.7 for the non-adaptive regression, adaptive regression, and Holt-Winters methods, respectively. The non-adaptive regression forecasts were degraded by changes in the data behaviour in the fixed baseline period used to compute model coefficients. The mean-based criterion was less conclusive because of the effects of poor forecasts on a small number of calendar holidays. The Holt-Winters method was also most effective at removing serial autocorrelation, with most 1-day-lag autocorrelation coefficients below 0.15. The forecast methods were compared without tuning them to the behaviour of individual series. We achieved improved predictions with such tuning of the Holt-Winters method, but practical use of such improvements for routine surveillance will require reliable data classification methods.

Integer-valued time series

NARCIS (Netherlands)

van den Akker, R.

2007-01-01

This thesis adresses statistical problems in econometrics. The first part contributes statistical methodology for nonnegative integer-valued time series. The second part of this thesis discusses semiparametric estimation in copula models and develops semiparametric lower bounds for a large class of

Robust Forecasting of Non-Stationary Time Series

NARCIS (Netherlands)

Croux, C.; Fried, R.; Gijbels, I.; Mahieu, K.

2010-01-01

This paper proposes a robust forecasting method for non-stationary time series. The time series is modelled using non-parametric heteroscedastic regression, and fitted by a localized MM-estimator, combining high robustness and large efficiency. The proposed method is shown to produce reliable

Testing for Stationarity and Nonlinearity of Daily Streamflow Time Series Based on Different Statistical Tests (Case Study: Upstream Basin Rivers of Zarrineh Roud Dam

Directory of Open Access Journals (Sweden)

Farshad Fathian

2017-02-01

Full Text Available Introduction: Time series models are one of the most important tools for investigating and modeling hydrological processes in order to solve problems related to water resources management. Many hydrological time series shows nonstationary and nonlinear behaviors. One of the important hydrological modeling tasks is determining the existence of nonstationarity and the way through which we can access the stationarity accordingly. On the other hand, streamflow processes are usually considered as nonlinear mechanisms while in many studies linear time series models are used to model streamflow time series. However, it is not clear what kind of nonlinearity is acting underlying the streamflowprocesses and how intensive it is. Materials and Methods: Streamflow time series of 6 hydro-gauge stations located in the upstream basin rivers of ZarrinehRoud dam (located in the southern part of Urmia Lake basin have been considered to investigate stationarity and nonlinearity. All data series used here to startfrom January 1, 1997, and end on December 31, 2011. In this study, stationarity is tested by ADF and KPSS tests and nonlinearity is tested by BDS, Keenan and TLRT tests. The stationarity test is carried out with two methods. Thefirst one method is the augmented Dickey-Fuller (ADF unit root test first proposed by Dickey and Fuller (1979 and modified by Said and Dickey (1984, which examinsthe presence of unit roots in time series.The second onemethod is KPSS test, proposed by Kwiatkowski et al. (1992, which examinesthestationarity around a deterministic trend (trend stationarity and the stationarity around a fixed level (level stationarity. The BDS test (Brock et al., 1996 is a nonparametric method for testing the serial independence and nonlinear structure in time series based on the correlation integral of the series. The null hypothesis is the time series sample comes from an independent identically distributed (i.i.d. process. The alternative hypothesis

Sensitivity analysis of machine-learning models of hydrologic time series

Science.gov (United States)

O'Reilly, A. M.

2017-12-01

Sensitivity analysis traditionally has been applied to assessing model response to perturbations in model parameters, where the parameters are those model input variables adjusted during calibration. Unlike physics-based models where parameters represent real phenomena, the equivalent of parameters for machine-learning models are simply mathematical "knobs" that are automatically adjusted during training/testing/verification procedures. Thus the challenge of extracting knowledge of hydrologic system functionality from machine-learning models lies in their very nature, leading to the label "black box." Sensitivity analysis of the forcing-response behavior of machine-learning models, however, can provide understanding of how the physical phenomena represented by model inputs affect the physical phenomena represented by model outputs.As part of a previous study, hybrid spectral-decomposition artificial neural network (ANN) models were developed to simulate the observed behavior of hydrologic response contained in multidecadal datasets of lake water level, groundwater level, and spring flow. Model inputs used moving window averages (MWA) to represent various frequencies and frequency-band components of time series of rainfall and groundwater use. Using these forcing time series, the MWA-ANN models were trained to predict time series of lake water level, groundwater level, and spring flow at 51 sites in central Florida, USA. A time series of sensitivities for each MWA-ANN model was produced by perturbing forcing time-series and computing the change in response time-series per unit change in perturbation. Variations in forcing-response sensitivities are evident between types (lake, groundwater level, or spring), spatially (among sites of the same type), and temporally. Two generally common characteristics among sites are more uniform sensitivities to rainfall over time and notable increases in sensitivities to groundwater usage during significant drought periods.

New significance test methods for Fourier analysis of geophysical time series

Directory of Open Access Journals (Sweden)

Z. Zhang

2011-09-01

Full Text Available When one applies the discrete Fourier transform to analyze finite-length time series, discontinuities at the data boundaries will distort its Fourier power spectrum. In this paper, based on a rigid statistics framework, we present a new significance test method which can extract the intrinsic feature of a geophysical time series very well. We show the difference in significance level compared with traditional Fourier tests by analyzing the Arctic Oscillation (AO and the Nino3.4 time series. In the AO, we find significant peaks at about 2.8, 4.3, and 5.7 yr periods and in Nino3.4 at about 12 yr period in tests against red noise. These peaks are not significant in traditional tests.

Modeling the impact of forecast-based regime switches on macroeconomic time series

NARCIS (Netherlands)

K. Bel (Koen); R. Paap (Richard)

2013-01-01

textabstractForecasts of key macroeconomic variables may lead to policy changes of governments, central banks and other economic agents. Policy changes in turn lead to structural changes in macroeconomic time series models. To describe this phenomenon we introduce a logistic smooth transition

A Seasonal Time-Series Model Based on Gene Expression Programming for Predicting Financial Distress

Science.gov (United States)

2018-01-01

The issue of financial distress prediction plays an important and challenging research topic in the financial field. Currently, there have been many methods for predicting firm bankruptcy and financial crisis, including the artificial intelligence and the traditional statistical methods, and the past studies have shown that the prediction result of the artificial intelligence method is better than the traditional statistical method. Financial statements are quarterly reports; hence, the financial crisis of companies is seasonal time-series data, and the attribute data affecting the financial distress of companies is nonlinear and nonstationary time-series data with fluctuations. Therefore, this study employed the nonlinear attribute selection method to build a nonlinear financial distress prediction model: that is, this paper proposed a novel seasonal time-series gene expression programming model for predicting the financial distress of companies. The proposed model has several advantages including the following: (i) the proposed model is different from the previous models lacking the concept of time series; (ii) the proposed integrated attribute selection method can find the core attributes and reduce high dimensional data; and (iii) the proposed model can generate the rules and mathematical formulas of financial distress for providing references to the investors and decision makers. The result shows that the proposed method is better than the listing classifiers under three criteria; hence, the proposed model has competitive advantages in predicting the financial distress of companies. PMID:29765399

A Seasonal Time-Series Model Based on Gene Expression Programming for Predicting Financial Distress

Directory of Open Access Journals (Sweden)

Ching-Hsue Cheng

2018-01-01

Full Text Available The issue of financial distress prediction plays an important and challenging research topic in the financial field. Currently, there have been many methods for predicting firm bankruptcy and financial crisis, including the artificial intelligence and the traditional statistical methods, and the past studies have shown that the prediction result of the artificial intelligence method is better than the traditional statistical method. Financial statements are quarterly reports; hence, the financial crisis of companies is seasonal time-series data, and the attribute data affecting the financial distress of companies is nonlinear and nonstationary time-series data with fluctuations. Therefore, this study employed the nonlinear attribute selection method to build a nonlinear financial distress prediction model: that is, this paper proposed a novel seasonal time-series gene expression programming model for predicting the financial distress of companies. The proposed model has several advantages including the following: (i the proposed model is different from the previous models lacking the concept of time series; (ii the proposed integrated attribute selection method can find the core attributes and reduce high dimensional data; and (iii the proposed model can generate the rules and mathematical formulas of financial distress for providing references to the investors and decision makers. The result shows that the proposed method is better than the listing classifiers under three criteria; hence, the proposed model has competitive advantages in predicting the financial distress of companies.

Trend Change Detection in NDVI Time Series: Effects of Inter-Annual Variability and Methodology

Science.gov (United States)

Forkel, Matthias; Carvalhais, Nuno; Verbesselt, Jan; Mahecha, Miguel D.; Neigh, Christopher S.R.; Reichstein, Markus

2013-01-01

Changing trends in ecosystem productivity can be quantified using satellite observations of Normalized Difference Vegetation Index (NDVI). However, the estimation of trends from NDVI time series differs substantially depending on analyzed satellite dataset, the corresponding spatiotemporal resolution, and the applied statistical method. Here we compare the performance of a wide range of trend estimation methods and demonstrate that performance decreases with increasing inter-annual variability in the NDVI time series. Trend slope estimates based on annual aggregated time series or based on a seasonal-trend model show better performances than methods that remove the seasonal cycle of the time series. A breakpoint detection analysis reveals that an overestimation of breakpoints in NDVI trends can result in wrong or even opposite trend estimates. Based on our results, we give practical recommendations for the application of trend methods on long-term NDVI time series. Particularly, we apply and compare different methods on NDVI time series in Alaska, where both greening and browning trends have been previously observed. Here, the multi-method uncertainty of NDVI trends is quantified through the application of the different trend estimation methods. Our results indicate that greening NDVI trends in Alaska are more spatially and temporally prevalent than browning trends. We also show that detected breakpoints in NDVI trends tend to coincide with large fires. Overall, our analyses demonstrate that seasonal trend methods need to be improved against inter-annual variability to quantify changing trends in ecosystem productivity with higher accuracy.

A general statistical test for correlations in a finite-length time series.

Science.gov (United States)

Hanson, Jeffery A; Yang, Haw

2008-06-07

The statistical properties of the autocorrelation function from a time series composed of independently and identically distributed stochastic variables has been studied. Analytical expressions for the autocorrelation function's variance have been derived. It has been found that two common ways of calculating the autocorrelation, moving-average and Fourier transform, exhibit different uncertainty characteristics. For periodic time series, the Fourier transform method is preferred because it gives smaller uncertainties that are uniform through all time lags. Based on these analytical results, a statistically robust method has been proposed to test the existence of correlations in a time series. The statistical test is verified by computer simulations and an application to single-molecule fluorescence spectroscopy is discussed.

Toward automatic time-series forecasting using neural networks.

Science.gov (United States)

Yan, Weizhong

2012-07-01

Over the past few decades, application of artificial neural networks (ANN) to time-series forecasting (TSF) has been growing rapidly due to several unique features of ANN models. However, to date, a consistent ANN performance over different studies has not been achieved. Many factors contribute to the inconsistency in the performance of neural network models. One such factor is that ANN modeling involves determining a large number of design parameters, and the current design practice is essentially heuristic and ad hoc, this does not exploit the full potential of neural networks. Systematic ANN modeling processes and strategies for TSF are, therefore, greatly needed. Motivated by this need, this paper attempts to develop an automatic ANN modeling scheme. It is based on the generalized regression neural network (GRNN), a special type of neural network. By taking advantage of several GRNN properties (i.e., a single design parameter and fast learning) and by incorporating several design strategies (e.g., fusing multiple GRNNs), we have been able to make the proposed modeling scheme to be effective for modeling large-scale business time series. The initial model was entered into the NN3 time-series competition. It was awarded the best prediction on the reduced dataset among approximately 60 different models submitted by scholars worldwide.

Chaotic characteristic of electromagnetic radiation time series of coal or rock under different scales

Energy Technology Data Exchange (ETDEWEB)

Zhen-Tang Liu; En-Lai Zhao; En-Yuan Wang; Jing Wang [China University of Mining and Technology, Xuzhou (China). School of Safety Engineering

2009-02-15

Based on chaos theory, the chaotic characteristics of electromagnetic radiation time series of coal or rock under different loads was studied. The results show that the correlation of electromagnetic radiation time series of small-scale coal or rock and coal mine converges to a stable saturation value, which shows that these electromagnetic radiation time series have chaos characteristics. When there is danger of coal seam burst, the value of the saturation correlation dimension D{sub 2} of the electromagnetic radiation time series is bigger and it changes greatly; when there is no danger, its value is smaller and changes smoothly. The change of saturation correlation of electromagnetic radiation time series can be used to forecast coal or rock dynamic disasters. 11 refs., 4 figs.

Complex network approach to fractional time series

Energy Technology Data Exchange (ETDEWEB)

Manshour, Pouya [Physics Department, Persian Gulf University, Bushehr 75169 (Iran, Islamic Republic of)

2015-10-15

In order to extract correlation information inherited in stochastic time series, the visibility graph algorithm has been recently proposed, by which a time series can be mapped onto a complex network. We demonstrate that the visibility algorithm is not an appropriate one to study the correlation aspects of a time series. We then employ the horizontal visibility algorithm, as a much simpler one, to map fractional processes onto complex networks. The degree distributions are shown to have parabolic exponential forms with Hurst dependent fitting parameter. Further, we take into account other topological properties such as maximum eigenvalue of the adjacency matrix and the degree assortativity, and show that such topological quantities can also be used to predict the Hurst exponent, with an exception for anti-persistent fractional Gaussian noises. To solve this problem, we take into account the Spearman correlation coefficient between nodes' degrees and their corresponding data values in the original time series.

Simulation of Ground Winds Time Series for the NASA Crew Launch Vehicle (CLV)

Science.gov (United States)

Adelfang, Stanley I.

2008-01-01

Simulation of wind time series based on power spectrum density (PSD) and spectral coherence models for ground wind turbulence is described. The wind models, originally developed for the Shuttle program, are based on wind measurements at the NASA 150-m meteorological tower at Cape Canaveral, FL. The current application is for the design and/or protection of the CLV from wind effects during on-pad exposure during periods from as long as days prior to launch, to seconds or minutes just prior to launch and seconds after launch. The evaluation of vehicle response to wind will influence the design and operation of constraint systems for support of the on-pad vehicle. Longitudinal and lateral wind component time series are simulated at critical vehicle locations. The PSD model for wind turbulence is a function of mean wind speed, elevation and temporal frequency. Integration of the PSD equation over a selected frequency range yields the variance of the time series to be simulated. The square root of the PSD defines a low-pass filter that is applied to adjust the components of the Fast Fourier Transform (FFT) of Gaussian white noise. The first simulated time series near the top of the launch vehicle is the inverse transform of the adjusted FFT. Simulation of the wind component time series at the nearest adjacent location (and all other succeeding next nearest locations) is based on a model for the coherence between winds at two locations as a function of frequency and separation distance, where the adjacent locations are separated vertically and/or horizontally. The coherence function is used to calculate a coherence weighted FFT of the wind at the next nearest location, given the FFT of the simulated time series at the previous location and the essentially incoherent FFT of the wind at the selected location derived a priori from the PSD model. The simulated time series at each adjacent location is the inverse Fourier transform of the coherence weighted FFT. For a selected

Characterizing and estimating noise in InSAR and InSAR time series with MODIS

Science.gov (United States)

Barnhart, William D.; Lohman, Rowena B.

2013-01-01

InSAR time series analysis is increasingly used to image subcentimeter displacement rates of the ground surface. The precision of InSAR observations is often affected by several noise sources, including spatially correlated noise from the turbulent atmosphere. Under ideal scenarios, InSAR time series techniques can substantially mitigate these effects; however, in practice the temporal distribution of InSAR acquisitions over much of the world exhibit seasonal biases, long temporal gaps, and insufficient acquisitions to confidently obtain the precisions desired for tectonic research. Here, we introduce a technique for constraining the magnitude of errors expected from atmospheric phase delays on the ground displacement rates inferred from an InSAR time series using independent observations of precipitable water vapor from MODIS. We implement a Monte Carlo error estimation technique based on multiple (100+) MODIS-based time series that sample date ranges close to the acquisitions times of the available SAR imagery. This stochastic approach allows evaluation of the significance of signals present in the final time series product, in particular their correlation with topography and seasonality. We find that topographically correlated noise in individual interferograms is not spatially stationary, even over short-spatial scales (<10 km). Overall, MODIS-inferred displacements and velocities exhibit errors of similar magnitude to the variability within an InSAR time series. We examine the MODIS-based confidence bounds in regions with a range of inferred displacement rates, and find we are capable of resolving velocities as low as 1.5 mm/yr with uncertainties increasing to ∼6 mm/yr in regions with higher topographic relief.

A Non-standard Empirical Likelihood for Time Series

DEFF Research Database (Denmark)

Nordman, Daniel J.; Bunzel, Helle; Lahiri, Soumendra N.

Standard blockwise empirical likelihood (BEL) for stationary, weakly dependent time series requires specifying a fixed block length as a tuning parameter for setting confidence regions. This aspect can be difficult and impacts coverage accuracy. As an alternative, this paper proposes a new version...... of BEL based on a simple, though non-standard, data-blocking rule which uses a data block of every possible length. Consequently, the method involves no block selection and is also anticipated to exhibit better coverage performance. Its non-standard blocking scheme, however, induces non......-standard asymptotics and requires a significantly different development compared to standard BEL. We establish the large-sample distribution of log-ratio statistics from the new BEL method for calibrating confidence regions for mean or smooth function parameters of time series. This limit law is not the usual chi...

The foundations of modern time series analysis

CERN Document Server

Mills, Terence C

2011-01-01

This book develops the analysis of Time Series from its formal beginnings in the 1890s through to the publication of Box and Jenkins' watershed publication in 1970, showing how these methods laid the foundations for the modern techniques of Time Series analysis that are in use today.

a novel two – factor high order fuzzy time series with applications to ...

African Journals Online (AJOL)

HOD

objectively with multiple – factor fuzzy time series, recurrent number of fuzzy relationships, and assigning weights to elements of fuzzy forecasting rules. In this paper, a novel two – factor high – order fuzzy time series forecasting method based on fuzzy C-means clustering and particle swarm optimization is proposed to ...

Assessing Coupling Dynamics from an Ensemble of Time Series

Directory of Open Access Journals (Sweden)

Germán Gómez-Herrero

2015-04-01

Full Text Available Finding interdependency relations between time series provides valuable knowledge about the processes that generated the signals. Information theory sets a natural framework for important classes of statistical dependencies. However, a reliable estimation from information-theoretic functionals is hampered when the dependency to be assessed is brief or evolves in time. Here, we show that these limitations can be partly alleviated when we have access to an ensemble of independent repetitions of the time series. In particular, we gear a data-efficient estimator of probability densities to make use of the full structure of trial-based measures. By doing so, we can obtain time-resolved estimates for a family of entropy combinations (including mutual information, transfer entropy and their conditional counterparts, which are more accurate than the simple average of individual estimates over trials. We show with simulated and real data generated by coupled electronic circuits that the proposed approach allows one to recover the time-resolved dynamics of the coupling between different subsystems.

Econophysics — complex correlations and trend switchings in financial time series

Science.gov (United States)

Preis, T.

2011-03-01

This article focuses on the analysis of financial time series and their correlations. A method is used for quantifying pattern based correlations of a time series. With this methodology, evidence is found that typical behavioral patterns of financial market participants manifest over short time scales, i.e., that reactions to given price patterns are not entirely random, but that similar price patterns also cause similar reactions. Based on the investigation of the complex correlations in financial time series, the question arises, which properties change when switching from a positive trend to a negative trend. An empirical quantification by rescaling provides the result that new price extrema coincide with a significant increase in transaction volume and a significant decrease in the length of corresponding time intervals between transactions. These findings are independent of the time scale over 9 orders of magnitude, and they exhibit characteristics which one can also find in other complex systems in nature (and in physical systems in particular). These properties are independent of the markets analyzed. Trends that exist only for a few seconds show the same characteristics as trends on time scales of several months. Thus, it is possible to study financial bubbles and their collapses in more detail, because trend switching processes occur with higher frequency on small time scales. In addition, a Monte Carlo based simulation of financial markets is analyzed and extended in order to reproduce empirical features and to gain insight into their causes. These causes include both financial market microstructure and the risk aversion of market participants.

Time series clustering in large data sets

Directory of Open Access Journals (Sweden)

Jiří Fejfar

2011-01-01

Full Text Available The clustering of time series is a widely researched area. There are many methods for dealing with this task. We are actually using the Self-organizing map (SOM with the unsupervised learning algorithm for clustering of time series. After the first experiment (Fejfar, Weinlichová, Šťastný, 2009 it seems that the whole concept of the clustering algorithm is correct but that we have to perform time series clustering on much larger dataset to obtain more accurate results and to find the correlation between configured parameters and results more precisely. The second requirement arose in a need for a well-defined evaluation of results. It seems useful to use sound recordings as instances of time series again. There are many recordings to use in digital libraries, many interesting features and patterns can be found in this area. We are searching for recordings with the similar development of information density in this experiment. It can be used for musical form investigation, cover songs detection and many others applications.The objective of the presented paper is to compare clustering results made with different parameters of feature vectors and the SOM itself. We are describing time series in a simplistic way evaluating standard deviations for separated parts of recordings. The resulting feature vectors are clustered with the SOM in batch training mode with different topologies varying from few neurons to large maps.There are other algorithms discussed, usable for finding similarities between time series and finally conclusions for further research are presented. We also present an overview of the related actual literature and projects.

Transmission of linear regression patterns between time series: from relationship in time series to complex networks.

Science.gov (United States)

Gao, Xiangyun; An, Haizhong; Fang, Wei; Huang, Xuan; Li, Huajiao; Zhong, Weiqiong; Ding, Yinghui

2014-07-01

The linear regression parameters between two time series can be different under different lengths of observation period. If we study the whole period by the sliding window of a short period, the change of the linear regression parameters is a process of dynamic transmission over time. We tackle fundamental research that presents a simple and efficient computational scheme: a linear regression patterns transmission algorithm, which transforms linear regression patterns into directed and weighted networks. The linear regression patterns (nodes) are defined by the combination of intervals of the linear regression parameters and the results of the significance testing under different sizes of the sliding window. The transmissions between adjacent patterns are defined as edges, and the weights of the edges are the frequency of the transmissions. The major patterns, the distance, and the medium in the process of the transmission can be captured. The statistical results of weighted out-degree and betweenness centrality are mapped on timelines, which shows the features of the distribution of the results. Many measurements in different areas that involve two related time series variables could take advantage of this algorithm to characterize the dynamic relationships between the time series from a new perspective.

Lag space estimation in time series modelling

DEFF Research Database (Denmark)

Goutte, Cyril

1997-01-01

The purpose of this article is to investigate some techniques for finding the relevant lag-space, i.e. input information, for time series modelling. This is an important aspect of time series modelling, as it conditions the design of the model through the regressor vector a.k.a. the input layer...

High-order fuzzy time-series based on multi-period adaptation model for forecasting stock markets

Science.gov (United States)

Chen, Tai-Liang; Cheng, Ching-Hsue; Teoh, Hia-Jong

2008-02-01

Stock investors usually make their short-term investment decisions according to recent stock information such as the late market news, technical analysis reports, and price fluctuations. To reflect these short-term factors which impact stock price, this paper proposes a comprehensive fuzzy time-series, which factors linear relationships between recent periods of stock prices and fuzzy logical relationships (nonlinear relationships) mined from time-series into forecasting processes. In empirical analysis, the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) and HSI (Heng Seng Index) are employed as experimental datasets, and four recent fuzzy time-series models, Chen’s (1996), Yu’s (2005), Cheng’s (2006) and Chen’s (2007), are used as comparison models. Besides, to compare with conventional statistic method, the method of least squares is utilized to estimate the auto-regressive models of the testing periods within the databases. From analysis results, the performance comparisons indicate that the multi-period adaptation model, proposed in this paper, can effectively improve the forecasting performance of conventional fuzzy time-series models which only factor fuzzy logical relationships in forecasting processes. From the empirical study, the traditional statistic method and the proposed model both reveal that stock price patterns in the Taiwan stock and Hong Kong stock markets are short-term.

Multiband Prediction Model for Financial Time Series with Multivariate Empirical Mode Decomposition

Directory of Open Access Journals (Sweden)

Md. Rabiul Islam

2012-01-01

Full Text Available This paper presents a subband approach to financial time series prediction. Multivariate empirical mode decomposition (MEMD is employed here for multiband representation of multichannel financial time series together. Autoregressive moving average (ARMA model is used in prediction of individual subband of any time series data. Then all the predicted subband signals are summed up to obtain the overall prediction. The ARMA model works better for stationary signal. With multiband representation, each subband becomes a band-limited (narrow band signal and hence better prediction is achieved. The performance of the proposed MEMD-ARMA model is compared with classical EMD, discrete wavelet transform (DWT, and with full band ARMA model in terms of signal-to-noise ratio (SNR and mean square error (MSE between the original and predicted time series. The simulation results show that the MEMD-ARMA-based method performs better than the other methods.

Time-series prediction and applications a machine intelligence approach

CERN Document Server

Konar, Amit

2017-01-01

This book presents machine learning and type-2 fuzzy sets for the prediction of time-series with a particular focus on business forecasting applications. It also proposes new uncertainty management techniques in an economic time-series using type-2 fuzzy sets for prediction of the time-series at a given time point from its preceding value in fluctuating business environments. It employs machine learning to determine repetitively occurring similar structural patterns in the time-series and uses stochastic automaton to predict the most probabilistic structure at a given partition of the time-series. Such predictions help in determining probabilistic moves in a stock index time-series Primarily written for graduate students and researchers in computer science, the book is equally useful for researchers/professionals in business intelligence and stock index prediction. A background of undergraduate level mathematics is presumed, although not mandatory, for most of the sections. Exercises with tips are provided at...

PSO-MISMO modeling strategy for multistep-ahead time series prediction.

Science.gov (United States)

Bao, Yukun; Xiong, Tao; Hu, Zhongyi

2014-05-01

Multistep-ahead time series prediction is one of the most challenging research topics in the field of time series modeling and prediction, and is continually under research. Recently, the multiple-input several multiple-outputs (MISMO) modeling strategy has been proposed as a promising alternative for multistep-ahead time series prediction, exhibiting advantages compared with the two currently dominating strategies, the iterated and the direct strategies. Built on the established MISMO strategy, this paper proposes a particle swarm optimization (PSO)-based MISMO modeling strategy, which is capable of determining the number of sub-models in a self-adaptive mode, with varying prediction horizons. Rather than deriving crisp divides with equal-size s prediction horizons from the established MISMO, the proposed PSO-MISMO strategy, implemented with neural networks, employs a heuristic to create flexible divides with varying sizes of prediction horizons and to generate corresponding sub-models, providing considerable flexibility in model construction, which has been validated with simulated and real datasets.

Stochastic nature of series of waiting times

Science.gov (United States)

Anvari, Mehrnaz; Aghamohammadi, Cina; Dashti-Naserabadi, H.; Salehi, E.; Behjat, E.; Qorbani, M.; Khazaei Nezhad, M.; Zirak, M.; Hadjihosseini, Ali; Peinke, Joachim; Tabar, M. Reza Rahimi

2013-06-01

Although fluctuations in the waiting time series have been studied for a long time, some important issues such as its long-range memory and its stochastic features in the presence of nonstationarity have so far remained unstudied. Here we find that the “waiting times” series for a given increment level have long-range correlations with Hurst exponents belonging to the interval 1/2time distribution. We find that the logarithmic difference of waiting times series has a short-range correlation, and then we study its stochastic nature using the Markovian method and determine the corresponding Kramers-Moyal coefficients. As an example, we analyze the velocity fluctuations in high Reynolds number turbulence and determine the level dependence of Markov time scales, as well as the drift and diffusion coefficients. We show that the waiting time distributions exhibit power law tails, and we were able to model the distribution with a continuous time random walk.

Cointegration and Error Correction Modelling in Time-Series Analysis: A Brief Introduction

Directory of Open Access Journals (Sweden)

Helmut Thome

2015-07-01

Full Text Available Criminological research is often based on time-series data showing some type of trend movement. Trending time-series may correlate strongly even in cases where no causal relationship exists (spurious causality. To avoid this problem researchers often apply some technique of detrending their data, such as by differencing the series. This approach, however, may bring up another problem: that of spurious non-causality. Both problems can, in principle, be avoided if the series under investigation are “difference-stationary” (if the trend movements are stochastic and “cointegrated” (if the stochastically changing trendmovements in different variables correspond to each other. The article gives a brief introduction to key instruments and interpretative tools applied in cointegration modelling.

Taxation, regulation, and addiction: a demand function for cigarettes based on time-series evidence.

Science.gov (United States)

Keeler, T E; Hu, T W; Barnett, P G; Manning, W G

1993-04-01

This work analyzes the effects of prices, taxes, income, and anti-smoking regulations on the consumption of cigarettes in California (a 25-cent-per-pack state tax increase in 1989 enhances the usefulness of this exercise). Analysis is based on monthly time-series data for 1980 through 1990. Results show a price elasticity of demand for cigarettes in the short run of -0.3 to -0.5 at mean data values, and -0.5 to -0.6 in the long run. We find at least some support for two further hypotheses: that antismoking regulations reduce cigarette consumption, and that consumers behave consistently with the model of rational addiction.

Time series segmentation: a new approach based on Genetic Algorithm and Hidden Markov Model

Science.gov (United States)

Toreti, A.; Kuglitsch, F. G.; Xoplaki, E.; Luterbacher, J.

2009-04-01

The subdivision of a time series into homogeneous segments has been performed using various methods applied to different disciplines. In climatology, for example, it is accompanied by the well-known homogenization problem and the detection of artificial change points. In this context, we present a new method (GAMM) based on Hidden Markov Model (HMM) and Genetic Algorithm (GA), applicable to series of independent observations (and easily adaptable to autoregressive processes). A left-to-right hidden Markov model, estimating the parameters and the best-state sequence, respectively, with the Baum-Welch and Viterbi algorithms, was applied. In order to avoid the well-known dependence of the Baum-Welch algorithm on the initial condition, a Genetic Algorithm was developed. This algorithm is characterized by mutation, elitism and a crossover procedure implemented with some restrictive rules. Moreover the function to be minimized was derived following the approach of Kehagias (2004), i.e. it is the so-called complete log-likelihood. The number of states was determined applying a two-fold cross-validation procedure (Celeux and Durand, 2008). Being aware that the last issue is complex, and it influences all the analysis, a Multi Response Permutation Procedure (MRPP; Mielke et al., 1981) was inserted. It tests the model with K+1 states (where K is the state number of the best model) if its likelihood is close to K-state model. Finally, an evaluation of the GAMM performances, applied as a break detection method in the field of climate time series homogenization, is shown. 1. G. Celeux and J.B. Durand, Comput Stat 2008. 2. A. Kehagias, Stoch Envir Res 2004. 3. P.W. Mielke, K.J. Berry, G.W. Brier, Monthly Wea Rev 1981.

Automated Bayesian model development for frequency detection in biological time series

Directory of Open Access Journals (Sweden)

Oldroyd Giles ED

2011-06-01

the requirement for uniformly sampled data. Biological time series often deviate significantly from the requirements of optimality for Fourier transformation. In this paper we present an alternative approach based on Bayesian inference. We show the value of placing spectral analysis in the framework of Bayesian inference and demonstrate how model comparison can automate this procedure.

Automated Bayesian model development for frequency detection in biological time series.

Science.gov (United States)

Granqvist, Emma; Oldroyd, Giles E D; Morris, Richard J

2011-06-24

A first step in building a mathematical model of a biological system is often the analysis of the temporal behaviour of key quantities. Mathematical relationships between the time and frequency domain, such as Fourier Transforms and wavelets, are commonly used to extract information about the underlying signal from a given time series. This one-to-one mapping from time points to frequencies inherently assumes that both domains contain the complete knowledge of the system. However, for truncated, noisy time series with background trends this unique mapping breaks down and the question reduces to an inference problem of identifying the most probable frequencies. In this paper we build on the method of Bayesian Spectrum Analysis and demonstrate its advantages over conventional methods by applying it to a number of test cases, including two types of biological time series. Firstly, oscillations of calcium in plant root cells in response to microbial symbionts are non-stationary and noisy, posing challenges to data analysis. Secondly, circadian rhythms in gene expression measured over only two cycles highlights the problem of time series with limited length. The results show that the Bayesian frequency detection approach can provide useful results in specific areas where Fourier analysis can be uninformative or misleading. We demonstrate further benefits of the Bayesian approach for time series analysis, such as direct comparison of different hypotheses, inherent estimation of noise levels and parameter precision, and a flexible framework for modelling the data without pre-processing. Modelling in systems biology often builds on the study of time-dependent phenomena. Fourier Transforms are a convenient tool for analysing the frequency domain of time series. However, there are well-known limitations of this method, such as the introduction of spurious frequencies when handling short and noisy time series, and the requirement for uniformly sampled data. Biological time

A novel weight determination method for time series data aggregation

Science.gov (United States)

Xu, Paiheng; Zhang, Rong; Deng, Yong

2017-09-01

Aggregation in time series is of great importance in time series smoothing, predicting and other time series analysis process, which makes it crucial to address the weights in times series correctly and reasonably. In this paper, a novel method to obtain the weights in time series is proposed, in which we adopt induced ordered weighted aggregation (IOWA) operator and visibility graph averaging (VGA) operator and linearly combine the weights separately generated by the two operator. The IOWA operator is introduced to the weight determination of time series, through which the time decay factor is taken into consideration. The VGA operator is able to generate weights with respect to the degree distribution in the visibility graph constructed from the corresponding time series, which reflects the relative importance of vertices in time series. The proposed method is applied to two practical datasets to illustrate its merits. The aggregation of Construction Cost Index (CCI) demonstrates the ability of proposed method to smooth time series, while the aggregation of The Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) illustrate how proposed method maintain the variation tendency of original data.

Bioelectric signal classification using a recurrent probabilistic neural network with time-series discriminant component analysis.

Science.gov (United States)

Hayashi, Hideaki; Shima, Keisuke; Shibanoki, Taro; Kurita, Yuichi; Tsuji, Toshio

2013-01-01

This paper outlines a probabilistic neural network developed on the basis of time-series discriminant component analysis (TSDCA) that can be used to classify high-dimensional time-series patterns. TSDCA involves the compression of high-dimensional time series into a lower-dimensional space using a set of orthogonal transformations and the calculation of posterior probabilities based on a continuous-density hidden Markov model that incorporates a Gaussian mixture model expressed in the reduced-dimensional space. The analysis can be incorporated into a neural network so that parameters can be obtained appropriately as network coefficients according to backpropagation-through-time-based training algorithm. The network is considered to enable high-accuracy classification of high-dimensional time-series patterns and to reduce the computation time taken for network training. In the experiments conducted during the study, the validity of the proposed network was demonstrated for EEG signals.

Foundations of Sequence-to-Sequence Modeling for Time Series

OpenAIRE

Kuznetsov, Vitaly; Mariet, Zelda

2018-01-01

The availability of large amounts of time series data, paired with the performance of deep-learning algorithms on a broad class of problems, has recently led to significant interest in the use of sequence-to-sequence models for time series forecasting. We provide the first theoretical analysis of this time series forecasting framework. We include a comparison of sequence-to-sequence modeling to classical time series models, and as such our theory can serve as a quantitative guide for practiti...

SaaS Platform for Time Series Data Handling

Science.gov (United States)

Oplachko, Ekaterina; Rykunov, Stanislav; Ustinin, Mikhail

2018-02-01

The paper is devoted to the description of MathBrain, a cloud-based resource, which works as a "Software as a Service" model. It is designed to maximize the efficiency of the current technology and to provide a tool for time series data handling. The resource provides access to the following analysis methods: direct and inverse Fourier transforms, Principal component analysis and Independent component analysis decompositions, quantitative analysis, magnetoencephalography inverse problem solution in a single dipole model based on multichannel spectral data.

SimpleTimeseries: Towards a Standard Representation of Astronomical Time-Series

Science.gov (United States)

Brewer, John Michael; Bloom, J. S.; Starr, D.

2010-01-01

Centuries of astrophysical data will soon be eclipsed by the unprecedented number of novel events regularly captured by large scale synoptic surveys. In the past, a stately accumulation of data could await inclusion in catalogs. More recently, digital catalogs have been placed on websites, or forwarded in e-mails. Fully exploiting the science opportunities of this new era will require much more rapid and standardized data exchange. With abundant novel sources to choose from, the limited followup resources available will need regularized data formats to help in decision making, whether the ultimate decisions lie with a human or a machine. The Berkeley Transients Classification Pipeline (TCP) has developed an XML based time-series format to exchange data within the context of the Palomar Transients Factory (PTF). The benefit of a standard time-series representation lies in promulgating it beyond just one collaboration and so we are publicly releasing the format, SimpleTimeseries. It is also slated to describe time-series within the the Virtual Observatory's upcoming VOEvent 2.0 specification. An XML based format allows easy processing by both machines and humans. We have put together examples and documentation which show the flexibilty of SimpleTimeseries on dotastro.org, where you can also find the XML schema, and public light curves in the new format.

A propagation-separation approach to estimate the autocorrelation in a time-series

Directory of Open Access Journals (Sweden)

D. V. Divine

2008-07-01

Full Text Available The paper presents an approach to estimate parameters of a local stationary AR(1 time series model by maximization of a local likelihood function. The method is based on a propagation-separation procedure that leads to data dependent weights defining the local model. Using free propagation of weights under homogeneity, the method is capable of separating the time series into intervals of approximate local stationarity. Parameters in different regions will be significantly different. Therefore the method also serves as a test for a stationary AR(1 model. The performance of the method is illustrated by applications to both synthetic data and real time-series of reconstructed NAO and ENSO indices and GRIP stable isotopes.

Climate Prediction Center (CPC) Global Precipitation Time Series

Data.gov (United States)

National Oceanic and Atmospheric Administration, Department of Commerce — The global precipitation time series provides time series charts showing observations of daily precipitation as well as accumulated precipitation compared to normal...

Properties of Asymmetric Detrended Fluctuation Analysis in the time series of RR intervals

Science.gov (United States)

Piskorski, J.; Kosmider, M.; Mieszkowski, D.; Krauze, T.; Wykretowicz, A.; Guzik, P.

2018-02-01

Heart rate asymmetry is a phenomenon by which the accelerations and decelerations of heart rate behave differently, and this difference is consistent and unidirectional, i.e. in most of the analyzed recordings the inequalities have the same directions. So far, it has been established for variance and runs based types of descriptors of RR intervals time series. In this paper we apply the newly developed method of Asymmetric Detrended Fluctuation Analysis, which so far has mainly been used with economic time series, to the set of 420 stationary 30 min time series of RR intervals from young, healthy individuals aged between 20 and 40. This asymmetric approach introduces separate scaling exponents for rising and falling trends. We systematically study the presence of asymmetry in both global and local versions of this method. In this study global means "applying to the whole time series" and local means "applying to windows jumping along the recording". It is found that the correlation structure of the fluctuations left over after detrending in physiological time series shows strong asymmetric features in both magnitude, with α+ physiological data after shuffling or with a group of symmetric synthetic time series.

Complexity analysis of the turbulent environmental fluid flow time series

Science.gov (United States)

Mihailović, D. T.; Nikolić-Đorić, E.; Drešković, N.; Mimić, G.

2014-02-01

We have used the Kolmogorov complexities, sample and permutation entropies to quantify the randomness degree in river flow time series of two mountain rivers in Bosnia and Herzegovina, representing the turbulent environmental fluid, for the period 1926-1990. In particular, we have examined the monthly river flow time series from two rivers (the Miljacka and the Bosnia) in the mountain part of their flow and then calculated the Kolmogorov complexity (KL) based on the Lempel-Ziv Algorithm (LZA) (lower-KLL and upper-KLU), sample entropy (SE) and permutation entropy (PE) values for each time series. The results indicate that the KLL, KLU, SE and PE values in two rivers are close to each other regardless of the amplitude differences in their monthly flow rates. We have illustrated the changes in mountain river flow complexity by experiments using (i) the data set for the Bosnia River and (ii) anticipated human activities and projected climate changes. We have explored the sensitivity of considered measures in dependence on the length of time series. In addition, we have divided the period 1926-1990 into three subintervals: (a) 1926-1945, (b) 1946-1965, (c) 1966-1990, and calculated the KLL, KLU, SE, PE values for the various time series in these subintervals. It is found that during the period 1946-1965, there is a decrease in their complexities, and corresponding changes in the SE and PE, in comparison to the period 1926-1990. This complexity loss may be primarily attributed to (i) human interventions, after the Second World War, on these two rivers because of their use for water consumption and (ii) climate change in recent times.

Recurrent Neural Network Applications for Astronomical Time Series

Science.gov (United States)

Protopapas, Pavlos

2017-06-01

The benefits of good predictive models in astronomy lie in early event prediction systems and effective resource allocation. Current time series methods applicable to regular time series have not evolved to generalize for irregular time series. In this talk, I will describe two Recurrent Neural Network methods, Long Short-Term Memory (LSTM) and Echo State Networks (ESNs) for predicting irregular time series. Feature engineering along with a non-linear modeling proved to be an effective predictor. For noisy time series, the prediction is improved by training the network on error realizations using the error estimates from astronomical light curves. In addition to this, we propose a new neural network architecture to remove correlation from the residuals in order to improve prediction and compensate for the noisy data. Finally, I show how to set hyperparameters for a stable and performant solution correctly. In this work, we circumvent this obstacle by optimizing ESN hyperparameters using Bayesian optimization with Gaussian Process priors. This automates the tuning procedure, enabling users to employ the power of RNN without needing an in-depth understanding of the tuning procedure.

Evolution of the Sunspot Number and Solar Wind B Time Series

Science.gov (United States)

Cliver, Edward W.; Herbst, Konstantin

2018-03-01

The past two decades have witnessed significant changes in our knowledge of long-term solar and solar wind activity. The sunspot number time series (1700-present) developed by Rudolf Wolf during the second half of the 19th century was revised and extended by the group sunspot number series (1610-1995) of Hoyt and Schatten during the 1990s. The group sunspot number is significantly lower than the Wolf series before ˜1885. An effort from 2011-2015 to understand and remove differences between these two series via a series of workshops had the unintended consequence of prompting several alternative constructions of the sunspot number. Thus it has been necessary to expand and extend the sunspot number reconciliation process. On the solar wind side, after a decade of controversy, an ISSI International Team used geomagnetic and sunspot data to obtain a high-confidence time series of the solar wind magnetic field strength (B) from 1750-present that can be compared with two independent long-term (> ˜600 year) series of annual B-values based on cosmogenic nuclides. In this paper, we trace the twists and turns leading to our current understanding of long-term solar and solar wind activity.

A general framework for time series data mining based on event analysis: application to the medical domains of electroencephalography and stabilometry.

Science.gov (United States)

Lara, Juan A; Lizcano, David; Pérez, Aurora; Valente, Juan P

2014-10-01

There are now domains where information is recorded over a period of time, leading to sequences of data known as time series. In many domains, like medicine, time series analysis requires to focus on certain regions of interest, known as events, rather than analyzing the whole time series. In this paper, we propose a framework for knowledge discovery in both one-dimensional and multidimensional time series containing events. We show how our approach can be used to classify medical time series by means of a process that identifies events in time series, generates time series reference models of representative events and compares two time series by analyzing the events they have in common. We have applied our framework on time series generated in the areas of electroencephalography (EEG) and stabilometry. Framework performance was evaluated in terms of classification accuracy, and the results confirmed that the proposed schema has potential for classifying EEG and stabilometric signals. The proposed framework is useful for discovering knowledge from medical time series containing events, such as stabilometric and electroencephalographic time series. These results would be equally applicable to other medical domains generating iconographic time series, such as, for example, electrocardiography (ECG). Copyright © 2014 Elsevier Inc. All rights reserved.

Using time series structural characteristics to analyze grain prices in food insecure countries

Science.gov (United States)

Davenport, Frank; Funk, Chris

2015-01-01

Two components of food security monitoring are accurate forecasts of local grain prices and the ability to identify unusual price behavior. We evaluated a method that can both facilitate forecasts of cross-country grain price data and identify dissimilarities in price behavior across multiple markets. This method, characteristic based clustering (CBC), identifies similarities in multiple time series based on structural characteristics in the data. Here, we conducted a simulation experiment to determine if CBC can be used to improve the accuracy of maize price forecasts. We then compared forecast accuracies among clustered and non-clustered price series over a rolling time horizon. We found that the accuracy of forecasts on clusters of time series were equal to or worse than forecasts based on individual time series. However, in the following experiment we found that CBC was still useful for price analysis. We used the clusters to explore the similarity of price behavior among Kenyan maize markets. We found that price behavior in the isolated markets of Mandera and Marsabit has become increasingly dissimilar from markets in other Kenyan cities, and that these dissimilarities could not be explained solely by geographic distance. The structural isolation of Mandera and Marsabit that we find in this paper is supported by field studies on food security and market integration in Kenya. Our results suggest that a market with a unique price series (as measured by structural characteristics that differ from neighboring markets) may lack market integration and food security.

Producing Coordinate Time Series for Iraq's CORS Site for Detection Geophysical Phenomena

Directory of Open Access Journals (Sweden)

Oday Yaseen Mohamed Zeki Alhamadani

2018-01-01

Full Text Available Global Navigation Satellite Systems (GNSS have become an integral part of wide range of applications. One of these applications of GNSS is implementation of the cellular phone to locate the position of users and this technology has been employed in social media applications. Moreover, GNSS have been effectively employed in transportation, GIS, mobile satellite communications, and etc. On the other hand, the geomatics sciences use the GNSS for many practical and scientific applications such as surveying and mapping and monitoring, etc. In this study, the GNSS raw data of ISER CORS, which is located in the North of Iraq, are processed and analyzed to build up coordinate time series for the purpose of detection the Arabian tectonic plate motion over seven years and a half. Such coordinates time series have been produced very efficiently using GNSS Precise Point Positioning (PPP. The daily PPP results were processed, analyzed, and presented as coordinate time series using GPS Interactive Time Series Analysis. Furthermore, MATLAB (V.2013a is used in this study to computerize GITSA with Graphic User Interface (GUI. The objective of this study was to investigate both of the homogeneity and consistency of the Iraq CORSs GNSS raw data for detection any geophysical changes over long period of time. Additionally, this study aims to employ free online PPP services, such as CSRS_PPP software, for processing GNSS raw data for generation GNSS coordinate time series. The coordinate time series of ISER station showed a +20.9 mm per year, +27.2 mm per year, and -11.3 mm per year in the East, North, and up-down components, respectively. These findings showed a remarkable similarity with those obtained by long-term monitoring of Earth's crust deformation and movement based on global studies and this highlights the importance of using GNSS for monitoring the movement of tectonic plate motion based on CORS and online GNSS data processing services over long period of

Transition Icons for Time-Series Visualization and Exploratory Analysis.

Science.gov (United States)

Nickerson, Paul V; Baharloo, Raheleh; Wanigatunga, Amal A; Manini, Todd M; Tighe, Patrick J; Rashidi, Parisa

2018-03-01

The modern healthcare landscape has seen the rapid emergence of techniques and devices that temporally monitor and record physiological signals. The prevalence of time-series data within the healthcare field necessitates the development of methods that can analyze the data in order to draw meaningful conclusions. Time-series behavior is notoriously difficult to intuitively understand due to its intrinsic high-dimensionality, which is compounded in the case of analyzing groups of time series collected from different patients. Our framework, which we call transition icons, renders common patterns in a visual format useful for understanding the shared behavior within groups of time series. Transition icons are adept at detecting and displaying subtle differences and similarities, e.g., between measurements taken from patients receiving different treatment strategies or stratified by demographics. We introduce various methods that collectively allow for exploratory analysis of groups of time series, while being free of distribution assumptions and including simple heuristics for parameter determination. Our technique extracts discrete transition patterns from symbolic aggregate approXimation representations, and compiles transition frequencies into a bag of patterns constructed for each group. These transition frequencies are normalized and aligned in icon form to intuitively display the underlying patterns. We demonstrate the transition icon technique for two time-series datasets-postoperative pain scores, and hip-worn accelerometer activity counts. We believe transition icons can be an important tool for researchers approaching time-series data, as they give rich and intuitive information about collective time-series behaviors.

RankExplorer: Visualization of Ranking Changes in Large Time Series Data.

Science.gov (United States)

Shi, Conglei; Cui, Weiwei; Liu, Shixia; Xu, Panpan; Chen, Wei; Qu, Huamin

2012-12-01

For many applications involving time series data, people are often interested in the changes of item values over time as well as their ranking changes. For example, people search many words via search engines like Google and Bing every day. Analysts are interested in both the absolute searching number for each word as well as their relative rankings. Both sets of statistics may change over time. For very large time series data with thousands of items, how to visually present ranking changes is an interesting challenge. In this paper, we propose RankExplorer, a novel visualization method based on ThemeRiver to reveal the ranking changes. Our method consists of four major components: 1) a segmentation method which partitions a large set of time series curves into a manageable number of ranking categories; 2) an extended ThemeRiver view with embedded color bars and changing glyphs to show the evolution of aggregation values related to each ranking category over time as well as the content changes in each ranking category; 3) a trend curve to show the degree of ranking changes over time; 4) rich user interactions to support interactive exploration of ranking changes. We have applied our method to some real time series data and the case studies demonstrate that our method can reveal the underlying patterns related to ranking changes which might otherwise be obscured in traditional visualizations.

GEKF, GUKF and GGPF based prediction of chaotic time-series with additive and multiplicative noises

International Nuclear Information System (INIS)

Wu Xuedong; Song Zhihuan

2008-01-01

On the assumption that random interruptions in the observation process are modelled by a sequence of independent Bernoulli random variables, this paper generalize the extended Kalman filtering (EKF), the unscented Kalman filtering (UKF) and the Gaussian particle filtering (GPF) to the case in which there is a positive probability that the observation in each time consists of noise alone and does not contain the chaotic signal (These generalized novel algorithms are referred to as GEKF, GUKF and GGPF correspondingly in this paper). Using weights and network output of neural networks to constitute state equation and observation equation for chaotic time-series prediction to obtain the linear system state transition equation with continuous update scheme in an online fashion, and the prediction results of chaotic time series represented by the predicted observation value, these proposed novel algorithms are applied to the prediction of Mackey–Glass time-series with additive and multiplicative noises. Simulation results prove that the GGPF provides a relatively better prediction performance in comparison with GEKF and GUKF. (general)

Artificial neural networks applied to forecasting time series.

Science.gov (United States)

Montaño Moreno, Juan J; Palmer Pol, Alfonso; Muñoz Gracia, Pilar

2011-04-01

This study offers a description and comparison of the main models of Artificial Neural Networks (ANN) which have proved to be useful in time series forecasting, and also a standard procedure for the practical application of ANN in this type of task. The Multilayer Perceptron (MLP), Radial Base Function (RBF), Generalized Regression Neural Network (GRNN), and Recurrent Neural Network (RNN) models are analyzed. With this aim in mind, we use a time series made up of 244 time points. A comparative study establishes that the error made by the four neural network models analyzed is less than 10%. In accordance with the interpretation criteria of this performance, it can be concluded that the neural network models show a close fit regarding their forecasting capacity. The model with the best performance is the RBF, followed by the RNN and MLP. The GRNN model is the one with the worst performance. Finally, we analyze the advantages and limitations of ANN, the possible solutions to these limitations, and provide an orientation towards future research.

Mathematical foundations of time series analysis a concise introduction

CERN Document Server

Beran, Jan

2017-01-01

This book provides a concise introduction to the mathematical foundations of time series analysis, with an emphasis on mathematical clarity. The text is reduced to the essential logical core, mostly using the symbolic language of mathematics, thus enabling readers to very quickly grasp the essential reasoning behind time series analysis. It appeals to anybody wanting to understand time series in a precise, mathematical manner. It is suitable for graduate courses in time series analysis but is equally useful as a reference work for students and researchers alike.

Time series analysis in the social sciences the fundamentals

CERN Document Server

Shin, Youseop

2017-01-01

Times Series Analysis in the Social Sciences is a practical and highly readable introduction written exclusively for students and researchers whose mathematical background is limited to basic algebra. The book focuses on fundamental elements of time series analysis that social scientists need to understand so they can employ time series analysis for their research and practice. Through step-by-step explanations and using monthly violent crime rates as case studies, this book explains univariate time series from the preliminary visual analysis through the modeling of seasonality, trends, and re

Modeling of Volatility with Non-linear Time Series Model

OpenAIRE

Kim Song Yon; Kim Mun Chol

2013-01-01

In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH (Asymmetric Auto-Regressive Conditional Heteroskedasticity) error term and its parameter estimation is studied.

A high-fidelity weather time series generator using the Markov Chain process on a piecewise level

Science.gov (United States)

Hersvik, K.; Endrerud, O.-E. V.

2017-12-01

A method is developed for generating a set of unique weather time-series based on an existing weather series. The method allows statistically valid weather variations to take place within repeated simulations of offshore operations. The numerous generated time series need to share the same statistical qualities as the original time series. Statistical qualities here refer mainly to the distribution of weather windows available for work, including durations and frequencies of such weather windows, and seasonal characteristics. The method is based on the Markov chain process. The core new development lies in how the Markov Process is used, specifically by joining small pieces of random length time series together rather than joining individual weather states, each from a single time step, which is a common solution found in the literature. This new Markov model shows favorable characteristics with respect to the requirements set forth and all aspects of the validation performed.

Layered Ensemble Architecture for Time Series Forecasting.

Science.gov (United States)

Rahman, Md Mustafizur; Islam, Md Monirul; Murase, Kazuyuki; Yao, Xin

2016-01-01

Time series forecasting (TSF) has been widely used in many application areas such as science, engineering, and finance. The phenomena generating time series are usually unknown and information available for forecasting is only limited to the past values of the series. It is, therefore, necessary to use an appropriate number of past values, termed lag, for forecasting. This paper proposes a layered ensemble architecture (LEA) for TSF problems. Our LEA consists of two layers, each of which uses an ensemble of multilayer perceptron (MLP) networks. While the first ensemble layer tries to find an appropriate lag, the second ensemble layer employs the obtained lag for forecasting. Unlike most previous work on TSF, the proposed architecture considers both accuracy and diversity of the individual networks in constructing an ensemble. LEA trains different networks in the ensemble by using different training sets with an aim of maintaining diversity among the networks. However, it uses the appropriate lag and combines the best trained networks to construct the ensemble. This indicates LEAs emphasis on accuracy of the networks. The proposed architecture has been tested extensively on time series data of neural network (NN)3 and NN5 competitions. It has also been tested on several standard benchmark time series data. In terms of forecasting accuracy, our experimental results have revealed clearly that LEA is better than other ensemble and nonensemble methods.

Thermal-Induced Errors Prediction and Compensation for a Coordinate Boring Machine Based on Time Series Analysis

Directory of Open Access Journals (Sweden)

Jun Yang

2014-01-01

Full Text Available To improve the CNC machine tools precision, a thermal error modeling for the motorized spindle was proposed based on time series analysis, considering the length of cutting tools and thermal declined angles, and the real-time error compensation was implemented. A five-point method was applied to measure radial thermal declinations and axial expansion of the spindle with eddy current sensors, solving the problem that the three-point measurement cannot obtain the radial thermal angle errors. Then the stationarity of the thermal error sequences was determined by the Augmented Dickey-Fuller Test Algorithm, and the autocorrelation/partial autocorrelation function was applied to identify the model pattern. By combining both Yule-Walker equations and information criteria, the order and parameters of the models were solved effectively, which improved the prediction accuracy and generalization ability. The results indicated that the prediction accuracy of the time series model could reach up to 90%. In addition, the axial maximum error decreased from 39.6 μm to 7 μm after error compensation, and the machining accuracy was improved by 89.7%. Moreover, the X/Y-direction accuracy can reach up to 77.4% and 86%, respectively, which demonstrated that the proposed methods of measurement, modeling, and compensation were effective.

Study of Railway Track Irregularity Standard Deviation Time Series Based on Data Mining and Linear Model

Directory of Open Access Journals (Sweden)

Jia Chaolong

2013-01-01

Full Text Available Good track geometry state ensures the safe operation of the railway passenger service and freight service. Railway transportation plays an important role in the Chinese economic and social development. This paper studies track irregularity standard deviation time series data and focuses on the characteristics and trend changes of track state by applying clustering analysis. Linear recursive model and linear-ARMA model based on wavelet decomposition reconstruction are proposed, and all they offer supports for the safe management of railway transportation.

Time series analysis of barometric pressure data

International Nuclear Information System (INIS)

La Rocca, Paola; Riggi, Francesco; Riggi, Daniele

2010-01-01

Time series of atmospheric pressure data, collected over a period of several years, were analysed to provide undergraduate students with educational examples of application of simple statistical methods of analysis. In addition to basic methods for the analysis of periodicities, a comparison of two forecast models, one based on autoregression algorithms, and the other making use of an artificial neural network, was made. Results show that the application of artificial neural networks may give slightly better results compared to traditional methods.

A novel mutual information-based Boolean network inference method from time-series gene expression data.

Directory of Open Access Journals (Sweden)

Shohag Barman

Full Text Available Inferring a gene regulatory network from time-series gene expression data in systems biology is a challenging problem. Many methods have been suggested, most of which have a scalability limitation due to the combinatorial cost of searching a regulatory set of genes. In addition, they have focused on the accurate inference of a network structure only. Therefore, there is a pressing need to develop a network inference method to search regulatory genes efficiently and to predict the network dynamics accurately.In this study, we employed a Boolean network model with a restricted update rule scheme to capture coarse-grained dynamics, and propose a novel mutual information-based Boolean network inference (MIBNI method. Given time-series gene expression data as an input, the method first identifies a set of initial regulatory genes using mutual information-based feature selection, and then improves the dynamics prediction accuracy by iteratively swapping a pair of genes between sets of the selected regulatory genes and the other genes. Through extensive simulations with artificial datasets, MIBNI showed consistently better performance than six well-known existing methods, REVEAL, Best-Fit, RelNet, CST, CLR, and BIBN in terms of both structural and dynamics prediction accuracy. We further tested the proposed method with two real gene expression datasets for an Escherichia coli gene regulatory network and a fission yeast cell cycle network, and also observed better results using MIBNI compared to the six other methods.Taken together, MIBNI is a promising tool for predicting both the structure and the dynamics of a gene regulatory network.

Extracting the relevant delays in time series modelling

DEFF Research Database (Denmark)

Goutte, Cyril

1997-01-01

selection, and more precisely stepwise forward selection. The method is compared to other forward selection schemes, as well as to a nonparametric tests aimed at estimating the embedding dimension of time series. The final application extends these results to the efficient estimation of FIR filters on some......In this contribution, we suggest a convenient way to use generalisation error to extract the relevant delays from a time-varying process, i.e. the delays that lead to the best prediction performance. We design a generalisation-based algorithm that takes its inspiration from traditional variable...

Topological data analysis of financial time series: Landscapes of crashes

Science.gov (United States)

Gidea, Marian; Katz, Yuri

2018-02-01

We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007-2009. Our methodology is based on topological data analysis (TDA). We use persistence homology to detect and quantify topological patterns that appear in multidimensional time series. Using a sliding window, we extract time-dependent point cloud data sets, to which we associate a topological space. We detect transient loops that appear in this space, and we measure their persistence. This is encoded in real-valued functions referred to as a 'persistence landscapes'. We quantify the temporal changes in persistence landscapes via their Lp-norms. We test this procedure on multidimensional time series generated by various non-linear and non-equilibrium models. We find that, in the vicinity of financial meltdowns, the Lp-norms exhibit strong growth prior to the primary peak, which ascends during a crash. Remarkably, the average spectral density at low frequencies of the time series of Lp-norms of the persistence landscapes demonstrates a strong rising trend for 250 trading days prior to either dotcom crash on 03/10/2000, or to the Lehman bankruptcy on 09/15/2008. Our study suggests that TDA provides a new type of econometric analysis, which complements the standard statistical measures. The method can be used to detect early warning signals of imminent market crashes. We believe that this approach can be used beyond the analysis of financial time series presented here.

Phase correction and error estimation in InSAR time series analysis

Science.gov (United States)

Zhang, Y.; Fattahi, H.; Amelung, F.

2017-12-01

During the last decade several InSAR time series approaches have been developed in response to the non-idea acquisition strategy of SAR satellites, such as large spatial and temporal baseline with non-regular acquisitions. The small baseline tubes and regular acquisitions of new SAR satellites such as Sentinel-1 allows us to form fully connected networks of interferograms and simplifies the time series analysis into a weighted least square inversion of an over-determined system. Such robust inversion allows us to focus more on the understanding of different components in InSAR time-series and its uncertainties. We present an open-source python-based package for InSAR time series analysis, called PySAR (https://yunjunz.github.io/PySAR/), with unique functionalities for obtaining unbiased ground displacement time-series, geometrical and atmospheric correction of InSAR data and quantifying the InSAR uncertainty. Our implemented strategy contains several features including: 1) improved spatial coverage using coherence-based network of interferograms, 2) unwrapping error correction using phase closure or bridging, 3) tropospheric delay correction using weather models and empirical approaches, 4) DEM error correction, 5) optimal selection of reference date and automatic outlier detection, 6) InSAR uncertainty due to the residual tropospheric delay, decorrelation and residual DEM error, and 7) variance-covariance matrix of final products for geodetic inversion. We demonstrate the performance using SAR datasets acquired by Cosmo-Skymed and TerraSAR-X, Sentinel-1 and ALOS/ALOS-2, with application on the highly non-linear volcanic deformation in Japan and Ecuador (figure 1). Our result shows precursory deformation before the 2015 eruptions of Cotopaxi volcano, with a maximum uplift of 3.4 cm on the western flank (fig. 1b), with a standard deviation of 0.9 cm (fig. 1a), supporting the finding by Morales-Rivera et al. (2017, GRL); and a post-eruptive subsidence on the same

Time series analysis for psychological research: examining and forecasting change.

Science.gov (United States)

Jebb, Andrew T; Tay, Louis; Wang, Wei; Huang, Qiming

2015-01-01

Psychological research has increasingly recognized the importance of integrating temporal dynamics into its theories, and innovations in longitudinal designs and analyses have allowed such theories to be formalized and tested. However, psychological researchers may be relatively unequipped to analyze such data, given its many characteristics and the general complexities involved in longitudinal modeling. The current paper introduces time series analysis to psychological research, an analytic domain that has been essential for understanding and predicting the behavior of variables across many diverse fields. First, the characteristics of time series data are discussed. Second, different time series modeling techniques are surveyed that can address various topics of interest to psychological researchers, including describing the pattern of change in a variable, modeling seasonal effects, assessing the immediate and long-term impact of a salient event, and forecasting future values. To illustrate these methods, an illustrative example based on online job search behavior is used throughout the paper, and a software tutorial in R for these analyses is provided in the Supplementary Materials.

Time series analysis for psychological research: examining and forecasting change

Science.gov (United States)

Jebb, Andrew T.; Tay, Louis; Wang, Wei; Huang, Qiming

2015-01-01

Psychological research has increasingly recognized the importance of integrating temporal dynamics into its theories, and innovations in longitudinal designs and analyses have allowed such theories to be formalized and tested. However, psychological researchers may be relatively unequipped to analyze such data, given its many characteristics and the general complexities involved in longitudinal modeling. The current paper introduces time series analysis to psychological research, an analytic domain that has been essential for understanding and predicting the behavior of variables across many diverse fields. First, the characteristics of time series data are discussed. Second, different time series modeling techniques are surveyed that can address various topics of interest to psychological researchers, including describing the pattern of change in a variable, modeling seasonal effects, assessing the immediate and long-term impact of a salient event, and forecasting future values. To illustrate these methods, an illustrative example based on online job search behavior is used throughout the paper, and a software tutorial in R for these analyses is provided in the Supplementary Materials. PMID:26106341

Prewhitening of hydroclimatic time series? Implications for inferred change and variability across time scales

Science.gov (United States)

Razavi, Saman; Vogel, Richard

2018-02-01

Prewhitening, the process of eliminating or reducing short-term stochastic persistence to enable detection of deterministic change, has been extensively applied to time series analysis of a range of geophysical variables. Despite the controversy around its utility, methodologies for prewhitening time series continue to be a critical feature of a variety of analyses including: trend detection of hydroclimatic variables and reconstruction of climate and/or hydrology through proxy records such as tree rings. With a focus on the latter, this paper presents a generalized approach to exploring the impact of a wide range of stochastic structures of short- and long-term persistence on the variability of hydroclimatic time series. Through this approach, we examine the impact of prewhitening on the inferred variability of time series across time scales. We document how a focus on prewhitened, residual time series can be misleading, as it can drastically distort (or remove) the structure of variability across time scales. Through examples with actual data, we show how such loss of information in prewhitened time series of tree rings (so-called "residual chronologies") can lead to the underestimation of extreme conditions in climate and hydrology, particularly droughts, reconstructed for centuries preceding the historical period.

Time-Elastic Generative Model for Acceleration Time Series in Human Activity Recognition.

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Munoz-Organero, Mario; Ruiz-Blazquez, Ramona

2017-02-08

Body-worn sensors in general and accelerometers in particular have been widely used in order to detect human movements and activities. The execution of each type of movement by each particular individual generates sequences of time series of sensed data from which specific movement related patterns can be assessed. Several machine learning algorithms have been used over windowed segments of sensed data in order to detect such patterns in activity recognition based on intermediate features (either hand-crafted or automatically learned from data). The underlying assumption is that the computed features will capture statistical differences that can properly classify different movements and activities after a training phase based on sensed data. In order to achieve high accuracy and recall rates (and guarantee the generalization of the system to new users), the training data have to contain enough information to characterize all possible ways of executing the activity or movement to be detected. This could imply large amounts of data and a complex and time-consuming training phase, which has been shown to be even more relevant when automatically learning the optimal features to be used. In this paper, we present a novel generative model that is able to generate sequences of time series for characterizing a particular movement based on the time elasticity properties of the sensed data. The model is used to train a stack of auto-encoders in order to learn the particular features able to detect human movements. The results of movement detection using a newly generated database with information on five users performing six different movements are presented. The generalization of results using an existing database is also presented in the paper. The results show that the proposed mechanism is able to obtain acceptable recognition rates ( F = 0.77) even in the case of using different people executing a different sequence of movements and using different hardware.

A Phenology-Based Method for Monitoring Woody and Herbaceous Vegetation in Mediterranean Forests from NDVI Time Series

OpenAIRE

David Helman; Itamar M. Lensky; Naama Tessler; Yagil Osem

2015-01-01

We present an efficient method for monitoring woody (i.e., evergreen) and herbaceous (i.e., ephemeral) vegetation in Mediterranean forests at a sub pixel scale from Normalized Difference Vegetation Index (NDVI) time series derived from the Moderate Resolution Imaging Spectroradiometer (MODIS). The method is based on the distinct development periods of those vegetation components. In the dry season, herbaceous vegetation is absent or completely dry in Mediterranean forests. Thus the mean NDVI ...

Financial time series analysis based on effective phase transfer entropy

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Yang, Pengbo; Shang, Pengjian; Lin, Aijing

2017-02-01

Transfer entropy is a powerful technique which is able to quantify the impact of one dynamic system on another system. In this paper, we propose the effective phase transfer entropy method based on the transfer entropy method. We use simulated data to test the performance of this method, and the experimental results confirm that the proposed approach is capable of detecting the information transfer between the systems. We also explore the relationship between effective phase transfer entropy and some variables, such as data size, coupling strength and noise. The effective phase transfer entropy is positively correlated with the data size and the coupling strength. Even in the presence of a large amount of noise, it can detect the information transfer between systems, and it is very robust to noise. Moreover, this measure is indeed able to accurately estimate the information flow between systems compared with phase transfer entropy. In order to reflect the application of this method in practice, we apply this method to financial time series and gain new insight into the interactions between systems. It is demonstrated that the effective phase transfer entropy can be used to detect some economic fluctuations in the financial market. To summarize, the effective phase transfer entropy method is a very efficient tool to estimate the information flow between systems.

Variable Selection in Time Series Forecasting Using Random Forests

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Hristos Tyralis

2017-10-01

Full Text Available Time series forecasting using machine learning algorithms has gained popularity recently. Random forest is a machine learning algorithm implemented in time series forecasting; however, most of its forecasting properties have remained unexplored. Here we focus on assessing the performance of random forests in one-step forecasting using two large datasets of short time series with the aim to suggest an optimal set of predictor variables. Furthermore, we compare its performance to benchmarking methods. The first dataset is composed by 16,000 simulated time series from a variety of Autoregressive Fractionally Integrated Moving Average (ARFIMA models. The second dataset consists of 135 mean annual temperature time series. The highest predictive performance of RF is observed when using a low number of recent lagged predictor variables. This outcome could be useful in relevant future applications, with the prospect to achieve higher predictive accuracy.

Comparisons between two wavelet functions in extracting coherent structures from solar wind time series

International Nuclear Information System (INIS)

Bolzani, M.J.A.; Guarnieri, F.L.; Vieira, Paulo Cesar

2009-01-01

Nowadays, wavelet analysis of turbulent flows have become increasingly popular. However, the study of geometric characteristics from wavelet functions is still poorly explored. In this work we compare the performance of two wavelet functions in extracting the coherent structures from solar wind velocity time series. The data series are from years 1996 to 2002 (except 1998 and 1999). The wavelet algorithm decomposes the annual time-series in two components: the coherent part and non-coherent one, using the daubechies-4 and haar wavelet function. The threshold assumed is based on a percentage of maximum variance found in each dyadic scale. After the extracting procedure, we applied the power spectral density on the original time series and coherent time series to obtain spectral indices. The results from spectral indices show higher values for the coherent part obtained by daubechies-4 than those obtained by the haar wavelet function. Using the kurtosis statistical parameter, on coherent and non-coherent time series, it was possible to conjecture that the differences found between two wavelet functions may be associated with their geometric forms. (author)

Functional clustering of time series gene expression data by Granger causality

Science.gov (United States)

2012-01-01

Background A common approach for time series gene expression data analysis includes the clustering of genes with similar expression patterns throughout time. Clustered gene expression profiles point to the joint contribution of groups of genes to a particular cellular process. However, since genes belong to intricate networks, other features, besides comparable expression patterns, should provide additional information for the identification of functionally similar genes. Results In this study we perform gene clustering through the identification of Granger causality between and within sets of time series gene expression data. Granger causality is based on the idea that the cause of an event cannot come after its consequence. Conclusions This kind of analysis can be used as a complementary approach for functional clustering, wherein genes would be clustered not solely based on their expression similarity but on their topological proximity built according to the intensity of Granger causality among them. PMID:23107425

Reconstruction of network topology using status-time-series data

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Pandey, Pradumn Kumar; Badarla, Venkataramana

2018-01-01

Uncovering the heterogeneous connection pattern of a networked system from the available status-time-series (STS) data of a dynamical process on the network is of great interest in network science and known as a reverse engineering problem. Dynamical processes on a network are affected by the structure of the network. The dependency between the diffusion dynamics and structure of the network can be utilized to retrieve the connection pattern from the diffusion data. Information of the network structure can help to devise the control of dynamics on the network. In this paper, we consider the problem of network reconstruction from the available status-time-series (STS) data using matrix analysis. The proposed method of network reconstruction from the STS data is tested successfully under susceptible-infected-susceptible (SIS) diffusion dynamics on real-world and computer-generated benchmark networks. High accuracy and efficiency of the proposed reconstruction procedure from the status-time-series data define the novelty of the method. Our proposed method outperforms compressed sensing theory (CST) based method of network reconstruction using STS data. Further, the same procedure of network reconstruction is applied to the weighted networks. The ordering of the edges in the weighted networks is identified with high accuracy.

Trend time-series modeling and forecasting with neural networks.

Science.gov (United States)

Qi, Min; Zhang, G Peter

2008-05-01

Despite its great importance, there has been no general consensus on how to model the trends in time-series data. Compared to traditional approaches, neural networks (NNs) have shown some promise in time-series forecasting. This paper investigates how to best model trend time series using NNs. Four different strategies (raw data, raw data with time index, detrending, and differencing) are used to model various trend patterns (linear, nonlinear, deterministic, stochastic, and breaking trend). We find that with NNs differencing often gives meritorious results regardless of the underlying data generating processes (DGPs). This finding is also confirmed by the real gross national product (GNP) series.

Detecting method for crude oil price fluctuation mechanism under different periodic time series

International Nuclear Information System (INIS)

Gao, Xiangyun; Fang, Wei; An, Feng; Wang, Yue

2017-01-01

Highlights: • We proposed the concept of autoregressive modes to indicate the fluctuation patterns. • We constructed transmission networks for studying the fluctuation mechanism. • There are different fluctuation mechanism under different periodic time series. • Only a few types of autoregressive modes control the fluctuations in crude oil price. • There are cluster effects during the fluctuation mechanism of autoregressive modes. - Abstract: Current existing literatures can characterize the long-term fluctuation of crude oil price time series, however, it is difficult to detect the fluctuation mechanism specifically under short term. Because each fluctuation pattern for one short period contained in a long-term crude oil price time series have dynamic characteristics of diversity; in other words, there exhibit various fluctuation patterns in different short periods and transmit to each other, which reflects the reputedly complicate and chaotic oil market. Thus, we proposed an incorporated method to detect the fluctuation mechanism, which is the evolution of the different fluctuation patterns over time from the complex network perspective. We divided crude oil price time series into segments using sliding time windows, and defined autoregressive modes based on regression models to indicate the fluctuation patterns of each segment. Hence, the transmissions between different types of autoregressive modes over time form a transmission network that contains rich dynamic information. We then capture transmission characteristics of autoregressive modes under different periodic time series through the structure features of the transmission networks. The results indicate that there are various autoregressive modes with significantly different statistical characteristics under different periodic time series. However, only a few types of autoregressive modes and transmission patterns play a major role in the fluctuation mechanism of the crude oil price, and these

Wavelet entropy of BOLD time series: An application to Rolandic epilepsy.

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Gupta, Lalit; Jansen, Jacobus F A; Hofman, Paul A M; Besseling, René M H; de Louw, Anton J A; Aldenkamp, Albert P; Backes, Walter H

2017-12-01

To assess the wavelet entropy for the characterization of intrinsic aberrant temporal irregularities in the time series of resting-state blood-oxygen-level-dependent (BOLD) signal fluctuations. Further, to evaluate the temporal irregularities (disorder/order) on a voxel-by-voxel basis in the brains of children with Rolandic epilepsy. The BOLD time series was decomposed using the discrete wavelet transform and the wavelet entropy was calculated. Using a model time series consisting of multiple harmonics and nonstationary components, the wavelet entropy was compared with Shannon and spectral (Fourier-based) entropy. As an application, the wavelet entropy in 22 children with Rolandic epilepsy was compared to 22 age-matched healthy controls. The images were obtained by performing resting-state functional magnetic resonance imaging (fMRI) using a 3T system, an 8-element receive-only head coil, and an echo planar imaging pulse sequence ( T2*-weighted). The wavelet entropy was also compared to spectral entropy, regional homogeneity, and Shannon entropy. Wavelet entropy was found to identify the nonstationary components of the model time series. In Rolandic epilepsy patients, a significantly elevated wavelet entropy was observed relative to controls for the whole cerebrum (P = 0.03). Spectral entropy (P = 0.41), regional homogeneity (P = 0.52), and Shannon entropy (P = 0.32) did not reveal significant differences. The wavelet entropy measure appeared more sensitive to detect abnormalities in cerebral fluctuations represented by nonstationary effects in the BOLD time series than more conventional measures. This effect was observed in the model time series as well as in Rolandic epilepsy. These observations suggest that the brains of children with Rolandic epilepsy exhibit stronger nonstationary temporal signal fluctuations than controls. 2 Technical Efficacy: Stage 3 J. Magn. Reson. Imaging 2017;46:1728-1737. © 2017 International Society for Magnetic

Non-parametric characterization of long-term rainfall time series

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Tiwari, Harinarayan; Pandey, Brij Kishor

2018-03-01

The statistical study of rainfall time series is one of the approaches for efficient hydrological system design. Identifying, and characterizing long-term rainfall time series could aid in improving hydrological systems forecasting. In the present study, eventual statistics was applied for the long-term (1851-2006) rainfall time series under seven meteorological regions of India. Linear trend analysis was carried out using Mann-Kendall test for the observed rainfall series. The observed trend using the above-mentioned approach has been ascertained using the innovative trend analysis method. Innovative trend analysis has been found to be a strong tool to detect the general trend of rainfall time series. Sequential Mann-Kendall test has also been carried out to examine nonlinear trends of the series. The partial sum of cumulative deviation test is also found to be suitable to detect the nonlinear trend. Innovative trend analysis, sequential Mann-Kendall test and partial cumulative deviation test have potential to detect the general as well as nonlinear trend for the rainfall time series. Annual rainfall analysis suggests that the maximum changes in mean rainfall is 11.53% for West Peninsular India, whereas the maximum fall in mean rainfall is 7.8% for the North Mountainous Indian region. The innovative trend analysis method is also capable of finding the number of change point available in the time series. Additionally, we have performed von Neumann ratio test and cumulative deviation test to estimate the departure from homogeneity. Singular spectrum analysis has been applied in this study to evaluate the order of departure from homogeneity in the rainfall time series. Monsoon season (JS) of North Mountainous India and West Peninsular India zones has higher departure from homogeneity and singular spectrum analysis shows the results to be in coherence with the same.

Stochastic Simulation and Forecast of Hydrologic Time Series Based on Probabilistic Chaos Expansion

Science.gov (United States)

Li, Z.; Ghaith, M.

2017-12-01

Hydrological processes are characterized by many complex features, such as nonlinearity, dynamics and uncertainty. How to quantify and address such complexities and uncertainties has been a challenging task for water engineers and managers for decades. To support robust uncertainty analysis, an innovative approach for the stochastic simulation and forecast of hydrologic time series is developed is this study. Probabilistic Chaos Expansions (PCEs) are established through probabilistic collocation to tackle uncertainties associated with the parameters of traditional hydrological models. The uncertainties are quantified in model outputs as Hermite polynomials with regard to standard normal random variables. Sequentially, multivariate analysis techniques are used to analyze the complex nonlinear relationships between meteorological inputs (e.g., temperature, precipitation, evapotranspiration, etc.) and the coefficients of the Hermite polynomials. With the established relationships between model inputs and PCE coefficients, forecasts of hydrologic time series can be generated and the uncertainties in the future time series can be further tackled. The proposed approach is demonstrated using a case study in China and is compared to a traditional stochastic simulation technique, the Markov-Chain Monte-Carlo (MCMC) method. Results show that the proposed approach can serve as a reliable proxy to complicated hydrological models. It can provide probabilistic forecasting in a more computationally efficient manner, compared to the traditional MCMC method. This work provides technical support for addressing uncertainties associated with hydrological modeling and for enhancing the reliability of hydrological modeling results. Applications of the developed approach can be extended to many other complicated geophysical and environmental modeling systems to support the associated uncertainty quantification and risk analysis.

factor high order fuzzy time series with applications to temperature

African Journals Online (AJOL)

HOD

In this paper, a novel two – factor high – order fuzzy time series forecasting method based on .... to balance between local and global exploitations of the swarms. While, .... Although, there were a number of outliers but, the spread at the spot in ...

Comparing and Contrasting Traditional Membrane Bioreactor Models with Novel Ones Based on Time Series Analysis

Directory of Open Access Journals (Sweden)

Parneet Paul

2013-02-01

Full Text Available The computer modelling and simulation of wastewater treatment plant and their specific technologies, such as membrane bioreactors (MBRs, are becoming increasingly useful to consultant engineers when designing, upgrading, retrofitting, operating and controlling these plant. This research uses traditional phenomenological mechanistic models based on MBR filtration and biochemical processes to measure the effectiveness of alternative and novel time series models based upon input–output system identification methods. Both model types are calibrated and validated using similar plant layouts and data sets derived for this purpose. Results prove that although both approaches have their advantages, they also have specific disadvantages as well. In conclusion, the MBR plant designer and/or operator who wishes to use good quality, calibrated models to gain a better understanding of their process, should carefully consider which model type is selected based upon on what their initial modelling objectives are. Each situation usually proves unique.

Comparison of correlation analysis techniques for irregularly sampled time series

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K. Rehfeld

2011-06-01

Full Text Available Geoscientific measurements often provide time series with irregular time sampling, requiring either data reconstruction (interpolation or sophisticated methods to handle irregular sampling. We compare the linear interpolation technique and different approaches for analyzing the correlation functions and persistence of irregularly sampled time series, as Lomb-Scargle Fourier transformation and kernel-based methods. In a thorough benchmark test we investigate the performance of these techniques.

All methods have comparable root mean square errors (RMSEs for low skewness of the inter-observation time distribution. For high skewness, very irregular data, interpolation bias and RMSE increase strongly. We find a 40 % lower RMSE for the lag-1 autocorrelation function (ACF for the Gaussian kernel method vs. the linear interpolation scheme,in the analysis of highly irregular time series. For the cross correlation function (CCF the RMSE is then lower by 60 %. The application of the Lomb-Scargle technique gave results comparable to the kernel methods for the univariate, but poorer results in the bivariate case. Especially the high-frequency components of the signal, where classical methods show a strong bias in ACF and CCF magnitude, are preserved when using the kernel methods.

We illustrate the performances of interpolation vs. Gaussian kernel method by applying both to paleo-data from four locations, reflecting late Holocene Asian monsoon variability as derived from speleothem δ¹⁸O measurements. Cross correlation results are similar for both methods, which we attribute to the long time scales of the common variability. The persistence time (memory is strongly overestimated when using the standard, interpolation-based, approach. Hence, the Gaussian kernel is a reliable and more robust estimator with significant advantages compared to other techniques and suitable for large scale application to paleo-data.