Time series ARIMA models for daily price of palm oil
Ariff, Noratiqah Mohd; Zamhawari, Nor Hashimah; Bakar, Mohd Aftar Abu
2015-02-01
Palm oil is deemed as one of the most important commodity that forms the economic backbone of Malaysia. Modeling and forecasting the daily price of palm oil is of great interest for Malaysia's economic growth. In this study, time series ARIMA models are used to fit the daily price of palm oil. The Akaike Infromation Criterion (AIC), Akaike Infromation Criterion with a correction for finite sample sizes (AICc) and Bayesian Information Criterion (BIC) are used to compare between different ARIMA models being considered. It is found that ARIMA(1,2,1) model is suitable for daily price of crude palm oil in Malaysia for the year 2010 to 2012.
A generalized exponential time series regression model for electricity prices
Haldrup, Niels; Knapik, Oskar; Proietti, Tomasso
We consider the issue of modeling and forecasting daily electricity spot prices on the Nord Pool Elspot power market. We propose a method that can handle seasonal and non-seasonal persistence by modelling the price series as a generalized exponential process. As the presence of spikes can distort...... the estimation of the dynamic structure of the series we consider an iterative estimation strategy which, conditional on a set of parameter estimates, clears the spikes using a data cleaning algorithm, and reestimates the parameters using the cleaned data so as to robustify the estimates. Conditional...... on the estimated model, the best linear predictor is constructed. Our modeling approach provides good fit within sample and outperforms competing benchmark predictors in terms of forecasting accuracy. We also find that building separate models for each hour of the day and averaging the forecasts is a better...
Detecting Chaos from Agricultural Product Price Time Series
Xin Su
2014-12-01
Full Text Available Analysis of the characteristics of agricultural product price volatility and trend forecasting are necessary to formulate and implement agricultural price control policies. Taking wholesale cabbage prices as an example, a multiple test methodology has been adopted to identify the nonlinearity, fractality, and chaos of the data. The approaches used include the R/S analysis, the BDS test, the power spectra, the recurrence plot, the largest Lyapunov exponent, the Kolmogorov entropy, and the correlation dimension. The results show that there is chaos in agricultural wholesale price data, which provides a good theoretical basis for selecting reasonable forecasting models as prediction techniques based on chaos theory can be applied to forecasting agricultural prices.
Souza, Jeferson de [Laboratorio de Analise de Bacias e Petrofisica, Departamento de Geologia, Universidade Federal do Parana, Centro Politecnico - Jardim das Americas, Caixa Postal 19001, 81531-990 Curitiba-PR (Brazil); Centro Brasileiro de Pesquisas Fisicas, Rua Dr. Xavier Sigaud 150, 22290-180 Rio de Janeiro-RJ (Brazil)], E-mail: jdesouza@ufpr.br; Duarte Queiros, Silvio M. [Centro Brasileiro de Pesquisas Fisicas, Rua Dr. Xavier Sigaud 150, 22290-180 Rio de Janeiro-RJ (Brazil)], E-mail: sdqueiro@googlemail.com
2009-11-30
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose the Dow Jones Industrial Average. The analysis consists about the quantification of the influence of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent importance of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse l-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.
L. Rumánkova
2012-12-01
Full Text Available This paper deals with an examination of the selected time series and an examination of price transmission in the selected agri-food chain. The analysis is connected with the working question of whether the selection of time series influences the results of price transmission. The analysis is focused on the pork agri-food chain in the Czech Republic; the time series of farm-gate price, wholesale price and consumer price is examined. First of all, the main properties of the selected time series are examined; subsequently, price transmissions based on time series of different frequency and in different periods are analyzed. The price transmission analysis is based on multivariate time series analysis; to be precise, the Vector error correction model and co-integration analysis are employed. The analysis shows that the choice of time series of different frequency should not significantly influence the results of price transmission, whereas the choice of time period might be crucial.The results presented in this paper are outputs of the research project “P402/11/P591 Modelling of price transmission and its asymmetry in agri-food chain – theoretical-empirical implications” supported by Czech Science Foundation.
Effects of Paddy Price Support Withdrawal on Malaysian Rice Sector: Time Series Econometric Approach
Umar Haruna Suleiman
2014-07-01
Full Text Available The study simulated effects of paddy price support withdrawal, as an alternative policy, on key variables namely domestic rice supply, domestic rice demand, net import of rice, area planted to paddy and paddy producer price. Time series data (1980-2012 were collected and analyzed using Autoregressive Distributed lag (ARDL. The long run coefficients or elasticities generated were used in scenarios simulation through appropriate simulation technique. The results show that, on the average, paddy price support withdrawal would affect the rice sector by 2020 in the following ways: 13% decline in domestic rice production; 23% increase in net rice import; area planted to paddy decrease in size by 13%; and, paddy producer price reduce by 20%. However, there was no effect on aggregate rice consumption. Since the country is concern about raising farm income and ensuring rice food security, sustaining the paddy support price is worthwhile policy in order to avoid a decline in paddy producer price (income and surge in import bills.
Time Series of Random Macro-price and Application%价格时间序列及其应用
耿显民
2008-01-01
This paper tries to utilize the methods of stochastic analysis and matrix analysis to research the existential problem of price series.By using the means of time series analysis,the input-output,Markov processes and the modern matrix analysis,the limiting problem of price halance and vibration in stochastic economic environment has been researched,and surprising conclusions obtained are as following:the probability that the economic collapse time is equal ∞ is 0.
Empirical research on spatial and time series properties of agricultural commodity prices
Liu, Xing,
2012-01-01
The integration of European agriculture into the world economy has also accelerated price interaction between member states and the rest of the world during last decades. Consequently, the fluctuation in world market prices was more quickly transmitted to European member states, including Finland. Increasing price uncertainty and price volatility in agricultural products became more evident. The openness of regional agriculture such as EU and Finnish to the world is irreversible, and the int...
Multivariate Time Series Forecasting of Crude Palm Oil Price Using Machine Learning Techniques
Kanchymalay, Kasturi; Salim, N.; Sukprasert, Anupong; Krishnan, Ramesh; Raba'ah Hashim, Ummi
2017-08-01
The aim of this paper was to study the correlation between crude palm oil (CPO) price, selected vegetable oil prices (such as soybean oil, coconut oil, and olive oil, rapeseed oil and sunflower oil), crude oil and the monthly exchange rate. Comparative analysis was then performed on CPO price forecasting results using the machine learning techniques. Monthly CPO prices, selected vegetable oil prices, crude oil prices and monthly exchange rate data from January 1987 to February 2017 were utilized. Preliminary analysis showed a positive and high correlation between the CPO price and soy bean oil price and also between CPO price and crude oil price. Experiments were conducted using multi-layer perception, support vector regression and Holt Winter exponential smoothing techniques. The results were assessed by using criteria of root mean square error (RMSE), means absolute error (MAE), means absolute percentage error (MAPE) and Direction of accuracy (DA). Among these three techniques, support vector regression(SVR) with Sequential minimal optimization (SMO) algorithm showed relatively better results compared to multi-layer perceptron and Holt Winters exponential smoothing method.
Detecting positive feedback in multivariate time series: The case of metal prices and US inflation
Kyrtsou, Catherine; Labys, Walter C.
2007-04-01
The objective of this paper is to examine causality and feedback relationships between primary commodity prices and US inflation. To this end, the bivariate noisy Mackey-Glass process recently developed by Kyrtsou and Labys [Evidence for chaotic dependence between US inflation and commodity prices, J. Macroecon. 28(1) (2006) 256-266] has been applied to assess this relationship. Results obtained support evidence in favour of causality, which can help to identify the influences of speculative price behaviour on inflation.
Dynamic analysis about time series of stock market price%股票市场价格时间序列的动力学分析
王德河
2003-01-01
This paper argued that the stock market should be considered as a complicated nonlinear system. The fluctuations of stock price are positive coherent, then there is persistence and trend in stock price movements. The author analyzed the time series of 180 index with R/S analysis method. The result confirmed the author's ideas.
Tokinaga, Shozo; Ikeda, Yoshikazu
In investments, it is not easy to identify traders'behavior from stock prices, and agent systems may help us. This paper deals with discriminant analyses of stock prices using multifractality of time series generated via multi-agent systems and interpolation based on Wavelet Transforms. We assume five types of agents where a part of agents prefer forecast equations or production rules. Then, it is shown that the time series of artificial stock price reveals as a multifractal time series whose features are defined by the Hausedorff dimension D(h). As a result, we see the relationship between the reliability (reproducibility) of multifractality and D(h) under sufficient number of time series data. However, generally we need sufficient samples to estimate D(h), then we use interpolations of multifractal times series based on the Wavelet Transform.
Forecasting Natural Gas Prices Using Wavelets, Time Series, and Artificial Neural Networks.
Jin, Junghwan; Kim, Jinsoo
2015-01-01
Following the unconventional gas revolution, the forecasting of natural gas prices has become increasingly important because the association of these prices with those of crude oil has weakened. With this as motivation, we propose some modified hybrid models in which various combinations of the wavelet approximation, detail components, autoregressive integrated moving average, generalized autoregressive conditional heteroskedasticity, and artificial neural network models are employed to predict natural gas prices. We also emphasize the boundary problem in wavelet decomposition, and compare results that consider the boundary problem case with those that do not. The empirical results show that our suggested approach can handle the boundary problem, such that it facilitates the extraction of the appropriate forecasting results. The performance of the wavelet-hybrid approach was superior in all cases, whereas the application of detail components in the forecasting was only able to yield a small improvement in forecasting performance. Therefore, forecasting with only an approximation component would be acceptable, in consideration of forecasting efficiency.
Time series analysis applied to construct US natural gas price functions for groups of states
Kalashnikov, V.V. [Departamento de Ingenieria Industrial y de Sistemas, Tecnologico de Monterrey, Av. Eugenio Garza Sada 2501 Sur, Col. Tecnologico, Monterrey, Nuevo Leon, 64849 (Mexico); Matis, T.I. [Deparment of Industrial Engineering, Texas Tech University, 2500 Broadway, Lubbock, TX 79409 (United States); Perez-Valdes, G.A. [Departamento de Ingenieria Industrial y de Sistemas, Tecnologico de Monterrey, Av. Eugenio Garza Sada 2501 Sur, Col. Tecnologico, Monterrey, Nuevo Leon, 64849 (Mexico); Deparment of Industrial Engineering, Texas Tech University, 2500 Broadway, Lubbock, TX 79409 (United States)
2010-07-15
The study of natural gas markets took a considerably new direction after the liberalization of the natural gas markets during the early 1990s. As a result, several problems and research opportunities arose for those studying the natural gas supply chain, particularly the marketing operations. Consequently, various studies have been undertaken about the econometrics of natural gas. Several models have been developed and used for different purposes, from descriptive analysis to practical applications such as price and consumption forecasting. In this work, we address the problem of finding a pooled regression formula relating the monthly figures of price and consumption volumes for each state of the United States during the last twenty years. The model thus obtained is used as the basis for the development of two methods aimed at classifying the states into groups sharing a similar price/consumption relationship: a dendrogram application, and an heuristic algorithm. The details and further applications of these grouping techniques are discussed, along with the ultimate purpose of using this pooled regression model to validate data employed in the stochastic optimization problem studied by the authors. (author)
Forecasting Natural Gas Prices Using Wavelets, Time Series, and Artificial Neural Networks.
Junghwan Jin
Full Text Available Following the unconventional gas revolution, the forecasting of natural gas prices has become increasingly important because the association of these prices with those of crude oil has weakened. With this as motivation, we propose some modified hybrid models in which various combinations of the wavelet approximation, detail components, autoregressive integrated moving average, generalized autoregressive conditional heteroskedasticity, and artificial neural network models are employed to predict natural gas prices. We also emphasize the boundary problem in wavelet decomposition, and compare results that consider the boundary problem case with those that do not. The empirical results show that our suggested approach can handle the boundary problem, such that it facilitates the extraction of the appropriate forecasting results. The performance of the wavelet-hybrid approach was superior in all cases, whereas the application of detail components in the forecasting was only able to yield a small improvement in forecasting performance. Therefore, forecasting with only an approximation component would be acceptable, in consideration of forecasting efficiency.
Moskowitz, Tobias J.; Ooi, Yao Hua; Heje Pedersen, Lasse
2012-01-01
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...... of speculators and hedgers, we find that speculators profit from time series momentum at the expense of hedgers....
Gil-Alana, L.A.; Moreno, A; Pérez-de-Gracia, F. (Fernando)
2011-01-01
The last 20 years have witnessed a considerable increase in the use of time series techniques in econometrics. The articles in this important set have been chosen to illustrate the main themes in time series work as it relates to econometrics. The editor has written a new concise introduction to accompany the articles. Sections covered include: Ad Hoc Forecasting Procedures, ARIMA Modelling, Structural Time Series Models, Unit Roots, Detrending and Non-stationarity, Seasonality, Seasonal Adju...
Behrmann, Gerd; Larsen, Kim Guldstrand; Rasmussen, Jacob Illum
2004-01-01
This contribution reports on the considerable effort made recently towards extending and applying well-established timed automata technology to optimal scheduling and planning problems. The effort of the authors in this direction has to a large extent been carried out as part of the European proj...... projects VHS [22] and AMETIST [17] and are available in the recently released UPPAAL CORA [12], a variant of the real-time verification tool UPPAAL [20,5] specialized for cost-optimal reachability for the extended model of priced timed automata....
Ewing, Bradley T.; Yang, Benhua
2011-01-01
This paper investigates the time series properties of U.S. state-level manufacturing and non-manufacturing employment and two economy-wide variables: real effective exchange rate and real oil price. Examining the 1990 to 2005 period, cointegration tests and error-correction models reveal a long run relationship between manufacturing employment and the exchange rate in eleven states, while no evidence of this relationship between non-manufacturing employment and the exchange rate was detected....
Capacci, Sara; Mazzocchi, Mario; Shankar, Bhavani
2012-01-01
The paper aims at indirectly estimating a time series of food prices from household expenditure data, focusing on foods considered as ‘junk’ relative to healthy foods. The “big 6” among the HFSS (high in fats, sugar and salt) foods identified by the Food Standard Agency have been selected to compose a target ‘unhealthy’ basket, compared to a ‘healthy’ benchmark aggregate including fruit and vegetables. UK data from the National Food Surveys, the Household Expenditure Surveys and the Living Co...
Price setting in turbulent times
Ólafsson, Tjörvi; Pétursdóttir, Ásgerdur; Vignisdóttir, Karen Á.
. A second contribution to the literature is our analysis of the nexus between price setting and exchange rate movements, a topic that has attracted surprisingly limited attention in this survey-based literature. A novel aspect of our approach is to base our analysis on a categorisation of firms...... in the domestic market by their direct exposure to exchange rate movements captured by imported input costs as a share of total p duction costs. More exposed firms are found to be more likely to use state-dependent pricing, to adjust their prices in response to exchange rate changes, and to rely on increasing...... prices rather than decreasing costs to restore profit margins after an exchange rate depreciation. They also review their prices more often but nevertheless, surprisingly, have the same price change frequency as the median firm. On the other hand, price review frequency declines and time...
基于时间序列模型的黄金价格预测%Prediction of Gold Price Based on Time Series Model
奚婧
2014-01-01
Gold as a product which has commodity, currency and financial attributes, the price change directly decides the behavior of gold investors and producers. In recent years, people are becoming more and more in favor of the gold market investment. Because the price of gold is affected by many economic and political factors and its formation process is complex, so the dynamic evolution process in the price of gold is very important. Market forecast is based on the relationship between past and present market demand conditions, as well as the impact of changes in market demand factors, using certain judgments, methods and models, analyzing and forecasting the changes and de-velopment trends of the market price fluctuations. In order to help investors make more scientific decisions, uses theories of time series established the ARMA model of gold price, and finds that it can dynamically depict the generation process of gold price data and forecast the price of gold.%由于黄金价格受到诸多经济及政治因素的影响，其生成过程十分复杂，因此研究黄金价格的动态演变过程具有极强的现实意义。而具体的预测要根据市场的过去和当前的需求，以及影响市场需求变化的因素之间的关系，利用一定的判断、技术和模型，对其价格波动变化及发展趋势进行分析和判断。利用时间序列相关理论，建立黄金价格的ARMA模型，发现其可以动态刻画黄金价格数据的生成过程并且较好地对黄金价格进行预测。
Efficient Option Pricing Methods Based on Fourier Series Expansions
Deng DING; Sio Chong U
2011-01-01
A novel option pricing method based on Fourier-cosine series expansion was proposed by Fang and Oosterlee. Developing their idea, three new option pricing methods based on Fourier, Fourier-cosine and Fourier-sine series expansions are presented in this paper, which are more efficient when the option prices are calculated with many strike prices. A series of numerical experiments under different exp-Lévy models are also given to compare these new methods with the Fang and Oosterlee's method and other methods.
2013-01-01
Time series analysis can be used to quantitatively monitor, describe, explain, and predict road safety developments. Time series analysis techniques offer the possibility of quantitatively modelling road safety developments in such a way that the dependencies between the observations of time series
Price setting in turbulent times
Ólafsson, Tjörvi; Pétursdóttir, Ásgerdur; Vignisdóttir, Karen Á.
-dependent pricing increases as domestic labour costs rise relative to total production costs. The results provide important insight into inflation dynamics due to an interaction between high and asymmetric exchange rate pass-through and price indexation. This interaction causes an exchange rate depreciation...... in the domestic market by their direct exposure to exchange rate movements captured by imported input costs as a share of total p duction costs. More exposed firms are found to be more likely to use state-dependent pricing, to adjust their prices in response to exchange rate changes, and to rely on increasing...
Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)
2004-01-01
textabstractThis book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book
Real-time Pricing in Power Markets
Boom, Anette; Schwenen, Sebastian
We examine welfare eects of real-time pricing in electricity markets. Before stochastic energy demand is known, competitive retailers contract with nal consumers who exogenously do not have real-time meters. After demand is realized, two electricity generators compete in a uniform price auction...... to satisfy demand from retailers acting on behalf of subscribed customers and from consumers with real-time meters. Increasing the number of consumers on real-time pricing does not always increase welfare since risk-averse consumers dislike uncertain and high prices arising through market power...
Real-time Pricing in Power Markets
Boom, Anette; Schwenen, Sebastian
We examine welfare e ects of real-time pricing in electricity markets. Before stochastic energy demand is known, competitive retailers contract with nal consumers who exogenously do not have real-time meters. After demand is realized, two electricity generators compete in a uniform price auction...... to satisfy demand from retailers acting on behalf of subscribed customers and from consumers with real-time meters. Increasing the number of consumers on real-time pricing does not always increase welfare since risk-averse consumers dislike uncertain and high prices arising through market power...
Multivariate Time Series Search
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...
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...
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...
Real-time Pricing in Power Markets
Boom, Anette; Schwenen, Sebastian
to satisfy demand from retailers acting on behalf of subscribed customers and from consumers with real-time meters. Increasing the number of consumers on real-time pricing does not always increase welfare since risk-averse consumers dislike uncertain and high prices arising through market power...
Rosa Itandehui Olivera-Chávez
2010-01-01
Full Text Available Objetivo. Estimar la elasticidad precio de la demanda de cigarros en México con base en fuentes de información y metodología distintas a las utilizadas en estudios previos sobre el tema. Material y métodos. Se utilizaron series trimestrales de consumo, ingreso y precio para el periodo de 1994 a 2005. Se estimó un modelo de demanda de largo plazo mediante mínimos cuadrados ordinarios (MCO y se investigó la existencia de una relación de cointegración. Además, se estimó un modelo mediante mínimos cuadrados ordinarios dinámicos (MCOD para corregir posibles problemas de endogeneidad de las variables independientes y autocorrelación de los residuales. Resultados. Las estimaciones mediante MCOD mostraron que un incremento del precio de los cigarros de 10% podría reducir el consumo en 2.5% (pObjective. To estimate the price elasticity of the demand for cigarettes in Mexico based on data sources and a methodology different from the ones used in previous studies on the topic. Material and Methods. Quarterly time series of consumption, income and price for the time period 1994 to 2005 were used. A long-run demand model was estimated using Ordinary Least Squares (OLS and the existence of a cointegration relationship was investigated. Also, a model using Dinamic Ordinary Least Squares (DOLS was estimated to correct for potential endogeneity of independent variables and autocorrelation of the residuals. Results. DOLS estimates showed that a 10% increase in cigarette prices could reduce consumption in 2.5% (p<0.05 and increase government revenue in 16.11%. Conclusions. The results confirmed the effectiveness of taxes as an instrument for tobacco control in Mexico. An increase in taxes can be used to increase cigarette prices and therefore to reduce consumption and increase government revenue.
Madsen, Henrik
2007-01-01
""In this book the author gives a detailed account of estimation, identification methodologies for univariate and multivariate stationary time-series models. The interesting aspect of this introductory book is that it contains several real data sets and the author made an effort to explain and motivate the methodology with real data. … this introductory book will be interesting and useful not only to undergraduate students in the UK universities but also to statisticians who are keen to learn time-series techniques and keen to apply them. I have no hesitation in recommending the book.""-Journa
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)""…
Fischer, Paul; Hilbert, Astrid
2012-01-01
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...
Information-time based futures pricing
Yen, Simon; Wang, Jai Jen
2009-09-01
This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135-155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of Financial Economics 48 (1998) 211-242] to subordinate an information-time based directing process into calendar-time based parent processes. A closed-form futures pricing formula is derived after taking into account the information-time setting and the stochasticity of the spot price, interest rate, and convenience yield. According to the empirical results on the TAIEX and TFETX data from 1998/7/21 to 2003/12/31, the information-time based model performs better than its calendar-time based counterpart and the cost of carry model, especially when the information arrival intensity estimates become larger.
Liang, X San
2014-01-01
Given two time series, can one tell, in a rigorous and quantitative way, the cause and effect between them? Based on a recently rigorized physical notion namely information flow, we arrive at a concise formula and give this challenging question, which is of wide concern in different disciplines, a positive answer. Here causality is measured by the time rate of change of information flowing from one series, say, X2, to another, X1. The measure is asymmetric between the two parties and, particularly, if the process underlying X1 does not depend on X2, then the resulting causality from X2 to X1 vanishes. The formula is tight in form, involving only the commonly used statistics, sample covariances. It has been validated with touchstone series purportedly generated with one-way causality. It has also been applied to the investigation of real world problems; an example presented here is the cause-effect relation between two climate modes, El Ni\\~no and Indian Ocean Dipole, which have been linked to the hazards in f...
陈仲常; 纪同辉
2012-01-01
针对中国房地产泡沫和房屋销售价格时间序列的特征问题,利用基于R/S分析法的赫斯特指数作为测算的依据。对房屋销售价格指数季度数据和国房景气指数中的销售价格指数月度数据进行了对比实证研究（样本区间为1998年～2010年）。研究结果表明房屋销售价格具有明显的分形结构,并表现出状态持续性,在没有外力作用条件下,房地产泡沫风险会积累性增加。这一发现的政策价值在于明确了房地产具有消费品和投资品双重性质,不能完全依赖市场自发力量进行调节,政府也不应在泡沫风险很大时强制干预,而应采用全程监管方法,实现房地产业稳定发展的目标。%In this paper,we propose hurst index which is based on the R/S analysis to quantify the features about price time series of houses.The sales price index of National Housing boom index monthly data and housing sales price index for the quarterly data are compared with empirical research（Sample interal from 1998 to 2010）.The empirical results show that the price time series of houses has obvious fractal structure;without external force,the real estate bubble will increase because of accumulated risk.The value of this discovery lies in formulate policy.Real estate,as the dual nature of the consumer goods and investment goods,can not rely on market forces to regulate the spontaneous.When the risk of real estate bubble high,the authorities should not mandatory intervene real estate market,but in order to achieve stability development goals,the full supervision should be adopted.
Measuring nonlinear behavior in time series data
Wai, Phoong Seuk; Ismail, Mohd Tahir
2014-12-01
Stationary Test is an important test in detect the time series behavior since financial and economic data series always have missing data, structural change as well as jumps or breaks in the data set. Moreover, stationary test is able to transform the nonlinear time series variable to become stationary by taking difference-stationary process or trend-stationary process. Two different types of hypothesis testing of stationary tests that are Augmented Dickey-Fuller (ADF) test and Kwiatkowski-Philips-Schmidt-Shin (KPSS) test are examine in this paper to describe the properties of the time series variables in financial model. Besides, Least Square method is used in Augmented Dickey-Fuller test to detect the changes of the series and Lagrange multiplier is used in Kwiatkowski-Philips-Schmidt-Shin test to examine the properties of oil price, gold price and Malaysia stock market. Moreover, Quandt-Andrews, Bai-Perron and Chow tests are also use to detect the existence of break in the data series. The monthly index data are ranging from December 1989 until May 2012. Result is shown that these three series exhibit nonlinear properties but are able to transform to stationary series after taking first difference process.
Modeling Philippine Stock Exchange Composite Index Using Time Series Analysis
Gayo, W. S.; Urrutia, J. D.; Temple, J. M. F.; Sandoval, J. R. D.; Sanglay, J. E. A.
2015-06-01
This study was conducted to develop a time series model of the Philippine Stock Exchange Composite Index and its volatility using the finite mixture of ARIMA model with conditional variance equations such as ARCH, GARCH, EG ARCH, TARCH and PARCH models. Also, the study aimed to find out the reason behind the behaviorof PSEi, that is, which of the economic variables - Consumer Price Index, crude oil price, foreign exchange rate, gold price, interest rate, money supply, price-earnings ratio, Producers’ Price Index and terms of trade - can be used in projecting future values of PSEi and this was examined using Granger Causality Test. The findings showed that the best time series model for Philippine Stock Exchange Composite index is ARIMA(1,1,5) - ARCH(1). Also, Consumer Price Index, crude oil price and foreign exchange rate are factors concluded to Granger cause Philippine Stock Exchange Composite Index.
Beyond the sticker price: including and excluding time in comparing food prices.
Yang, Yanliang; Davis, George C; Muth, Mary K
2015-07-01
An ongoing debate in the literature is how to measure the price of food. Most analyses have not considered the value of time in measuring the price of food. Whether or not the value of time is included in measuring the price of a food may have important implications for classifying foods based on their relative cost. The purpose of this article is to compare prices that exclude time (time-exclusive price) with prices that include time (time-inclusive price) for 2 types of home foods: home foods using basic ingredients (home recipes) vs. home foods using more processed ingredients (processed recipes). The time-inclusive and time-exclusive prices are compared to determine whether the time-exclusive prices in isolation may mislead in drawing inferences regarding the relative prices of foods. We calculated the time-exclusive price and time-inclusive price of 100 home recipes and 143 processed recipes and then categorized them into 5 standard food groups: grains, proteins, vegetables, fruit, and dairy. We then examined the relation between the time-exclusive prices and the time-inclusive prices and dietary recommendations. For any food group, the processed food time-inclusive price was always less than the home recipe time-inclusive price, even if the processed food's time-exclusive price was more expensive. Time-inclusive prices for home recipes were especially higher for the more time-intensive food groups, such as grains, vegetables, and fruit, which are generally underconsumed relative to the guidelines. Focusing only on the sticker price of a food and ignoring the time cost may lead to different conclusions about relative prices and policy recommendations than when the time cost is included. © 2015 American Society for Nutrition.
Prerequisites for modeling price and return data series for the Bucharest Stock Exchange
Andrei TINCA
2013-11-01
Full Text Available Time series data from the capital market exhibits certain qualities which invalidate the hypotheses necessary for obtaining meaningful results from statistical modeling. This paper presents some of these qualities by looking at the time series for prices and returns on the Romanian Stock Exchange. The examples are based on the price time series and return time series of the Antibiotice securities and the BET-C index. The choice of a certain security and of the stock exchange index has been made with the intention of analyzing, in the future, the correlation between these two variables, and drawing significant conclusions which can be used for forecasts.Firstly, we will identify the empirical proprieties of the capital market, as they are described in the field research. Secondly, we will investigate the prerequisites for modeling chronological data series; these are stationary mean and variance. In the paper, the three methods are used: graphical representation, autocorrelation and the ADF test (Augmented Dickey-Fuller. For the frequent cases where the mean is not stationary, we will present the time series differentiation method, which can be used to obtain stationary values.Lastly, we will investigate the normality of the time series through the skewness and kurtosis methods, and through the Jarque-Bera statistic. We find out a characteristic for the capital market, in that the majority of the time series for securities have non-normal distributions.
Introduction to Time Series Modeling
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
Utility Indifference Pricing: A Time Consistent Approach
Pirvu, Traian A
2011-01-01
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which changes with the regime. The market model is incomplete and there are two risky assets: one tradable and one non-tradable. In this context, the optimal investment strategies are time inconsistent. Consequently, the subgame perfect equilibrium strategies are considered. The utility indifference prices of a contingent claim written on the risky assets are computed via an indifference valuation algorithm. By running numerical experiments, we examine how these prices vary in response to changes in model parameters.
GPS Position Time Series @ JPL
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
GPS Position Time Series @ JPL
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
基于截面和时序GRS检验的流动性定价研究%Liquidity Pricing Research Based on Cross-Section and Time Series GRS Tests
刘锋; 霍德明
2012-01-01
This study explores the role of liquidity in pricing stock returns in the Chinese stock market,by using a sample of A-share listed companies from Jan.1st,1996 to Dec.31st,2010.In the Fama-MacBeth regression,liquidity is significant after controlling for other factors and firm characteristics.In the time-series regression of characteristic-sorted portfolios,all liquidity loadings are almost significant and significant intercepts decrease dramatically.After adding the liquidity in regression models,the extreme ranges and the mean pricing errors decrease monotonically.The significant GRS Tests reveal that there are some other potential risk factors.%以1996年1月1日至2010年12月31日所有A股上市公司为样本,分析了流动性在股票回报定价中的作用。在Fama-MacBeth截面回归分析中,当控制了其他风险因子和特征变量后,流动性的定价作用仍然显著。在按特征变量分组的投资组合时间序列分析中,流动性载荷统计上显著,且显著的回归截距项明显减少。在稳健性检验中,加入流动性因子后,模型截距项的极差和平均定价误差均单调减少。当然GRS统计量的显著性表明,还存在其他潜在的风险定价因子。
Optimal scheduling using priced timed automata
Behrmann, Gerd; Larsen, Kim Guldstrand; Rasmussen, Jacob Illum
2005-01-01
This contribution reports on the considerable effort made recently towards extending and applying well-established timed automata technology to optimal scheduling and planning problems. The effort of the authors in this direction has to a large extent been carried out as part of the European...... projects VHS [20] and AMETIST [16] and are available in the recently released UPPAAL CORA [12], a variant of the real-time verification tool UPPAAL [18, 5] specialized for cost-optimal reachability for the extended model of so-called priced timed automata....
Optimal scheduling using priced timed automata
Behrmann, Gerd; Larsen, Kim Guldstrand; Rasmussen, Jacob Illum
2005-01-01
This contribution reports on the considerable effort made recently towards extending and applying well-established timed automata technology to optimal scheduling and planning problems. The effort of the authors in this direction has to a large extent been carried out as part of the European proj...... projects VHS [20] and AMETIST [16] and are available in the recently released UPPAAL CORA [12], a variant of the real-time verification tool UPPAAL [18, 5] specialized for cost-optimal reachability for the extended model of so-called priced timed automata....
Two-fractal overlap time series: Earthquakes and market crashes
Bikas K Chakrabarti; Arnab Chatterjee; Pratip Bhattacharyya
2008-08-01
We find prominent similarities in the features of the time series for the (model earthquakes or) overlap of two Cantor sets when one set moves with uniform relative 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.
Predicting Nonlinear Time Series
1993-12-01
response becomes R,(k) = f (Y FV,(k)) (2.4) where Wy specifies the weight associated with the output of node i to the input of nodej in the next layer and...interconnections for each of these previous nodes. 18 prr~~~o• wfe :t iam i -- ---- --- --- --- Figure 5: Delay block for ATNN [9] Thus, nodej receives the...computed values, aj(tn), and dj(tn) denotes the desired output of nodej at time in. In this thesis, the weights and time delays update after each input
Advances in time series forecasting
Cagdas, Hakan Aladag
2012-01-01
Readers will learn how these methods work and how these approaches can be used to forecast real life time series. The hybrid forecasting model is also explained. Data presented in this e-book is problem based and is taken from real life situations. It is a valuable resource for students, statisticians and working professionals interested in advanced time series analysis.
Option pricing from wavelet-filtered financial series
de Almeida, V. T. X.; Moriconi, L.
2012-10-01
We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most (≃99.6%) of the wavelet coefficients can be neglected for the purpose of option premium evaluation. The relevance of the hugely compressed information provided by low-pass wavelet-filtering is related to the fact that the non-gaussian statistical structure of the original financial time series is essentially preserved for expiration times which are larger than just one trading day.
Space-time modeling of electricity spot prices
Abate, Girum Dagnachew; Haldrup, Niels
In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily important when prices and loads are determined in a network...
Time Series with Tailored Nonlinearities
Raeth, C
2015-01-01
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 uncor- related 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.
Fractal and Multifractal Time Series
Kantelhardt, Jan W
2008-01-01
Data series generated by complex systems exhibit fluctuations on many time scales and/or broad distributions of the values. In both equilibrium and non-equilibrium situations, the natural fluctuations are often found to follow a scaling relation over several orders of magnitude, allowing for a characterisation of the data and the generating complex system by fractal (or multifractal) scaling exponents. In addition, fractal and multifractal approaches can be used for modelling time series and deriving predictions regarding extreme events. This review article describes and exemplifies several methods originating from Statistical Physics and Applied Mathematics, which have been used for fractal and multifractal time series analysis.
Models for dependent time series
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
Time series prediction in agroecosystems
Cortina-Januchs, M. G.; Quintanilla-Dominguez, J.; Vega-Corona, A.; Andina, D.
2012-04-01
This work proposes a novel model to predict time series such as frost, precipitation, temperature, solar radiation, all of them important variables for the agriculture process. In the proposed model, Artificial Neural Networks (ANN) combined with clustering algorithms and sensor data fusion are used. The real time series are obtained from different sensors. The clustering algorithms find relationships between variables, clustering involves the task of dividing data sets, which assigns the same label to members who belong to the same group, so that each group is homogeneous and distinct from the others. Those relationships provide information to the ANN in order to obtain the time series prediction. The most important issue of ANN in time series prediction is generalization, which refers to their ability to produce reasonable predictions on data sets other than those used for the estimation of the model parameters.
Time series analysis time series analysis methods and applications
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...
Benchmarking of energy time series
Williamson, M.A.
1990-04-01
Benchmarking consists of the adjustment of time series data from one source in order to achieve agreement with similar data from a second source. The data from the latter source are referred to as the benchmark(s), and often differ in that they are observed at a lower frequency, represent a higher level of temporal aggregation, and/or are considered to be of greater accuracy. This report provides an extensive survey of benchmarking procedures which have appeared in the statistical literature, and reviews specific benchmarking procedures currently used by the Energy Information Administration (EIA). The literature survey includes a technical summary of the major benchmarking methods and their statistical properties. Factors influencing the choice and application of particular techniques are described and the impact of benchmark accuracy is discussed. EIA applications and procedures are reviewed and evaluated for residential natural gas deliveries series and coal production series. It is found that the current method of adjusting the natural gas series is consistent with the behavior of the series and the methods used in obtaining the initial data. As a result, no change is recommended. For the coal production series, a staged approach based on a first differencing technique is recommended over the current procedure. A comparison of the adjustments produced by the two methods is made for the 1987 Indiana coal production series. 32 refs., 5 figs., 1 tab.
Random time series in Astronomy
Vaughan, Simon
2013-01-01
Progress in astronomy comes from interpreting the signals encoded in the light received from distant objects: the distribution of light over the sky (images), over photon wavelength (spectrum), over polarization angle, and over time (usually called light curves by astronomers). In the time domain we see transient events such as supernovae, gamma-ray bursts, and other powerful explosions; we see periodic phenomena such as the orbits of planets around nearby stars, radio pulsars, and pulsations of stars in nearby galaxies; and persistent aperiodic variations (`noise') from powerful systems like accreting black holes. I review just a few of the recent and future challenges in the burgeoning area of Time Domain Astrophysics, with particular attention to persistently variable sources, the recovery of reliable noise power spectra from sparsely sampled time series, higher-order properties of accreting black holes, and time delays and correlations in multivariate time series.
Random time series in astronomy.
Vaughan, Simon
2013-02-13
Progress in astronomy comes from interpreting the signals encoded in the light received from distant objects: the distribution of light over the sky (images), over photon wavelength (spectrum), over polarization angle and over time (usually called light curves by astronomers). In the time domain, we see transient events such as supernovae, gamma-ray bursts and other powerful explosions; we see periodic phenomena such as the orbits of planets around nearby stars, radio pulsars and pulsations of stars in nearby galaxies; and we see persistent aperiodic variations ('noise') from powerful systems such as accreting black holes. I review just a few of the recent and future challenges in the burgeoning area of time domain astrophysics, with particular attention to persistently variable sources, the recovery of reliable noise power spectra from sparsely sampled time series, higher order properties of accreting black holes, and time delays and correlations in multi-variate time series.
Priced Timed Automata: Theory and Tools
Larsen, Kim Guldstrand
2009-01-01
Priced timed automata are emerging as useful formalisms for modeling and analysing a broad range of resource allocation problems. In this extended abstract, we highlight recent (un)deci\\-dability results related to priced timed automata as well as point to a number of open problems.......Priced timed automata are emerging as useful formalisms for modeling and analysing a broad range of resource allocation problems. In this extended abstract, we highlight recent (un)deci\\-dability results related to priced timed automata as well as point to a number of open problems....
Priced Timed Automata: Theory and Tools
Larsen, Kim Guldstrand
2009-01-01
Priced timed automata are emerging as useful formalisms for modeling and analysing a broad range of resource allocation problems. In this extended abstract, we highlight recent (un)deci\\-dability results related to priced timed automata as well as point to a number of open problems.......Priced timed automata are emerging as useful formalisms for modeling and analysing a broad range of resource allocation problems. In this extended abstract, we highlight recent (un)deci\\-dability results related to priced timed automata as well as point to a number of open problems....
Option pricing during post-crash relaxation times
Dibeh, Ghassan; Harmanani, Haidar M.
2007-07-01
This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial differential equation (PDE) for call prices is derived using risk-neutral pricing. European call prices are then estimated using Monte Carlo and finite difference methods. Results of the model show that call option prices after the crash are systematically less than those predicted by the Black-Scholes model. This is a result of the effect of non-constant volatility of the model that causes a volatility skew.
Multiresolution analysis of Bursa Malaysia KLCI time series
Ismail, Mohd Tahir; Dghais, Amel Abdoullah Ahmed
2017-05-01
In general, a time series is simply a sequence of numbers collected at regular intervals over a period. Financial time series data processing is concerned with the theory and practice of processing asset price over time, such as currency, commodity data, and stock market data. The primary aim of this study is to understand the fundamental characteristics of selected financial time series by using the time as well as the frequency domain analysis. After that prediction can be executed for the desired system for in sample forecasting. In this study, multiresolution analysis which the assist of discrete wavelet transforms (DWT) and maximal overlap discrete wavelet transform (MODWT) will be used to pinpoint special characteristics of Bursa Malaysia KLCI (Kuala Lumpur Composite Index) daily closing prices and return values. In addition, further case study discussions include the modeling of Bursa Malaysia KLCI using linear ARIMA with wavelets to address how multiresolution approach improves fitting and forecasting results.
Forecasting inflation in Montenegro using univariate time series models
Milena Lipovina-Božović
2015-04-01
Full Text Available The analysis of price trends and their prognosis is one of the key tasks of the economic authorities in each country. Due to the nature of the Montenegrin economy as small and open economy with euro as currency, forecasting inflation is very specific which is more difficult due to low quality of the data. This paper analyzes the utility and applicability of univariate time series models for forecasting price index in Montenegro. Data analysis of key macroeconomic movements in previous decades indicates the presence of many possible determinants that could influence forecasting result. This paper concludes that the forecasting models (ARIMA based only on its own previous values cannot adequately cover the key factors that determine the price level in the future, probably because of the existence of numerous external factors that influence the price movement in Montenegro.
Option Pricing with Time-changed Lévy Processes
Klingler, Sven; Kim, Young Shin; Rachev, Svetlozar T.
2013-01-01
In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate the advantages of the new processes, we conduct...
Minimum-Cost Reachability for Priced Timed Automata
Behrmann, Gerd; Fehnker, Ansgar; Hune, Thomas Seidelin;
2001-01-01
This paper introduces the model of linearly priced timed automata as an extension of timed automata, with prices on both transitions and locations. For this model we consider the minimum-cost reachability problem: i.e. given a linearly priced timed automaton and a target state, determine the mini......This paper introduces the model of linearly priced timed automata as an extension of timed automata, with prices on both transitions and locations. For this model we consider the minimum-cost reachability problem: i.e. given a linearly priced timed automaton and a target state, determine...... the minimum cost of executions from the initial state to the target state. This problem generalizes the minimum-time reachability problem for ordinary timed automata. We prove decidability of this problem by offering an algorithmic solution, which is based on a combination of branch-and-bound techniques...... and a new notion of priced regions. The latter allows symbolic representation and manipulation of reachable states together with the cost of reaching them....
A Time Series Forecasting Method
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.
International Work-Conference on Time Series
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...
Event Discovery in Time Series
Preston, Dan; Brodley, Carla
2009-01-01
The discovery of events in time series can have important implications, such as identifying microlensing events in astronomical surveys, or changes in a patient's electrocardiogram. Current methods for identifying events require a sliding window of a fixed size, which is not ideal for all applications and could overlook important events. In this work, we develop probability models for calculating the significance of an arbitrary-sized sliding window and use these probabilities to find areas of significance. Because a brute force search of all sliding windows and all window sizes would be computationally intractable, we introduce a method for quickly approximating the results. We apply our method to over 100,000 astronomical time series from the MACHO survey, in which 56 different sections of the sky are considered, each with one or more known events. Our method was able to recover 100% of these events in the top 1% of the results, essentially pruning 99% of the data. Interestingly, our method was able to iden...
Minimum-Cost Reachability for Priced Timed Automata
Behrmann, Gerd; Fehnker, Ansgar; Hune, Thomas Seidelin
2001-01-01
This paper introduces the model of linearly priced timed automata as an extension of timed automata, with prices on both transitions and locations. For this model we consider the minimum-cost reachability problem: i.e. given a linearly priced timed automaton and a target state, determine...... the minimum cost of executions from the initial state to the target state. This problem generalizes the minimum-time reachability problem for ordinary timed automata. We prove decidability of this problem by offering an algorithmic solution, which is based on a combination of branch-and-bound techniques...... and a new notion of priced regions. The latter allows symbolic representation and manipulation of reachable states together with the cost of reaching them....
Detecting chaos from time series
Xiaofeng, Gong; Lai, C. H.
2000-02-01
In this paper, an entirely data-based method to detect chaos from the time series is developed by introducing icons/Journals/Common/epsilon" ALT="epsilon" ALIGN="TOP"/> p -neighbour points (the p -steps icons/Journals/Common/epsilon" ALT="epsilon" ALIGN="TOP"/> -neighbour points). We demonstrate that for deterministic chaotic systems, there exists a linear relationship between the logarithm of the average number of icons/Journals/Common/epsilon" ALT="epsilon" ALIGN="TOP"/> p -neighbour points, lnn p ,icons/Journals/Common/epsilon" ALT="epsilon" ALIGN="TOP"/> , and the time step, p . The coefficient can be related to the KS entropy of the system. The effects of the embedding dimension and noise are also discussed.
Loss Aversion and Time-Differentiated Electricity Pricing
Spurlock, C. Anna [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)
2015-06-01
I develop a model of loss aversion over electricity expenditure, from which I derive testable predictions for household electricity consumption while on combination time-of-use (TOU) and critical peak pricing (CPP) plans. Testing these predictions results in evidence consistent with loss aversion: (1) spillover effects - positive expenditure shocks resulted in significantly more peak consumption reduction for several weeks thereafter; and (2) clustering - disproportionate probability of consuming such that expenditure would be equal between the TOUCPP or standard flat-rate pricing structures. This behavior is inconsistent with a purely neoclassical utility model, and has important implications for application of time-differentiated electricity pricing.
Resource-Optimal Scheduling Using Priced Timed Automata
Larsen, Kim Guldstrand; Rasmussen, Jacob Illum; Subramani, K.
2004-01-01
In this paper, we show how the simple structure of the linear programs encountered during symbolic minimum-cost reachability analysis of priced timed automata can be exploited in order to substantially improve the performance of the current algorithm. The idea is rooted in duality of linear progr......-80 percent performance gain. As a main application area, we show how to solve energy-optimal task graph scheduling problems using the framework of priced timed automata....
Trend prediction of chaotic time series
Li Aiguo; Zhao Cai; Li Zhanhuai
2007-01-01
To predict the trend of chaotic time series in time series analysis and time series data mining fields, a novel predicting algorithm of chaotic time series trend is presented, and an on-line segmenting algorithm is proposed to convert a time series into a binary string according to ascending or descending trend of each subsequence. The on-line segmenting algorithm is independent of the prior knowledge about time series. The naive Bayesian algorithm is then employed to predict the trend of chaotic time series according to the binary string. The experimental results of three chaotic time series demonstrate that the proposed method predicts the ascending or descending trend of chaotic time series with few error.
A Course in Time Series Analysis
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
Correlated continuous time random walk and option pricing
Lv, Longjin; Xiao, Jianbin; Fan, Liangzhong; Ren, Fuyao
2016-04-01
In this paper, we study a correlated continuous time random walk (CCTRW) with averaged waiting time, whose probability density function (PDF) is proved to follow stretched Gaussian distribution. Then, we apply this process into option pricing problem. Supposing the price of the underlying is driven by this CCTRW, we find this model captures the subdiffusive characteristic of financial markets. By using the mean self-financing hedging strategy, we obtain the closed-form pricing formulas for a European option with and without transaction costs, respectively. At last, comparing the obtained model with the classical Black-Scholes model, we find the price obtained in this paper is higher than that obtained from the Black-Scholes model. A empirical analysis is also introduced to confirm the obtained results can fit the real data well.
Time series analysis of the behavior of brazilian natural rubber
Antônio Donizette de Oliveira
2009-03-01
Full Text Available The natural rubber is a non-wood product obtained of the coagulation of some lattices of forest species, being Hevea brasiliensis the main one. Native from the Amazon Region, this species was already known by the Indians before the discovery of America. The natural rubber became a product globally valued due to its multiple applications in the economy, being its almost perfect substitute the synthetic rubber derived from the petroleum. Similarly to what happens with other countless products the forecast of future prices of the natural rubber has been object of many studies. The use of models of forecast of univariate timeseries stands out as the more accurate and useful to reduce the uncertainty in the economic decision making process. This studyanalyzed the historical series of prices of the Brazilian natural rubber (R$/kg, in the Jan/99 - Jun/2006 period, in order tocharacterize the rubber price behavior in the domestic market; estimated a model for the time series of monthly natural rubberprices; and foresaw the domestic prices of the natural rubber, in the Jul/2006 - Jun/2007 period, based on the estimated models.The studied models were the ones belonging to the ARIMA family. The main results were: the domestic market of the natural rubberis expanding due to the growth of the world economy; among the adjusted models, the ARIMA (1,1,1 model provided the bestadjustment of the time series of prices of the natural rubber (R$/kg; the prognosis accomplished for the series supplied statistically adequate fittings.
Description of complex time series by multipoles
Lewkowicz, M.; Levitan, J.; Puzanov, N.
2002-01-01
We present a new method to describe time series with a highly complex time evolution. The time series is projected onto a two-dimensional phase-space plot which is quantified in terms of a multipole expansion where every data point is assigned a unit mass. The multipoles provide an efficient...... characterization of the original time series....
Real Time Pricing and the Real Live Firm
Moezzi, Mithra; Goldman, Charles; Sezgen, Osman; Bharvirkar, Ranjit; Hopper, Nicole
2004-05-26
Energy economists have long argued the benefits of real time pricing (RTP) of electricity. Their basis for modeling customers response to short-term fluctuations in electricity prices are based on theories of rational firm behavior, where management strives to minimize operating costs and optimize profit, and labor, capital and energy are potential substitutes in the firm's production function. How well do private firms and public sector institutions operating conditions, knowledge structures, decision-making practices, and external relationships comport with these assumptions and how might this impact price response? We discuss these issues on the basis of interviews with 29 large (over 2 MW) industrial, commercial, and institutional customers in the Niagara Mohawk Power Corporation service territory that have faced day-ahead electricity market prices since 1998. We look at stories interviewees told about why and how they respond to RTP, why some customers report that they can't, and why even if they can, they don't. Some firms respond as theorized, and we describe their load curtailment strategies. About half of our interviewees reported that they were unable to either shift or forego electricity consumption even when prices are high ($0.50/kWh). Reasons customers gave for why they weren't price-responsive include implicit value placed on reliability, pricing structures, lack of flexibility in adjusting production inputs, just-in-time practices, perceived barriers to onsite generation, and insufficient time. We draw these observations into a framework that could help refine economic theory of dynamic pricing by providing real-world descriptions of how firms behave and why.
MODELLING GASOLINE DEMAND IN GHANA: A STRUCTURAL TIME SERIES ANALYSIS
Ishmael Ackah
2014-01-01
Full Text Available Concerns about the role of energy consumption in global warming have led to policy designs that seek to reduce fossil fuel consumption or find a less polluting alternative especiallyfor the transport sector. This study seeks to estimate the elasticities of price, income, education and technology on transport gasoline demand sector inGhana. The Structural Time Series Model reports a short-run price and income elasticities of -0.0088 and 0.713. Total factor productivity is -0.408 whilstthe elasticity for education is 2.33. In the long run, the reported price and income elasticities are -0.065 and 5.129 respectively. The long run elasticityfor productivity is -2.935. The study recommends that in order to enhanceefficiency in gasoline consumption in the transport sector, there should beinvestment in productivity.
Effective Feature Preprocessing for Time Series Forecasting
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....
Regenerating time series from ordinal networks
McCullough, Michael; Sakellariou, Konstantinos; Stemler, Thomas; Small, Michael
2017-03-01
Recently proposed ordinal networks not only afford novel methods of nonlinear time series analysis but also constitute stochastic approximations of the deterministic flow time series from which the network models are constructed. In this paper, we construct ordinal networks from discrete sampled continuous chaotic time series and then regenerate new time series by taking random walks on the ordinal network. We then investigate the extent to which the dynamics of the original time series are encoded in the ordinal networks and retained through the process of regenerating new time series by using several distinct quantitative approaches. First, we use recurrence quantification analysis on traditional recurrence plots and order recurrence plots to compare the temporal structure of the original time series with random walk surrogate time series. Second, we estimate the largest Lyapunov exponent from the original time series and investigate the extent to which this invariant measure can be estimated from the surrogate time series. Finally, estimates of correlation dimension are computed to compare the topological properties of the original and surrogate time series dynamics. Our findings show that ordinal networks constructed from univariate time series data constitute stochastic models which approximate important dynamical properties of the original systems.
Regenerating time series from ordinal networks.
McCullough, Michael; Sakellariou, Konstantinos; Stemler, Thomas; Small, Michael
2017-03-01
Recently proposed ordinal networks not only afford novel methods of nonlinear time series analysis but also constitute stochastic approximations of the deterministic flow time series from which the network models are constructed. In this paper, we construct ordinal networks from discrete sampled continuous chaotic time series and then regenerate new time series by taking random walks on the ordinal network. We then investigate the extent to which the dynamics of the original time series are encoded in the ordinal networks and retained through the process of regenerating new time series by using several distinct quantitative approaches. First, we use recurrence quantification analysis on traditional recurrence plots and order recurrence plots to compare the temporal structure of the original time series with random walk surrogate time series. Second, we estimate the largest Lyapunov exponent from the original time series and investigate the extent to which this invariant measure can be estimated from the surrogate time series. Finally, estimates of correlation dimension are computed to compare the topological properties of the original and surrogate time series dynamics. Our findings show that ordinal networks constructed from univariate time series data constitute stochastic models which approximate important dynamical properties of the original systems.
混沌时间序列在股票价格长期预测中的应用%Application of chaotic time series prediction of long-term stock price
顾秋宇; 朱捷; 徐晶
2015-01-01
For the defect of initial sensitive to chaotic time serial and the cumulative error will enlarge quickly while iterating prediction, this paper proposed an improved support vector machine ( SVM) method to avoid the disadvantages of long-term forecast.The SVM struc-ture was determined based on the reconstruction phase space.To reduce the accumulated er-ror, the existing SVM kernel function was improved to meet the condition which reduced the error.The closing price data of the Bao Steel stock exchange was applied to the improved model to get a better simulation result.%针对混沌时间序列对初值敏感，在迭代预测时累积误差将迅速放大的缺陷，提出一种改进的支持向量机的方法，避免这一弊端进行长期预测。在重构相空间的基础上，确定支持向量机的结构。为减小累积误差，对现有的支持向量机的核函数进行改进，使该核函数满足减小误差的条件。最后把沪市宝钢股份收盘价格的数据应用到改进的模型中，得到较好的仿真结果。
Time Series Analysis and Forecasting by Example
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
The mean time-limited crash rate of stock price
Li, Yun-Xian; Li, Jiang-Cheng; Yang, Ai-Jun; Tang, Nian-Sheng
2017-05-01
In this article we investigate the occurrence of stock market crash in an economy cycle. Bayesian approach, Heston model and statistical-physical method are considered. Specifically, Heston model and an effective potential are employed to address the dynamic changes of stock price. Bayesian approach has been utilized to estimate the Heston model's unknown parameters. Statistical physical method is used to investigate the occurrence of stock market crash by calculating the mean time-limited crash rate. The real financial data from the Shanghai Composite Index is analyzed with the proposed methods. The mean time-limited crash rate of stock price is used to describe the occurrence of stock market crash in an economy cycle. The monotonous and nonmonotonous behaviors are observed in the behavior of the mean time-limited crash rate versus volatility of stock for various cross correlation coefficient between volatility and price. Also a minimum occurrence of stock market crash matching an optimal volatility is discovered.
Frederico A. Turolla
2007-08-01
Full Text Available This paper investigates the price transmission in the world market for soybeans using time series econometrics models. The theoretical model developed by Mundlack and Larson (1992 is based on the Law of the One Price, which assumes price equalization across all local markets in the long run and allows for deviations in the short run. The international market was characterized by three relevant soybean prices: Rotterdam Port, Argentina and the United States. The paper estimates the elasticity of transmission of these prices into soybean prices in Brazil. There were carried causality and cointegration tests in order to identify whether there is significant long-term relationship among these variables. There was also calculated the impulse-response function and forecast error variance decomposition to analyze the transmission of variations in the international prices over Brazilian prices. An exogeneity test was also carried out so as to check whether the variables respond to short term deviations from equilibrium values. Results validated the Law of the One Price in the long run. In line with many studies, this paper showed that Brazil and Argentina can be seen as price takers as long as the speed of their adjustment to shocks is faster than in the United States, the latter being a price maker.
Mario A. Margarido
2009-06-01
Full Text Available This paper investigates the price transmission in the world market for soybeans using time series econometrics models. The theoretical model developed by Mundlack and Larson (1992 is based on the Law of the One Price, which assumes price equalization across all local marketsin the long run and allows for deviations in the short run. The international market was characterized by three relevant soybean prices: Rotterdam Port, Argentina and the United States. The paper estimates the elasticity of transmission of these prices into soybean prices in Brazil. There were carried causality and cointegration tests in order to identify whether there is significant long-term relationship among these variables. There was also calculated the impulse-response function and forecast error variance decomposition to analyze the transmission of variations in the international prices over Brazilian prices. An exogeneity test was also carried out so as to check whether the variables respond to short term deviations from equilibrium values. Results validated the Law of the One Price in the long run. In line with many studies, this paper showed that Brazil and Argentina can be seen as price takers as long as the speed of their adjustment to shocks is faster than in the United States, the latter being a price maker.
Duality between Time Series and Networks
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
UPPAAL-SMC: Statistical Model Checking for Priced Timed Automata
Bulychev, Petr; David, Alexandre; Larsen, Kim Guldstrand
2012-01-01
This paper offers a survey of U PPAAL - SMC, a major extension of the real-time verification tool U PPAAL. U PPAAL - SMC allows for the efficient analysis of performance properties of networks of priced timed automata under a natural stochastic semantics. In particular, U PPAAL - SMC relies on a ...
Optimal Conditional Reachability for Multi-Priced Timed Automata
Larsen, Kim Guldstrand; Rasmussen, Jacob Illum
2005-01-01
In this paper, we prove decidability of the optimal conditional reachability problem for multi-priced timed automata, an extension of timed automata with multiple cost variables evolving according to given rates for each location. More precisely, we consider the problem of determining the minimal...
A Review of Subsequence Time Series Clustering
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 refined fuzzy time series model for stock market forecasting
Jilani, Tahseen Ahmed; Burney, Syed Muhammad Aqil
2008-05-01
Time series models have been used to make predictions of stock prices, academic enrollments, weather, road accident casualties, etc. In this paper we present a simple time-variant fuzzy time series forecasting method. The proposed method uses heuristic approach to define frequency-density-based partitions of the universe of discourse. We have proposed a fuzzy metric to use the frequency-density-based partitioning. The proposed fuzzy metric also uses a trend predictor to calculate the forecast. The new method is applied for forecasting TAIEX and enrollments’ forecasting of the University of Alabama. It is shown that the proposed method work with higher accuracy as compared to other fuzzy time series methods developed for forecasting TAIEX and enrollments of the University of Alabama.
基于时间序列的小波神经网络蔬菜价格预测模型%Vegetable Prices Prediction Model Based on Time-Series Wavelet Neural Network
钱彬彬; 谢申汝; 杨宝华
2016-01-01
Aiming at an accurate prediction of vegetable price, the cabbage monthly price data and the relevant factors data in Hefei Zhou Gudui farm product market from 2005 to 2014 were collected as samples. By analyzing principal component and using the Wavelet Neural Network intelligent analysis method, the price forecasting model was built and was compared with BP neural network model. The results show that the wavelet neural network predictive model has higher precision and better stability than the BP neural network. The establishment of the model would provide technical support for stability of the price and references for related policies.%为准确预测蔬菜价格变化规律，现以合肥市周谷堆农产品批发市场2005年~2014年白菜月度市场价格及相关影响因素数据为样本，通过主成分分析，利用小波神经网络智能分析方法，构建基于小波神经网络的价格预测模型，并与BP神经网络模型比较。结果表明，小波神经网络预测模型的预测精度比BP神经网络更高，且更加的稳定。该模型的构建对蔬菜价格的稳定、农业管理部门的决策支持具有重要的理论研究意义和实际价值。
ANALYSIS OF PRICE SERIES USING HOLT’S INDICATOR OF STOCK MARKET
Yegorova N. Y.
2015-04-01
Full Text Available The article is devoted to the development of an indicator to detect changes in the dynamics of stock price series that could lead to loss of optimality of the trading models parameters. Feature of the new tools of technical analysis is sensitive not only to the trend component securities prices, but also to the volatility of financial assets. In this work proposes the use of this indicator as part of risk management at the stock market, formulates practical advice on how to use and configure in conjunction with trading models.
ANALYSIS OF PRICE SERIES USING HOLT’S INDICATOR OF STOCK MARKET
Yegorova N. Y.; Tikhnenko A. N.
2015-01-01
The article is devoted to the development of an indicator to detect changes in the dynamics of stock price series that could lead to loss of optimality of the trading models parameters. Feature of the new tools of technical analysis is sensitive not only to the trend component securities prices, but also to the volatility of financial assets. In this work proposes the use of this indicator as part of risk management at the stock market, formulates practical advice on how to use and configure ...
Grammar-based feature generation for time-series prediction
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 ...
Neural network versus classical time series forecasting models
Nor, Maria Elena; Safuan, Hamizah Mohd; Shab, Noorzehan Fazahiyah Md; Asrul, Mohd; Abdullah, Affendi; Mohamad, Nurul Asmaa Izzati; Lee, Muhammad Hisyam
2017-05-01
Artificial neural network (ANN) has advantage in time series forecasting as it has potential to solve complex forecasting problems. This is because ANN is data driven approach which able to be trained to map past values of a time series. In this study the forecast performance between neural network and classical time series forecasting method namely seasonal autoregressive integrated moving average models was being compared by utilizing gold price data. Moreover, the effect of different data preprocessing on the forecast performance of neural network being examined. The forecast accuracy was evaluated using mean absolute deviation, root mean square error and mean absolute percentage error. It was found that ANN produced the most accurate forecast when Box-Cox transformation was used as data preprocessing.
Data mining in time series databases
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.
Outliers Mining in Time Series Data Sets
无
2002-01-01
In this paper, we present a cluster-based algorithm for time series outlier mining.We use discrete Fourier transformation (DFT) to transform time series from time domain to frequency domain. Time series thus can be mapped as the points in k-dimensional space.For these points, a cluster-based algorithm is developed to mine the outliers from these points.The algorithm first partitions the input points into disjoint clusters and then prunes the clusters,through judgment that can not contain outliers.Our algorithm has been run in the electrical load time series of one steel enterprise and proved to be effective.
Time-varying determinants of long-run house prices
Dröes, M.; van de Minne, A.
2015-01-01
The determinants of house prices change over time. This paper documents these changes using long-run historical data from Amsterdam from the year 1825 onwards. Because many houses in Amsterdam have survived until this day, we can construct a long-run repeat sales index and examine its determinants.
Time-varying determinants of long-run house prices
Dröes, M.; van de Minne, A.
2015-01-01
The determinants of house prices change over time. This paper documents these changes using long-run historical data from Amsterdam from the year 1825 onwards. Because many houses in Amsterdam have survived until this day, we can construct a long-run repeat sales index and examine its determinants.
International Work-Conference on Time Series
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.
Coupling between time series: a network view
Mehraban, Saeed; Zamani, Maryam; Jafari, Gholamreza
2013-01-01
Recently, the visibility graph has been introduced as a novel view for analyzing time series, which maps it to a complex network. In this paper, we introduce new algorithm of visibility, "cross-visibility", which reveals the conjugation of two coupled time series. The correspondence between the two time series is mapped to a network, "the cross-visibility graph", to demonstrate the correlation between them. We applied the algorithm to several correlated and uncorrelated time series, generated by the linear stationary ARFIMA process. The results demonstrate that the cross-visibility graph associated with correlated time series with power-law auto-correlation is scale-free. If the time series are uncorrelated, the degree distribution of their cross-visibility network deviates from power-law. For more clarifying the process, we applied the algorithm to real-world data from the financial trades of two companies, and observed significant small-scale coupling in their dynamics.
Forecasting Enrollments with Fuzzy Time Series.
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…
Analysis for Embedded Systems: Experiments with Priced Timed Automata
Ovatman, Tolga; Brekling, Aske Wiid; Hansen, Michael Reichhardt
2010-01-01
Analysis of resource consumption of embedded systems is a major challenge in the industry since the number of components that can be included in a single chip keeps getting bigger. In this paper, we consider simple models of embedded systems and the automated analysis about timing and memory access...... priced timed automata and Uppaal Cora as a model checking tool in reasoning about resource consumption of embedded systems....
Flexible Demand Management under Time-Varying Prices
Liang, Yong
In this dissertation, the problem of flexible demand management under time-varying prices is studied. This generic problem has many applications, which usually have multiple periods in which decisions on satisfying demand need to be made, and prices in these periods are time-varying. Examples of such applications include multi-period procurement problem, operating room scheduling, and user-end demand scheduling in the Smart Grid, where the last application is used as the main motivating story throughout the dissertation. The current grid is experiencing an upgrade with lots of new designs. What is of particular interest is the idea of passing time-varying prices that reflect electricity market conditions to end users as incentives for load shifting. One key component, consequently, is the demand management system at the user-end. The objective of the system is to find the optimal trade-off between cost saving and discomfort increment resulted from load shifting. In this dissertation, we approach this problem from the following aspects: (1) construct a generic model, solve for Pareto optimal solutions, and analyze the robust solution that optimizes the worst-case payoffs, (2) extend to a distribution-free model for multiple types of demand (appliances), for which an approximate dynamic programming (ADP) approach is developed, and (3) design other efficient algorithms for practical purposes of the flexible demand management system. We first construct a novel multi-objective flexible demand management model, in which there are a finite number of periods with time-varying prices, and demand arrives in each period. In each period, the decision maker chooses to either satisfy or defer outstanding demand to minimize costs and discomfort over a certain number of periods. We consider both the deterministic model, models with stochastic demand or prices, and when only partial information about the stochastic demand or prices is known. We first analyze the stochastic
Hurst Exponent Analysis of Financial Time Series
无
2001-01-01
Statistical properties of stock market time series and the implication of their Hurst exponents are discussed. Hurst exponents of DJ1A (Dow Jones Industrial Average) components are tested using re-scaled range analysis. In addition to the original stock return series, the linear prediction errors of the daily returns are also tested. Numerical results show that the Hurst exponent analysis can provide some information about the statistical properties of the financial time series.
Transfer entropy between multivariate time series
Mao, Xuegeng; Shang, Pengjian
2017-06-01
It is a crucial topic to identify the direction and strength of the interdependence between time series in multivariate systems. In this paper, we propose the method of transfer entropy based on the theory of time-delay reconstruction of a phase space, which is a model-free approach to detect causalities in multivariate time series. This method overcomes the limitation that original transfer entropy only can capture which system drives the transition probabilities of another in scalar time series. Using artificial time series, we show that the driving character is obviously reflected with the increase of the coupling strength between two signals and confirm the effectiveness of the method with noise added. Furthermore, we utilize it to real-world data, namely financial time series, in order to characterize the information flow among different stocks.
Statistical criteria for characterizing irradiance time series.
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.
Panda, S.; Saha, S.; Basu, M.
2013-01-01
Product perishability is an important aspect of inventory control. To minimise the effect of deterioration, retailers in supermarkets, departmental store managers, etc. always want higher inventory depletion rate. In this article, we propose a dynamic pre- and post-deterioration cumulative discount policy to enhance inventory depletion rate resulting low volume of deterioration cost, holding cost and hence higher profit. It is assumed that demand is a price and time dependent ramp-type function and the product starts to deteriorate after certain amount of time. Unlike the conventional inventory models with pricing strategies, which are restricted to a fixed number of price changes and to a fixed cycle length, we allow the number of price changes before as well as after the start of deterioration and the replenishment cycle length to be the decision variables. Before start of deterioration, discounts on unit selling price are provided cumulatively in successive pricing cycles. After the start of deterioration, discounts on reduced unit selling price are also provided in a cumulative way. A mathematical model is developed and the existence of the optimal solution is verified. A numerical example is presented, which indicates that under the cumulative effect of price discounting, dynamic pricing policy outperforms static pricing strategy. Sensitivity analysis of the model is carried out.
Reconstruction of time-delay systems from chaotic time series.
Bezruchko, B P; Karavaev, A S; Ponomarenko, V I; Prokhorov, M D
2001-11-01
We propose a method that allows one to estimate the parameters of model scalar time-delay differential equations from time series. The method is based on a statistical analysis of time intervals between extrema in the time series. We verify our method by using it for the reconstruction of time-delay differential equations from their chaotic solutions and for modeling experimental systems with delay-induced dynamics from their chaotic time series.
Lag space estimation in time series modelling
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...
The foundations of modern time series analysis
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.
On reconstruction of time series in climatology
V. Privalsky
2015-10-01
Full Text Available The approach to time series reconstruction in climatology based upon cross-correlation coefficients and regression equations is mathematically incorrect because it ignores the dependence of time series upon their past. The proper method described here for the bivariate case requires the autoregressive time- and frequency domains modeling of the time series which contains simultaneous observations of both scalar series with subsequent application of the model to restore the shorter one into the past. The method presents further development of previous efforts taken by a number of authors starting from A. Douglass who introduced some concepts of time series analysis into paleoclimatology. The method is applied to the monthly data of total solar irradiance (TSI, 1979–2014, and sunspot numbers (SSN, 1749–2014, to restore the TSI data over 1749–1978. The results of the reconstruction are in statistical agreement with observations.
Hamidreza Mostafaei
2013-01-01
Full Text Available In this study, it has been attempted to select the best continuous- time stochastic model, in order to describe and forecast the oil price of Russia, by information and statistics about oil price that has been available for oil price in the past. For this purpose, method of The Maximum Likelihood Estimation is implemented for estimation of the parameters of continuous-time stochastic processes. The result of unit root test with a structural break, reveals that time series of the crude oil price is a stationary series. The simulation of continuous-time stochastic processes and the mean square error between the simulated prices and the market ones shows that the Geometric Brownian Motion is the best model for the Russian crude oil price.
Characterizing time series via complexity-entropy curves
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.
Leberl, F.; Fuchs, H.; Ford, J. P.
1981-01-01
A set of ten side-looking radar images of a mining area in Arizona that were aquired over a period of 14 yr are studied to demonstrate the photogrammetric differential-rectification technique applied to radar images and to examine changes that occurred in the area over time. Five of the images are rectified by using ground control points and a digital height model taken from a map. Residual coordinate errors in ground control are reduced from several hundred meters in all cases to + or - 19 to 70 m. The contents of the radar images are compared with a Landsat image and with aerial photographs. Effects of radar system parameters on radar images are briefly reviewed.
Biclustering of time series microarray data.
Meng, Jia; Huang, Yufei
2012-01-01
Clustering is a popular data exploration technique widely used in microarray data analysis. In this chapter, we review ideas and algorithms of bicluster and its applications in time series microarray analysis. We introduce first the concept and importance of biclustering and its different variations. We then focus our discussion on the popular iterative signature algorithm (ISA) for searching biclusters in microarray dataset. Next, we discuss in detail the enrichment constraint time-dependent ISA (ECTDISA) for identifying biologically meaningful temporal transcription modules from time series microarray dataset. In the end, we provide an example of ECTDISA application to time series microarray data of Kaposi's Sarcoma-associated Herpesvirus (KSHV) infection.
Vitanov, Nikolay K. [Institute of Mechanics, Bulgarian Academy of Sciences, Akad. G. Bonchev Street, Bl. 4, 1113 Sofia (Bulgaria)], E-mail: vitanov@imech.imbm.bas.bg; Sakai, Kenshi [Department of Eco-Regional Science, Tokyo University of Agriculture and Technology, 3-5-8 Saiwai-cho, Fuchu-shi, Tokyo, 183-8509 (Japan); Dimitrova, Zlatinka I. [Institute of Solid State Physics, Bulgarian Academy of Sciences, Blvd. Tzarigradsko Chausee 72, 1784 Sofia (Bulgaria)
2008-07-15
Singular spectrum analysis (SSA), principal component analysis (PCA), and autocorrelation function analysis (ACFA) are useful tools for extracting information from time series. But the combination of these methods and the time delay phase space construction (TDPSC) is not much used. In this paper we present the opportunities of this bundle of four methods for analysis of short and nonstationary time series. The basis of our analysis are time series for the piglet prices and production in Japan before and after the Japan government intervention in the agriculture sector aiming at stabilization of the agriculture prices after the oil crisis in 1974. As a comparison we analyse long stationary chaotic time series from the classical Lorenz system. We show that SSA, PCA and TDPSC perfectly recognize the dimension of the Lorenz system only on the basis of time series for one of its three variables. The bundle of four methods leads us to enough information to make the conclusion that the intervention of the Japan government in agriculture sector was very successful and leaded (i) to stabilization of prices; (ii) to a coupling between the prices and production cycles and (iii) to decreasing the dimension of the phase space of price and production fluctuations around the year trend thus making their dynamics more forecastable.
Time series analysis for minority game simulations of financial markets
Ferreira, F F; Machado, B S; Muruganandam, P
2003-01-01
The minority game model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, we draw conclusions about the generating mechanism for this kind of evolution. The trajectories of the model are found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary.
Developing consistent time series landsat data products
The Landsat series satellite has provided earth observation data record continuously since early 1970s. There are increasing demands on having a consistent time series of Landsat data products. In this presentation, I will summarize the work supported by the USGS Landsat Science Team project from 20...
Modeling Time Series Data for Supervised Learning
Baydogan, Mustafa Gokce
2012-01-01
Temporal data are increasingly prevalent and important in analytics. Time series (TS) data are chronological sequences of observations and an important class of temporal data. Fields such as medicine, finance, learning science and multimedia naturally generate TS data. Each series provide a high-dimensional data vector that challenges the learning…
DATA MINING IN CANADIAN LYNX TIME SERIES
R.Karnaboopathy
2012-01-01
Full Text Available This paper sums up the applications of Statistical model such as ARIMA family timeseries models in Canadian lynx data time series analysis and introduces the method of datamining combined with Statistical knowledge to analysis Canadian lynx data series.
Time Series Analysis Forecasting and Control
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
A Simple Fuzzy Time Series Forecasting Model
Ortiz-Arroyo, Daniel
2016-01-01
In this paper we describe a new ﬁrst order fuzzy time series forecasting model. We show that our automatic fuzzy partitioning method provides an accurate approximation to the time series that when combined with rule forecasting and an OWA operator improves forecasting accuracy. Our model does...... not attempt to provide the best results in comparison with other forecasting methods but to show how to improve ﬁrst order models using simple techniques. However, we show that our ﬁrst order model is still capable of outperforming some more complex higher order fuzzy time series models....
Time series modeling, computation, and inference
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
Evaluation of Harmonic Analysis of Time Series (HANTS): impact of gaps on time series reconstruction
Zhou, J.Y.; Jia, L.; Hu, G.; Menenti, M.
2012-01-01
In recent decades, researchers have developed methods and models to reconstruct time series of irregularly spaced observations from satellite remote sensing, among which the widely used Harmonic Analysis of Time Series (HANTS) method. Many studies based on time series reconstructed with HANTS docume
Evaluation of Harmonic Analysis of Time Series (HANTS): impact of gaps on time series reconstruction
Zhou, J.Y.; Jia, L.; Hu, G.; Menenti, M.
2012-01-01
In recent decades, researchers have developed methods and models to reconstruct time series of irregularly spaced observations from satellite remote sensing, among which the widely used Harmonic Analysis of Time Series (HANTS) method. Many studies based on time series reconstructed with HANTS docume
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models
Koopman, Siem Jan; Ooms, Marius
2004-01-01
We explore a periodic analysis in the context of unobserved components time series models that decompose time series into components of interest such as trend and seasonal. Periodic time series models allow dynamic characteristics to depend on the period of the year, month, week or day. In the stand
Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models
Koopman, Siem Jan; Ooms, Marius
2004-01-01
We explore a periodic analysis in the context of unobserved components time series models that decompose time series into components of interest such as trend and seasonal. Periodic time series models allow dynamic characteristics to depend on the period of the year, month, week or day. In the
Evaluation of Harmonic Analysis of Time Series (HANTS): impact of gaps on time series reconstruction
Zhou, J.Y.; Jia, L.; Hu, G.; Menenti, M.
2012-01-01
In recent decades, researchers have developed methods and models to reconstruct time series of irregularly spaced observations from satellite remote sensing, among which the widely used Harmonic Analysis of Time Series (HANTS) method. Many studies based on time series reconstructed with HANTS
Visibility Graph Based Time Series Analysis.
Stephen, Mutua; Gu, Changgui; Yang, Huijie
2015-01-01
Network based time series analysis has made considerable achievements in the recent years. By mapping mono/multivariate time series into networks, one can investigate both it's microscopic and macroscopic behaviors. However, most proposed approaches lead to the construction of static networks consequently providing limited information on evolutionary behaviors. In the present paper we propose a method called visibility graph based time series analysis, in which series segments are mapped to visibility graphs as being descriptions of the corresponding states and the successively occurring states are linked. This procedure converts a time series to a temporal network and at the same time a network of networks. Findings from empirical records for stock markets in USA (S&P500 and Nasdaq) and artificial series generated by means of fractional Gaussian motions show that the method can provide us rich information benefiting short-term and long-term predictions. Theoretically, we propose a method to investigate time series from the viewpoint of network of networks.
Visibility Graph Based Time Series Analysis
Stephen, Mutua; Gu, Changgui; Yang, Huijie
2015-01-01
Network based time series analysis has made considerable achievements in the recent years. By mapping mono/multivariate time series into networks, one can investigate both it’s microscopic and macroscopic behaviors. However, most proposed approaches lead to the construction of static networks consequently providing limited information on evolutionary behaviors. In the present paper we propose a method called visibility graph based time series analysis, in which series segments are mapped to visibility graphs as being descriptions of the corresponding states and the successively occurring states are linked. This procedure converts a time series to a temporal network and at the same time a network of networks. Findings from empirical records for stock markets in USA (S&P500 and Nasdaq) and artificial series generated by means of fractional Gaussian motions show that the method can provide us rich information benefiting short-term and long-term predictions. Theoretically, we propose a method to investigate time series from the viewpoint of network of networks. PMID:26571115
Multivariate Option Pricing with Time Varying Volatility and Correlations
Rombouts, Jeroen V.K.; Stentoft, Lars Peter
In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...... neutral dynamics for a general class of multivariate heteroskedastic models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the assumed underlying distribution and dynamics, and it nests several important special cases. We provide an application...... to options on the minimum of two indices. Our results show that not only is correlation important for these options but so is allowing this correlation to be dynamic. Moreover, we show that for the general model exposure to correlation risk carries an important premium, and when this is neglected option...
FORECASTING INFLATION RATES WITH HIGH ORDER FUZZY TIME SERIES APPROACH
VEDİDE REZAN USLU
2013-06-01
Full Text Available To obtain inflation forecasts is an important economic issue. The more accurate forecasts we get implies the more precise decisions we make. The central Bank reports inflation rates in certain periods of every year. In this reports the results of inflation expectation survey are presented. In this study we use an approach in which relationship is determined by artificial neural network in high order fuzzy time series model. Time series of consumer price index is estimated by both the artificial neural network based method and some fuzzy approaches which is common in the literature. The results are compared to the results of inflation expectation survey analysis conducted by Central Bank of the Republic of Turkey in the aspect of forecasts accuracy.
Simple Patterns in Fluctuations of Time Series of Economic Interest
Fanchiotti, H.; García Canal, C. A.; García Zúñiga, H.
Time series corresponding to nominal exchange rates between the US dollar and Argentina, Brazil and European Economic Community currencies; different financial indexes as the Industrial Dow Jones, the British Footsie, the German DAX Composite, the Australian Share Price and the Nikkei Cash and also different Argentine local tax revenues, are analyzed looking for the appearance of simple patterns and the possible definition of forecast evaluators. In every case, the statistical fractal dimensions are obtained from the behavior of the corresponding variance of increments at a given lag. The detrended fluctuation analysis of the data in terms of the corresponding exponent in the resulting power law is carried out. Finally, the frequency power spectra of all the time series considered are computed and compared
Applied time series analysis and innovative computing
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.
Spectra: Time series power spectrum calculator
Gallardo, Tabaré
2017-01-01
Spectra calculates the power spectrum of a time series equally spaced or not based on the Spectral Correlation Coefficient (Ferraz-Mello 1981, Astron. Journal 86 (4), 619). It is very efficient for detection of low frequencies.
Improving Intercomparability of Marine Biogeochemical Time Series
Benway, Heather M.; Telszewski, Maciej; Lorenzoni, Laura
2013-04-01
Shipboard biogeochemical time series represent one of the most valuable tools scientists have to quantify marine elemental fluxes and associated biogeochemical processes and to understand their links to changing climate. They provide the long, temporally resolved data sets needed to characterize ocean climate, biogeochemistry, and ecosystem variability and change. However, to monitor and differentiate natural cycles and human-driven changes in the global oceans, time series methodologies must be transparent and intercomparable when possible. To review current shipboard biogeochemical time series sampling and analytical methods, the International Ocean Carbon Coordination Project (IOCCP; http://www.ioccp.org/) and the Ocean Carbon and Biogeochemistry Program (http://www.us-ocb.org/) convened an international ocean time series workshop at the Bermuda Institute for Ocean Sciences.
FATS: Feature Analysis for Time Series
Nun, Isadora; Sim, Brandon; Zhu, Ming; Dave, Rahul; Castro, Nicolas; Pichara, Karim
2015-01-01
In this paper, we present the FATS (Feature Analysis for Time Series) library. FATS is a Python library which facilitates and standardizes feature extraction for time series data. In particular, we focus on one application: feature extraction for astronomical light curve data, although the library is generalizable for other uses. We detail the methods and features implemented for light curve analysis, and present examples for its usage.
Combination prediction method of chaotic time series
ZHAO DongHua; RUAN Jiong; CAI ZhiJie
2007-01-01
In the present paper, we propose an approach of combination prediction of chaotic time series. The method is based on the adding-weight one-rank local-region method of chaotic time series. The method allows us to define an interval containing a future value with a given probability, which is obtained by studying the prediction error distribution. Its effectiveness is shown with data generated by Logistic map.
Pseudotime estimation: deconfounding single cell time series
John E Reid; Wernisch, Lorenz
2016-01-01
Motivation: Repeated cross-sectional time series single cell data confound several sources of variation, with contributions from measurement noise, stochastic cell-to-cell variation and cell progression at different rates. Time series from single cell assays are particularly susceptible to confounding as the measurements are not averaged over populations of cells. When several genes are assayed in parallel these effects can be estimated and corrected for under certain smoothness assumptions o...
Optimal Conditional Reachability for Multi-Priced Timed Automata
Larsen, Kim Guldstrand; Rasmussen, Jacob Illum
2005-01-01
In this paper, we prove decidability of the optimal conditional reachability problem for multi-priced timed automata, an extension of timed automata with multiple cost variables evolving according to given rates for each location. More precisely, we consider the problem of determining the minimal...... cost of reaching a given target state, with respect to some primary cost variable, while respecting upper bound constraints on the remaining (secondary) cost variables. Decidability is proven by constructing a zone-based algorithm that always terminates while synthesizing the optimal cost with a single...... secondary cost variable. The approach is then lifted to any number of secondary cost variables....
Multivariate Time Series Decomposition into Oscillation Components.
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.
Introduction to time series analysis and forecasting
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.
Time Series Forecasting with Missing Values
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.
A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market
V. Steblovskaya
2008-09-01
Full Text Available We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two-stage process that first determines market calibrated model parameters that correspond to the market price of the option being hedged. In the second stage, an optimal set of model parameters is chosen from the market calibrated set. This choice is based on stock price simulations using a time-series model for stock price jump evolution. Results are presented for options traded on the New York Stock Exchange.
Exponential smoothing for financial time series data forecasting
Kuzhda, Tetyana Ivanivna
2014-05-01
Full Text Available The article begins with the formulation for predictive learning called exponential smoothing forecasting. The exponential smoothing is commonly applied to financial markets such as stock or bond, foreign exchange, insurance, credit, primary and secondary markets. The exponential smoothing models are useful in providing the valuable decision information for investors. Simple and double exponential smoothing models are two basic types of exponential smoothing method. The simple exponential smoothing method is suitable for financial time series forecasting for the specified time period. The simple exponential smoothing weights past observations with exponentially decreasing weights to forecast future values. The double exponential smoothing is a refinement of the simple exponential smoothing model but adds another component which takes into account any trend in the data. The double exponential smoothing is designed to address this type of data series by taking into account any trend in the data. Measurement of the forecast accuracy is described in this article. Finally, the quantitative value of the price per common share forecast using simple exponential smoothing is calculated. The applied recommendations concerning determination of the price per common share forecast using double exponential smoothing are shown in the article.
Time averaging, ageing and delay analysis of financial time series
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.
Feature Matching in Time Series Modelling
Xia, Yingcun
2011-01-01
Using a time series model to mimic an observed time series has a long history. However, with regard to this objective, conventional estimation methods for discrete-time dynamical models are frequently found to be wanting. In the absence of a true model, we prefer an alternative approach to conventional model fitting that typically involves one-step-ahead prediction errors. Our primary aim is to match the joint probability distribution of the observable time series, including long-term features of the dynamics that underpin the data, such as cycles, long memory and others, rather than short-term prediction. For want of a better name, we call this specific aim {\\it feature matching}. The challenges of model mis-specification, measurement errors and the scarcity of data are forever present in real time series modelling. In this paper, by synthesizing earlier attempts into an extended-likelihood, we develop a systematic approach to empirical time series analysis to address these challenges and to aim at achieving...
Highly comparative time-series analysis: the empirical structure of time series and their methods.
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.
Branch and price for the time-dependent vehicle routing problem with time windows
Dabia, Said; Van Woensel, Tom; De Kok, Ton
2013-01-01
solution methods to the DM-TDVRPTW are based on (meta-)heuristics. The decomposition of an arc-based formulation leads to a setpartitioning problem as the master problem, and a time-dependent shortest path problem with resource constraints as the pricing problem. The master problem is solved by means...... of column generation, and a tailored labeling algorithm is used to solve the pricing problem. We introduce new dominance criteria that allow more label dominance. For our numerical results, we modified Solomon's data sets by adding time dependency. Our algorithm is able to solve about 63% of the instances......This paper presents a branch-and-price algorithm for the time-dependent vehicle routing problem with time windows (TDVRPTW). We capture road congestion by considering time-dependent travel times, i.e., depending on the departure time to a customer, a different travel time is incurred. We consider...
Predicting road accidents: Structural time series approach
Junus, Noor Wahida Md; Ismail, Mohd Tahir
2014-07-01
In this paper, the model for occurrence of road accidents in Malaysia between the years of 1970 to 2010 was developed and throughout this model the number of road accidents have been predicted by using the structural time series approach. The models are developed by using stepwise method and the residual of each step has been analyzed. The accuracy of the model is analyzed by using the mean absolute percentage error (MAPE) and the best model is chosen based on the smallest Akaike information criterion (AIC) value. A structural time series approach found that local linear trend model is the best model to represent the road accidents. This model allows level and slope component to be varied over time. In addition, this approach also provides useful information on improving the conventional time series method.
Effective Feature Preprocessing for Time Series Forecasting
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......, there is so far no systematic research to study and compare their performance. How to select effective techniques of feature preprocessing in a forecasting model remains a problem. In this paper, the authors conduct a comprehensive study of existing feature preprocessing techniques to evaluate their empirical...... 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...
Introduction to time series analysis and forecasting
Montgomery, Douglas C; Kulahci, Murat
2015-01-01
Praise for the First Edition ""…[t]he book is great for readers who need to apply the methods and models presented but have little background in mathematics and statistics."" -MAA Reviews Thoroughly updated throughout, Introduction to Time Series Analysis and Forecasting, Second Edition presents the underlying theories of time series analysis that are needed to analyze time-oriented data and construct real-world short- to medium-term statistical forecasts. Authored by highly-experienced academics and professionals in engineering statistics, the Second Edition features discussions on both
Real-time pricing strategy of micro-grid energy centre considering price-based demand response
Xu, Zhiheng; Zhang, Yongjun; Wang, Gan
2017-07-01
With the development of energy conversion technology such as power to gas (P2G), fuel cell and so on, the coupling between energy sources becomes more and more closely. Centralized dispatch among electricity, natural gas and heat will become a trend. With the goal of maximizing the system revenue, this paper establishes the model of micro-grid energy centre based on energy hub. According to the proposed model, the real-time pricing strategy taking into account price-based demand response of load is developed. And the influence of real-time pricing strategy on the peak load shifting is discussed. In addition, the impact of wind power predicted inaccuracy on real-time pricing strategy is analysed.
Pricing of Claims in Discrete Time with Partial Information
Rognlien Dahl, Kristina, E-mail: kristrd@math.uio.no [University of Oslo, Department of Mathematics (Norway)
2013-10-15
We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller's price of a contingent claim. Finally, we analyze the dual problem, and compare the prices offered by two sellers with delayed and full information respectively.
Building Chaotic Model From Incomplete Time Series
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
Layered Ensemble Architecture for Time Series Forecasting.
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.
Numerical Methods for Pricing American Options with Time-Fractional PDE Models
Zhou, Zhiqiang; Gao, Xuemei
2016-01-01
In this paper we develop a Laplace transform method and a finite difference method for solving American option pricing problem when the change of the option price with time is considered as a fractal...
Complex network analysis of time series
Gao, Zhong-Ke; Small, Michael; Kurths, Jürgen
2016-12-01
Revealing complicated behaviors from time series constitutes a fundamental problem of continuing interest and it has attracted a great deal of attention from a wide variety of fields on account of its significant importance. The past decade has witnessed a rapid development of complex network studies, which allow to characterize many types of systems in nature and technology that contain a large number of components interacting with each other in a complicated manner. Recently, the complex network theory has been incorporated into the analysis of time series and fruitful achievements have been obtained. Complex network analysis of time series opens up new venues to address interdisciplinary challenges in climate dynamics, multiphase flow, brain functions, ECG dynamics, economics and traffic systems.
Time series clustering in large data sets
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.
Financial Time Series Prediction Using Elman Recurrent Random Neural Networks.
Wang, Jie; Wang, Jun; Fang, Wen; Niu, Hongli
2016-01-01
In recent years, financial market dynamics forecasting has been a focus of economic research. To predict the price indices of stock markets, we developed an architecture which combined Elman recurrent neural networks with stochastic time effective function. By analyzing the proposed model with the linear regression, complexity invariant distance (CID), and multiscale CID (MCID) analysis methods and taking the model compared with different models such as the backpropagation neural network (BPNN), the stochastic time effective neural network (STNN), and the Elman recurrent neural network (ERNN), the empirical results show that the proposed neural network displays the best performance among these neural networks in financial time series forecasting. Further, the empirical research is performed in testing the predictive effects of SSE, TWSE, KOSPI, and Nikkei225 with the established model, and the corresponding statistical comparisons of the above market indices are also exhibited. The experimental results show that this approach gives good performance in predicting the values from the stock market indices.
Dynamical networks reconstructed from time series
Levnajić, Zoran
2012-01-01
Novel method of reconstructing dynamical networks from empirically measured time series is proposed. By statistically examining the correlations between motions displayed by network nodes, we derive a simple equation that directly yields the adjacency matrix, assuming the intra-network interaction functions to be known. We illustrate the method's implementation on a simple example and discuss the dependence of the reconstruction precision on the properties of time series. Our method is applicable to any network, allowing for reconstruction precision to be maximized, and errors to be estimated.
Improving the prediction of chaotic time series
李克平; 高自友; 陈天仑
2003-01-01
One of the features of deterministic chaos is sensitive to initial conditions. This feature limits the prediction horizons of many chaotic systems. In this paper, we propose a new prediction technique for chaotic time series. In our method, some neighbouring points of the predicted point, for which the corresponding local Lyapunov exponent is particularly large, would be discarded during estimating the local dynamics, and thus the error accumulated by the prediction algorithm is reduced. The model is tested for the convection amplitude of Lorenz systems. The simulation results indicate that the prediction technique can improve the prediction of chaotic time series.
Lecture notes for Advanced Time Series Analysis
Madsen, Henrik; Holst, Jan
1997-01-01
A first version of this notes was used at the lectures in Grenoble, and they are now extended and improved (together with Jan Holst), and used in Ph.D. courses on Advanced Time Series Analysis at IMM and at the Department of Mathematical Statistics, University of Lund, 1994, 1997, ......A first version of this notes was used at the lectures in Grenoble, and they are now extended and improved (together with Jan Holst), and used in Ph.D. courses on Advanced Time Series Analysis at IMM and at the Department of Mathematical Statistics, University of Lund, 1994, 1997, ...
Introduction to time series and forecasting
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...
Multifractal Analysis of Polyalanines Time Series
Figueirêdo, P H; Moret, M A; Coutinho, Sérgio; 10.1016/j.physa.2009.11.045
2010-01-01
Multifractal properties of the energy time series of short $\\alpha$-helix structures, specifically from a polyalanine family, are investigated through the MF-DFA technique ({\\it{multifractal detrended fluctuation analysis}}). Estimates for the generalized Hurst exponent $h(q)$ and its associated multifractal exponents $\\tau(q)$ are obtained for several series generated by numerical simulations of molecular dynamics in different systems from distinct initial conformations. All simulations were performed using the GROMOS force field, implemented in the program THOR. The main results have shown that all series exhibit multifractal behavior depending on the number of residues and temperature. Moreover, the multifractal spectra reveal important aspects on the time evolution of the system and suggest that the nucleation process of the secondary structures during the visits on the energy hyper-surface is an essential feature of the folding process.
Estimating High-Dimensional Time Series Models
Medeiros, Marcelo C.; Mendes, Eduardo F.
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume both the number of covariates in the model and candidate variables can increase with the number of observations and the number of candidate variables is, possibly...
Time series tapering for short data samples
Kaimal, J.C.; Kristensen, L.
1991-01-01
We explore the effect of applying tapered windows on atmospheric data to eliminate overestimation inherent in spectra computed from short time series. Some windows are more effective than others in correcting this distortion. The Hamming window gave the best results with experimental data...
Designer networks for time series processing
Svarer, C; Hansen, Lars Kai; Larsen, Jan
1993-01-01
The conventional tapped-delay neural net may be analyzed using statistical methods and the results of such analysis can be applied to model optimization. The authors review and extend efforts to demonstrate the power of this strategy within time series processing. They attempt to design compact...
Lecture notes for Advanced Time Series Analysis
Madsen, Henrik; Holst, Jan
1997-01-01
A first version of this notes was used at the lectures in Grenoble, and they are now extended and improved (together with Jan Holst), and used in Ph.D. courses on Advanced Time Series Analysis at IMM and at the Department of Mathematical Statistics, University of Lund, 1994, 1997, ...
On clustering fMRI time series
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...
Optimal transformations for categorical autoregressive time series
Buuren, S. van
1996-01-01
This paper describes a method for finding optimal transformations for analyzing time series by autoregressive models. 'Optimal' implies that the agreement between the autoregressive model and the transformed data is maximal. Such transformations help 1) to increase the model fit, and 2) to analyze c
Nonlinear time series modelling: an introduction
Simon M. Potter
1999-01-01
Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear models are discussed: Markov Switching, Threshold Autoregression and Smooth Transition Autoregression. Classical and Bayesian estimation techniques are described for each model. Parametric tests for nonlinearity are reviewed with examples from the three types of models. Finally, forecasting and impulse response analysis is developed.
Forecasting with periodic autoregressive time series models
Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)
1999-01-01
textabstractThis paper is concerned with forecasting univariate seasonal time series data using periodic autoregressive models. We show how one should account for unit roots and deterministic terms when generating out-of-sample forecasts. We illustrate the models for various quarterly UK consumption
25 years of time series forecasting
de Gooijer, J.G.; Hyndman, R.J.
2006-01-01
We review the past 25 years of research into time series forecasting. In this silver jubilee issue, we naturally highlight results published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985 and International Journal of Forecasting 1985-2005). During
Nonlinear Time Series Analysis via Neural Networks
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.
Time Series Rule Discovery: Tough, not Meaningless
Struzik, Z.R.
2003-01-01
`Model free' rule discovery from data has recently been subject to considerable criticism, which has cast a shadow over the emerging discipline of time series data mining. However, other than in data mining, rule discovery has long been the subject of research in statistical physics of complex pheno
25 years of time series forecasting
de Gooijer, J.G.; Hyndman, R.J.
2006-01-01
We review the past 25 years of research into time series forecasting. In this silver jubilee issue, we naturally highlight results published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985 and International Journal of Forecasting 1985-2005). During
Parsimonious Linear Fingerprinting for Time Series
2010-09-01
like to detect such groups of harmonics. Fig. 1(d) gives a quick preview of the visualization and effectiveness of the proposed PLiF method: For the...coefficients of each individual frequency. As we find harmonic frequency sets in music , in real time- series like motions, we will expect to usually find
Forecasting with periodic autoregressive time series models
Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)
1999-01-01
textabstractThis paper is concerned with forecasting univariate seasonal time series data using periodic autoregressive models. We show how one should account for unit roots and deterministic terms when generating out-of-sample forecasts. We illustrate the models for various quarterly UK consumption
On forecasting cointegrated seasonal time series
M. Löf (Marten); Ph.H.B.F. Franses (Philip Hans)
2000-01-01
textabstractWe analyze periodic and seasonal cointegration models for bivariate quarterly observed time series in an empirical forecasting study. We include both single equation and multiple equation methods. A VAR model in first differences with and without cointegration restrictions is also
Efficient Approximate OLAP Querying Over Time Series
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...
Common large innovations across nonlinear time series
Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)
2002-01-01
textabstractWe propose a multivariate nonlinear econometric time series model, which can be used to examine if there is common nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this model is that nonlinearity appears as sep
Non-linear forecasting in high-frequency financial time series
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.
Offset detection in GPS coordinate time series
Gazeaux, J.; King, M. A.; Williams, S. D.
2013-12-01
Global Positioning System (GPS) time series are commonly affected by offsets of unknown magnitude and the large volume of data globally warrants investigation of automated detection approaches. The Detection of Offsets in GPS Experiment (DOGEx) showed that accuracy of Global Positioning System (GPS) time series can be significantly improved by applying statistical offset detection methods (see Gazeaux et al. (2013)). However, the best of these approaches did not perform as well as manual detection by expert analysts. Many of the features of GPS coordinates time series have not yet been fully taken into account in existing methods. Here, we apply Bayesian theory in order to make use of prior knowledge of the site noise characteristics and metadata in an attempt to make the offset detection more accurate. In the past decades, Bayesian theory has shown relevant results for a widespread range of applications, but has not yet been applied to GPS coordinates time series. Such methods incorporate different inputs such as a dynamic model (linear trend, periodic signal..) and a-priori information in a process that provides the best estimate of parameters (velocity, phase and amplitude of periodic signals...) based on all the available information. We test the new method on the DOGEx simulated dataset and compare it to previous solutions, and to Monte-Carlo method to test the accuracy of the procedure. We make a preliminary extension of the DOGEx dataset to introduce metadata information, allowing us to test the value of this data type in detecting offsets. The flexibility, robustness and limitations of the new approach are discussed. Gazeaux, J. Williams, S., King, M., Bos, M., Dach, R., Deo, M.,Moore, A.W., Ostini, L., Petrie, E., Roggero, M., Teferle, F.N., Olivares, G.,Webb, F.H. 2013. Detecting offsets in GPS time series: First results from the detection of offsets in GPS experiment. Journal of Geophysical Research: Solid Earth 118. 5. pp:2169-9356. Keywords : GPS
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 application
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 application
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
Remote Sensing Time Series Product Tool
Predos, Don; Ryan, Robert E.; Ross, Kenton W.
2006-01-01
The TSPT (Time Series Product Tool) software was custom-designed for NASA to rapidly create and display single-band and band-combination time series, such as NDVI (Normalized Difference Vegetation Index) images, for wide-area crop surveillance and for other time-critical applications. The TSPT, developed in MATLAB, allows users to create and display various MODIS (Moderate Resolution Imaging Spectroradiometer) or simulated VIIRS (Visible/Infrared Imager Radiometer Suite) products as single images, as time series plots at a selected location, or as temporally processed image videos. Manually creating these types of products is extremely labor intensive; however, the TSPT development tool makes the process simplified and efficient. MODIS is ideal for monitoring large crop areas because of its wide swath (2330 km), its relatively small ground sample distance (250 m), and its high temporal revisit time (twice daily). Furthermore, because MODIS imagery is acquired daily, rapid changes in vegetative health can potentially be detected. The new TSPT technology provides users with the ability to temporally process high-revisit-rate satellite imagery, such as that acquired from MODIS and from its successor, the VIIRS. The TSPT features the important capability of fusing data from both MODIS instruments onboard the Terra and Aqua satellites, which drastically improves cloud statistics. With the TSPT, MODIS metadata is used to find and optionally remove bad and suspect data. Noise removal and temporal processing techniques allow users to create low-noise time series plots and image videos and to select settings and thresholds that tailor particular output products. The TSPT GUI (graphical user interface) provides an interactive environment for crafting what-if scenarios by enabling a user to repeat product generation using different settings and thresholds. The TSPT Application Programming Interface provides more fine-tuned control of product generation, allowing experienced
Delay differential analysis of time series.
Lainscsek, Claudia; Sejnowski, Terrence J
2015-03-01
Nonlinear dynamical system analysis based on embedding theory has been used for modeling and prediction, but it also has applications to signal detection and classification of time series. An embedding creates a multidimensional geometrical object from a single time series. Traditionally either delay or derivative embeddings have been used. The delay embedding is composed of delayed versions of the signal, and the derivative embedding is composed of successive derivatives of the signal. The delay embedding has been extended to nonuniform embeddings to take multiple timescales into account. Both embeddings provide information on the underlying dynamical system without having direct access to all the system variables. Delay differential analysis is based on functional embeddings, a combination of the derivative embedding with nonuniform delay embeddings. Small delay differential equation (DDE) models that best represent relevant dynamic features of time series data are selected from a pool of candidate models for detection or classification. We show that the properties of DDEs support spectral analysis in the time domain where nonlinear correlation functions are used to detect frequencies, frequency and phase couplings, and bispectra. These can be efficiently computed with short time windows and are robust to noise. For frequency analysis, this framework is a multivariate extension of discrete Fourier transform (DFT), and for higher-order spectra, it is a linear and multivariate alternative to multidimensional fast Fourier transform of multidimensional correlations. This method can be applied to short or sparse time series and can be extended to cross-trial and cross-channel spectra if multiple short data segments of the same experiment are available. Together, this time-domain toolbox provides higher temporal resolution, increased frequency and phase coupling information, and it allows an easy and straightforward implementation of higher-order spectra across time
Delay Differential Analysis of Time Series
Lainscsek, Claudia; Sejnowski, Terrence J.
2015-01-01
Nonlinear dynamical system analysis based on embedding theory has been used for modeling and prediction, but it also has applications to signal detection and classification of time series. An embedding creates a multidimensional geometrical object from a single time series. Traditionally either delay or derivative embeddings have been used. The delay embedding is composed of delayed versions of the signal, and the derivative embedding is composed of successive derivatives of the signal. The delay embedding has been extended to nonuniform embeddings to take multiple timescales into account. Both embeddings provide information on the underlying dynamical system without having direct access to all the system variables. Delay differential analysis is based on functional embeddings, a combination of the derivative embedding with nonuniform delay embeddings. Small delay differential equation (DDE) models that best represent relevant dynamic features of time series data are selected from a pool of candidate models for detection or classification. We show that the properties of DDEs support spectral analysis in the time domain where nonlinear correlation functions are used to detect frequencies, frequency and phase couplings, and bispectra. These can be efficiently computed with short time windows and are robust to noise. For frequency analysis, this framework is a multivariate extension of discrete Fourier transform (DFT), and for higher-order spectra, it is a linear and multivariate alternative to multidimensional fast Fourier transform of multidimensional correlations. This method can be applied to short or sparse time series and can be extended to cross-trial and cross-channel spectra if multiple short data segments of the same experiment are available. Together, this time-domain toolbox provides higher temporal resolution, increased frequency and phase coupling information, and it allows an easy and straightforward implementation of higher-order spectra across time
Time Series Forecasting: A Nonlinear Dynamics Approach
Sello, Stefano
1999-01-01
The problem of prediction of a given time series is examined on the basis of recent nonlinear dynamics theories. Particular attention is devoted to forecast the amplitude and phase of one of the most common solar indicator activity, the international monthly smoothed sunspot number. It is well known that the solar cycle is very difficult to predict due to the intrinsic complexity of the related time behaviour and to the lack of a succesful quantitative theoretical model of the Sun magnetic cy...
The Statistical Analysis of Time Series
Anderson, T W
2011-01-01
The Wiley Classics Library consists of selected books that have become recognized classics in their respective fields. With these new unabridged and inexpensive editions, Wiley hopes to extend the life of these important works by making them available to future generations of mathematicians and scientists. Currently available in the Series: T. W. Anderson Statistical Analysis of Time Series T. S. Arthanari & Yadolah Dodge Mathematical Programming in Statistics Emil Artin Geometric Algebra Norman T. J. Bailey The Elements of Stochastic Processes with Applications to the Natural Sciences George
Outlier Detection in Structural Time Series Models
Marczak, Martyna; Proietti, Tommaso
investigate via Monte Carlo simulations how this approach performs for detecting additive outliers and level shifts in the analysis of nonstationary seasonal time series. The reference model is the basic structural model, featuring a local linear trend, possibly integrated of order two, stochastic seasonality......Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The general...... and a stationary component. Further, we apply both kinds of indicator saturation to detect additive outliers and level shifts in the industrial production series in five European countries....
Nonlinear Analysis of Physiological Time Series
MENG Qing-fang; PENG Yu-hua; XUE Yu-li; HAN Min
2007-01-01
Abstract.The heart rate variability could be explained by a low-dimensional governing mechanism. There has been increasing interest in verifying and understanding the coupling between the respiration and the heart rate. In this paper we use the nonlinear detection method to detect the nonlinear deterministic component in the physiological time series by a single variable series and two variables series respectively, and use the conditional information entropy to analyze the correlation between the heart rate, the respiration and the blood oxygen concentration. The conclusions are that there is the nonlinear deterministic component in the heart rate data and respiration data, and the heart rate and the respiration are two variables originating from the same underlying dynamics.
TIME SERIES FORECASTING USING NEURAL NETWORKS
BOGDAN OANCEA
2013-05-01
Full Text Available Recent studies have shown the classification and prediction power of the Neural Networks. It has been demonstrated that a NN can approximate any continuous function. Neural networks have been successfully used for forecasting of financial data series. The classical methods used for time series prediction like Box-Jenkins or ARIMA assumes that there is a linear relationship between inputs and outputs. Neural Networks have the advantage that can approximate nonlinear functions. In this paper we compared the performances of different feed forward and recurrent neural networks and training algorithms for predicting the exchange rate EUR/RON and USD/RON. We used data series with daily exchange rates starting from 2005 until 2013.
From time series to complex networks: The phase space coarse graining
Wang, Minggang; Tian, Lixin
2016-11-01
In this paper, we present a simple and fast computational method, the phase space coarse graining algorithm that converts a time series into a directed and weighted complex network. The constructed directed and weighted complex network inherits several properties of the series in its structure. Thereby, periodic series convert into regular networks, and random series do so into random networks. Moreover, chaotic series convert into scale-free networks. It is shown that the phase space coarse graining algorithm allows us to distinguish, identify and describe in detail various time series. Finally, we apply the phase space coarse graining algorithm to the practical observations series, international gasoline regular spot price series and identify its dynamic characteristics.
Algorithm for Compressing Time-Series Data
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").
Pseudotime estimation: deconfounding single cell time series.
Reid, John E; Wernisch, Lorenz
2016-10-01
Repeated cross-sectional time series single cell data confound several sources of variation, with contributions from measurement noise, stochastic cell-to-cell variation and cell progression at different rates. Time series from single cell assays are particularly susceptible to confounding as the measurements are not averaged over populations of cells. When several genes are assayed in parallel these effects can be estimated and corrected for under certain smoothness assumptions on cell progression. We present a principled probabilistic model with a Bayesian inference scheme to analyse such data. We demonstrate our method's utility on public microarray, nCounter and RNA-seq datasets from three organisms. Our method almost perfectly recovers withheld capture times in an Arabidopsis dataset, it accurately estimates cell cycle peak times in a human prostate cancer cell line and it correctly identifies two precocious cells in a study of paracrine signalling in mouse dendritic cells. Furthermore, our method compares favourably with Monocle, a state-of-the-art technique. We also show using held-out data that uncertainty in the temporal dimension is a common confounder and should be accounted for in analyses of repeated cross-sectional time series. Our method is available on CRAN in the DeLorean package. john.reid@mrc-bsu.cam.ac.uk Supplementary data are available at Bioinformatics online. © The Author 2016. Published by Oxford University Press.
Hurst exponents for short time series
Qi, Jingchao; Yang, Huijie
2011-12-01
A concept called balanced estimator of diffusion entropy is proposed to detect quantitatively scalings in short time series. The effectiveness is verified by detecting successfully scaling properties for a large number of artificial fractional Brownian motions. Calculations show that this method can give reliable scalings for short time series with length ˜102. It is also used to detect scalings in the Shanghai Stock Index, five stock catalogs, and a total of 134 stocks collected from the Shanghai Stock Exchange Market. The scaling exponent for each catalog is significantly larger compared with that for the stocks included in the catalog. Selecting a window with size 650, the evolution of scaling for the Shanghai Stock Index is obtained by the window's sliding along the series. Global patterns in the evolutionary process are captured from the smoothed evolutionary curve. By comparing the patterns with the important event list in the history of the considered stock market, the evolution of scaling is matched with the stock index series. We can find that the important events fit very well with global transitions of the scaling behaviors.
Effect of market factors on the short-time pricing of stock-exchange metals
Bogdanov, S. V.; Shevelev, I. M.; Chernyi, S. A.
2016-12-01
The open trade on the world market is estimated using information of one-day exchange prices of nonferrous and precious metals, oil, reduced crude, and gasoline and the main world stock indices in the time period from January 1, 2009 to December 31, 2015. It is found that the short-term changes in the prices of nonferrous metals are determined by the prices on the metal market. The changes in the prices of energy carriers and the stock trade on the stock market weakly influence the pricing of nonferrous and precious metals. The prices of metals depend on the situation during trade on commodity exchanges, and the stock market indirectly influences the exchange prices of metals through changes in the share prices of the companies that produce copper, aluminum, and zinc.
Sliced Inverse Regression for Time Series Analysis
Chen, Li-Sue
1995-11-01
In this thesis, general nonlinear models for time series data are considered. A basic form is x _{t} = f(beta_sp{1} {T}X_{t-1},beta_sp {2}{T}X_{t-1},... , beta_sp{k}{T}X_ {t-1},varepsilon_{t}), where x_{t} is an observed time series data, X_{t } is the first d time lag vector, (x _{t},x_{t-1},... ,x _{t-d-1}), f is an unknown function, beta_{i}'s are unknown vectors, varepsilon_{t }'s are independent distributed. Special cases include AR and TAR models. We investigate the feasibility applying SIR/PHD (Li 1990, 1991) (the sliced inverse regression and principal Hessian methods) in estimating beta _{i}'s. PCA (Principal component analysis) is brought in to check one critical condition for SIR/PHD. Through simulation and a study on 3 well -known data sets of Canadian lynx, U.S. unemployment rate and sunspot numbers, we demonstrate how SIR/PHD can effectively retrieve the interesting low-dimension structures for time series data.
Spot foreign exchange market and time series
Petroni, F.; Serva, M.
2003-08-01
We investigate high frequency price dynamics in foreign exchange market using data from Reuters information system (the dataset has been provided to us by Olsen and Associates). In our analysis we show that a naïve approach to the definition of price (for example using the spot mid price) may lead to wrong conclusions on price behavior as for example the presence of short term correlations for returns. For this purpose we introduce an algorithm which only uses the non arbitrage principle to estimate real prices from the spot ones. The new definition leads to returns which are not affected by spurious correlations. Furthermore, any apparent information (defined by using Shannon entropy) contained in the data disappears.
Univariate time series forecasting algorithm validation
Ismail, Suzilah; Zakaria, Rohaiza; Muda, Tuan Zalizam Tuan
2014-12-01
Forecasting is a complex process which requires expert tacit knowledge in producing accurate forecast values. This complexity contributes to the gaps between end users and expert. Automating this process by using algorithm can act as a bridge between them. Algorithm is a well-defined rule for solving a problem. In this study a univariate time series forecasting algorithm was developed in JAVA and validated using SPSS and Excel. Two set of simulated data (yearly and non-yearly); several univariate forecasting techniques (i.e. Moving Average, Decomposition, Exponential Smoothing, Time Series Regressions and ARIMA) and recent forecasting process (such as data partition, several error measures, recursive evaluation and etc.) were employed. Successfully, the results of the algorithm tally with the results of SPSS and Excel. This algorithm will not just benefit forecaster but also end users that lacking in depth knowledge of forecasting process.
Time-Series Analysis: A Cautionary Tale
Damadeo, Robert
2015-01-01
Time-series analysis has often been a useful tool in atmospheric science for deriving long-term trends in various atmospherically important parameters (e.g., temperature or the concentration of trace gas species). In particular, time-series analysis has been repeatedly applied to satellite datasets in order to derive the long-term trends in stratospheric ozone, which is a critical atmospheric constituent. However, many of the potential pitfalls relating to the non-uniform sampling of the datasets were often ignored and the results presented by the scientific community have been unknowingly biased. A newly developed and more robust application of this technique is applied to the Stratospheric Aerosol and Gas Experiment (SAGE) II version 7.0 ozone dataset and the previous biases and newly derived trends are presented.
Multivariate Voronoi Outlier Detection for Time Series.
Zwilling, Chris E; Wang, Michelle Yongmei
2014-10-01
Outlier detection is a primary step in many data mining and analysis applications, including healthcare and medical research. This paper presents a general method to identify outliers in multivariate time series based on a Voronoi diagram, which we call Multivariate Voronoi Outlier Detection (MVOD). The approach copes with outliers in a multivariate framework, via designing and extracting effective attributes or features from the data that can take parametric or nonparametric forms. Voronoi diagrams allow for automatic configuration of the neighborhood relationship of the data points, which facilitates the differentiation of outliers and non-outliers. Experimental evaluation demonstrates that our MVOD is an accurate, sensitive, and robust method for detecting outliers in multivariate time series data.
Visibility graphlet approach to chaotic time series
Mutua, Stephen [Business School, University of Shanghai for Science and Technology, Shanghai 200093 (China); Computer Science Department, Masinde Muliro University of Science and Technology, P.O. Box 190-50100, Kakamega (Kenya); Gu, Changgui, E-mail: gu-changgui@163.com, E-mail: hjyang@ustc.edu.cn; Yang, Huijie, E-mail: gu-changgui@163.com, E-mail: hjyang@ustc.edu.cn [Business School, University of Shanghai for Science and Technology, Shanghai 200093 (China)
2016-05-15
Many novel methods have been proposed for mapping time series into complex networks. Although some dynamical behaviors can be effectively captured by existing approaches, the preservation and tracking of the temporal behaviors of a chaotic system remains an open problem. In this work, we extended the visibility graphlet approach to investigate both discrete and continuous chaotic time series. We applied visibility graphlets to capture the reconstructed local states, so that each is treated as a node and tracked downstream to create a temporal chain link. Our empirical findings show that the approach accurately captures the dynamical properties of chaotic systems. Networks constructed from periodic dynamic phases all converge to regular networks and to unique network structures for each model in the chaotic zones. Furthermore, our results show that the characterization of chaotic and non-chaotic zones in the Lorenz system corresponds to the maximal Lyapunov exponent, thus providing a simple and straightforward way to analyze chaotic systems.
Visibility graphlet approach to chaotic time series.
Mutua, Stephen; Gu, Changgui; Yang, Huijie
2016-05-01
Many novel methods have been proposed for mapping time series into complex networks. Although some dynamical behaviors can be effectively captured by existing approaches, the preservation and tracking of the temporal behaviors of a chaotic system remains an open problem. In this work, we extended the visibility graphlet approach to investigate both discrete and continuous chaotic time series. We applied visibility graphlets to capture the reconstructed local states, so that each is treated as a node and tracked downstream to create a temporal chain link. Our empirical findings show that the approach accurately captures the dynamical properties of chaotic systems. Networks constructed from periodic dynamic phases all converge to regular networks and to unique network structures for each model in the chaotic zones. Furthermore, our results show that the characterization of chaotic and non-chaotic zones in the Lorenz system corresponds to the maximal Lyapunov exponent, thus providing a simple and straightforward way to analyze chaotic systems.
Inductorless Chua's Circuit: Experimental Time Series Analysis
R. M. Rubinger
2007-01-01
Full Text Available We have implemented an operational amplifier inductorless realization of the Chua's circuit. We have registered time series from its dynamical variables with the resistor R as the control parameter and varying from 1300 Ω to 2000 Ω. Experimental time series at fixed R were used to reconstruct attractors by the delay vector technique. The flow attractors and their Poincaré maps considering parameters such as the Lyapunov spectrum, its subproduct the Kaplan-Yorke dimension, and the information dimension are also analyzed here. The results for a typical double scroll attractor indicate a chaotic behavior characterized by a positive Lyapunov exponent and with a Kaplan-Yorke dimension of 2.14. The occurrence of chaos was also investigated through numerical simulations of the Chua's circuit set of differential equations.
On clustering fMRI time series
Goutte, C; Toft, P; 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 not indi......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...... between the activation stimulus and the fMRI signal. We present two different clustering algorithms and use them to identify regions of similar activations in an fMRI experiment involving a visual stimulus....
Time series analysis for minority game simulations of financial markets
Ferreira, Fernando F.; Francisco, Gerson; Machado, Birajara S.; Muruganandam, Paulsamy
2003-04-01
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary.
Learning and Prediction of Relational Time Series
2013-03-01
genetic algorithms can generate a sequence of events to maximize some functions or the likelihood to achieve the assumed goals. With reference...Reinforcement learning is not the same as relational time-series learning mainly because its main focus is to learn a set of policies to maximize the...scope blending, and has been applied to machine poetry generation [48] and the generation of animation characters [49]. Tan and Kowk [50] applied the
Revisiting algorithms for generating surrogate time series
Raeth, C; Papadakis, I E; Brinkmann, W
2011-01-01
The method of surrogates is one of the key concepts of nonlinear data analysis. Here, we demonstrate that commonly used algorithms for generating surrogates often fail to generate truly linear time series. Rather, they create surrogate realizations with Fourier phase correlations leading to non-detections of nonlinearities. We argue that reliable surrogates can only be generated, if one tests separately for static and dynamic nonlinearities.
Time Series Modelling using Proc Varmax
Milhøj, Anders
2007-01-01
In this paper it will be demonstrated how various time series problems could be met using Proc Varmax. The procedure is rather new and hence new features like cointegration, testing for Granger causality are included, but it also means that more traditional ARIMA modelling as outlined by Box & Je...... & Jenkins is performed in a more modern way using the computer resources which are now available...
Normalizing the causality between time series
Liang, X San
2015-01-01
Recently, a rigorous yet concise formula has been derived to evaluate the information flow, and hence the causality in a quantitative sense, between time series. To assess the importance of a resulting causality, it needs to be normalized. The normalization is achieved through distinguishing three types of fundamental mechanisms that govern the marginal entropy change of the flow recipient. A normalized or relative flow measures its importance relative to other mechanisms. In analyzing realistic series, both absolute and relative information flows need to be taken into account, since the normalizers for a pair of reverse flows belong to two different entropy balances; it is quite normal that two identical flows may differ a lot in relative importance in their respective balances. We have reproduced these results with several autoregressive models. We have also shown applications to a climate change problem and a financial analysis problem. For the former, reconfirmed is the role of the Indian Ocean Dipole as ...
Argos: An Optimized Time-Series Photometer
Anjum S. Mukadam; R. E. Nather
2005-06-01
We designed a prime focus CCD photometer, Argos, optimized for high speed time-series measurements of blue variables (Nather & Mukadam 2004) for the 2.1 m telescope at McDonald Observatory. Lack of any intervening optics between the primary mirror and the CCD makes the instrument highly efficient.We measure an improvement in sensitivity by a factor of nine over the 3-channel PMT photometers used on the same telescope and for the same exposure time. The CCD frame transfer operation triggered by GPS synchronized pulses serves as an electronic shutter for the photometer. This minimizes the dead time between exposures, but more importantly, allows a precise control of the start and duration of the exposure. We expect the uncertainty in our timing to be less than 100 s.
Directed networks with underlying time structures from multivariate time series
Tanizawa, Toshihiro; Taya, Fumihiko
2014-01-01
In this paper we propose a method of constructing directed networks of time-dependent phenomena from multivariate time series. As the construction method is based on the linear model, the network fully reflects dynamical features of the system such as time structures of periodicities. Furthermore, this method can construct networks even if these time series show no similarity: situations in which common methods fail. We explicitly introduce a case where common methods do not work. This fact indicates the importance of constructing networks based on dynamical perspective, when we consider time-dependent phenomena. We apply the method to multichannel electroencephalography~(EEG) data and the result reveals underlying interdependency among the components in the brain system.
Financial time series prediction using spiking neural networks.
Reid, David; Hussain, Abir Jaafar; Tawfik, Hissam
2014-01-01
In this paper a novel application of a particular type of spiking neural network, a Polychronous Spiking Network, was used for financial time series prediction. It is argued that the inherent temporal capabilities of this type of network are suited to non-stationary data such as this. The performance of the spiking neural network was benchmarked against three systems: two "traditional", rate-encoded, neural networks; a Multi-Layer Perceptron neural network and a Dynamic Ridge Polynomial neural network, and a standard Linear Predictor Coefficients model. For this comparison three non-stationary and noisy time series were used: IBM stock data; US/Euro exchange rate data, and the price of Brent crude oil. The experiments demonstrated favourable prediction results for the Spiking Neural Network in terms of Annualised Return and prediction error for 5-Step ahead predictions. These results were also supported by other relevant metrics such as Maximum Drawdown and Signal-To-Noise ratio. This work demonstrated the applicability of the Polychronous Spiking Network to financial data forecasting and this in turn indicates the potential of using such networks over traditional systems in difficult to manage non-stationary environments.
Financial time series prediction using spiking neural networks.
David Reid
Full Text Available In this paper a novel application of a particular type of spiking neural network, a Polychronous Spiking Network, was used for financial time series prediction. It is argued that the inherent temporal capabilities of this type of network are suited to non-stationary data such as this. The performance of the spiking neural network was benchmarked against three systems: two "traditional", rate-encoded, neural networks; a Multi-Layer Perceptron neural network and a Dynamic Ridge Polynomial neural network, and a standard Linear Predictor Coefficients model. For this comparison three non-stationary and noisy time series were used: IBM stock data; US/Euro exchange rate data, and the price of Brent crude oil. The experiments demonstrated favourable prediction results for the Spiking Neural Network in terms of Annualised Return and prediction error for 5-Step ahead predictions. These results were also supported by other relevant metrics such as Maximum Drawdown and Signal-To-Noise ratio. This work demonstrated the applicability of the Polychronous Spiking Network to financial data forecasting and this in turn indicates the potential of using such networks over traditional systems in difficult to manage non-stationary environments.
Recovery of time-dependent volatility in option pricing model
Deng, Zui-Cha; Hon, Y. C.; Isakov, V.
2016-11-01
In this paper we investigate an inverse problem of determining the time-dependent volatility from observed market prices of options with different strikes. Due to the non linearity and sparsity of observations, an analytical solution to the problem is generally not available. Numerical approximation is also difficult to obtain using most of the existing numerical algorithms. Based on our recent theoretical results, we apply the linearisation technique to convert the problem into an inverse source problem from which recovery of the unknown volatility function can be achieved. Two kinds of strategies, namely, the integral equation method and the Landweber iterations, are adopted to obtain the stable numerical solution to the inverse problem. Both theoretical analysis and numerical examples confirm that the proposed approaches are effective. The work described in this paper was partially supported by a grant from the Research Grant Council of the Hong Kong Special Administrative Region (Project No. CityU 101112) and grants from the NNSF of China (Nos. 11261029, 11461039), and NSF grants DMS 10-08902 and 15-14886 and by Emylou Keith and Betty Dutcher Distinguished Professorship at the Wichita State University (USA).
Option Pricing for Time-Change Exponential Levy Model Under Memm
2007-01-01
The purpose of this article is to study the rational evaluation of European options price when the underlying price process is described by a time-change Levy process. European option pricing formula is obtained under the minimal entropy martingale measure (MEMM) and applied to several examples of particular time-change Levy processes. It can be seen that the framework in this paper encompasses the Black-Scholes model and almost all of the models proposed in the subordinated market.
A comparison between MS-VECM and MS-VECMX on economic time series data
Phoong, Seuk-Wai; Ismail, Mohd Tahir; Sek, Siok-Kun
2014-07-01
Multivariate Markov switching models able to provide useful information on the study of structural change data since the regime switching model can analyze the time varying data and capture the mean and variance in the series of dependence structure. This paper will investigates the oil price and gold price effects on Malaysia, Singapore, Thailand and Indonesia stock market returns. Two forms of Multivariate Markov switching models are used namely the mean adjusted heteroskedasticity Markov Switching Vector Error Correction Model (MSMH-VECM) and the mean adjusted heteroskedasticity Markov Switching Vector Error Correction Model with exogenous variable (MSMH-VECMX). The reason for using these two models are to capture the transition probabilities of the data since real financial time series data always exhibit nonlinear properties such as regime switching, cointegrating relations, jumps or breaks passing the time. A comparison between these two models indicates that MSMH-VECM model able to fit the time series data better than the MSMH-VECMX model. In addition, it was found that oil price and gold price affected the stock market changes in the four selected countries.
Fractal fluctuations in cardiac time series
West, B. J.; Zhang, R.; Sanders, A. W.; Miniyar, S.; Zuckerman, J. H.; Levine, B. D.; Blomqvist, C. G. (Principal Investigator)
1999-01-01
Human heart rate, controlled by complex feedback mechanisms, is a vital index of systematic circulation. However, it has been shown that beat-to-beat values of heart rate fluctuate continually over a wide range of time scales. Herein we use the relative dispersion, the ratio of the standard deviation to the mean, to show, by systematically aggregating the data, that the correlation in the beat-to-beat cardiac time series is a modulated inverse power law. This scaling property indicates the existence of long-time memory in the underlying cardiac control process and supports the conclusion that heart rate variability is a temporal fractal. We argue that the cardiac control system has allometric properties that enable it to respond to a dynamical environment through scaling.
Time Series Forecasting A Nonlinear Dynamics Approach
Sello, S
1999-01-01
The problem of prediction of a given time series is examined on the basis of recent nonlinear dynamics theories. Particular attention is devoted to forecast the amplitude and phase of one of the most common solar indicator activity, the international monthly smoothed sunspot number. It is well known that the solar cycle is very difficult to predict due to the intrinsic complexity of the related time behaviour and to the lack of a succesful quantitative theoretical model of the Sun magnetic cycle. Starting from a previous recent work, we checked the reliability and accuracy of a forecasting model based on concepts of nonlinear dynamical systems applied to experimental time series, such as embedding phase space,Lyapunov spectrum,chaotic behaviour. The model is based on a locally hypothesis of the behaviour on the embedding space, utilizing an optimal number k of neighbour vectors to predict the future evolution of the current point with the set of characteristic parameters determined by several previous paramet...
Time Series Photometry of KZ Lacertae
Joner, Michael D.
2016-01-01
We present BVRI time series photometry of the high amplitude delta Scuti star KZ Lacertae secured using the 0.9-meter telescope located at the Brigham Young University West Mountain Observatory. In addition to the multicolor light curves that are presented, the V data from the last six years of observations are used to plot an O-C diagram in order to determine the ephemeris and evaluate evidence for period change. We wish to thank the Brigham Young University College of Physical and Mathematical Sciences as well as the Department of Physics and Astronomy for their continued support of the research activities at the West Mountain Observatory.
Fourier analysis of time series an introduction
Bloomfield, Peter
2000-01-01
A new, revised edition of a yet unrivaled work on frequency domain analysis Long recognized for his unique focus on frequency domain methods for the analysis of time series data as well as for his applied, easy-to-understand approach, Peter Bloomfield brings his well-known 1976 work thoroughly up to date. With a minimum of mathematics and an engaging, highly rewarding style, Bloomfield provides in-depth discussions of harmonic regression, harmonic analysis, complex demodulation, and spectrum analysis. All methods are clearly illustrated using examples of specific data sets, while ample
Forecasting with nonlinear time series models
Kock, Anders Bredahl; Teräsvirta, Timo
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...... 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...
Modeling noisy time series Physiological tremor
Timmer, J
1998-01-01
Empirical time series often contain observational noise. We investigate the effect of this noise on the estimated parameters of models fitted to the data. For data of physiological tremor, i.e. a small amplitude oscillation of the outstretched hand of healthy subjects, we compare the results for a linear model that explicitly includes additional observational noise to one that ignores this noise. We discuss problems and possible solutions for nonlinear deterministic as well as nonlinear stochastic processes. Especially we discuss the state space model applicable for modeling noisy stochastic systems and Bock's algorithm capable for modeling noisy deterministic systems.
Time series modeling for automatic target recognition
Sokolnikov, Andre
2012-05-01
Time series modeling is proposed for identification of targets whose images are not clearly seen. The model building takes into account air turbulence, precipitation, fog, smoke and other factors obscuring and distorting the image. The complex of library data (of images, etc.) serving as a basis for identification provides the deterministic part of the identification process, while the partial image features, distorted parts, irrelevant pieces and absence of particular features comprise the stochastic part of the target identification. The missing data approach is elaborated that helps the prediction process for the image creation or reconstruction. The results are provided.
Time Series Analysis of SOLSTICE Measurements
Wen, G.; Cahalan, R. F.
2003-12-01
Solar radiation is the major energy source for the Earth's biosphere and atmospheric and ocean circulations. Variations of solar irradiance have been a major concern of scientists both in solar physics and atmospheric sciences. A number of missions have been carried out to monitor changes in total solar irradiance (TSI) [see Fröhlich and Lean, 1998 for review] and spectral solar irradiance (SSI) [e.g., SOLSTICE on UARS and VIRGO on SOHO]. Observations over a long time period reveal the connection between variations in solar irradiance and surface magnetic fields of the Sun [Lean1997]. This connection provides a guide to scientists in modeling solar irradiances [e.g., Fontenla et al., 1999; Krivova et al., 2003]. Solar spectral observations have now been made over a relatively long time period, allowing statistical analysis. This paper focuses on predictability of solar spectral irradiance using observed SSI from SOLSTICE . Analysis of predictability is based on nonlinear dynamics using an artificial neural network in a reconstructed phase space [Abarbanel et al., 1993]. In the analysis, we first examine the average mutual information of the observed time series and a delayed time series. The time delay that gives local minimum of mutual information is chosen as the time-delay for phase space reconstruction [Fraser and Swinney, 1986]. The embedding dimension of the reconstructed phase space is determined using the false neighbors and false strands method [Kennel and Abarbanel, 2002]. Subsequently, we use a multi-layer feed-forward network with back propagation scheme [e.g., Haykin, 1994] to model the time series. The predictability of solar irradiance as a function of wavelength is considered. References Abarbanel, H. D. I., R. Brown, J. J. Sidorowich, and L. Sh. Tsimring, Rev. Mod. Phys. 65, 1331, 1993. Fraser, A. M. and H. L. Swinney, Phys. Rev. 33A, 1134, 1986. Fontenla, J., O. R. White, P. Fox, E. H. Avrett and R. L. Kurucz, The Astrophysical Journal, 518, 480
An introduction to state space time series analysis.
Commandeur, J.J.F. & Koopman, S.J.
2007-01-01
Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor wi
Nonlinear Time Series Analysis Since 1990:Some Personal Reflections
Howel Tong
2002-01-01
I reflect upon the development of nonlinear time series analysis since 1990 by focusing on five major areas of development. These areas include the interface between nonlinear time series analysis and chaos, the nonparametric/semiparametric approach, nonlinear state space modelling, financial time series and nonlinear modelling of panels of time series.
Ensemble vs. time averages in financial time series analysis
Seemann, Lars; Hua, Jia-Chen; McCauley, Joseph L.; Gunaratne, Gemunu H.
2012-12-01
Empirical analysis of financial time series suggests that the underlying stochastic dynamics are not only non-stationary, but also exhibit non-stationary increments. However, financial time series are commonly analyzed using the sliding interval technique that assumes stationary increments. We propose an alternative approach that is based on an ensemble over trading days. To determine the effects of time averaging techniques on analysis outcomes, we create an intraday activity model that exhibits periodic variable diffusion dynamics and we assess the model data using both ensemble and time averaging techniques. We find that ensemble averaging techniques detect the underlying dynamics correctly, whereas sliding intervals approaches fail. As many traded assets exhibit characteristic intraday volatility patterns, our work implies that ensemble averages approaches will yield new insight into the study of financial markets’ dynamics.
Forecasting the Time Series of Sunspot Numbers
Aguirre, L. A.; Letellier, C.; Maquet, J.
2008-05-01
Forecasting the solar cycle is of great importance for weather prediction and environmental monitoring, and also constitutes a difficult scientific benchmark in nonlinear dynamical modeling. This paper describes the identification of a model and its use in the forecasting the time series comprised of Wolf’s sunspot numbers. A key feature of this procedure is that the original time series is first transformed into a symmetrical space where the dynamics of the solar dynamo are unfolded in a better way, thus improving the model. The nonlinear model obtained is parsimonious and has both deterministic and stochastic parts. Monte Carlo simulation of the whole model produces very consistent results with the deterministic part of the model but allows for the determination of confidence bands. The obtained model was used to predict cycles 24 and 25, although the forecast of the latter is seen as a crude approximation, given the long prediction horizon required. As for the 24th cycle, two estimates were obtained with peaks of 65±16 and of 87±13 units of sunspot numbers. The simulated results suggest that the 24th cycle will be shorter and less active than the preceding one.
Partial spectral analysis of hydrological time series
Jukić, D.; Denić-Jukić, V.
2011-03-01
SummaryHydrological time series comprise the influences of numerous processes involved in the transfer of water in hydrological cycle. It implies that an ambiguity with respect to the processes encoded in spectral and cross-spectral density functions exists. Previous studies have not paid attention adequately to this issue. Spectral and cross-spectral density functions represent the Fourier transforms of auto-covariance and cross-covariance functions. Using this basic property, the ambiguity is resolved by applying a novel approach based on the spectral representation of partial correlation. Mathematical background for partial spectral density, partial amplitude and partial phase functions is presented. The proposed functions yield the estimates of spectral density, amplitude and phase that are not affected by a controlling process. If an input-output relation is the subject of interest, antecedent and subsequent influences of the controlling process can be distinguished considering the input event as a referent point. The method is used for analyses of the relations between the rainfall, air temperature and relative humidity, as well as the influences of air temperature and relative humidity on the discharge from karst spring. Time series are collected in the catchment of the Jadro Spring located in the Dinaric karst area of Croatia.
Multi-Granular Trend Detection for Time-Series Analysis.
Arthur Van, Goethem; Staals, Frank; Loffler, Maarten; Dykes, Jason; Speckmann, Bettina
2017-01-01
Time series (such as stock prices) and ensembles (such as model runs for weather forecasts) are two important types of one-dimensional time-varying data. Such data is readily available in large quantities but visual analysis of the raw data quickly becomes infeasible, even for moderately sized data sets. Trend detection is an effective way to simplify time-varying data and to summarize salient information for visual display and interactive analysis. We propose a geometric model for trend-detection in one-dimensional time-varying data, inspired by topological grouping structures for moving objects in two- or higher-dimensional space. Our model gives provable guarantees on the trends detected and uses three natural parameters: granularity, support-size, and duration. These parameters can be changed on-demand. Our system also supports a variety of selection brushes and a time-sweep to facilitate refined searches and interactive visualization of (sub-)trends. We explore different visual styles and interactions through which trends, their persistence, and evolution can be explored.
Forecasting autoregressive time series under changing persistence
Kruse, Robinson
Changing persistence in time series models means that a structural change from nonstationarity to stationarity or vice versa occurs over time. Such a change has important implications for forecasting, as negligence may lead to inaccurate model predictions. This paper derives generally applicable...... recommendations, no matter whether a change in persistence occurs or not. Seven different forecasting strategies based on a biasedcorrected estimator are compared by means of a large-scale Monte Carlo study. The results for decreasing and increasing persistence are highly asymmetric and new to the literature. Its...... good predictive ability and its balanced performance among different settings strongly advocate the use of forecasting strategies based on the Bai-Perron procedure....
Useful Pattern Mining on Time Series
Goumatianos, Nikitas; Christou, Ioannis T; Lindgren, Peter
2013-01-01
We present the architecture of a “useful pattern” mining system that is capable of detecting thousands of different candlestick sequence patterns at the tick or any higher granularity levels. The system architecture is highly distributed and performs most of its highly compute-intensive aggregation...... calculations as complex but efficient distributed SQL queries on the relational databases that store the time-series. We present initial results from mining all frequent candlestick sequences with the characteristic property that when they occur then, with an average at least 60% probability, they signal a 2......% or higher increase (or, alternatively, decrease) in a chosen property of the stock (e.g. close-value) within a given time-window (e.g. 5 days). Initial results from a first prototype implementation of the architecture show that after training on a large set of stocks, the system is capable of finding...
Learning with Latent Factors in Time Series
Jalali, Ali
2011-01-01
This paper considers the problem of learning, from samples, the dependency structure of a system of linear stochastic differential equations, when some of the variables are latent. In particular, we observe the time evolution of some variables, and never observe other variables; from this, we would like to find the dependency structure between the observed variables -- separating out the spurious interactions caused by the (marginalizing out of the) latent variables' time series. We develop a new method, based on convex optimization, to do so in the case when the number of latent variables is smaller than the number of observed ones. For the case when the dependency structure between the observed variables is sparse, we theoretically establish a high-dimensional scaling result for structure recovery. We verify our theoretical result with both synthetic and real data (from the stock market).
A Survey of Utility Experience with Real Time Pricing
Barbose, Galen; Goldman, Charles; Neenan, Bernie
2004-12-01
While more than 70 utilities in the U.S. have offered voluntary RTP tariffs on either a pilot or permanent basis, most have operated in relative obscurity. To bring this broad base of experience to bear on policymakers current efforts to stimulate price responsive demand, we conducted a survey of 43 voluntary RTP tariffs offered in 2003. The survey involved telephone interviews with RTP program managers and other utility staff, as well as a review of regulatory documents, tariff sheets, program evaluations, and other publicly available sources. Based on this review of RTP program experience, we identify key trends related to: utilities motivations for implementing RTP, evolution of RTP tariff design, program participation, participant price response, and program outlook. We draw from these findings to discuss implications for policymakers that are currently considering voluntary RTP as a strategy for developing price responsive demand.
Automated time series forecasting for biosurveillance.
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.
Trend prediction of chaotic time series
无
2007-01-01
Trend prediction of chaotic ti me series is anin-teresting probleminti me series analysis andti me se-ries data mining(TSDM)fields[1].TSDM-basedmethods can successfully characterize and predictcomplex,irregular,and chaotic ti me series.Somemethods have been proposed to predict the trend ofchaotic ti me series.In our knowledge,these meth-ods can be classified into t wo categories as follows.The first category is based on the embeddedspace[2-3],where rawti me series data is mapped to areconstructed phase spac...
Scott, Nick; Caulkins, Jonathan P; Ritter, Alison; Quinn, Catherine; Dietze, Paul
2015-01-01
Methamphetamine-related harms in Victoria have increased recently in the context of stable or declining use prevalence. We determine how changes in price and purity of methamphetamine compared to other drugs such as heroin may, in part, explain these divergent patterns. Detailed methamphetamine and heroin purchase price data from 2152 participant interviews from the Melbourne Injecting Drug User cohort study were used to generate drug price series for the period January 2009-June 2013. Data on drug purity from 8818 seizures made within Victoria were used to generate drug purity series during the same period. Purity-adjusted price data for methamphetamine and heroin were obtained for the period 2009-13 by combining the two data sets. While the average purity of heroin seizures remained consistent and low, the average purity of powder and of crystal methamphetamine seizures increased from 12% [95% confidence interval (CI) = 10-14%] to 37% (95% CI = 20-54%) and 21% (95% CI = 18-23%) to 64% (95% CI = 60-68%), respectively. Crystal methamphetamine purity was bimodal, with observations generally less than 20% or greater than 70%. The average unadjusted price per gram for heroin decreased from $374 (95% CI = $367-381) to $294 (95% CI = $280-308), powder methamphetamine did not change significantly from $252 (95% CI = $233-271), and crystal methamphetamine increased substantially from $464 (95% CI = $416-511) in 2009 to $795 (95% CI = $737-853) in 2011. This increase was offset by an even greater increase in purity, meaning the average purity-adjusted price per gram declined. Furthermore, pure prices of both methamphetamine forms were similar, whereas their unadjusted prices were not. The pure price of heroin fluctuated with no ongoing trends. Decreases in methamphetamine purity-adjusted price along with the bimodality of crystal methamphetamine purity may account for some of the recent increase in methamphetamine-related harm. For a
A New SBUV Ozone Profile Time Series
McPeters, Richard
2011-01-01
Under NASA's MEaSUREs program for creating long term multi-instrument data sets, our group at Goddard has re-processed ozone profile data from a series of SBUV instruments. We have processed data from the Nimbus 7 SBUV instrument (1979-1990) and data from SBUV/2 instruments on NOAA-9 (1985-1998), NOAA-11 (1989-1995), NOAA-16 (2001-2010), NOAA-17 (2002-2010), and NOAA-18 (2005-2010). This reprocessing uses the version 8 ozone profile algorithm but now uses the Brion, Daumont, and Malicet (BMD) ozone cross sections instead of the Bass and Paur cross sections. The new cross sections have much better resolution, and extended wavelength range, and a more consistent temperature dependence. The re-processing also uses an improved cloud height climatology based on the Raman cloud retrievals of OMI. Finally, the instrument-to-instrument calibration is set using matched scenes so that ozone diurnal variation in the upper stratosphere does not alias into the ozone trands. Where there is no instrument overlap, SAGE and MLS are used to estimate calibration offsets. Preliminary analysis shows a more coherent time series as a function of altitude. The net effect on profile total column ozone is on average an absolute reduction of about one percent. Comparisons with ground-based systems are significantly better at high latitudes.
Correcting and combining time series forecasters.
Firmino, Paulo Renato A; de Mattos Neto, Paulo S G; Ferreira, Tiago A E
2014-02-01
Combined forecasters have been in the vanguard of stochastic time series modeling. In this way it has been usual to suppose that each single model generates a residual or prediction error like a white noise. However, mostly because of disturbances not captured by each model, it is yet possible that such supposition is violated. The present paper introduces a two-step method for correcting and combining forecasting models. Firstly, the stochastic process underlying the bias of each predictive model is built according to a recursive ARIMA algorithm in order to achieve a white noise behavior. At each iteration of the algorithm the best ARIMA adjustment is determined according to a given information criterion (e.g. Akaike). Then, in the light of the corrected predictions, it is considered a maximum likelihood combined estimator. Applications involving single ARIMA and artificial neural networks models for Dow Jones Industrial Average Index, S&P500 Index, Google Stock Value, and Nasdaq Index series illustrate the usefulness of the proposed framework.
Periodograms for multiband astronomical time series
Ivezic, Z.; VanderPlas, J. T.
2016-05-01
We summarize the multiband periodogram, a general extension of the well-known Lomb-Scargle approach for detecting periodic signals in time- domain data developed by VanderPlas & Ivezic (2015). A Python implementation of this method is available on GitHub. The multiband periodogram significantly improves period finding for randomly sampled multiband light curves (e.g., Pan-STARRS, DES, and LSST), and can treat non-uniform sampling and heteroscedastic errors. The light curves in each band are modeled as arbitrary truncated Fourier series, with the period and phase shared across all bands. The key aspect is the use of Tikhonov regularization which drives most of the variability into the so-called base model common to all bands, while fits for individual bands describe residuals relative to the base model and typically require lower-order Fourier series. We use simulated light curves and randomly subsampled SDSS Stripe 82 data to demonstrate the superiority of this method compared to other methods from the literature, and find that this method will be able to efficiently determine the correct period in the majority of LSST's bright RR Lyrae stars with as little as six months of LSST data.
Jaber, Abobaker M; Ismail, Mohd Tahir; Altaher, Alsaidi M
2014-01-01
This paper mainly forecasts the daily closing price of stock markets. We propose a two-stage technique that combines the empirical mode decomposition (EMD) with nonparametric methods of local linear quantile (LLQ). We use the proposed technique, EMD-LLQ, to forecast two stock index time series. Detailed experiments are implemented for the proposed method, in which EMD-LPQ, EMD, and Holt-Winter methods are compared. The proposed EMD-LPQ model is determined to be superior to the EMD and Holt-Winter methods in predicting the stock closing prices.
Abobaker M. Jaber
2014-01-01
Full Text Available This paper mainly forecasts the daily closing price of stock markets. We propose a two-stage technique that combines the empirical mode decomposition (EMD with nonparametric methods of local linear quantile (LLQ. We use the proposed technique, EMD-LLQ, to forecast two stock index time series. Detailed experiments are implemented for the proposed method, in which EMD-LPQ, EMD, and Holt-Winter methods are compared. The proposed EMD-LPQ model is determined to be superior to the EMD and Holt-Winter methods in predicting the stock closing prices.
Normalizing the causality between time series
Liang, X. San
2015-08-01
Recently, a rigorous yet concise formula was derived to evaluate information flow, and hence the causality in a quantitative sense, between time series. To assess the importance of a resulting causality, it needs to be normalized. The normalization is achieved through distinguishing a Lyapunov exponent-like, one-dimensional phase-space stretching rate and a noise-to-signal ratio from the rate of information flow in the balance of the marginal entropy evolution of the flow recipient. It is verified with autoregressive models and applied to a real financial analysis problem. An unusually strong one-way causality is identified from IBM (International Business Machines Corporation) to GE (General Electric Company) in their early era, revealing to us an old story, which has almost faded into oblivion, about "Seven Dwarfs" competing with a giant for the mainframe computer market.
Inferring causality from noisy time series data
Mønster, Dan; Fusaroli, Riccardo; Tylén, Kristian;
2016-01-01
Convergent Cross-Mapping (CCM) has shown high potential to perform causal inference in the absence of models. We assess the strengths and weaknesses of the method by varying coupling strength and noise levels in coupled logistic maps. We find that CCM fails to infer accurate coupling strength...... and even causality direction in synchronized time-series and in the presence of intermediate coupling. We find that the presence of noise deterministically reduces the level of cross-mapping fidelity, while the convergence rate exhibits higher levels of robustness. Finally, we propose that controlled noise...... injections in intermediate-to-strongly coupled systems could enable more accurate causal inferences. Given the inherent noisy nature of real-world systems, our findings enable a more accurate evaluation of CCM applicability and advance suggestions on how to overcome its weaknesses....
Highly comparative, feature-based time-series classification
Fulcher, Ben D
2014-01-01
A highly comparative, feature-based approach to time series classification is introduced that uses an extensive database of algorithms to extract thousands of interpretable features from time series. These features are derived from across the scientific time-series analysis literature, and include summaries of time series in terms of their correlation structure, distribution, entropy, stationarity, scaling properties, and fits to a range of time-series models. After computing thousands of features for each time series in a training set, those that are most informative of the class structure are selected using greedy forward feature selection with a linear classifier. The resulting feature-based classifiers automatically learn the differences between classes using a reduced number of time-series properties, and circumvent the need to calculate distances between time series. Representing time series in this way results in orders of magnitude of dimensionality reduction, allowing the method to perform well on ve...
Bao, Wei; Yue, Jun; Rao, Yulei
2017-01-01
The application of deep learning approaches to finance has received a great deal of attention from both investors and researchers. This study presents a novel deep learning framework where wavelet transforms (WT), stacked autoencoders (SAEs) and long-short term memory (LSTM) are combined for stock price forecasting. The SAEs for hierarchically extracted deep features is introduced into stock price forecasting for the first time. The deep learning framework comprises three stages. First, the stock price time series is decomposed by WT to eliminate noise. Second, SAEs is applied to generate deep high-level features for predicting the stock price. Third, high-level denoising features are fed into LSTM to forecast the next day's closing price. Six market indices and their corresponding index futures are chosen to examine the performance of the proposed model. Results show that the proposed model outperforms other similar models in both predictive accuracy and profitability performance.
Hiwa Farughi
2014-06-01
Full Text Available Determining the optimal inventory control and selling price for deteriorating items is of great significance. In this paper, a joint pricing and inventory control model for deteriorating items with price- and time-dependent demand rate and time-dependent deteriorating rate with partial backlogging is considered. The objective is to determine the optimal price, the replenishment time, and economic order quantity such that the total profit per unit time is maximized. After modeling the problem, an algorithm is proposed to solve the resulted problem. We also prove that the problem statement is concave function and the optimal solution is indeed global.
PERIODOGRAMS FOR MULTIBAND ASTRONOMICAL TIME SERIES
VanderPlas, Jacob T. [eScience Institute, University of Washington, Seattle, WA (United States); Ivezic, Željko [Department of Astronomy, University of Washington, Seattle, WA (United States)
2015-10-10
This paper introduces the multiband periodogram, a general extension of the well-known Lomb–Scargle approach for detecting periodic signals in time-domain data. In addition to advantages of the Lomb–Scargle method such as treatment of non-uniform sampling and heteroscedastic errors, the multiband periodogram significantly improves period finding for randomly sampled multiband light curves (e.g., Pan-STARRS, DES, and LSST). The light curves in each band are modeled as arbitrary truncated Fourier series, with the period and phase shared across all bands. The key aspect is the use of Tikhonov regularization which drives most of the variability into the so-called base model common to all bands, while fits for individual bands describe residuals relative to the base model and typically require lower-order Fourier series. This decrease in the effective model complexity is the main reason for improved performance. After a pedagogical development of the formalism of least-squares spectral analysis, which motivates the essential features of the multiband model, we use simulated light curves and randomly subsampled SDSS Stripe 82 data to demonstrate the superiority of this method compared to other methods from the literature and find that this method will be able to efficiently determine the correct period in the majority of LSST’s bright RR Lyrae stars with as little as six months of LSST data, a vast improvement over the years of data reported to be required by previous studies. A Python implementation of this method, along with code to fully reproduce the results reported here, is available on GitHub.
Boiteux's solution to the shifting-peak problem and the equilibrium price density in continuous time
Horsley, A.; Wrobel, A.J.
2002-01-01
Bewley's condition on production sets, imposed to ensure the existence of an equilibrium price density when L∞ is the commodity space, is weakened to allow applications to continuous-time problems, and especially to peak-load pricing when the users' utility and production functions are Mackey contin
Integration of capacity, pricing, and lead-time decisions in a decentralized supply chain
Zhu, Stuart X.
We consider a decentralized supply chain consisting of a supplier and a retailer facing price- and lead-time-sensitive demand. The decision process is modelled by a Stackelberg game where the supplier, as a leader, determines the capacity and the wholesale price, and the retailer, as a follower,
Integration of capacity, pricing, and lead-time decisions in a decentralized supply chain
Zhu, Stuart X.
2015-01-01
We consider a decentralized supply chain consisting of a supplier and a retailer facing price- and lead-time-sensitive demand. The decision process is modelled by a Stackelberg game where the supplier, as a leader, determines the capacity and the wholesale price, and the retailer, as a follower, det
Timing calibration and spectral cleaning of LOFAR time series data
Corstanje, A.; Buitink, S.; Enriquez, J. E.; Falcke, H.; Hörandel, J. R.; Krause, M.; Nelles, A.; Rachen, J. P.; Schellart, P.; Scholten, O.; ter Veen, S.; Thoudam, S.; Trinh, T. N. G.
2016-05-01
We describe a method for spectral cleaning and timing calibration of short time series data of the voltage in individual radio interferometer receivers. It makes use of phase differences in fast Fourier transform (FFT) spectra across antenna pairs. For strong, localized terrestrial sources these are stable over time, while being approximately uniform-random for a sum over many sources or for noise. Using only milliseconds-long datasets, the method finds the strongest interfering transmitters, a first-order solution for relative timing calibrations, and faulty data channels. No knowledge of gain response or quiescent noise levels of the receivers is required. With relatively small data volumes, this approach is suitable for use in an online system monitoring setup for interferometric arrays. We have applied the method to our cosmic-ray data collection, a collection of measurements of short pulses from extensive air showers, recorded by the LOFAR radio telescope. Per air shower, we have collected 2 ms of raw time series data for each receiver. The spectral cleaning has a calculated optimal sensitivity corresponding to a power signal-to-noise ratio of 0.08 (or -11 dB) in a spectral window of 25 kHz, for 2 ms of data in 48 antennas. This is well sufficient for our application. Timing calibration across individual antenna pairs has been performed at 0.4 ns precision; for calibration of signal clocks across stations of 48 antennas the precision is 0.1 ns. Monitoring differences in timing calibration per antenna pair over the course of the period 2011 to 2015 shows a precision of 0.08 ns, which is useful for monitoring and correcting drifts in signal path synchronizations. A cross-check method for timing calibration is presented, using a pulse transmitter carried by a drone flying over the array. Timing precision is similar, 0.3 ns, but is limited by transmitter position measurements, while requiring dedicated flights.
Timing calibration and spectral cleaning of LOFAR time series data
Corstanje, A; Enriquez, J E; Falcke, H; Hörandel, J R; Krause, M; Nelles, A; Rachen, J P; Schellart, P; Scholten, O; ter Veen, S; Thoudam, S; Trinh, T N G
2016-01-01
We describe a method for spectral cleaning and timing calibration of short voltage time series data from individual radio interferometer receivers. It makes use of the phase differences in Fast Fourier Transform (FFT) spectra across antenna pairs. For strong, localized terrestrial sources these are stable over time, while being approximately uniform-random for a sum over many sources or for noise. Using only milliseconds-long datasets, the method finds the strongest interfering transmitters, a first-order solution for relative timing calibrations, and faulty data channels. No knowledge of gain response or quiescent noise levels of the receivers is required. With relatively small data volumes, this approach is suitable for use in an online system monitoring setup for interferometric arrays. We have applied the method to our cosmic-ray data collection, a collection of measurements of short pulses from extensive air showers, recorded by the LOFAR radio telescope. Per air shower, we have collected 2 ms of raw tim...
Time series modeling for syndromic surveillance
Mandl Kenneth D
2003-01-01
Full Text Available Abstract Background Emergency department (ED based syndromic surveillance systems identify abnormally high visit rates that may be an early signal of a bioterrorist attack. For example, an anthrax outbreak might first be detectable as an unusual increase in the number of patients reporting to the ED with respiratory symptoms. Reliably identifying these abnormal visit patterns requires a good understanding of the normal patterns of healthcare usage. Unfortunately, systematic methods for determining the expected number of (ED visits on a particular day have not yet been well established. We present here a generalized methodology for developing models of expected ED visit rates. Methods Using time-series methods, we developed robust models of ED utilization for the purpose of defining expected visit rates. The models were based on nearly a decade of historical data at a major metropolitan academic, tertiary care pediatric emergency department. The historical data were fit using trimmed-mean seasonal models, and additional models were fit with autoregressive integrated moving average (ARIMA residuals to account for recent trends in the data. The detection capabilities of the model were tested with simulated outbreaks. Results Models were built both for overall visits and for respiratory-related visits, classified according to the chief complaint recorded at the beginning of each visit. The mean absolute percentage error of the ARIMA models was 9.37% for overall visits and 27.54% for respiratory visits. A simple detection system based on the ARIMA model of overall visits was able to detect 7-day-long simulated outbreaks of 30 visits per day with 100% sensitivity and 97% specificity. Sensitivity decreased with outbreak size, dropping to 94% for outbreaks of 20 visits per day, and 57% for 10 visits per day, all while maintaining a 97% benchmark specificity. Conclusions Time series methods applied to historical ED utilization data are an important tool
Trading Network Predicts Stock Price
Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi
2014-01-01
Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading network. We then classify the nodes of trading network into three roles according to their connectivity pattern. Strong Granger causality is found between stock price and trading relationship indices, i.e., the fraction of trading relationship among nodes with different roles. We further predict stock price by incorporating these trading relationship indices into a neural network based on time series of stock price. Experimental results on 51 stocks in two Chinese Stock Exchanges demonstrate the accuracy of stock price prediction is significantly improved by the inclusion of trading relationship indices.
Trading network predicts stock price.
Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi
2014-01-16
Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading network. We then classify the nodes of trading network into three roles according to their connectivity pattern. Strong Granger causality is found between stock price and trading relationship indices, i.e., the fraction of trading relationship among nodes with different roles. We further predict stock price by incorporating these trading relationship indices into a neural network based on time series of stock price. Experimental results on 51 stocks in two Chinese Stock Exchanges demonstrate the accuracy of stock price prediction is significantly improved by the inclusion of trading relationship indices.
A Faster Algorithm for Solving One-Clock Priced Timed Games
Hansen, Thomas Dueholm; Ibsen-Jensen, Rasmus; Miltersen, Peter Bro
2013-01-01
previously known time bound for solving one-clock priced timed games was 2O(n2+m) , due to Rutkowski. For our improvement, we introduce and study a new algorithm for solving one-clock priced timed games, based on the sweep-line technique from computational geometry and the strategy iteration paradigm from......One-clock priced timed games is a class of two-player, zero-sum, continuous-time games that was defined and thoroughly studied in previous works. We show that one-clock priced timed games can be solved in time m 12 n n O(1), where n is the number of states and m is the number of actions. The best...
Lo, K.L.; Wu, Y.K. [University of Strathclyde, Glasgow (United Kingdom). Power Systems Research Group
2004-07-01
Risk management in the electric power industry involves measuring the risk for all instruments owned by a company. The value of many of these instruments depends directly on electricity prices. In theory, the wholesale price in a real-time market should reflect the short-run marginal cost. However, most markets are not perfectly competitive, therefore by understanding the degree of correlation between price and physical drivers, electric traders and consumers can manage their risk more effectively and efficiently. Market data from two power-pool architectures, both pre-2003 ISO-NE and Australia's NEM, have been studied. The dynamic character of electricity price is mean-reverting, and consists of intra-day and weekly variations, seasonal fluctuations, and instant jumps. Parts of them are affected by load demands. Hourly signals on both price and load are divided into deterministic and random components with a discrete Fourier transform algorithm. Next, the real-time price-load relationship for periodic and random signals is examined. In addition, time-varying volatility models are constructed on random price and random load with the GARCH model, and the correlation between them analysed. Volatility plays a critical role on evaluating option pricing and risk management. (author)
Time series models of symptoms in schizophrenia.
Tschacher, Wolfgang; Kupper, Zeno
2002-12-15
The symptom courses of 84 schizophrenia patients (mean age: 24.4 years; mean previous admissions: 1.3; 64% males) of a community-based acute ward were examined to identify dynamic patterns of symptoms and to investigate the relation between these patterns and treatment outcome. The symptoms were monitored by systematic daily staff ratings using a scale composed of three factors: psychoticity, excitement, and withdrawal. Patients showed moderate to high symptomatic improvement documented by effect size measures. Each of the 84 symptom trajectories was analyzed by time series methods using vector autoregression (VAR) that models the day-to-day interrelations between symptom factors. Multiple and stepwise regression analyses were then performed on the basis of the VAR models. Two VAR parameters were found to be associated significantly with favorable outcome in this exploratory study: 'withdrawal preceding a reduction of psychoticity' as well as 'excitement preceding an increase of withdrawal'. The findings were interpreted as generating hypotheses about how patients cope with psychotic episodes.
Testing whether a time series is Guassian
Lee, S.
1991-01-01
The authors first tests whether a stationary linear process with mean 0 is Gaussian. For the invertible processes, he considers the empirical process based on the residuals as the basis of a test procedure. By applying the result of Boldin (1983) and Kreiss (1988), he shows that the process behaves asymptotically like the one based on the true errors. For non-invertible processes, on the other hand, Lee uses the empirical process based on data themselves rather than the one based on residuals. Here, the time series is assumed to be a strongly mixing process with a suitable mixing order. Then, the asymptotic behavior of the empirical process in each case is studied under a sequence of contiguous alternatives, and quadratic functionals of the empirical process are employed for AAR([infinity]) processes in order to compare efficiencies between these two procedures. The rest of the thesis is devoted to extending Boldin's results to nonstationary processes such as unstable AR(p) processes and explosive AR(1) processes, analyzing by means of a general stochastic regression model.
Climate Prediction Center (CPC) Global Precipitation Time Series
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...
Climate Prediction Center (CPC) Global Temperature Time Series
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...
Spectral Estimation of Non-Gaussian Time Series
Fabián, Z. (Zdeněk)
2010-01-01
Based on the concept of the scalar score of a probability distribution, we introduce a concept of a scalar score of time series and propose to characterize a non-Gaussian time series by spectral density of its scalar score.
An introduction to state space time series analysis.
Commandeur, J.J.F. & Koopman, S.J.
2007-01-01
Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is...
Time Series Analysis on Stock Market for Text Mining Correlation of Economy News
Seker, Sadi Evren; MERT, Cihan; Al-Naami, Khaled; Ozalp, Nuri; Ayan, Ugur
2014-01-01
This paper proposes an information retrieval method for the economy news. The effect of economy news, are researched in the word level and stock market values are considered as the ground proof. The correlation between stock market prices and economy news is an already addressed problem for most of the countries. The most well-known approach is applying the text mining approaches to the news and some time series analysis techniques over stock market closing values in order to apply classifica...
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.
Seasonal Time Series Analysis Based on Genetic Algorithm
无
2007-01-01
Pattern discovery from the seasonal time-series is of importance. Traditionally, most of the algorithms of pattern discovery in time series are similar. A novel mode of time series is proposed which integrates the Genetic Algorithm (GA) for the actual problem. The experiments on the electric power yield sequence models show that this algorithm is practicable and effective.
Multidimensional k-nearest neighbor model based on EEMD for financial time series forecasting
Zhang, Ningning; Lin, Aijing; Shang, Pengjian
2017-07-01
In this paper, we propose a new two-stage methodology that combines the ensemble empirical mode decomposition (EEMD) with multidimensional k-nearest neighbor model (MKNN) in order to forecast the closing price and high price of the stocks simultaneously. The modified algorithm of k-nearest neighbors (KNN) has an increasingly wide application in the prediction of all fields. Empirical mode decomposition (EMD) decomposes a nonlinear and non-stationary signal into a series of intrinsic mode functions (IMFs), however, it cannot reveal characteristic information of the signal with much accuracy as a result of mode mixing. So ensemble empirical mode decomposition (EEMD), an improved method of EMD, is presented to resolve the weaknesses of EMD by adding white noise to the original data. With EEMD, the components with true physical meaning can be extracted from the time series. Utilizing the advantage of EEMD and MKNN, the new proposed ensemble empirical mode decomposition combined with multidimensional k-nearest neighbor model (EEMD-MKNN) has high predictive precision for short-term forecasting. Moreover, we extend this methodology to the case of two-dimensions to forecast the closing price and high price of the four stocks (NAS, S&P500, DJI and STI stock indices) at the same time. The results indicate that the proposed EEMD-MKNN model has a higher forecast precision than EMD-KNN, KNN method and ARIMA.
Dynamic Price Dispersion of Storable Goods
Gao, Cixiu
2015-01-01
In this paper I provide an analytical model for the rationale behind supermarket pricing patterns characterized by long-term high prices and temporary price reductions. Based on the understanding that temporary price reductions serve the role of price discrimination between consumers with different...... search costs and willingness to wait, I construct a dynamic model of oligopoly retailers selling a homogeneous storable good. The model takes into account consumer heterogeneity with respect to search cost, inventory cost, and store loyalty. I demonstrate that the high-price-low-price pattern is rational...... for storable goods. In a Markov-perfect equilibrium, agents’ actions depend on consumer inventory, and purchase decisions are characterized by a critical price. The equilibrium price series consists of one-time price reductions and several consecutive periods in which all retailers offer the regular price...
Dynamic Price Dispersion of Storable Goods
Gao, Cixiu
2014-01-01
In this paper I provide an analytical model for the rationale behind supermarket pricing patterns characterized by long-term high prices and temporary price reductions. The model is based on the understanding that temporary price reductions serve the role of price discrimination between consumers...... with different search costs and willingness to wait. I demonstrate that the high-price-low-price pattern is rational for storable goods. In a Markov-perfect equilibrium, agents’ actions depend on consumer inventory, and purchase decisions are characterized by a critical price. The equilibrium price series...... consists of one-time price reductions and several consecutive periods in which all retailers offer the regular price. The model predicts that competition is the hardest when consumer inventories are zero, and that at high inventory levels the probability of holding a sale is low....
Optimal Load Response to Time-of-Use Power Price for Demand Side Management in Denmark
Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte
2010-01-01
-of-use power price for demand side management in order to save the energy costs as much as possible. 3 typical different kinds of loads (industrial load, residential load and commercial load) in Denmark are chosen as study cases. The energy costs decrease up to 9.6% with optimal load response to time......-of-use power price for different loads. Simulation results show that the optimal load response to time-of-use power price for demand side management generates different load profiles and reduces the load peaks. This kind of load patterns may also have significant effects on the power system normal operation....
Yamashita Rios de Sousa, Arthur Matsuo; Takayasu, Hideki; Takayasu, Misako
2017-01-01
We extend the concept of statistical symmetry as the invariance of a probability distribution under transformation to analyze binary sign time series data of price difference from the foreign exchange market. We model segments of the sign time series as Markov sequences and apply a local hypothesis test to evaluate the symmetries of independence and time reversion in different periods of the market. For the test, we derive the probability of a binary Markov process to generate a given set of number of symbol pairs. Using such analysis, we could not only segment the time series according the different behaviors but also characterize the segments in terms of statistical symmetries. As a particular result, we find that the foreign exchange market is essentially time reversible but this symmetry is broken when there is a strong external influence.
Time-frequency featured co-movement between the stock and prices of crude oil and gold
Huang, Shupei; An, Haizhong; Gao, Xiangyun; Huang, Xuan
2016-02-01
The nonlinear relationships among variables caused by the hidden frequency information complicate the time series analysis. To shed more light on this nonlinear issue, we examine their relationships in joint time-frequency domain with multivariate framework, and the analyses in the time domain and frequency domain serve as comparisons. The daily Brent oil prices, London gold fixing price and Shanghai Composite index from January 1991 to September 2014 are adopted as example. First, they have long-term cointegration relationship in time domain from holistic perspective. Second, the Granger causality tests in different frequency bands are heterogeneous. Finally, the comparison between results from wavelet coherence and multiple wavelet coherence in the joint time-frequency domain indicates that in the high (1-14 days) and medium frequency (14-128 days) bands, the combination of Brent and gold prices has stronger correlation with the stock. In the low frequency band (256-512 days), year 2003 is the structure broken point before which Brent and oil are ideal choice for hedging the risk of the stock market. Thus, this paper offers more details between the Chinese stock market and the commodities markets of crude oil and gold, which suggests that the decisions for different time and frequencies should consider the corresponding benchmark information.
Impact of stock market structure on intertrade time and price dynamics
Ivanov, Plamen Ch; Yuen, Ainslie; Perakakis, Pandelis
2014-01-01
... of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations...
A behavioral asset pricing model with a time-varying second moment
Chiarella, Carl [School of Finance and Economics, University of Technology, Sydney, P.O. Box 123, Broadway, NSW 2007 (Australia)]. E-mail: carl.chiarella@uts.edu.au; He Xuezhong [School of Finance and Economics, University of Technology, Sydney, P.O. Box 123, Broadway, NSW 2007 (Australia); Wang, Duo [LMAM, Department of Financial Mathematics, School of Mathematical Sciences, Peking University, Beijing 100871 (China)
2006-08-15
We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted averaging process. Through a stability, bifurcation, and normal form analysis, the market impact of the weighting process and time-varying second moment are examined. It is found that the fundamental price becomes stable (unstable) when the activities from both types of traders are balanced (unbalanced). When the fundamental price becomes unstable, the weighting process leads to different price dynamics, depending on whether the chartists act as either trend followers or contrarians. It is also found that a time-varying second moment of the chartists does not change the stability of the fundamental price, but it does influence the stability of the bifurcations. The bifurcation becomes stable (unstable) when the chartists are more (less) concerned about the market risk characterized by the time-varying second moment. Different routes to complicated price dynamics are also observed. The analysis provides an analytical foundation for the statistical analysis of the corresponding stochastic version of this type of behavioral model.
Generalized Framework for Similarity Measure of Time Series
Hongsheng Yin
2014-01-01
Full Text Available Currently, there is no definitive and uniform description for the similarity of time series, which results in difficulties for relevant research on this topic. In this paper, we propose a generalized framework to measure the similarity of time series. In this generalized framework, whether the time series is univariable or multivariable, and linear transformed or nonlinear transformed, the similarity of time series is uniformly defined using norms of vectors or matrices. The definitions of the similarity of time series in the original space and the transformed space are proved to be equivalent. Furthermore, we also extend the theory on similarity of univariable time series to multivariable time series. We present some experimental results on published time series datasets tested with the proposed similarity measure function of time series. Through the proofs and experiments, it can be claimed that the similarity measure functions of linear multivariable time series based on the norm distance of covariance matrix and nonlinear multivariable time series based on kernel function are reasonable and practical.
Impact of stock market structure on intertrade time and price dynamics.
Plamen Ch Ivanov
Full Text Available We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization-a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising
Impact of stock market structure on intertrade time and price dynamics.
Ivanov, Plamen Ch; Yuen, Ainslie; Perakakis, Pandelis
2014-01-01
We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization-a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing
ANCOVA Procedures in Time-Series Experiments: An Illustrative Example.
Willson, Victor L.
A statistical model for analysis of multiple time-series observation is briefly outlined. The model incorporates a change parameter corresponding to intervention or interruption of the dependent series. The additional time-series are included in the model as covariates. The practical application of the procedure is illustrated with traffic…
Hidden Markov Models for Time Series An Introduction Using R
Zucchini, Walter
2009-01-01
Illustrates the flexibility of HMMs as general-purpose models for time series data. This work presents an overview of HMMs for analyzing time series data, from continuous-valued, circular, and multivariate series to binary data, bounded and unbounded counts and categorical observations.
无
2006-01-01
Market-based reform of energy prices is the most effective approach to enhancing energy efficiency. The policies of energy conservation and enhancing energy efficiency in the 1 lth Five-year Plan period (2006-2010) work directly to set up a series of reform measures related to energy pricing by market mechanism. Energy price reform will deeply influence China's industrial interest pattern, and its development in the next five years and even 10 or 20 years.This paper analyzes the significance, timing, present status and problems related to energy price reform, and discusses the goal, principle and measures of coal, electricity, oil and gas price reform separately.
Time and ensemble averaging in time series analysis
Latka, Miroslaw; Jernajczyk, Wojciech; West, Bruce J
2010-01-01
In many applications expectation values are calculated by partitioning a single experimental time series into an ensemble of data segments of equal length. Such single trajectory ensemble (STE) is a counterpart to a multiple trajectory ensemble (MTE) used whenever independent measurements or realizations of a stochastic process are available. The equivalence of STE and MTE for stationary systems was postulated by Wang and Uhlenbeck in their classic paper on Brownian motion (Rev. Mod. Phys. 17, 323 (1945)) but surprisingly has not yet been proved. Using the stationary and ergodic paradigm of statistical physics -- the Ornstein-Uhlenbeck (OU) Langevin equation, we revisit Wang and Uhlenbeck's postulate. In particular, we find that the variance of the solution of this equation is different for these two ensembles. While the variance calculated using the MTE quantifies the spreading of independent trajectories originating from the same initial point, the variance for STE measures the spreading of two correlated r...
Indirect Load Control for Energy Storage Systems Using Incentive Pricing under Time-of-Use Tariff
Mu-Gu Jeong
2016-07-01
Full Text Available Indirect load control (ILC is a method by which the customer determines load reduction of electricity by using a price signal. One of the ILCs is a time-of-use (TOU tariff, which is the most commonly used time-varying retail pricing. Under the TOU tariff, the customer can reduce the energy cost through an energy storage system (ESS. However, because this tariff is fixed for several months, the ESS operation does not truly reflect the wholesale market price, which could widely fluctuate. To overcome this limitation, this paper proposes an incentive pricing method in which the load-serving entity (LSE gives the incentive pricing signal to the customers with ESSs. Because the ESS charging schedule is determined by the customer through ILC, a bilevel optimization problem that includes the customer optimization problem is utilized to determine the incentive pricing signal. Further, the bilevel optimization problem is reformulated into a one-level problem to be solved by an interior point method. In the proposed incentive scheme: (1 the social welfare increases and (2 the increased social welfare can be equitably divided between the LSE and the customer; and (3 the proposed incentive scheme leads the customer to voluntarily follow the pricing signal.
Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte
2010-01-01
Since the hourly spot market price is available one day ahead, the price could be transferred to the consumers and they may have some motivations to install an energy storage system in order to save their energy costs. This paper presents an optimal operation strategy for a battery energy storage...... system (BESS) in relation to the real-time electricity price in order to achieve the maximum profits of the BESS. The western Danish power system, which is currently the grid area in the world that has the largest share of wind power in its generation profiles and may represent the future of electricity...
Scale-dependent intrinsic entropies of complex time series.
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.
Efficient Algorithms for Segmentation of Item-Set Time Series
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.
Impact of Stock Market Structure on Intertrade Time and Price Dynamics
Yuen, Ainslie; Ivanov, Plamen Ch.
2005-08-01
The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supply, we hypothesize that modulation of the flow of transactions due to market operations may carry a stronger imprint of the internal market mechanism. We analyse times between consecutive transactions (ITT) for NYSE and NASDAQ stocks, and we relate the dynamical properties of the ITT with those of the corresponding price fluctuations. We find a robust scale-invariant temporal organisation in the ITT of stocks which is independent of individual company characteristics and industry sector, but which depends on market structure. We find that stocks registered on the NASDAQ exhibit stronger correlations in their transaction timing within a trading day, compared with NYSE stocks. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing within a trading day, after the move, suggesting influences of market structure. Surprisingly, we also observe that stronger power-law correlations in the ITT are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of ITT and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ, we demonstrate that the higher correlations we find in ITT for NASDAQ stocks are matched by higher correlations in absolute price returns and by higher volatility, suggesting that market structure may affect price behaviour through information contained in transaction timing.
Sparse Representation for Time-Series Classification
2015-02-08
Comput. Vision and Pattern Recognition (CVPR), pp. 4114–4121 (2014). 18. J. Mairal, F. Bach , A. Zisserman, and G. Sapiro. Supervised dictionary learn...ing. In Advances Neural Inform. Process. Syst. (NIPS), pp. 1033–1040 (2008). 19. J. Mairal, F. Bach , and J. Ponce, Task-driven dictionary learning...Series Classification 17 compressive sensing, SISC. 33(1), 250–278 (2011). 41. J. Mairal, F. Bach , J. Ponce, and G. Sapiro, Online dictionary learning for
The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach
Vincent Brémond
2016-07-01
Full Text Available The aim of this paper is to study the relationship between the effective exchange rate of the dollar and the oil price dynamics from 1976 to 2013. We explore the links between financial factors (exchange rate, monetary policy, international liquidity and the oil price volatility. Using a Bayesian time-varying parameter vector auto-regressive estimation we demonstrate that the “historical coincidence” of oil and financial crises can be explained by the specificities of the relationship between these two commodities. The results of this paper are twofold. The US Dollar effective exchange rate elasticity of crude oil prices is not constant across time and remains negative from 1989: a depreciation of the effective exchange rate of the dollar triggers an increase of crude oil prices. This paper also demonstrates the contagion of financial commodities markets development upon the global economy.
A Heterogeneous Agent Model of Asspet Price with Three Time Delays
Akio Matsumoto
2016-09-01
Full Text Available This paper considers a continuous-time heterogeneous agent model ofa ...nancial market with one risky asset, two types of agents (i.e., thefundamentalists and the chartists, and three time delays. The chartistdemand is determined through a nonlinear function of the di¤erence be-tween the current price and a weighted moving average of the delayedprices whereas the fundamentalist demand is governed by the di¤erencebetween the current price and the fundamental value. The asset price dy-namics is described by a nonlinear delay di¤erential equation. Two mainresults are analytically and numerically shown:(i the delay destabilizes the market price and generates cyclic oscillationsaround the equilibrium;(ii under multiple delays, stability loss and gain repeatedly occurs as alength of the delay increases.
TIME SERIES ANALYSIS USING A UNIQUE MODEL OF TRANSFORMATION
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.
Bernstein polynomials for evolutionary algebraic prediction of short time series
Lukoseviciute, Kristina; Howard, Daniel; Ragulskis, Minvydas
2017-07-01
Short time series prediction technique based on Bernstein polynomials is presented in this paper. Firstly, the straightforward Bernstein polynomial extrapolation scheme is improved by extending the interval of approximation. Secondly, the forecasting scheme is designed in the evolutionary computational setup which is based on the conciliation between the coarseness of the algebraic prediction and the smoothness of the time average prediction. Computational experiments with the test time series suggest that this time series prediction technique could be applicable for various forecasting applications.
Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach
C. F. Lo
2002-01-01
Full Text Available We present a Lie algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters. Exploiting the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the new method enables us to derive analytical closed-form pricing formulae very straightforwardly. We believe that this new approach will provide an efficient and easy-to-use method for the valuation of financial derivatives.
Time-series prediction and applications a machine intelligence approach
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...
I GUSTI NGURAH ARYA WANAYASA
2012-09-01
Full Text Available The purpose of this research is forecasting the growth of the GDRP in Bali Province on 2011. The fuzzy time series method and Holt-Winter’s exponential smoothing method used to forecast the GDRP in Bali Province on 2011 by using the data of Bali Province’s GDRP constant prices of year 2000 from first quarter of 1991 until fourth quarter of 2010. Then, the forecasting result of both methods compared by see the AFER and MSE value on each method. The comparison result shows the forecasting method by using Holt-Winter’s exponential smoothing is 7.13% while using the fuzzy time series method is 0.64%, these shows the forecasting using fuzzy time series method have a higher accuracy rate compared to Holt-Winter’s exponential smoothing method with the difference of forecasting error rateis6.49%.
Carbon financial markets: A time-frequency analysis of CO2 prices
Sousa, Rita; Aguiar-Conraria, Luís; Soares, Maria Joana
2014-11-01
We characterize the interrelation of CO2 prices with energy prices (electricity, gas and coal), and with economic activity. Previous studies have relied on time-domain techniques, such as Vector Auto-Regressions. In this study, we use multivariate wavelet analysis, which operates in the time-frequency domain. Wavelet analysis provides convenient tools to distinguish relations at particular frequencies and at particular time horizons. Our empirical approach has the potential to identify relations getting stronger and then disappearing over specific time intervals and frequencies. We are able to examine the coherency of these variables and lead-lag relations at different frequencies for the time periods in focus.
Ruin Probability in Linear Time Series Model
ZHANG Lihong
2005-01-01
This paper analyzes a continuous time risk model with a linear model used to model the claim process. The time is discretized stochastically using the times when claims occur, using Doob's stopping time theorem and martingale inequalities to obtain expressions for the ruin probability as well as both exponential and non-exponential upper bounds for the ruin probability for an infinite time horizon. Numerical results are included to illustrate the accuracy of the non-exponential bound.
Honolulu Retail Monitoring Price Data Collection (2007-2011)
National Oceanic and Atmospheric Administration, Department of Commerce — This database contains a time series of consumer-level prices for a sample of retail markets in Honolulu between 2007-2011. Data include weekly prices for fish...
Analysis of Nonstationary Time Series for Biological Rhythms Research.
Leise, Tanya L
2017-06-01
This article is part of a Journal of Biological Rhythms series exploring analysis and statistics topics relevant to researchers in biological rhythms and sleep research. The goal is to provide an overview of the most common issues that arise in the analysis and interpretation of data in these fields. In this article on time series analysis for biological rhythms, we describe some methods for assessing the rhythmic properties of time series, including tests of whether a time series is indeed rhythmic. Because biological rhythms can exhibit significant fluctuations in their period, phase, and amplitude, their analysis may require methods appropriate for nonstationary time series, such as wavelet transforms, which can measure how these rhythmic parameters change over time. We illustrate these methods using simulated and real time series.
Clustering Time Series Data Stream - A Literature Survey
Kavitha, V
2010-01-01
Mining Time Series data has a tremendous growth of interest in today's world. To provide an indication various implementations are studied and summarized to identify the different problems in existing applications. Clustering time series is a trouble that has applications in an extensive assortment of fields and has recently attracted a large amount of research. Time series data are frequently large and may contain outliers. In addition, time series are a special type of data set where elements have a temporal ordering. Therefore clustering of such data stream is an important issue in the data mining process. Numerous techniques and clustering algorithms have been proposed earlier to assist clustering of time series data streams. The clustering algorithms and its effectiveness on various applications are compared to develop a new method to solve the existing problem. This paper presents a survey on various clustering algorithms available for time series datasets. Moreover, the distinctiveness and restriction ...
On correlations and fractal characteristics of time series
Vitanov, N K; Yankulova, E D; Vitanov, Nikolay K.; Sakai, kenschi; Yankulova, Elka D.
2005-01-01
Correlation analysis is convenient and frequently used tool for investigation of time series from complex systems. Recently new methods such as the multifractal detrended fluctuation analysis (MFDFA) and the wavelet transform modulus maximum method (WTMM) have been developed. By means of these methods (i) we can investigate long-range correlations in time series and (ii) we can calculate fractal spectra of these time series. But opposite to the classical tool for correlation analysis - the autocorrelation function, the newly developed tools are not applicable to all kinds of time series. The unappropriate application of MFDFA or WTMM leads to wrong results and conclusions. In this article we discuss the opportunities and risks connected to the application of the MFDFA method to time series from a random number generator and to experimentally measured time series (i) for accelerations of an agricultural tractor and (ii) for the heartbeat activity of {\\sl Drosophila melanogaster}. Our main goal is to emphasize ...
A novel weight determination method for time series data aggregation
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.
Non-parametric causal inference for bivariate time series
McCracken, James M
2015-01-01
We introduce new quantities for exploratory causal inference between bivariate time series. The quantities, called penchants and leanings, are computationally straightforward to apply, follow directly from assumptions of probabilistic causality, do not depend on any assumed models for the time series generating process, and do not rely on any embedding procedures; these features may provide a clearer interpretation of the results than those from existing time series causality tools. The penchant and leaning are computed based on a structured method for computing probabilities.
Intrusion Detection Forecasting Using Time Series for Improving Cyber Defence
Abdullah, Azween Bin; Pillai, Thulasyammal Ramiah; Cai, Long Zheng
2015-01-01
The strength of time series modeling is generally not used in almost all current intrusion detection and prevention systems. By having time series models, system administrators will be able to better plan resource allocation and system readiness to defend against malicious activities. In this paper, we address the knowledge gap by investigating the possible inclusion of a statistical based time series modeling that can be seamlessly integrated into existing cyber defense system. Cyber-attack ...
A Generalization of Some Classical Time Series Tools
Nielsen, Henrik Aalborg; Madsen, Henrik
2001-01-01
In classical time series analysis the sample autocorrelation function (SACF) and the sample partial autocorrelation function (SPACF) has gained wide application for structural identification of linear time series models. We suggest generalizations, founded on smoothing techniques, applicable...... for structural identification of non-linear time series models. A similar generalization of the sample cross correlation function is discussed. Furthermore, a measure of the departure from linearity is suggested. It is shown how bootstrapping can be applied to construct confidence intervals under independence...
Genetic programming-based chaotic time series modeling
张伟; 吴智铭; 杨根科
2004-01-01
This paper proposes a Genetic Programming-Based Modeling (GPM) algorithm on chaotic time series. GP is used here to search for appropriate model structures in function space, and the Particle Swarm Optimization (PSO) algorithm is used for Nonlinear Parameter Estimation (NPE) of dynamic model structures. In addition, GPM integrates the results of Nonlinear Time Series Analysis (NTSA) to adjust the parameters and takes them as the criteria of established models. Experiments showed the effectiveness of such improvements on chaotic time series modeling.
Information distance and its application in time series
B. Mirza
2008-03-01
Full Text Available In this paper a new method is introduced for studying time series of complex systems. This method is based on using the concept of entropy and Jensen-Shannon divergence. In this paper this method is applied to time series of billiard system and heart signals. By this method, we can diagnose the healthy and unhealthy heart and also chaotic billiards from non chaotic systems . The method can also be applied to other time series.
Predicting Chaotic Time Series Using Recurrent Neural Network
ZHANG Jia-Shu; XIAO Xian-Ci
2000-01-01
A new proposed method, i.e. the recurrent neural network (RNN), is introduced to predict chaotic time series. The effectiveness of using RNN for making one-step and multi-step predictions is tested based on remarkable few datum points by computer-generated chaotic time series. Numerical results show that the RNN proposed here is a very powerful tool for making prediction of chaotic time series.
Trend time-series modeling and forecasting with neural networks.
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.
gatspy: General tools for Astronomical Time Series in Python
VanderPlas, Jake
2016-10-01
Gatspy contains efficient, well-documented implementations of several common routines for Astronomical time series analysis, including the Lomb-Scargle periodogram, the Supersmoother method, and others.
Using neural networks for dynamic light scattering time series processing
Chicea, Dan
2017-04-01
A basic experiment to record dynamic light scattering (DLS) time series was assembled using basic components. The DLS time series processing using the Lorentzian function fit was considered as reference. A Neural Network was designed and trained using simulated frequency spectra for spherical particles in the range 0–350 nm, assumed to be scattering centers, and the neural network design and training procedure are described in detail. The neural network output accuracy was tested both on simulated and on experimental time series. The match with the DLS results, considered as reference, was good serving as a proof of concept for using neural networks in fast DLS time series processing.
Forecasting the underlying potential governing climatic time series
Livina, V N; Mudelsee, M; Lenton, T M
2012-01-01
We introduce a technique of time series analysis, potential forecasting, which is based on dynamical propagation of the probability density of time series. We employ polynomial coefficients of the orthogonal approximation of the empirical probability distribution and extrapolate them in order to forecast the future probability distribution of data. The method is tested on artificial data, used for hindcasting observed climate data, and then applied to forecast Arctic sea-ice time series. The proposed methodology completes a framework for `potential analysis' of climatic tipping points which altogether serves anticipating, detecting and forecasting climate transitions and bifurcations using several independent techniques of time series analysis.
Efficient use of correlation entropy for analysing time series data
K P Harikrishnan; R Misra; G Ambika
2009-02-01
The correlation dimension 2 and correlation entropy 2 are both important quantifiers in nonlinear time series analysis. However, use of 2 has been more common compared to 2 as a discriminating measure. One reason for this is that 2 is a static measure and can be easily evaluated from a time series. However, in many cases, especially those involving coloured noise, 2 is regarded as a more useful measure. Here we present an efficient algorithmic scheme to compute 2 directly from a time series data and show that 2 can be used as a more effective measure compared to 2 for analysing practical time series involving coloured noise.
Time series analysis in the social sciences the fundamentals
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
2010-12-28
... Energy Regulatory Commission Price Dam Partnership, Limited; Notice of Request for Extension of Time to....: 12187-016. c. Date Filed: December 8, 2010. d. Applicant: Price Dam Partnership, Limited. e. Name of Project: Price Dam Hydroelectric Project. f. Location of Project: At the existing St. Louis District's...
Real Time Updating Genetic Network Programming for Adapting to the Change of Stock Prices
Chen, Yan; Mabu, Shingo; Shimada, Kaoru; Hirasawa, Kotaro
The key in stock trading model is to take the right actions for trading at the right time, primarily based on the accurate forecast of future stock trends. Since an effective trading with given information of stock prices needs an intelligent strategy for the decision making, we applied Genetic Network Programming (GNP) to creating a stock trading model. In this paper, we propose a new method called Real Time Updating Genetic Network Programming (RTU-GNP) for adapting to the change of stock prices. There are three important points in this paper: First, the RTU-GNP method makes a stock trading decision considering both the recommendable information of technical indices and the candlestick charts according to the real time stock prices. Second, we combine RTU-GNP with a Sarsa learning algorithm to create the programs efficiently. Also, sub-nodes are introduced in each judgment and processing node to determine appropriate actions (buying/selling) and to select appropriate stock price information depending on the situation. Third, a Real Time Updating system has been firstly introduced in our paper considering the change of the trend of stock prices. The experimental results on the Japanese stock market show that the trading model with the proposed RTU-GNP method outperforms other models without real time updating. We also compared the experimental results using the proposed method with Buy&Hold method to confirm its effectiveness, and it is clarified that the proposed trading model can obtain much higher profits than Buy&Hold method.
Numerical Methods for Pricing American Options with Time-Fractional PDE Models
Zhiqiang Zhou
2016-01-01
Full Text Available In this paper we develop a Laplace transform method and a finite difference method for solving American option pricing problem when the change of the option price with time is considered as a fractal transmission system. In this scenario, the option price is governed by a time-fractional partial differential equation (PDE with free boundary. The Laplace transform method is applied to the time-fractional PDE. It then leads to a nonlinear equation for the free boundary (i.e., optimal early exercise boundary function in Laplace space. After numerically finding the solution of the nonlinear equation, the Laplace inversion is used to transform the approximate early exercise boundary into the time space. Finally the approximate price of the American option is obtained. A boundary-searching finite difference method is also proposed to solve the free-boundary time-fractional PDEs for pricing the American options. Numerical examples are carried out to compare the Laplace approach with the finite difference method and it is confirmed that the former approach is much faster than the latter one.
Interpretable Early Classification of Multivariate Time Series
Ghalwash, Mohamed F.
2013-01-01
Recent advances in technology have led to an explosion in data collection over time rather than in a single snapshot. For example, microarray technology allows us to measure gene expression levels in different conditions over time. Such temporal data grants the opportunity for data miners to develop algorithms to address domain-related problems,…
Studies on time series applications in environmental sciences
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. .
Simulation of Ground Winds Time Series
Adelfang, S. I.
2008-01-01
A simulation process has been developed for generation of the longitudinal and lateral components of ground wind atmospheric turbulence as a function of mean wind speed, elevation, temporal frequency range and distance between locations. The distance between locations influences the spectral coherence between the simulated series at adjacent locations. Short distances reduce correlation only at high frequencies; as distances increase correlation is reduced over a wider range of frequencies. The choice of values for the constants d1 and d3 in the PSD model is the subject of work in progress. An improved knowledge of the values for zO as a function of wind direction at the ARES-1 launch pads is necessary for definition of d1. Results of other studies at other locations may be helpful as summarized in Fichtl's recent correspondence. Ideally, further research is needed based on measurements of ground wind turbulence with high resolution anemometers at a number of altitudes at a new KSC tower located closer to the ARES-1 launch pad .The proposed research would be based on turbulence measurements that may be influenced by surface terrain roughness that may be significantly different from roughness prior to 1970 in Fichtl's measurements. Significant improvements in instrumentation, data storage end processing will greatly enhance the capability to model ground wind profiles and ground wind turbulence.
How to analyse irregularly sampled geophysical time series?
Eroglu, Deniz; Ozken, Ibrahim; Stemler, Thomas; Marwan, Norbert; Wyrwoll, Karl-Heinz; Kurths, Juergen
2015-04-01
One of the challenges of time series analysis is to detect dynamical changes in the dynamics of the underlying system.There are numerous methods that can be used to detect such regime changes in regular sampled times series. Here we present a new approach, that can be applied, when the time series is irregular sampled. Such data sets occur frequently in real world applications as in paleo climate proxy records. The basic idea follows Victor and Purpura [1] and considers segments of the time series. For each segment we compute the cost of transforming the segment into the following one. If the time series is from one dynamical regime the cost of transformation should be similar for each segment of the data. Dramatic changes in the cost time series indicate a change in the underlying dynamics. Any kind of analysis can be applicable to the cost time series since it is a regularly sampled time series. While recurrence plots are not the best choice for irregular sampled data with some measurement noise component, we show that a recurrence plot analysis based on the cost time series can successfully identify the changes in the dynamics of the system. We tested this method using synthetically created time series and will use these results to highlight the performance of our method. Furthermore we present our analysis of a suite of calcite and aragonite stalagmites located in the eastern Kimberley region of tropical Western Australia. This oxygen isotopic data is a proxy for the monsoon activity over the last 8,000 years. In this time series our method picks up several so far undetected changes from wet to dry in the monsoon system and therefore enables us to get a better understanding of the monsoon dynamics in the North-East of Australia over the last couple of thousand years. [1] J. D. Victor and K. P. Purpura, Network: Computation in Neural Systems 8, 127 (1997)
A Method for Determining Periods in Time Series.
1981-04-01
SUPPLEMENTARY NOTES IS. KEY WORDS (Conlinu an revere cide Ii necesry d Identify by block nmi 9ber) Univariate time series; spectral density function ; Newton’s...and the method is applied to a series of hormone levels data. KEY WORDS: Univariate time series; Spectral density function ; Newton’s Method...Z the set of integers, be a zero mean covariance stationary time series with autocovariance function R(v) = E(Y(t)Y(t+v)), vZ and spectral density function f
Distance measure with improved lower bound for multivariate time series
Li, Hailin
2017-02-01
Lower bound function is one of the important techniques used to fast search and index time series data. Multivariate time series has two aspects of high dimensionality including the time-based dimension and the variable-based dimension. Due to the influence of variable-based dimension, a novel method is proposed to deal with the lower bound distance computation for multivariate time series. The proposed method like the traditional ones also reduces the dimensionality of time series in its first step and thus does not directly apply the lower bound function on the multivariate time series. The dimensionality reduction is that multivariate time series is reduced to univariate time series denoted as center sequences according to the principle of piecewise aggregate approximation. In addition, an extended lower bound function is designed to obtain good tightness and fast measure the distance between any two center sequences. The experimental results demonstrate that the proposed lower bound function has better tightness and improves the performance of similarity search in multivariate time series datasets.
Recovery of the Time-Evolution Equation of Time-Delay Systems from Time Series
Bünner, M J; Kittel, A; Parisi, J; Meyer, Th.
1997-01-01
We present a method for time series analysis of both, scalar and nonscalar time-delay systems. If the dynamics of the system investigated is governed by a time-delay induced instability, the method allows to determine the delay time. In a second step, the time-delay differential equation can be recovered from the time series. The method is a generalization of our recently proposed method suitable for time series analysis of {\\it scalar} time-delay systems. The dynamics is not required to be settled on its attractor, which also makes transient motion accessible to the analysis. If the motion actually takes place on a chaotic attractor, the applicability of the method does not depend on the dimensionality of the chaotic attractor - one main advantage over all time series analysis methods known until now. For demonstration, we analyze time series, which are obtained with the help of the numerical integration of a two-dimensional time-delay differential equation. After having determined the delay time, we recover...
Multiscale structure of time series revealed by the monotony spectrum.
Vamoş, Călin
2017-03-01
Observation of complex systems produces time series with specific dynamics at different time scales. The majority of the existing numerical methods for multiscale analysis first decompose the time series into several simpler components and the multiscale structure is given by the properties of their components. We present a numerical method which describes the multiscale structure of arbitrary time series without decomposing them. It is based on the monotony spectrum defined as the variation of the mean amplitude of the monotonic segments with respect to the mean local time scale during successive averagings of the time series, the local time scales being the durations of the monotonic segments. The maxima of the monotony spectrum indicate the time scales which dominate the variations of the time series. We show that the monotony spectrum can correctly analyze a diversity of artificial time series and can discriminate the existence of deterministic variations at large time scales from the random fluctuations. As an application we analyze the multifractal structure of some hydrological time series.
Time series prediction using wavelet process neural network
Ding Gang; Zhong Shi-Sheng; Li Yang
2008-01-01
In the real world, the inputs of many complicated systems are time-varying functions or processes. In order to predict the outputs of these systems with high speed and accuracy, this paper proposes a time series prediction model based on the wavelet process neural network, and develops the corresponding learning algorithm based on the expansion of the orthogonal basis functions. The effectiveness of the proposed time series prediction model and its learning algorithm is proved by the Mackey-Glass time series prediction, and the comparative prediction results indicate that the proposed time series prediction model based on the wavelet process neural network seems to perform well and appears suitable for using as a good tool to predict the highly complex nonlinear time series.
Integrated model for pricing, delivery time setting, and scheduling in make-to-order environments
Garmdare, Hamid Sattari; Lotfi, M. M.; Honarvar, Mahboobeh
2017-05-01
Usually, in make-to-order environments which work only in response to the customer's orders, manufacturers for maximizing the profits should offer the best price and delivery time for an order considering the existing capacity and the customer's sensitivity to both the factors. In this paper, an integrated approach for pricing, delivery time setting and scheduling of new arrival orders are proposed based on the existing capacity and accepted orders in system. In the problem, the acquired market demands dependent on the price and delivery time of both the manufacturer and its competitors. A mixed-integer non-linear programming model is presented for the problem. After converting to a pure non-linear model, it is validated through a case study. The efficiency of proposed model is confirmed by comparing it to both the literature and the current practice. Finally, sensitivity analysis for the key parameters is carried out.
A Probabilistic Approach to Control of Complex Systems and Its Application to Real-Time Pricing
Koichi Kobayashi
2014-01-01
Full Text Available Control of complex systems is one of the fundamental problems in control theory. In this paper, a control method for complex systems modeled by a probabilistic Boolean network (PBN is studied. A PBN is widely used as a model of complex systems such as gene regulatory networks. For a PBN, the structural control problem is newly formulated. In this problem, a discrete probability distribution appeared in a PBN is controlled by the continuous-valued input. For this problem, an approximate solution method using a matrix-based representation for a PBN is proposed. Then, the problem is approximated by a linear programming problem. Furthermore, the proposed method is applied to design of real-time pricing systems of electricity. Electricity conservation is achieved by appropriately determining the electricity price over time. The effectiveness of the proposed method is presented by a numerical example on real-time pricing systems.
Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation.
Liang, L Z J; Lemmens, D; Tempere, J
2011-05-01
In this paper, a time substitution as used by Duru and Kleinert in their treatment of the hydrogen atom with path integrals is performed to price timer options under stochastic volatility models. We present general pricing formulas for both the perpetual timer call options and the finite time-horizon timer call options. These general results allow us to find closed-form pricing formulas for both the perpetual and the finite time-horizon timer options under the 3/2 stochastic volatility model as well as under the Heston stochastic volatility model. For the treatment of timer options under the 3/2 model we will rely on the path integral for the Morse potential, with the Heston model we will rely on the Kratzer potential. © 2011 American Physical Society
Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis
Loretti I. Dobrescu
2016-01-01
Full Text Available This paper studies the dynamic behavior of asset prices using a chartist-fundamentalist model with two speculative markets. To this effect, we employ a differential system with delays à la Dibeh (2007 to describe the price dynamics and we assume that the two markets are coupled via diffusive coupling terms. We study two different time delay cases, namely, when both markets experience the same time delay and when the time delay is different across markets. First, we theoretically determine that the equilibrium exists and investigate its stability. Second, we establish the general conditions for the existence of local Hopf bifurcations and analyze their direction and stability. The common conclusion from both the delay scenarios we consider is that coupled speculative markets with heterogeneous agents in each, but with different price dynamics, can be synchronized through diffusive coupling. Finally, we provide some numerical illustrations to confirm our theoretical findings.
Small Sample Properties of Bayesian Multivariate Autoregressive Time Series Models
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…
Measurements of spatial population synchrony: influence of time series transformations.
Chevalier, Mathieu; Laffaille, Pascal; Ferdy, Jean-Baptiste; Grenouillet, Gaël
2015-09-01
Two mechanisms have been proposed to explain spatial population synchrony: dispersal among populations, and the spatial correlation of density-independent factors (the "Moran effect"). To identify which of these two mechanisms is driving spatial population synchrony, time series transformations (TSTs) of abundance data have been used to remove the signature of one mechanism, and highlight the effect of the other. However, several issues with TSTs remain, and to date no consensus has emerged about how population time series should be handled in synchrony studies. Here, by using 3131 time series involving 34 fish species found in French rivers, we computed several metrics commonly used in synchrony studies to determine whether a large-scale climatic factor (temperature) influenced fish population dynamics at the regional scale, and to test the effect of three commonly used TSTs (detrending, prewhitening and a combination of both) on these metrics. We also tested whether the influence of TSTs on time series and population synchrony levels was related to the features of the time series using both empirical and simulated time series. For several species, and regardless of the TST used, we evidenced a Moran effect on freshwater fish populations. However, these results were globally biased downward by TSTs which reduced our ability to detect significant signals. Depending on the species and the features of the time series, we found that TSTs could lead to contradictory results, regardless of the metric considered. Finally, we suggest guidelines on how population time series should be processed in synchrony studies.
Transition Icons for Time Series Visualization and Exploratory Analysis.
Nickerson, Paul; Baharloo, Raheleh; Wanigatunga, Amal A; Manini, Todd D; Tighe, Patrick J; Rashidi, Parisa
2017-05-16
The modern healthcare landscape has seen the rapid emergence of techniques and devices which temporally monitor and record physiological signals. The prevalence of time series data within the healthcare field necessitates the development of methods which 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 which 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 (SAX) representations, and compiles transition frequencies into a Bag of Patterns (BoP) 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 data sets - 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.
Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
Gao, Jiti; Kanaya, Shin; Li, Degui
2015-01-01
This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our...... results can be viewed as a nonstationary extension of some well-known uniform consistency results for stationary time series....
Model of a synthetic wind speed time series generator
Negra, N.B.; Holmstrøm, O.; Bak-Jensen, B.
2008-01-01
of possible wind conditions. If these information are not available, synthetic wind speed time series may be a useful tool as well, but their generator must preserve statistical and stochastic features of the phenomenon. This paper deals with this issue: a generator for synthetic wind speed time series...
Evaluation Applications of Regression Analysis with Time-Series Data.
Veney, James E.
1993-01-01
The application of time series analysis is described, focusing on the use of regression analysis for analyzing time series in a way that may make it more readily available to an evaluation practice audience. Practical guidelines are suggested for decision makers in government, health, and social welfare agencies. (SLD)
Metagenomics meets time series analysis: unraveling microbial community dynamics
Faust, K.; Lahti, L.M.; Gonze, D.; Vos, de W.M.; Raes, J.
2015-01-01
The recent increase in the number of microbial time series studies offers new insights into the stability and dynamics of microbial communities, from the world's oceans to human microbiota. Dedicated time series analysis tools allow taking full advantage of these data. Such tools can reveal periodic
Robust Forecasting of Non-Stationary Time Series
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 foreca
Mean shifts, unit roots and forecasting seasonal time series
Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard); H. Hoek (Henk)
1997-01-01
textabstractExamples of descriptive models for changing seasonal patterns in economic time series are autoregressive models with seasonal unit roots or with deterministic seasonal mean shifts. In this paper we show through a forecasting comparison for three macroeconomic time series (for which tests
Stata: The language of choice for time series analysis?
Baum, Christopher F
2004-01-01
This paper discusses the use of Stata for the analysis of time series and panel data. The evolution of time-series capabilities in Stata is reviewed. Facilities for data management, graphics, and econometric analysis from both official Stata and the user community are discussed. A new routine to provide moving-window regression estimates, rollreg, is described, and its use illustrated.
Fixed Points in Self-Similar Analysis of Time Series
Gluzman, S.; Yukalov, V. I.
1998-01-01
Two possible definitions of fixed points in the self-similar analysis of time series are considered. One definition is based on the minimal-difference condition and another, on a simple averaging. From studying stock market time series, one may conclude that these two definitions are practically equivalent. A forecast is made for the stock market indices for the end of March 1998.
Parameterizing unconditional skewness in models for financial time series
He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo
In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate...
Time Series Econometrics for the 21st Century
Hansen, Bruce E.
2017-01-01
The field of econometrics largely started with time series analysis because many early datasets were time-series macroeconomic data. As the field developed, more cross-sectional and longitudinal datasets were collected, which today dominate the majority of academic empirical research. In nonacademic (private sector, central bank, and governmental)…
Mean shifts, unit roots and forecasting seasonal time series
Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard); H. Hoek (Henk)
1997-01-01
textabstractExamples of descriptive models for changing seasonal patterns in economic time series are autoregressive models with seasonal unit roots or with deterministic seasonal mean shifts. In this paper we show through a forecasting comparison for three macroeconomic time series (for which tests
Time series analysis : Smoothed correlation integrals, autocovariances, and power spectra
Takens, F; Dumortier, F; Broer, H; Mawhin, J; Vanderbauwhede, A; Lunel, SV
2005-01-01
In this paper we relate notions from linear time series analyses, like autocovariances and power spectra, with notions from nonlinear times series analysis, like (smoothed) correlation integrals and the corresponding dimensions and entropies. The complete proofs of the results announced in this pape
Avci, Mesut
A practical cost and energy efficient model predictive control (MPC) strategy is proposed for HVAC load control under dynamic real-time electricity pricing. The MPC strategy is built based on a proposed model that jointly minimizes the total energy consumption and hence, cost of electricity for the user, and the deviation of the inside temperature from the consumer's preference. An algorithm that assigns temperature set-points (reference temperatures) to price ranges based on the consumer's discomfort tolerance index is developed. A practical parameter prediction model is also designed for mapping between the HVAC load and the inside temperature. The prediction model and the produced temperature set-points are integrated as inputs into the MPC controller, which is then used to generate signal actions for the AC unit. To investigate and demonstrate the effectiveness of the proposed approach, a simulation based experimental analysis is presented using real-life pricing data. An actual prototype for the proposed HVAC load control strategy is then built and a series of prototype experiments are conducted similar to the simulation studies. The experiments reveal that the MPC strategy can lead to significant reductions in overall energy consumption and cost savings for the consumer. Results suggest that by providing an efficient response strategy for the consumers, the proposed MPC strategy can enable the utility providers to adopt efficient demand management policies using real-time pricing. Finally, a cost-benefit analysis is performed to display the economic feasibility of implementing such a controller as part of a building energy management system, and the payback period is identified considering cost of prototype build and cost savings to help the adoption of this controller in the building HVAC control industry.
Dual-Priced Modal Transition Systems with Time Durations
Beneš, Nikola; Kretínsky, Jan; Larsen, Kim Guldstrand;
2012-01-01
intervals. We further equip the model with two kinds of quantitative aspects: each action has its own running cost per time unit, and actions may require several hardware components of different costs. We ask the question, given a fixed budget for the hardware components, what is the implementation...... with the cheapest long-run average reward. We give an algorithm for computing such optimal implementations via a reduction to a new extension of mean payoff games with time durations and analyse the complexity of the algorithm....
Dual-Priced Modal Transition Systems with Time Durations
Beneš, Nikola; Kretínsky, Jan; Larsen, Kim Guldstrand
2012-01-01
Modal transition systems are a well-established specification formalism for a high-level modelling of component-based software systems. We present a novel extension of the formalism called modal transition systems with durations where time durations are modelled as controllable or uncontrollable...... intervals. We further equip the model with two kinds of quantitative aspects: each action has its own running cost per time unit, and actions may require several hardware components of different costs. We ask the question, given a fixed budget for the hardware components, what is the implementation...
Branch-and-Cut-and-Price for the Pickup and Delivery Problem with Time Windows
Røpke, Stefan; Cordeau, Jean-Francois
2009-01-01
-and-cut-and-price algorithm in which lower bounds are computed by solving through column generation the linear programming relaxation of a set partitioning formulation. Two pricing subproblems are considered in the column generation algorithm: an elementary and a non-elementary shortest path problem. Valid inequalities......In the pickup and delivery problem with time windows (PDPTW), vehicle routes must be designed to satisfy a set of transportation requests, each involving a pickup and a delivery location, under capacity, time window, and precedence constraints. This paper introduces a new branch...
Partner Country Series: Gas Pricing - China's Challenges and IEA Experience
NONE
2012-07-01
China will play a positive role in the global development of gas, the International Energy Agency’s (IEA) Executive Director, Maria Van der Hoeven has said in Beijing on 11 September, 2012 when launching a new IEA report: Gas Pricing and Regulation, China’s challenges and IEA experiences. In line with its aim to meet growing energy demand while shifting away from coal, China has set an ambitious goal of doubling its use of natural gas from 2011 levels by 2015. Prospects are good for significant new supplies – both domestic and imported, conventional and unconventional – to come online in the medium-term, but notable challenges remain, particularly concerning gas pricing and the institutional and regulatory landscape. While China’s circumstances are, in many respects unique, some current issues are similar to those a number of IEA countries have faced. This report highlights some key challenges China faces in its transition to greater reliance on natural gas, then explores in detail relevant experiences from IEA countries, particularly in the United Kingdom, the Netherlands, and the United States as well as the European Union (EU). Preliminary suggestions about how lessons learned in other countries could be applied to China’s situation are offered as well. The aim of this report is to provide stakeholders in China with a useful reference as they consider decisions about the evolution of the gas sector in their country.
On using priced timed automata to achieve optimal scheduling
Rasmussen, Jacob Illum; Larsen, Kim Guldstrand; Subramani, K.
2006-01-01
This contribution reports on the considerable effort made recently towards extending and applying well-established timed automata technology to optimal scheduling and planning problems. The effort of the authors in this direction has to a large extent been carried out as part of the European proj...
On using priced timed automata to achieve optimal scheduling
Rasmussen, Jacob Illum; Larsen, Kim Guldstrand; Subramani, K.
2006-01-01
projects VHS (VHS 2005) and AMETIST (AMETIST 2005) and are available in the recently released UPPAAL CORA (UPPAAL CORA 2005), a variant of the real-time verification tool UPPAAL (Larsen, Pettersson, & Yi 1997; Behrmann, David, & Larsen 2004) specialized for cost-optimal reachability for the extended model...
Nonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation System
Niu, Hongli; Wang, Jun
We establish a financial price process by continuum percolation system, in which we attribute price fluctuations to the investors’ attitudes towards the financial market, and consider the clusters in continuum percolation as the investors share the same investment opinion. We investigate the cross-correlations in two return time series, and analyze the multifractal behaviors in this relationship. Further, we study the corresponding behaviors for the real stock indexes of SSE and HSI as well as the liquid stocks pair of SPD and PAB by comparison. To quantify the multifractality in cross-correlation relationship, we employ multifractal detrended cross-correlation analysis method to perform an empirical research for the simulation data and the real markets data.
Scale Invariance in Rain Time Series
Deluca, A.; Corral, A.
2009-09-01
In the last few years there have been pieces of evidence that rain events can be considered analogous to other nonequilibrium relaxation processes in Nature such as earthquakes, solar flares and avalanches. In this work we compare the probability densities of rain event size, duration, and recurrence times (i.e., drought periods) between one Mediterranean site and different sites worldwide. We test the existence of scale invariance in these distributions and the possibility of a universal scaling exponent, despite the different climatic characteristics of the different places.
Impact of Stock Market Structure on Intertrade Time and Price Dynamics
Yuen, A; Yuen, Ainslie; Ivanov, Plamen Ch.
2005-01-01
The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supply, we hypothesize that modulation of the flow of transactions due to market operations may carry a stronger imprint of the internal market mechanism. We analyse times between consecutive transactions (ITT) for NYSE and NASDAQ stocks, and we relate the dynamical properties of the ITT with those of the corresponding price fluctuations. We find a robust scale-invariant temporal organisation in the ITT of stocks which is independent of individual company characteristics and industry sector, but which depends on market structure. We find that stocks registered on the NASDAQ exhibit stronger correlations in their transaction timing within a trading day, compared with NYSE stocks. Further, we find tha...
Impact of sucrose contents and cooking time on cowpea prices in Senegal
Mb.D Faye
2014-07-01
Full Text Available An alternative approach to traditional consumer behaviour and demand theory is characteristics theory, which assumes that a consumer’s utility function is generated by the characteristics, or attributes, that goods and services possess. Instead of a utility being a function of a product, it becomes a function of the attributes provided by these products. In this paper a hedonic pricing model is used to investigate the influence of sucrose level and cooking time on cowpea prices in Senegal. Cooking time has a significant impact on price only at Tilene market in Dakar, while the sucrose contents tend to provide a premium throughout. Further investigation shows that the local varieties, AW, Matam and Ndiassiw have higher sucrose contents than the other cowpea varieties.
Comparison of New and Old Sunspot Number Time Series
Cliver, E. W.
2016-11-01
Four new sunspot number time series have been published in this Topical Issue: a backbone-based group number in Svalgaard and Schatten ( Solar Phys., 2016; referred to here as SS, 1610 - present), a group number series in Usoskin et al. ( Solar Phys., 2016; UEA, 1749 - present) that employs active day fractions from which it derives an observational threshold in group spot area as a measure of observer merit, a provisional group number series in Cliver and Ling ( Solar Phys., 2016; CL, 1841 - 1976) that removed flaws in the Hoyt and Schatten ( Solar Phys. 179, 189, 1998a; 181, 491, 1998b) normalization scheme for the original relative group sunspot number (RG, 1610 - 1995), and a corrected Wolf (international, RI) number in Clette and Lefèvre ( Solar Phys., 2016; SN, 1700 - present). Despite quite different construction methods, the four new series agree well after about 1900. Before 1900, however, the UEA time series is lower than SS, CL, and SN, particularly so before about 1885. Overall, the UEA series most closely resembles the original RG series. Comparison of the UEA and SS series with a new solar wind B time series (Owens et al. in J. Geophys. Res., 2016; 1845 - present) indicates that the UEA time series is too low before 1900. We point out incongruities in the Usoskin et al. ( Solar Phys., 2016) observer normalization scheme and present evidence that this method under-estimates group counts before 1900. In general, a correction factor time series, obtained by dividing an annual group count series by the corresponding yearly averages of raw group counts for all observers, can be used to assess the reliability of new sunspot number reconstructions.
Testing time series reversibility using complex network methods
Donges, Jonathan F; Kurths, Jürgen
2012-01-01
The absence of time-reversal symmetry is a fundamental property of many nonlinear time series. Here, we propose a set of novel statistical tests for time series reversibility based on standard and horizontal visibility graphs. Specifically, we statistically compare the distributions of time-directed variants of the common graph-theoretical measures degree and local clustering coefficient. Unlike other tests for reversibility, our approach does not require constructing surrogate data and can be applied to relatively short time series. We demonstrate its performance for realisations of paradigmatic model systems with known time-reversal properties as well as pickling up signatures of nonlinearity in some well-studied real-world neuro-physiological time series.
Effects of time delay on stochastic resonance of the stock prices in financial system
Li, Jiang-Cheng [Department of Physics, Yunnan University, Kunming, 650091 (China); Li, Chun [Department of Computer Science, Puer Teachers' College, Puer 665000 (China); Mei, Dong-Cheng, E-mail: meidch@ynu.edu.cn [Department of Physics, Yunnan University, Kunming, 650091 (China)
2014-06-13
The effect of time delay on stochastic resonance of the stock prices in finance system was investigated. The time delay is introduced into the Heston model driven by the extrinsic and intrinsic periodic information for stock price. The signal power amplification (SPA) was calculated by numerical simulation. The results indicate that an optimal critical value of delay time maximally enhances the reverse-resonance in the behaviors of SPA as a function of long-run variance of volatility or cross correlation coefficient between noises for both cases of intrinsic and extrinsic periodic information. Moreover, in both cases, being a critical value in the delay time, when the delay time takes value below the critical value, reverse-resonance increases with the delay time increasing, however, when the delay time takes value above the critical value, the reverse-resonance decrease with the delay time increasing. - Highlights: • The effects of delay time on stochastic resonance of the stock prices was investigated. • There is an optimal critical value of delay time maximally enhances the reverse-resonance • The reverse-resonance increases with the delay time increasing as the delay time takes value below the critical value • The reverse-resonance decrease with the delay time increasing as the delay time takes value above the critical value.
Fisher Information Framework for Time Series Modeling
Venkatesan, R C
2016-01-01
A robust prediction model invoking the Takens embedding theorem, whose \\textit{working hypothesis} is obtained via an inference procedure based on the minimum Fisher information principle, is presented. The coefficients of the ansatz, central to the \\textit{working hypothesis} satisfy a time independent Schr\\"{o}dinger-like equation in a vector setting. The inference of i) the probability density function of the coefficients of the \\textit{working hypothesis} and ii) the establishing of constraint driven pseudo-inverse condition for the modeling phase of the prediction scheme, is made, for the case of normal distributions, with the aid of the quantum mechanical virial theorem. The well-known reciprocity relations and the associated Legendre transform structure for the Fisher information measure (FIM, hereafter)-based model in a vector setting (with least square constraints) are self-consistently derived. These relations are demonstrated to yield an intriguing form of the FIM for the modeling phase, which defi...
Time series analysis and inverse theory for geophysicists
Junzo Kasahara
2006-01-01
@@ Thanks to the advances in geophysical measurement technologies, most geophysical data are now recorded in digital form. But to extract the ‘Earth's nature’ from observed data, it is necessary to apply the signal-processing method to the time-series data, seismograms and geomagnetic records being the most common. The processing of time-series data is one of the major subjects of this book.By the processing of time series data, numerical values such as travel-times are obtained.The first stage of data analysis is forward modeling, but the more advanced step is the inversion method. This is the second subject of this book.
Chaotic Time Series Forecasting Using Higher Order Neural Networks
Waddah Waheeb
2016-10-01
Full Text Available This study presents a novel application and comparison of higher order neural networks (HONNs to forecast benchmark chaotic time series. Two models of HONNs were implemented, namely functional link neural network (FLNN and pi-sigma neural network (PSNN. These models were tested on two benchmark time series; the monthly smoothed sunspot numbers and the Mackey-Glass time-delay differential equation time series. The forecasting performance of the HONNs is compared against the performance of different models previously used in the literature such as fuzzy and neural networks models. Simulation results showed that FLNN and PSNN offer good performance compared to many previously used hybrid models.
Detecting and interpreting distortions in hierarchical organization of complex time series
Drożdż, Stanisław
2015-01-01
Hierarchical organization is a cornerstone of complexity and multifractality constitutes its central quantifying concept. For model uniform cascades the corresponding singularity spectra are symmetric while those extracted from empirical data are often asymmetric. Using the selected time series representing such diverse phenomena like price changes and inter-transaction times in the financial markets, sentence length variability in the narrative texts, Missouri River discharge and Sunspot Number variability as examples, we show that the resulting singularity spectra appear strongly asymmetric, more often left-sided but in some cases also right-sided. We present a unified view on the origin of such effects and indicate that they may be crucially informative for identifying composition of the time series. One particularly intriguing case of this later kind of asymmetry is detected in the daily reported Sunspot Number variability. This signals that either the commonly used famous Wolf formula distorts the real d...
Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System
Wuyang Cheng
2014-01-01
Full Text Available We develop a random financial time series model of stock market by one of statistical physics systems, the stochastic contact interacting system. Contact process is a continuous time Markov process; one interpretation of this model is as a model for the spread of an infection, where the epidemic spreading mimics the interplay of local infections and recovery of individuals. From this financial model, we study the statistical behaviors of return time series, and the corresponding behaviors of returns for Shanghai Stock Exchange Composite Index (SSECI and Hang Seng Index (HSI are also comparatively studied. Further, we investigate the Zipf distribution and multifractal phenomenon of returns and price changes. Zipf analysis and MF-DFA analysis are applied to investigate the natures of fluctuations for the stock market.
Sensor-Generated Time Series Events: A Definition Language
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.
Performance of multifractal detrended fluctuation analysis on short time series
Lopez, Juan Luis
2013-01-01
The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of applicability of the method and the precision of its results as a function of the decreasing length of the series. As an application the series of the daily exchange rate between the U.S. dollar and the euro is studied.
Time Series Decomposition into Oscillation Components and Phase Estimation.
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.
Outliers detection in multivariate time series by independent component analysis.
Baragona, Roberto; Battaglia, Francesco
2007-07-01
In multivariate time series, outlying data may be often observed that do not fit the common pattern. Occurrences of outliers are unpredictable events that may severely distort the analysis of the multivariate time series. For instance, model building, seasonality assessment, and forecasting may be seriously affected by undetected outliers. The structure dependence of the multivariate time series gives rise to the well-known smearing and masking phenomena that prevent using most outliers' identification techniques. It may be noticed, however, that a convenient way for representing multiple outliers consists of superimposing a deterministic disturbance to a gaussian multivariate time series. Then outliers may be modeled as nongaussian time series components. Independent component analysis is a recently developed tool that is likely to be able to extract possible outlier patterns. In practice, independent component analysis may be used to analyze multivariate observable time series and separate regular and outlying unobservable components. In the factor models framework too, it is shown that independent component analysis is a useful tool for detection of outliers in multivariate time series. Some algorithms that perform independent component analysis are compared. It has been found that all algorithms are effective in detecting various types of outliers, such as patches, level shifts, and isolated outliers, even at the beginning or the end of the stretch of observations. Also, there is no appreciable difference in the ability of different algorithms to display the outlying observations pattern.
经济时间资产定价模型%Assets pricing under economic time
于栋华; 吴冲锋
2011-01-01
在常规时间变换研究中所采用的从属概念是建立在独立条件上的,但是价格和成交量之间却是相关的.为了能够将成交量作为价格的随机时间,推广了从属概念,提出了相关从属的定义.相关从属扩大了时间变换研究的范围.继而讨论了相关从属下过程的扩散性质,研究了经济时间上的资产定价问题,结果类似于资本资产定价模型和套利定价模型.最后,利用零贝塔CAPM检验对上海A股市场进行了实证研究,发现经济时间资产定价模型在某些情况下是成立的,并且同样条件下的经济时间模型比日历时间模型的拟合度要高.%Economic systems may not evolve evenly in calendar time. So come economic time and time deformation. Although subordination is the most important mathematical method for time deformation, there is a deficiency in the definition. Because it requires that the stochastic time process and the latent process should be independent. It' s constraining in practice, because the processes often correlate in this way or that way. In order to model such cases, a new concept of dependent-subordination is proposed here. It generalizes subordination from independence to dependence and can be applied in many circumstances, for example,it can be applied to prices and volumes. In early studies, researchers always choose volume as a stochastic time for price. But now we know that price isn' t independent of volume and they are correlated. So, choosing volume as a stochastic time for price isn't appropriate in subordination. But, with the definition of dependent-subordination , volume can be a stochastic time for price. This coincides with the idea that price changes may really be driven by volumes. Next, diffusion properties of dependent-subordination are presented. Finally, assets pricing under economic time is discussed as an application of dependent-subordination. Results are similar to ordinary calendar ones of CAPM and APT.
Optimal trading strategies—a time series approach
Bebbington, Peter A.; Kühn, Reimer
2016-05-01
Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz’ mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to a single traded asset and allows an optimal trading strategy to be found which—for a given return—is minimally exposed to market price fluctuations. The model is initially investigated for a range of synthetic price processes, taken to be either second order stationary, or to exhibit second order stationary increments. Attention is paid to consequences of estimating auto-covariance matrices from small finite samples, and auto-covariance matrix cleaning strategies to mitigate against these are investigated. Finally we apply our framework to real world data.
Solving Nonlinear Time Delay Control Systems by Fourier series
Mohammad Hadi Farahi
2014-06-01
Full Text Available In this paper we present a method to find the solution of time-delay optimal control systems using Fourier series. The method is based upon expanding various time functions in the system as their truncated Fourier series. Operational matrices of integration and delay are presented and are utilized to reduce the solution of time-delay control systems to the solution of algebraic equations. Illustrative examples are included to demonstrate the validity and applicability of the technique.
Cross recurrence plot based synchronization of time series
N. Marwan; Thiel, M.; Nowaczyk, N. R.
2002-01-01
The method of recurrence plots is extended to the cross recurrence plots (CRP) which, among others, enables the study of synchronization or time differences in two time series. This is emphasized in a distorted main diagonal in the cross recurrence plot, the line of synchronization (LOS). A non-parametrical fit of this LOS can be used to rescale the time axis of the two data series (whereby one of them is compressed or stretched) so ...
Clinical time series prediction: Toward a hierarchical dynamical system framework.
Liu, Zitao; Hauskrecht, Milos
2015-09-01
Developing machine learning and data mining algorithms for building temporal models of clinical time series is important for understanding of the patient condition, the dynamics of a disease, effect of various patient management interventions and clinical decision making. In this work, we propose and develop a novel hierarchical framework for modeling clinical time series data of varied length and with irregularly sampled observations. Our hierarchical dynamical system framework for modeling clinical time series combines advantages of the two temporal modeling approaches: the linear dynamical system and the Gaussian process. We model the irregularly sampled clinical time series by using multiple Gaussian process sequences in the lower level of our hierarchical framework and capture the transitions between Gaussian processes by utilizing the linear dynamical system. The experiments are conducted on the complete blood count (CBC) panel data of 1000 post-surgical cardiac patients during their hospitalization. Our framework is evaluated and compared to multiple baseline approaches in terms of the mean absolute prediction error and the absolute percentage error. We tested our framework by first learning the time series model from data for the patients in the training set, and then using it to predict future time series values for the patients in the test set. We show that our model outperforms multiple existing models in terms of its predictive accuracy. Our method achieved a 3.13% average prediction accuracy improvement on ten CBC lab time series when it was compared against the best performing baseline. A 5.25% average accuracy improvement was observed when only short-term predictions were considered. A new hierarchical dynamical system framework that lets us model irregularly sampled time series data is a promising new direction for modeling clinical time series and for improving their predictive performance. Copyright © 2014 Elsevier B.V. All rights reserved.
Clinical time series prediction: towards a hierarchical dynamical system framework
Liu, Zitao; Hauskrecht, Milos
2014-01-01
Objective Developing machine learning and data mining algorithms for building temporal models of clinical time series is important for understanding of the patient condition, the dynamics of a disease, effect of various patient management interventions and clinical decision making. In this work, we propose and develop a novel hierarchical framework for modeling clinical time series data of varied length and with irregularly sampled observations. Materials and methods Our hierarchical dynamical system framework for modeling clinical time series combines advantages of the two temporal modeling approaches: the linear dynamical system and the Gaussian process. We model the irregularly sampled clinical time series by using multiple Gaussian process sequences in the lower level of our hierarchical framework and capture the transitions between Gaussian processes by utilizing the linear dynamical system. The experiments are conducted on the complete blood count (CBC) panel data of 1000 post-surgical cardiac patients during their hospitalization. Our framework is evaluated and compared to multiple baseline approaches in terms of the mean absolute prediction error and the absolute percentage error. Results We tested our framework by first learning the time series model from data for the patient in the training set, and then applying the model in order to predict future time series values on the patients in the test set. We show that our model outperforms multiple existing models in terms of its predictive accuracy. Our method achieved a 3.13% average prediction accuracy improvement on ten CBC lab time series when it was compared against the best performing baseline. A 5.25% average accuracy improvement was observed when only short-term predictions were considered. Conclusion A new hierarchical dynamical system framework that lets us model irregularly sampled time series data is a promising new direction for modeling clinical time series and for improving their predictive
Modeling Persistence In Hydrological Time Series Using Fractional Differencing
Hosking, J. R. M.
1984-12-01
The class of autoregressive integrated moving average (ARIMA) time series models may be generalized by permitting the degree of differencing d to take fractional values. Models including fractional differencing are capable of representing persistent series (d > 0) or short-memory series (d = 0). The class of fractionally differenced ARIMA processes provides a more flexible way than has hitherto been available of simultaneously modeling the long-term and short-term behavior of a time series. In this paper some fundamental properties of fractionally differenced ARIMA processes are presented. Methods of simulating these processes are described. Estimation of the parameters of fractionally differenced ARIMA models is discussed, and an approximate maximum likelihood method is proposed. The methodology is illustrated by fitting fractionally differenced models to time series of streamflows and annual temperatures.
Seasonality, nonstationarity and the forecasting of monthly time series
Ph.H.B.F. Franses (Philip Hans)
1991-01-01
textabstractWe focus on two forecasting models for a monthly time series. The first model requires that the variable is first order and seasonally differenced. The second model considers the series only in its first differences, while seasonality is modeled with a constant and seasonal dummies. A me
Seasonality, nonstationarity and the forecasting of monthly time series
Ph.H.B.F. Franses (Philip Hans)
1991-01-01
textabstractWe focus on two forecasting models for a monthly time series. The first model requires that the variable is first order and seasonally differenced. The second model considers the series only in its first differences, while seasonality is modeled with a constant and seasonal dummies. A me
A vector of quarters representation for bivariate time series
Ph.H.B.F. Franses (Philip Hans)
1995-01-01
textabstractIn this paper it is shown that several models for a bivariate nonstationary quarterly time series are nested in a vector autoregression with cointegration restrictions for the eight annual series of quarterly observations. Or, the Granger Representation Theorem is extended to incorporate
A multivariate approach to modeling univariate seasonal time series
Ph.H.B.F. Franses (Philip Hans)
1994-01-01
textabstractA seasonal time series can be represented by a vector autoregressive model for the annual series containing the seasonal observations. This model allows for periodically varying coefficients. When the vector elements are integrated, the maximum likelihood cointegration method can be used
Seasonality, nonstationarity and the forecasting of monthly time series
Ph.H.B.F. Franses (Philip Hans)
1991-01-01
textabstractWe focus on two forecasting models for a monthly time series. The first model requires that the variable is first order and seasonally differenced. The second model considers the series only in its first differences, while seasonality is modeled with a constant and seasonal dummies. A
Multivariate time series analysis with R and financial applications
Tsay, Ruey S
2013-01-01
Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this sequel book emphasizes structural specification, which results in simplified parsimonious VARMA modeling and, hence, eases comprehension. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-worl
Multi-Scale Dissemination of Time Series Data
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-series...
On the detection of superdiffusive behaviour in time series
Gottwald, Georg A
2016-01-01
We present a new method for detecting superdiffusive behaviour and for determining rates of superdiffusion in time series data. Our method applies equally to stochastic and deterministic time series data and relies on one realisation (ie one sample path) of the process. Linear drift effects are automatically removed without any preprocessing. We show numerical results for time series constructed from i.i.d. $\\alpha$-stable random variables and from deterministic weakly chaotic maps. We compare our method with the standard method of estimating the growth rate of the mean-square displacement as well as the $p$-variation method.
Genetic programming-based chaotic time series modeling
张伟; 吴智铭; 杨根科
2004-01-01
This paper proposes a Genetic Programming-Based Modeling(GPM)algorithm on chaotic time series. GP is used here to search for appropriate model structures in function space,and the Particle Swarm Optimization(PSO)algorithm is used for Nonlinear Parameter Estimation(NPE)of dynamic model structures. In addition,GPM integrates the results of Nonlinear Time Series Analysis(NTSA)to adjust the parameters and takes them as the criteria of established models.Experiments showed the effectiveness of such improvements on chaotic time series modeling.
Algorithms for Linear Time Series Analysis: With R Package
A. Ian McLeod
2007-11-01
Full Text Available Our ltsa package implements the Durbin-Levinson and Trench algorithms and provides a general approach to the problems of fitting, forecasting and simulating linear time series models as well as fitting regression models with linear time series errors. For computational efficiency both algorithms are implemented in C and interfaced to R. Examples are given which illustrate the efficiency and accuracy of the algorithms. We provide a second package FGN which illustrates the use of the ltsa package with fractional Gaussian noise (FGN. It is hoped that the ltsa will provide a base for further time series software.
Modelling road accidents: An approach using structural time series
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.
Real-Time Pricing DR Programs Evaluation Based on Power Model in Electricity Markets
Shoorangiz Shams Shamsabad Farahani
2012-04-01
Full Text Available Along with developing Demand Response Programs (DRPs, suitable chances have been created to take part the demand-side in electricity markets. The results of such programs are improvement of some technical and economical characteristic of power system. DRPs are divided into two categories which are priced-based and incentive-based demand response programs. This paper presents the application of power modeling for Real-Time Pricing programs (RTP as most prevalent priced-based DRPs. the nonlinear behavioral characteristic of elastic loads is considered which causes to more realistic modeling of demand response to RTP rates. In order to evaluation of proposed model, the impact of running RTP programs using proposed power model on load profile of the peak day of the Iranian power system in 2007 is investigated.
The Effects of the Price Change, on the Demand of Agricultural Products During Summer Time
Dudi SULI
2013-04-01
Full Text Available A fall in the price of a good has two effects. First, consumers enjoy an increase in realpurchasing power, they are better of because can buy the same amount of the good forless money, and thus have money left overfor additional purchases. The will tend toconsume more of the good that has became cheaper and less of those goods that are nowrelatively more expensive. Both effects happen simultaneously, but it will be useful todistinguish between them in our analysis. The Demand Functionand Slutsky Equationduring the summer time in our products,tomato and cucumber confirms the economictheory of chain effect in the agricultural products. Our research is based to the face-to-face questions about the prices that consumersreceive, and to the theoretical approach toidentify these effects. The demand function for this product gives us the solution of howindividual’s utility-maximizing choices respondto changes in income and in the prices oftomatoes and cucumbers.
Li, Chendan; Schaltz, Erik; Quintero, Juan Carlos Vasquez
2016-01-01
The predictable increasing adoption of EV by residential users imposes the necessity of Electric Vehicle charging coordination, in order to charge effectively while minimizing the impact on the grid. In this paper, a two-stage distributed coordination algorithm for electric vehicle charging...... activity based on the real-time price, while meeting the requirement of technical constraints of the distribution system....
Pistorius, M.; Stolte, J.
2012-01-01
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a number of widely used models. In particular, we use the variance
Pricing mechanism for real-time balancing in regional electricity markets
De Weerdt, M.M.; Ketter, W.; Collins, J.
2011-01-01
We consider the problem of designing a pricing mechanism for precisely controlling the real-time balance in electricity markets, where retail brokers aggregate the supply and demand of a number of individual customers, and must purchase or sell power at the wholesale level such that the total supply
Pricing mechanism for real-time balancing in regional electricity markets
De Weerdt, M.M.; Ketter, W.; Collins, J.
2011-01-01
We consider the problem of designing a pricing mechanism for precisely controlling the real-time balance in electricity markets, where retail brokers aggregate the supply and demand of a number of individual customers, and must purchase or sell power at the wholesale level such that the total supply
Scalable Prediction of Energy Consumption using Incremental Time Series Clustering
Simmhan, Yogesh; Noor, Muhammad Usman
2013-10-09
Time series datasets are a canonical form of high velocity Big Data, and often generated by pervasive sensors, such as found in smart infrastructure. Performing predictive analytics on time series data can be computationally complex, and requires approximation techniques. In this paper, we motivate this problem using a real application from the smart grid domain. We propose an incremental clustering technique, along with a novel affinity score for determining cluster similarity, which help reduce the prediction error for cumulative time series within a cluster. We evaluate this technique, along with optimizations, using real datasets from smart meters, totaling ~700,000 data points, and show the efficacy of our techniques in improving the prediction error of time series data within polynomial time.
Gold Price, Stock Price and Exchange rate Nexus: The Case of India
Srinivasan P
2014-01-01
The paper investigates the causal nexus between gold price, stock price and exchange rate in India through the Autoregressive Distributed Lag (ARDL) bounds testing approach and Granger Causality test. Using monthly time series data, the empirical analysis is carried out for the period from June 1990 to April 2014. Our analysis reveals that gold price and stock price tend to have long-run relationship with exchange rate in India. Besides, there is no evidence of stable long-run cointegration r...
Quantifying memory in complex physiological time-series.
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.
Elements of nonlinear time series analysis and forecasting
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...
A Survey on Data Mining Techniques Applied to Electricity-Related Time Series Forecasting
Francisco Martínez-Álvarez
2015-11-01
Full Text Available Data mining has become an essential tool during the last decade to analyze large sets of data. The variety of techniques it includes and the successful results obtained in many application fields, make this family of approaches powerful and widely used. In particular, this work explores the application of these techniques to time series forecasting. Although classical statistical-based methods provides reasonably good results, the result of the application of data mining outperforms those of classical ones. Hence, this work faces two main challenges: (i to provide a compact mathematical formulation of the mainly used techniques; (ii to review the latest works of time series forecasting and, as case study, those related to electricity price and demand markets.
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.
A Regional Time-of-Use Electricity Price Based Optimal Charging Strategy for Electrical Vehicles
Jun Yang
2016-08-01
Full Text Available With the popularization of electric vehicles (EVs, the out-of-order charging behaviors of large numbers of EVs will bring new challenges to the safe and economic operation of power systems. This paper studies an optimal charging strategy for EVs. For that a typical urban zone is divided into four regions, a regional time-of-use (RTOU electricity price model is proposed to guide EVs when and where to charge considering spatial and temporal characteristics. In light of the elastic coefficient, the user response to the RTOU electricity price is analyzed, and also a bilayer optimization charging strategy including regional-layer and node-layer models is suggested to schedule the EVs. On the one hand, the regional layer model is designed to coordinate the EVs located in different time and space. On the other hand, the node layer model is built to schedule the EVs to charge in certain nodes. According to the simulations of an IEEE 33-bus distribution network, the performance of the proposed optimal charging strategy is verified. The results demonstrate that the proposed bilayer optimization strategy can effectively decrease the charging cost of users, mitigate the peak-valley load difference and the network loss. Besides, the RTOU electricity price shows better performance than the time-of-use (TOU electricity price.
Multi-dimensional sparse time series: feature extraction
Franciosi, Marco
2008-01-01
We show an analysis of multi-dimensional time series via entropy and statistical linguistic techniques. We define three markers encoding the behavior of the series, after it has been translated into a multi-dimensional symbolic sequence. The leading component and the trend of the series with respect to a mobile window analysis result from the entropy analysis and label the dynamical evolution of the series. The diversification formalizes the differentiation in the use of recurrent patterns, from a Zipf law point of view. These markers are the starting point of further analysis such as classification or clustering of large database of multi-dimensional time series, prediction of future behavior and attribution of new data. We also present an application to economic data. We deal with measurements of money investments of some business companies in advertising market for different media sources.
A probability distribution approach to synthetic turbulence time series
Sinhuber, Michael; Bodenschatz, Eberhard; Wilczek, Michael
2016-11-01
The statistical features of turbulence can be described in terms of multi-point probability density functions (PDFs). The complexity of these statistical objects increases rapidly with the number of points. This raises the question of how much information has to be incorporated into statistical models of turbulence to capture essential features such as inertial-range scaling and intermittency. Using high Reynolds number hot-wire data obtained at the Variable Density Turbulence Tunnel at the Max Planck Institute for Dynamics and Self-Organization, we establish a PDF-based approach on generating synthetic time series that reproduce those features. To do this, we measure three-point conditional PDFs from the experimental data and use an adaption-rejection method to draw random velocities from this distribution to produce synthetic time series. Analyzing these synthetic time series, we find that time series based on even low-dimensional conditional PDFs already capture some essential features of real turbulent flows.
On robust forecasting of autoregressive time series under censoring
Kharin, Y.; Badziahin, I.
2009-01-01
Problems of robust statistical forecasting are considered for autoregressive time series observed under distortions generated by interval censoring. Three types of robust forecasting statistics are developed; meansquare risk is evaluated for the developed forecasting statistics. Numerical results are given.
Lagrangian Time Series Models for Ocean Surface Drifter Trajectories
Sykulski, Adam M; Lilly, Jonathan M; Danioux, Eric
2016-01-01
This paper proposes stochastic models for the analysis of ocean surface trajectories obtained from freely-drifting satellite-tracked instruments. The proposed time series models are used to summarise large multivariate datasets and infer important physical parameters of inertial oscillations and other ocean processes. Nonstationary time series methods are employed to account for the spatiotemporal variability of each trajectory. Because the datasets are large, we construct computationally efficient methods through the use of frequency-domain modelling and estimation, with the data expressed as complex-valued time series. We detail how practical issues related to sampling and model misspecification may be addressed using semi-parametric techniques for time series, and we demonstrate the effectiveness of our stochastic models through application to both real-world data and to numerical model output.
Fast and Flexible Multivariate Time Series Subsequence Search
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...
AFSC/ABL: Ugashik sockeye salmon scale time series
National Oceanic and Atmospheric Administration, Department of Commerce — A time series of scale samples (1956 b?? 2002) collected from adult sockeye salmon returning to Ugashik River were retrieved from the Alaska Department of Fish and...
On robust forecasting of autoregressive time series under censoring
Kharin, Y.; Badziahin, I.
2009-01-01
Problems of robust statistical forecasting are considered for autoregressive time series observed under distortions generated by interval censoring. Three types of robust forecasting statistics are developed; meansquare risk is evaluated for the developed forecasting statistics. Numerical results are given.
Multivariate Time Series Analysis for Optimum Production Forecast ...
FIRST LADY
Keywords: production model, inventory management, multivariate time series ... regard when companies over stock raw materials inventory as a result of .... Error Analysis for Forecasts of 2008-2014 to Establish Model out of. Control.
Phenotyping of Clinical Time Series with LSTM Recurrent Neural Networks
Lipton, Zachary C.; Kale, David C.; Wetzell, Randall C.
2015-01-01
We present a novel application of LSTM recurrent neural networks to multilabel classification of diagnoses given variable-length time series of clinical measurements. Our method outperforms a strong baseline on a variety of metrics.
Distinguishing chaotic time series from noise: A random matrix approach
Ye, Bin; Chen, Jianxing; Ju, Chen; Li, Huijun; Wang, Xuesong
2017-03-01
Deterministically chaotic systems can often give rise to random and unpredictable behaviors which make the time series obtained from them to be almost indistinguishable from noise. Motivated by the fact that data points in a chaotic time series will have intrinsic correlations between them, we propose a random matrix theory (RMT) approach to identify the deterministic or stochastic dynamics of the system. We show that the spectral distributions of the correlation matrices, constructed from the chaotic time series, deviate significantly from the predictions of random matrix ensembles. On the contrary, the eigenvalue statistics for a noisy signal follow closely those of random matrix ensembles. Numerical results also indicate that the approach is to some extent robust to additive observational noise which pollutes the data in many practical situations. Our approach is efficient in recognizing the continuous chaotic dynamics underlying the evolution of the time series.
Unsupervised land cover change detection: meaningful sequential time series analysis
Salmon, BP
2011-06-01
Full Text Available An automated land cover change detection method is proposed that uses coarse spatial resolution hyper-temporal earth observation satellite time series data. The study compared three different unsupervised clustering approaches that operate on short...
AFSC/ABL: Naknek sockeye salmon scale time series
National Oceanic and Atmospheric Administration, Department of Commerce — A time series of scale samples (1956 2002) collected from adult sockeye salmon returning to Naknek River were retrieved from the Alaska Department of Fish and Game....
A Generalization of Some Classical Time Series Tools
Nielsen, Henrik Aalborg; Madsen, Henrik
2001-01-01
In classical time series analysis the sample autocorrelation function (SACF) and the sample partial autocorrelation function (SPACF) has gained wide application for structural identification of linear time series models. We suggest generalizations, founded on smoothing techniques, applicable for ....... In this paper the generalizations are applied to some simulated data sets and to the Canadian lynx data. The generalizations seem to perform well and the measure of the departure from linearity proves to be an important additional tool....
Outlier detection algorithms for least squares time series regression
Johansen, Søren; Nielsen, Bent
We review recent asymptotic results on some robust methods for multiple regression. The regressors include stationary and non-stationary time series as well as polynomial terms. The methods include the Huber-skip M-estimator, 1-step Huber-skip M-estimators, in particular the Impulse Indicator...... theory involves normal distribution results and Poisson distribution results. The theory is applied to a time series data set....
The use of synthetic input sequences in time series modeling
Oliveira, Dair Jose de [Programa de Pos-Graduacao em Engenharia Eletrica, Universidade Federal de Minas Gerais, Av. Antonio Carlos 6627, 31.270-901 Belo Horizonte, MG (Brazil); Letellier, Christophe [CORIA/CNRS UMR 6614, Universite et INSA de Rouen, Av. de l' Universite, BP 12, F-76801 Saint-Etienne du Rouvray cedex (France); Gomes, Murilo E.D. [Programa de Pos-Graduacao em Engenharia Eletrica, Universidade Federal de Minas Gerais, Av. Antonio Carlos 6627, 31.270-901 Belo Horizonte, MG (Brazil); Aguirre, Luis A. [Programa de Pos-Graduacao em Engenharia Eletrica, Universidade Federal de Minas Gerais, Av. Antonio Carlos 6627, 31.270-901 Belo Horizonte, MG (Brazil)], E-mail: aguirre@cpdee.ufmg.br
2008-08-04
In many situations time series models obtained from noise-like data settle to trivial solutions under iteration. This Letter proposes a way of producing a synthetic (dummy) input, that is included to prevent the model from settling down to a trivial solution, while maintaining features of the original signal. Simulated benchmark models and a real time series of RR intervals from an ECG are used to illustrate the procedure.
The use of synthetic input sequences in time series modeling
de Oliveira, Dair José; Letellier, Christophe; Gomes, Murilo E. D.; Aguirre, Luis A.
2008-08-01
In many situations time series models obtained from noise-like data settle to trivial solutions under iteration. This Letter proposes a way of producing a synthetic (dummy) input, that is included to prevent the model from settling down to a trivial solution, while maintaining features of the original signal. Simulated benchmark models and a real time series of RR intervals from an ECG are used to illustrate the procedure.
Prediction and interpolation of time series by state space models
Helske, Jouni
2015-01-01
A large amount of data collected today is in the form of a time series. In order to make realistic inferences based on time series forecasts, in addition to point predictions, prediction intervals or other measures of uncertainty should be presented. Multiple sources of uncertainty are often ignored due to the complexities involved in accounting them correctly. In this dissertation, some of these problems are reviewed and some new solutions are presented. A state space approach...
Stacked Heterogeneous Neural Networks for Time Series Forecasting
Florin Leon
2010-01-01
Full Text Available A hybrid model for time series forecasting is proposed. It is a stacked neural network, containing one normal multilayer perceptron with bipolar sigmoid activation functions, and the other with an exponential activation function in the output layer. As shown by the case studies, the proposed stacked hybrid neural model performs well on a variety of benchmark time series. The combination of weights of the two stack components that leads to optimal performance is also studied.
Mean shifts, unit roots and forecasting seasonal time series
Franses, Philip Hans; Paap, Richard; Hoek, Henk
1997-01-01
textabstractExamples of descriptive models for changing seasonal patterns in economic time series are autoregressive models with seasonal unit roots or with deterministic seasonal mean shifts. In this paper we show through a forecasting comparison for three macroeconomic time series (for which tests indicate the presence of seasonal unit roots) that allowing for possible seasonal mean shifts can improve forecast performance. Next, by means of simulation we demonstrate the impact of imposing a...
Extracting Chaos Control Parameters from Time Series Analysis
Santos, R B B [Centro Universitario da FEI, Avenida Humberto de Alencar Castelo Branco 3972, 09850-901, Sao Bernardo do Campo, SP (Brazil); Graves, J C, E-mail: rsantos@fei.edu.br [Instituto Tecnologico de Aeronautica, Praca Marechal Eduardo Gomes 50, 12228-900, Sao Jose dos Campos, SP (Brazil)
2011-03-01
We present a simple method to analyze time series, and estimate the parameters needed to control chaos in dynamical systems. Application of the method to a system described by the logistic map is also shown. Analyzing only two 100-point time series, we achieved results within 2% of the analytical ones. With these estimates, we show that OGY control method successfully stabilized a period-1 unstable periodic orbit embedded in the chaotic attractor.
Time Series Analysis of Insar Data: Methods and Trends
Osmanoglu, Batuhan; Sunar, Filiz; Wdowinski, Shimon; Cano-Cabral, Enrique
2015-01-01
Time series analysis of InSAR data has emerged as an important tool for monitoring and measuring the displacement of the Earth's surface. Changes in the Earth's surface can result from a wide range of phenomena such as earthquakes, volcanoes, landslides, variations in ground water levels, and changes in wetland water levels. Time series analysis is applied to interferometric phase measurements, which wrap around when the observed motion is larger than one-half of the radar wavelength. Thus, the spatio-temporal ''unwrapping" of phase observations is necessary to obtain physically meaningful results. Several different algorithms have been developed for time series analysis of InSAR data to solve for this ambiguity. These algorithms may employ different models for time series analysis, but they all generate a first-order deformation rate, which can be compared to each other. However, there is no single algorithm that can provide optimal results in all cases. Since time series analyses of InSAR data are used in a variety of applications with different characteristics, each algorithm possesses inherently unique strengths and weaknesses. In this review article, following a brief overview of InSAR technology, we discuss several algorithms developed for time series analysis of InSAR data using an example set of results for measuring subsidence rates in Mexico City.
Bork, Lasse; Møller, Stig Vinther
2012-01-01
We examine US housing price forecastability using a common factor approach based on a large panel of 122 economic time series. We …nd that a simple three-factor model generates an explanatory power of about 50% in one-quarter ahead in-sample forecasting regressions. The predictive power of the mo...
Time-varying parameter auto-regressive models for autocovariance nonstationary time series
FEI WanChun; BAI Lun
2009-01-01
In this paper,autocovariance nonstationary time series is clearly defined on a family of time series.We propose three types of TVPAR (time-varying parameter auto-regressive) models:the full order TVPAR model,the time-unvarying order TVPAR model and the time-varying order TVPAR model for autocovariance nonstationary time series.Related minimum AIC (Akaike information criterion) estimations are carried out.
Time-varying parameter auto-regressive models for autocovariance nonstationary time series
无
2009-01-01
In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the time-unvarying order TVPAR model and the time-varying order TV-PAR model for autocovariance nonstationary time series. Related minimum AIC (Akaike information criterion) estimations are carried out.
A method for detecting changes in long time series
Downing, D.J.; Lawkins, W.F.; Morris, M.D.; Ostrouchov, G.
1995-09-01
Modern scientific activities, both physical and computational, can result in time series of many thousands or even millions of data values. Here the authors describe a statistically motivated algorithm for quick screening of very long time series data for the presence of potentially interesting but arbitrary changes. The basic data model is a stationary Gaussian stochastic process, and the approach to detecting a change is the comparison of two predictions of the series at a time point or contiguous collection of time points. One prediction is a ``forecast``, i.e. based on data from earlier times, while the other a ``backcast``, i.e. based on data from later times. The statistic is the absolute value of the log-likelihood ratio for these two predictions, evaluated at the observed data. A conservative procedure is suggested for specifying critical values for the statistic under the null hypothesis of ``no change``.
Combined forecasts from linear and nonlinear time series models
N. Terui (Nobuhiko); H.K. van Dijk (Herman)
1999-01-01
textabstractCombined forecasts from a linear and a nonlinear model are investigated for time series with possibly nonlinear characteristics. The forecasts are combined by a constant coefficient regression method as well as a time varying method. The time varying method allows for a locally (non)line
LEGENDRE SERIES SOLUTIONS FOR TIME-VARIATION DYNAMICS
Cao Zhiyuan; Zou Guiping; Tang Shougao
2000-01-01
In this topic, a new approach to the analysis of time-variation dynamics is proposed by use of Legendre series expansion and Legendre integral operator matrix. The theoretical basis for effective solution of time-variation dynamics is therefore established, which is beneficial to further research of time-variation science.
Similarity estimators for irregular and age-uncertain time series
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
Similarity estimators for irregular and age uncertain time series
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
Comparison of time series using entropy and mutual correlation
Madonna, Fabio; Rosoldi, Marco
2015-04-01
The potential for redundant time series to reduce uncertainty in atmospheric variables has not been investigated comprehensively for climate observations. Moreover, comparison among time series of in situ and ground based remote sensing measurements have been performed using several methods, but quite often relying on linear models. In this work, the concepts of entropy (H) and mutual correlation (MC), defined in the frame of the information theory, are applied to the study of essential climate variables with the aim of characterizing the uncertainty of a time series and the redundancy of collocated measurements provided by different surface-based techniques. In particular, integrated water vapor (IWV) and water vapour mixing ratio times series obtained at five highly instrumented GRUAN (GCOS, Global Climate Observing System, Reference Upper-Air Network) stations with several sensors (e.g radiosondes, GPS, microwave and infrared radiometers, Raman lidar), in the period from 2010-2012, are analyzed in terms of H and MC. The comparison between the probability density functions of the time series shows that caution in using linear assumptions is needed and the use of statistics, like entropy, that are robust to outliers, is recommended to investigate measurements time series. Results reveals that the random uncertainties on the IWV measured with radiosondes, global positioning system, microwave and infrared radiometers, and Raman lidar measurements differed by less than 8 % over the considered time period. Comparisons of the time series of IWV content from ground-based remote sensing instruments with in situ soundings showed that microwave radiometers have the highest redundancy with the IWV time series measured by radiosondes and therefore the highest potential to reduce the random uncertainty of the radiosondes time series. Moreover, the random uncertainty of a time series from one instrument can be reduced by 60% by constraining the measurements with those from
Similarity estimators for irregular and age uncertain time series
K. Rehfeld
2013-09-01
Full Text Available 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
Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market
Rongquan Bai
2013-01-01
Full Text Available This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS market model, and Censored-SS market model, it verifies the effectiveness of Censored-SS market model. Furthermore it has some meaningful conclusions in China stock market.
Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market
Rongquan Bai; Zuoquan Zhang; Menggang Li
2013-01-01
This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS market model, and Censored-SS market model, it verifies the effectiveness of Censored-SS market model. Furthermore it has some meaningful conclusions in China stock market.
Globalization And Time Varying Prices Of Market And Foreign Exchange Risks: Canadian Evidence
Sarath Abeysekera; Sergiy Rakhmayil
2011-01-01
The paper empirically examines the relationship between stock returns, exchange rate, and market risks for the Canadian stock market operating in an increasingly global environment. Time varying prices of market and currency risks and corresponding risk premia are estimated. We investigate how estimated risk premia in different industry sectors are affected by macroeconomic events associated with globalization. We find that magnitude of shocks is greater, and risk premia at the times of econo...
Analyses of Inhomogeneities in Radiosonde Temperature and Humidity Time Series.
Zhai, Panmao; Eskridge, Robert E.
1996-04-01
Twice daily radiosonde data from selected stations in the United States (period 1948 to 1990) and China (period 1958 to 1990) were sorted into time series. These stations have one sounding taken in darkness and the other in sunlight. The analysis shows that the 0000 and 1200 UTC time series are highly correlated. Therefore, the Easterling and Peterson technique was tested on the 0000 and 1200 time series to detect inhomogeneities and to estimate the size of the biases. Discontinuities were detected using the difference series created from the 0000 and 1200 UTC time series. To establish that the detected bias was significant, a t test was performed to confirm that the change occurs in the daytime series but not in the nighttime series.Both U.S. and Chinese radiosonde temperature and humidity data include inhomogeneities caused by changes in radiosonde sensors and observation times. The U.S. humidity data have inhomogeneities that were caused by instrument changes and the censoring of data. The practice of reporting relative humidity as 19% when it is lower than 20% or the temperature is below 40°C is called censoring. This combination of procedural and instrument changes makes the detection of biases and adjustment of the data very difficult. In the Chinese temperatures, them are inhomogeneities related to a change in the radiation correction procedure.Test results demonstrate that a modified Easterling and Peterson method is suitable for use in detecting and adjusting time series radiosonde data.Accurate stations histories are very desirable. Stations histories can confirm that detected inhomogeneities are related to instrument or procedural changes. Adjustments can then he made to the data with some confidence.
Modeling and Forecasting of Water Demand in Isfahan Using Underlying Trend Concept and Time Series
H. Sadeghi
2016-02-01
Full Text Available Introduction: Accurate water demand modeling for the city is very important for forecasting and policies adoption related to water resources management. Thus, for future requirements of water estimation, forecasting and modeling, it is important to utilize models with little errors. Water has a special place among the basic human needs, because it not hampers human life. The importance of the issue of water management in the extraction and consumption, it is necessary as a basic need. Municipal water applications is include a variety of water demand for domestic, public, industrial and commercial. Predicting the impact of urban water demand in better planning of water resources in arid and semiarid regions are faced with water restrictions. Materials and Methods: One of the most important factors affecting the changing technological advances in production and demand functions, we must pay special attention to the layout pattern. Technology development is concerned not only technically, but also other aspects such as personal, non-economic factors (population, geographical and social factors can be analyzed. Model examined in this study, a regression model is composed of a series of structural components over time allows changed invisible accidentally. Explanatory variables technology (both crystalline and amorphous in a model according to which the material is said to be better, but because of the lack of measured variables over time can not be entered in the template. Model examined in this study, a regression model is composed of a series of structural component invisible accidentally changed over time allows. In this study, structural time series (STSM and ARMA time series models have been used to model and estimate the water demand in Isfahan. Moreover, in order to find the efficient procedure, both models have been compared to each other. The desired data in this research include water consumption in Isfahan, water price and the monthly pay
Mihailović Dragutin T.
2015-01-01
Full Text Available We propose novel metrics based on the Kolmogorov complexity for use in complex system behavior studies and time series analysis. We consider the origins of the Kolmogorov complexity and discuss its physical meaning. To get better insights into the nature of complex systems and time series analysis we introduce three novel measures based on the Kolmogorov complexity: (i the Kolmogorov complexity spectrum, (ii the Kolmogorov complexity spectrum highest value and (iii the overall Kolmogorov complexity. The characteristics of these measures have been tested using a generalized logistic equation. Finally, the proposed measures have been applied to different time series originating from: a model output (the biochemical substance exchange in a multi-cell system, four different geophysical phenomena (dynamics of: river flow, long term precipitation, indoor 222Rn concentration and UV radiation dose and the economy (stock price dynamics. The results obtained offer deeper insights into the complexity of system dynamics and time series analysis with the proposed complexity measures.
Correlation measure to detect time series distances, whence economy globalization
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.
Exploratory Causal Analysis in Bivariate Time Series Data
McCracken, James M.
Many scientific disciplines rely on observational data of systems for which it is difficult (or impossible) to implement controlled experiments and data analysis techniques are required for identifying causal information and relationships directly from observational data. This need has lead to the development of many different time series causality approaches and tools including transfer entropy, convergent cross-mapping (CCM), and Granger causality statistics. In this thesis, the existing time series causality method of CCM is extended by introducing a new method called pairwise asymmetric inference (PAI). It is found that CCM may provide counter-intuitive causal inferences for simple dynamics with strong intuitive notions of causality, and the CCM causal inference can be a function of physical parameters that are seemingly unrelated to the existence of a driving relationship in the system. For example, a CCM causal inference might alternate between ''voltage drives current'' and ''current drives voltage'' as the frequency of the voltage signal is changed in a series circuit with a single resistor and inductor. PAI is introduced to address both of these limitations. Many of the current approaches in the times series causality literature are not computationally straightforward to apply, do not follow directly from assumptions of probabilistic causality, depend on assumed models for the time series generating process, or rely on embedding procedures. A new approach, called causal leaning, is introduced in this work to avoid these issues. The leaning is found to provide causal inferences that agree with intuition for both simple systems and more complicated empirical examples, including space weather data sets. The leaning may provide a clearer interpretation of the results than those from existing time series causality tools. A practicing analyst can explore the literature to find many proposals for identifying drivers and causal connections in times series data
A Faster Algorithm for Solving One-Clock Priced Timed Games
Hansen, Thomas Dueholm; Ibsen-Jensen, Rasmus; Miltersen, Peter Bro
2012-01-01
previously known time bound for solving one-clock priced timed games was 2^(O(n^2+m)), due to Rutkowski. For our improvement, we introduce and study a new algorithm for solving one-clock priced timed games, based on the sweep-line technique from computational geometry and the strategy iteration paradigm from...... the algorithmic theory of Markov decision processes. As a corollary, we also improve the analysis of previous algorithms due to Bouyer, Cassez, Fleury, and Larsen; and Alur, Bernadsky, and MadhusudanWe present a construction of log-depth formulae for various threshold functions based on atomic threshold gates...... in this setting that is efficient and actively secure against a constant fraction of corrupted parties, a long standing open problem. Finally, we show a negative result on usage of our scheme for pseudorandom secret sharing as defined by Cramer, Damgård and Ishai...
Optimal batch production strategies under continuous price decrease and time discounting
Mandal S.
2007-01-01
Full Text Available Single price discount in unit cost for bulk purchasing is quite common in reality as well as in inventory literature. However, in today's high-tech industries such as personal computers and mobile industries, continuous decrease in unit cost is a regular phenomenon. In the present paper, an attempt has been made to investigate the effects of continuous price decrease and time-value of money on optimal decisions for inventoried goods having time-dependent demand and production rates. The proposed models are developed over a finite time horizon considering both shortages and without shortages in inventory. Numerical examples are taken to illustrate the developed models and to examine the sensitivity of model parameters.
Evaluation of scaling invariance embedded in short time series.
Pan, Xue; Hou, Lei; Stephen, Mutua; Yang, Huijie; Zhu, Chenping
2014-01-01
Scaling invariance of time series has been making great contributions in diverse research fields. But how to evaluate scaling exponent from a real-world series is still an open problem. Finite length of time series may induce unacceptable fluctuation and bias to statistical quantities and consequent invalidation of currently used standard methods. In this paper a new concept called correlation-dependent balanced estimation of diffusion entropy is developed to evaluate scale-invariance in very short time series with length ~10(2). Calculations with specified Hurst exponent values of 0.2,0.3,...,0.9 show that by using the standard central moving average de-trending procedure this method can evaluate the scaling exponents for short time series with ignorable bias (≤0.03) and sharp confidential interval (standard deviation ≤0.05). Considering the stride series from ten volunteers along an approximate oval path of a specified length, we observe that though the averages and deviations of scaling exponents are close, their evolutionary behaviors display rich patterns. It has potential use in analyzing physiological signals, detecting early warning signals, and so on. As an emphasis, the our core contribution is that by means of the proposed method one can estimate precisely shannon entropy from limited records.
Evaluation of scaling invariance embedded in short time series.
Xue Pan
Full Text Available Scaling invariance of time series has been making great contributions in diverse research fields. But how to evaluate scaling exponent from a real-world series is still an open problem. Finite length of time series may induce unacceptable fluctuation and bias to statistical quantities and consequent invalidation of currently used standard methods. In this paper a new concept called correlation-dependent balanced estimation of diffusion entropy is developed to evaluate scale-invariance in very short time series with length ~10(2. Calculations with specified Hurst exponent values of 0.2,0.3,...,0.9 show that by using the standard central moving average de-trending procedure this method can evaluate the scaling exponents for short time series with ignorable bias (≤0.03 and sharp confidential interval (standard deviation ≤0.05. Considering the stride series from ten volunteers along an approximate oval path of a specified length, we observe that though the averages and deviations of scaling exponents are close, their evolutionary behaviors display rich patterns. It has potential use in analyzing physiological signals, detecting early warning signals, and so on. As an emphasis, the our core contribution is that by means of the proposed method one can estimate precisely shannon entropy from limited records.
Power law cross-correlations between price change and volume change of Indian stocks
Hasan, Rashid; Mohammed Salim, M.
2017-05-01
We study multifractal long-range correlations and cross-correlations of daily price change and volume change of 50 stocks that comprise Nifty index of National Stock Exchange, Mumbai, using MF-DFA and MF-DCCA methods. We find that the time series of price change are uncorrelated, whereas anti-persistent long-range multifractal correlations are found in volume change series. We also find antipersistent long-range multifractal cross-correlations between the time series of price change and volume change. As multifractality is a signature of complexity, we estimate complexity parameters of the time series of price change, volume change, and cross-correlated price-volume change by fitting the fourth-degree polynomials to their multifractal spectra. Our results indicate that the time series of price change display high complexity, whereas the time series of volume change and cross-correlated price-volume change display low complexity.
Narayanan Manikandan
2016-01-01
Full Text Available Software development life cycle has been characterized by destructive disconnects between activities like planning, analysis, design, and programming. Particularly software developed with prediction based results is always a big challenge for designers. Time series data forecasting like currency exchange, stock prices, and weather report are some of the areas where an extensive research is going on for the last three decades. In the initial days, the problems with financial analysis and prediction were solved by statistical models and methods. For the last two decades, a large number of Artificial Neural Networks based learning models have been proposed to solve the problems of financial data and get accurate results in prediction of the future trends and prices. This paper addressed some architectural design related issues for performance improvement through vectorising the strengths of multivariate econometric time series models and Artificial Neural Networks. It provides an adaptive approach for predicting exchange rates and it can be called hybrid methodology for predicting exchange rates. This framework is tested for finding the accuracy and performance of parallel algorithms used.
Manikandan, Narayanan; Subha, Srinivasan
2016-01-01
Software development life cycle has been characterized by destructive disconnects between activities like planning, analysis, design, and programming. Particularly software developed with prediction based results is always a big challenge for designers. Time series data forecasting like currency exchange, stock prices, and weather report are some of the areas where an extensive research is going on for the last three decades. In the initial days, the problems with financial analysis and prediction were solved by statistical models and methods. For the last two decades, a large number of Artificial Neural Networks based learning models have been proposed to solve the problems of financial data and get accurate results in prediction of the future trends and prices. This paper addressed some architectural design related issues for performance improvement through vectorising the strengths of multivariate econometric time series models and Artificial Neural Networks. It provides an adaptive approach for predicting exchange rates and it can be called hybrid methodology for predicting exchange rates. This framework is tested for finding the accuracy and performance of parallel algorithms used. PMID:26881271
Manikandan, Narayanan; Subha, Srinivasan
2016-01-01
Software development life cycle has been characterized by destructive disconnects between activities like planning, analysis, design, and programming. Particularly software developed with prediction based results is always a big challenge for designers. Time series data forecasting like currency exchange, stock prices, and weather report are some of the areas where an extensive research is going on for the last three decades. In the initial days, the problems with financial analysis and prediction were solved by statistical models and methods. For the last two decades, a large number of Artificial Neural Networks based learning models have been proposed to solve the problems of financial data and get accurate results in prediction of the future trends and prices. This paper addressed some architectural design related issues for performance improvement through vectorising the strengths of multivariate econometric time series models and Artificial Neural Networks. It provides an adaptive approach for predicting exchange rates and it can be called hybrid methodology for predicting exchange rates. This framework is tested for finding the accuracy and performance of parallel algorithms used.
Statistical modelling of agrometeorological time series by exponential smoothing
Murat, Małgorzata; Malinowska, Iwona; Hoffmann, Holger; Baranowski, Piotr
2016-01-01
Meteorological time series are used in modelling agrophysical processes of the soil-plant-atmosphere system which determine plant growth and yield. Additionally, long-term meteorological series are used in climate change scenarios. Such studies often require forecasting or projection of meteorological variables, eg the projection of occurrence of the extreme events. The aim of the article was to determine the most suitable exponential smoothing models to generate forecast using data on air temperature, wind speed, and precipitation time series in Jokioinen (Finland), Dikopshof (Germany), Lleida (Spain), and Lublin (Poland). These series exhibit regular additive seasonality or non-seasonality without any trend, which is confirmed by their autocorrelation functions and partial autocorrelation functions. The most suitable models were indicated by the smallest mean absolute error and the smallest root mean squared error.
Discovering shared and individual latent structure in multiple time series
Saria, Suchi; Penn, Anna
2010-01-01
This paper proposes a nonparametric Bayesian method for exploratory data analysis and feature construction in continuous time series. Our method focuses on understanding shared features in a set of time series that exhibit significant individual variability. Our method builds on the framework of latent Diricihlet allocation (LDA) and its extension to hierarchical Dirichlet processes, which allows us to characterize each series as switching between latent ``topics'', where each topic is characterized as a distribution over ``words'' that specify the series dynamics. However, unlike standard applications of LDA, we discover the words as we learn the model. We apply this model to the task of tracking the physiological signals of premature infants; our model obtains clinically significant insights as well as useful features for supervised learning tasks.
Self-affinity in the dengue fever time series
Azevedo, S. M.; Saba, H.; Miranda, J. G. V.; Filho, A. S. Nascimento; Moret, M. A.
2016-06-01
Dengue is a complex public health problem that is common in tropical and subtropical regions. This disease has risen substantially in the last three decades, and the physical symptoms depict the self-affine behavior of the occurrences of reported dengue cases in Bahia, Brazil. This study uses detrended fluctuation analysis (DFA) to verify the scale behavior in a time series of dengue cases and to evaluate the long-range correlations that are characterized by the power law α exponent for different cities in Bahia, Brazil. The scaling exponent (α) presents different long-range correlations, i.e. uncorrelated, anti-persistent, persistent and diffusive behaviors. The long-range correlations highlight the complex behavior of the time series of this disease. The findings show that there are two distinct types of scale behavior. In the first behavior, the time series presents a persistent α exponent for a one-month period. For large periods, the time series signal approaches subdiffusive behavior. The hypothesis of the long-range correlations in the time series of the occurrences of reported dengue cases was validated. The observed self-affinity is useful as a forecasting tool for future periods through extrapolation of the α exponent behavior. This complex system has a higher predictability in a relatively short time (approximately one month), and it suggests a new tool in epidemiological control strategies. However, predictions for large periods using DFA are hidden by the subdiffusive behavior.
Drunk driving detection based on classification of multivariate time series.
Li, Zhenlong; Jin, Xue; Zhao, Xiaohua
2015-09-01
This paper addresses the problem of detecting drunk driving based on classification of multivariate time series. First, driving performance measures were collected from a test in a driving simulator located in the Traffic Research Center, Beijing University of Technology. Lateral position and steering angle were used to detect drunk driving. Second, multivariate time series analysis was performed to extract the features. A piecewise linear representation was used to represent multivariate time series. A bottom-up algorithm was then employed to separate multivariate time series. The slope and time interval of each segment were extracted as the features for classification. Third, a support vector machine classifier was used to classify driver's state into two classes (normal or drunk) according to the extracted features. The proposed approach achieved an accuracy of 80.0%. Drunk driving detection based on the analysis of multivariate time series is feasible and effective. The approach has implications for drunk driving detection. Copyright © 2015 Elsevier Ltd and National Safety Council. All rights reserved.
Wavelet matrix transform for time-series similarity measurement
HU Zhi-kun; XU Fei; GUI Wei-hua; YANG Chun-hua
2009-01-01
A time-series similarity measurement method based on wavelet and matrix transform was proposed, and its anti-noise ability, sensitivity and accuracy were discussed. The time-series sequences were compressed into wavelet subspace, and sample feature vector and orthogonal basics of sample time-series sequences were obtained by K-L transform. Then the inner product transform was carried out to project analyzed time-series sequence into orthogonal basics to gain analyzed feature vectors. The similarity was calculated between sample feature vector and analyzed feature vector by the Euclid distance. Taking fault wave of power electronic devices for example, the experimental results show that the proposed method has low dimension of feature vector, the anti-noise ability of proposed method is 30 times as large as that of plain wavelet method, the sensitivity of proposed method is 1/3 as large as that of plain wavelet method, and the accuracy of proposed method is higher than that of the wavelet singular value decomposition method. The proposed method can be applied in similarity matching and indexing for lager time series databases.
Stochastic modeling of hourly rainfall times series in Campania (Italy)
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
Stationary Time Series Analysis Using Information and Spectral Analysis
1992-09-01
spectral density function of the time series. The spectral density function f(w), 0 < w < 1, is defined as the Fourier transform of...series with spectral density function f(w). 4 An important result of Pinsker [(1964), p. 196] can be interpreted as providing a for- mula for asymptotic...Analysis Papers, Holden-Day, San Francisco, California. Parzen, E. (1958) "On asymptotically efficient consistent estimates of the spectral density function
Gaussian semiparametric estimation of non-stationary time series
Velasco, Carlos
1998-01-01
Generalizing the definition of the memory parameter d in terms of the differentiated series, we showed in Velasco (Non-stationary log-periodogram regression, Forthcoming J. Economet., 1997) that it is possible to estimate consistently the memory of non-stationary processes using methods designed for stationary long-range-dependent time series. In this paper we consider the Gaussian semiparametric estimate analysed by Robinson (Gaussian semiparametric estimation of long range dependence. Ann. ...
Moderate Growth Time Series for Dynamic Combinatorics Modelisation
Jaff, Luaï; Kacem, Hatem Hadj; Bertelle, Cyrille
2007-01-01
Here, we present a family of time series with a simple growth constraint. This family can be the basis of a model to apply to emerging computation in business and micro-economy where global functions can be expressed from local rules. We explicit a double statistics on these series which allows to establish a one-to-one correspondence between three other ballot-like strunctures.
Potirakis, Stelios M; Balasis, Georgios; Eftaxias, Konstantinos
2016-01-01
Technical analysis is considered the oldest, currently omnipresent, method for financial markets analysis, which uses past prices aiming at the possible short-term forecast of future prices. In the frame of complex systems, methods used to quantitatively analyze specific dynamic phenomena are often used to analyze phenomena from other disciplines on the grounds that are governed by similar dynamics. An interesting task is the forecast of a magnetic storm. The hourly Dst is used as a global index for the monitoring of Earth's magnetosphere, which could be either in quiet (normal) or in magnetic storm (pathological) state. This work is the first attempt to apply technical analysis tools on Dst time series, aiming at the identification of indications which could be used for the study of the temporal evolution of Earth's magnetosphere state. We focus on the analysis of Dst time series around the occurrence of magnetic storms, discussing the possible use of the resulting information in the frame of multidisciplina...
First time-series optical photometry from Antarctica
Strassmeier, K G; Granzer, T; Tosti, G; DiVarano, I; Savanov, I; Bagaglia, M; Castellini, S; Mancini, A; Nucciarelli, G; Straniero, O; Distefano, E; Messina, S; Cutispoto, G
2008-01-01
Beating the Earth's day-night cycle is mandatory for long and continuous time-series photometry and had been achieved with either large ground-based networks of observatories at different geographic longitudes or when conducted from space. A third possibility is offered by a polar location with astronomically-qualified site characteristics. Aims. In this paper, we present the first scientific stellar time-series optical photometry from Dome C in Antarctica and analyze approximately 13,000 CCD frames taken in July 2007. We conclude that high-precision CCD photometry with exceptional time coverage and cadence can be obtained at Dome C in Antarctica and be successfully used for time-series astrophysics.
Time series analysis of the response of measurement instruments
Georgakaki, Dimitra; Polatoglou, Hariton
2012-01-01
In this work the significance of treating a set of measurements as a time series is being explored. Time Series Analysis (TSA) techniques, part of the Exploratory Data Analysis (EDA) approach, can provide much insight regarding the stochastic correlations that are induced on the outcome of an experiment by the measurement system and can provide criteria for the limited use of the classical variance in metrology. Specifically, techniques such as the Lag Plots, Autocorrelation Function, Power Spectral Density and Allan Variance are used to analyze series of sequential measurements, collected at equal time intervals from an electromechanical transducer. These techniques are used in conjunction with power law models of stochastic noise in order to characterize time or frequency regimes for which the usually assumed white noise model is adequate for the description of the measurement system response. However, through the detection of colored noise, usually referred to as flicker noise, which is expected to appear ...
Weighted statistical parameters for irregularly sampled time series
Rimoldini, Lorenzo
2014-01-01
Unevenly spaced time series are common in astronomy because of the day-night cycle, weather conditions, dependence on the source position in the sky, allocated telescope time, corrupt measurements, for example, or be inherent to the scanning law of satellites like Hipparcos and the forthcoming Gaia. This paper aims at improving the accuracy of common statistical parameters for the characterization of irregularly sampled signals. The uneven representation of time series, often including clumps of measurements and gaps with no data, can severely disrupt the values of estimators. A weighting scheme adapting to the sampling density and noise level of the signal is formulated. Its application to time series from the Hipparcos periodic catalogue led to significant improvements in the overall accuracy and precision of the estimators with respect to the unweighted counterparts and those weighted by inverse-squared uncertainties. Automated classification procedures employing statistical parameters weighted by the sugg...
Image-Based Learning Approach Applied to Time Series Forecasting
J. C. Chimal-Eguía
2012-06-01
Full Text Available In this paper, a new learning approach based on time-series image information is presented. In order to implementthis new learning technique, a novel time-series input data representation is also defined. This input datarepresentation is based on information obtained by image axis division into boxes. The difference between this newinput data representation and the classical is that this technique is not time-dependent. This new information isimplemented in the new Image-Based Learning Approach (IBLA and by means of a probabilistic mechanism thislearning technique is applied to the interesting problem of time series forecasting. The experimental results indicatethat by using the methodology proposed in this article, it is possible to obtain better results than with the classicaltechniques such as artificial neuronal networks and support vector machines.
Minimum entropy density method for the time series analysis
Lee, Jeong Won; Park, Joongwoo Brian; Jo, Hang-Hyun; Yang, Jae-Suk; Moon, Hie-Tae
2009-01-01
The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (MEDM) to detect the structure scale of a given time series, which is defined as the scale in which the uncertainty is minimized, hence the pattern is revealed most. The MEDM is applied to the financial time series of Standard and Poor’s 500 index from February 1983 to April 2006. Then the temporal behavior of structure scale is obtained and analyzed in relation to the information delivery time and efficient market hypothesis.
Periodicity Estimation in Mechanical Acoustic Time-Series Data
Zhu Yongbo
2015-01-01
Full Text Available Periodicity estimation in mechanical acoustic time-series data is a well-established problem in data mining as it can be applicable in variety of disciplines either for anomaly detection or for prediction purposes in industry. In this paper, we develop a new approach for capturing and characterizing periodic patterns in time-series data by virtue of the dynamic time warping (DTW. We have conducted extensive experiments to evaluate the proposed approach with synthetic data and our collected data in practice. Experimental results demonstrated its effectiveness and robustness on periodicity detection in highly noised data.
Detecting structural breaks in time series via genetic algorithms
Doerr, Benjamin; Fischer, Paul; Hilbert, Astrid
2016-01-01
Detecting structural breaks is an essential task for the statistical analysis of time series, for example, for fitting parametric models to it. In short, structural breaks are points in time at which the behaviour of the time series substantially changes. Typically, no solid background knowledge...... and mutation operations for this problem, we conduct extensive experiments to determine good choices for the parameters and operators of the genetic algorithm. One surprising observation is that use of uniform and one-point crossover together gave significantly better results than using either crossover...
Time Series Analysis of Wheat Futures Reward in China
无
2005-01-01
Different from the fact that the main researches are focused on single futures contract and lack of the comparison of different periods, this paper described the statistical characteristics of wheat futures reward time series of Zhengzhou Commodity Exchange in recent three years. Besides the basic statistic analysis, the paper used the GARCH and EGARCH model to describe the time series which had the ARCH effect and analyzed the persistence of volatility shocks and the leverage effect. The results showed that compared with that of normal one,wheat futures reward series were abnormality, leptokurtic and thick tail distribution. The study also found that two-part of the reward series had no autocorrelation. Among the six correlative series, three ones presented the ARCH effect. By using of the Auto-regressive Distributed Lag Model, GARCH model and EGARCH model, the paper demonstrates the persistence of volatility shocks and the leverage effect on the wheat futures reward time series. The results reveal that on the one hand, the statistical characteristics of the wheat futures reward are similar to the aboard mature futures market as a whole. But on the other hand, the results reflect some shortages such as the immatureness and the over-control by the government in the Chinese future market.
The Application of Kernel Smoothing to Time Series Data
Zhao-jun Wang; Yi Zhao; Chun-jie Wu; Yan-ting Li
2006-01-01
There are already a lot of models to fit a set of stationary time series, such as AR, MA, and ARMA models. For the non-stationary data, an ARIMA or seasonal ARIMA models can be used to fit the given data.Moreover, there are also many statistical softwares that can be used to build a stationary or non-stationary time series model for a given set of time series data, such as SAS, SPLUS, etc. However, some statistical softwares wouldn't work well for small samples with or without missing data, especially for small time series data with seasonal trend. A nonparametric smoothing technique to build a forecasting model for a given small seasonal time series data is carried out in this paper. And then, both the method provided in this paper and that in SAS package axe applied to the modeling of international airline passengers data respectively, the comparisons between the two methods are done afterwards. The results of the comparison show us the method provided in this paper has superiority over SAS's method.
Recurrent Neural Network Applications for Astronomical Time Series
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.
Time Series Analysis Based on Running Mann Whitney Z Statistics
A sensitive and objective time series analysis method based on the calculation of Mann Whitney U statistics is described. This method samples data rankings over moving time windows, converts those samples to Mann-Whitney U statistics, and then normalizes the U statistics to Z statistics using Monte-...
Nonlinear projective filtering; 1, Application to real time series
Schreiber, T
1998-01-01
We discuss applications of nonlinear filtering of time series by locally linear phase space projections. Noise can be reduced whenever the error due to the manifold approximation is smaller than the noise in the system. Examples include the real time extraction of the fetal electrocardiogram from abdominal recordings.
Sparse time series chain graphical models for reconstructing genetic networks
Abegaz, Fentaw; Wit, Ernst
2013-01-01
We propose a sparse high-dimensional time series chain graphical model for reconstructing genetic networks from gene expression data parametrized by a precision matrix and autoregressive coefficient matrix. We consider the time steps as blocks or chains. The proposed approach explores patterns of co
Optimization of recurrent neural networks for time series modeling
Pedersen, Morten With
1997-01-01
The present thesis is about optimization of recurrent neural networks applied to time series modeling. In particular is considered fully recurrent networks working from only a single external input, one layer of nonlinear hidden units and a li near output unit applied to prediction of discrete time...
Ravi Kanth, A. S. V.; Aruna, K.
2016-12-01
In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples.
Price Formation Modelling by Continuous-Time Random Walk: An Empirical Study
Frédéric Délèze
2015-01-01
Full Text Available Markovian and non-Markovian\tmodels are presented to\tmodel the futures\tmarket price formation.\tWe show that\tthe\twaiting-time\tand\tthe\tsurvival\tprobabilities\thave\ta\tsignificant\timpact\ton\tthe\tprice\tdynamics.\tThis\tstudy tests\tanalytical\tsolutions\tand\tpresent\tnumerical\tresults for the\tprobability\tdensity function\tof the\tcontinuoustime random\twalk\tusing\ttick-by-tick\tquotes\tprices\tfor\tthe\tDAX\t30\tindex\tfutures.
Mining approximate periodic pattern in hydrological time series
Zhu, Y. L.; Li, S. J.; Bao, N. N.; Wan, D. S.
2012-04-01
There is a lot of information about the hidden laws of nature evolution and the influences of human beings activities on the earth surface in long sequence of hydrological time series. Data mining technology can help find those hidden laws, such as flood frequency and abrupt change, which is useful for the decision support of hydrological prediction and flood control scheduling. The periodic nature of hydrological time series is important for trend forecasting of drought and flood and hydraulic engineering planning. In Hydrology, the full period analysis of hydrological time series has attracted a lot of attention, such as the discrete periodogram, simple partial wave method, Fourier analysis method, and maximum entropy spectral analysis method and wavelet analysis. In fact, the hydrological process is influenced both by deterministic factors and stochastic ones. For example, the tidal level is also affected by moon circling the Earth, in addition to the Earth revolution and its rotation. Hence, there is some kind of approximate period hidden in the hydrological time series, sometimes which is also called the cryptic period. Recently, partial period mining originated from the data mining domain can be a remedy for the traditional period analysis methods in hydrology, which has a loose request of the data integrity and continuity. They can find some partial period in the time series. This paper is focused on the partial period mining in the hydrological time series. Based on asynchronous periodic pattern and partial period mining with suffix tree, this paper proposes to mine multi-event asynchronous periodic pattern based on modified suffix tree representation and traversal, and invent a dynamic candidate period intervals adjusting method, which can avoids period omissions or waste of time and space. The experimental results on synthetic data and real water level data of the Yangtze River at Nanjing station indicate that this algorithm can discover hydrological
Real Time Clustering of Time Series Using Triangular Potentials
Aldo Pacchiano
2015-01-01
Full Text Available Motivated by the problem of computing investment portfolio weightin gs we investigate various methods of clustering as alternatives to traditional mean-v ariance approaches. Such methods can have significant benefits from a practical point of view since they remove the need to invert a sample covariance matrix, which can suffer from estimation error and will almost certainly be non-stationary. The general idea is to find groups of assets w hich share similar return characteristics over time and treat each group as a singl e composite asset. We then apply inverse volatility weightings to these new composite assets. In the course of our investigation we devise a method of clustering based on triangular potentials and we present as sociated theoretical results as well as various examples based on synthetic data.
Price leadership within a marketing channel: A cointegration study
Kuiper, W.E.; Meulenberg, M.T.G.
2004-01-01
Building upon a multiple-product channel structure, this paper develops a model to test channel price leadership on the basis of time series observations on retail and wholesale prices and using absence of double marginalisation as a criterion for channel price leadership. The model studies
Price leadership within a marketing channel: A cointegration study
Kuiper, W.E.; Meulenberg, M.T.G.
2004-01-01
Building upon a multiple-product channel structure, this paper develops a model to test channel price leadership on the basis of time series observations on retail and wholesale prices and using absence of double marginalisation as a criterion for channel price leadership. The model studies strategi
Price leadership within a marketing channel: A cointegration study
Kuiper, W.E.; Meulenberg, M.T.G.
2004-01-01
Building upon a multiple-product channel structure, this paper develops a model to test channel price leadership on the basis of time series observations on retail and wholesale prices and using absence of double marginalisation as a criterion for channel price leadership. The model studies strategi
A Platform for Processing Expression of Short Time Series (PESTS
Markatou Marianthi
2011-01-01
Full Text Available Abstract Background Time course microarray profiles examine the expression of genes over a time domain. They are necessary in order to determine the complete set of genes that are dynamically expressed under given conditions, and to determine the interaction between these genes. Because of cost and resource issues, most time series datasets contain less than 9 points and there are few tools available geared towards the analysis of this type of data. Results To this end, we introduce a platform for Processing Expression of Short Time Series (PESTS. It was designed with a focus on usability and interpretability of analyses for the researcher. As such, it implements several standard techniques for comparability as well as visualization functions. However, it is designed specifically for the unique methods we have developed for significance analysis, multiple test correction and clustering of short time series data. The central tenet of these methods is the use of biologically relevant features for analysis. Features summarize short gene expression profiles, inherently incorporate dependence across time, and allow for both full description of the examined curve and missing data points. Conclusions PESTS is fully generalizable to other types of time series analyses. PESTS implements novel methods as well as several standard techniques for comparability and visualization functions. These features and functionality make PESTS a valuable resource for a researcher's toolkit. PESTS is available to download for free to academic and non-profit users at http://www.mailman.columbia.edu/academic-departments/biostatistics/research-service/software-development.
Time Series Outlier Detection Based on Sliding Window Prediction
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.
Prashant Jindal
2016-06-01
Full Text Available For the past four decades the integrated vendor and buyer supply chain inventory model has been an interesting topic, but quality improvement of defective items in the integrated inventory model with backorder price discount involving controllable lead time has been rarely discussed. The aim of this paper is to minimize the total related cost in the continuous review model by considering the order quantity, reorder point, lead time, process quality, backorder price discount and number of shipment as decision variables. Moreover, we assume that an investment function is used to improve the process quality. The lead time demand follows a normal distribution. In addition, the buyer offers backorder price discount to motivate the customers for possible backorders. There are some defective items in the arrival lot, so its treatment is also taken in account in this paper. We develop an iterative procedure for finding the optimal values of decision variables and numerical example is presented to illustrate the solution procedure. Additionally, sensitivity analysis with respect to major parameters is also carried out.
Time series hyperspectral chemical imaging data: challenges, solutions and applications.
Gowen, A A; Marini, F; Esquerre, C; O'Donnell, C; Downey, G; Burger, J
2011-10-31
Hyperspectral chemical imaging (HCI) integrates imaging and spectroscopy resulting in three-dimensional data structures, hypercubes, with two spatial and one wavelength dimension. Each spatial image pixel in a hypercube contains a spectrum with >100 datapoints. While HCI facilitates enhanced monitoring of multi-component systems; time series HCI offers the possibility of a more comprehensive understanding of the dynamics of such systems and processes. This implies a need for modeling strategies that can cope with the large multivariate data structures generated in time series HCI experiments. The challenges posed by such data include dimensionality reduction, temporal morphological variation of samples and instrumental drift. This article presents potential solutions to these challenges, including multiway analysis, object tracking, multivariate curve resolution and non-linear regression. Several real world examples of time series HCI data are presented to illustrate the proposed solutions. Copyright © 2011 Elsevier B.V. All rights reserved.
Complex Network Approach to the Fractional Time Series
Manshour, Pouya
2015-01-01
In order to extract the correlation information inherited in a 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 the fractional processes onto complex networks. The parabolic exponential functions are found to ?fit with the corresponding degree distributions, with Hurst dependent ?fitting parameter. Further, we take into account other topological properties such as the 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 the antipersistent fractional Gaussian noises. To solve this problem, we take into account the Spearman correlation coefficient between the node's degree and its corresp...
General expression for linear and nonlinear time series models
Ren HUANG; Feiyun XU; Ruwen CHEN
2009-01-01
The typical time series models such as ARMA, AR, and MA are founded on the normality and stationarity of a system and expressed by a linear difference equation; therefore, they are strictly limited to the linear system. However, some nonlinear factors are within the practical system; thus, it is difficult to fit the model for real systems with the above models. This paper proposes a general expression for linear and nonlinear auto-regressive time series models (GNAR). With the gradient optimization method and modified AIC information criteria integrated with the prediction error, the parameter estimation and order determination are achieved. The model simulation and experiments show that the GNAR model can accurately approximate to the dynamic characteristics of the most nonlinear models applied in academics and engineering. The modeling and prediction accuracy of the GNAR model is superior to the classical time series models. The proposed GNAR model is flexible and effective.
Time series analysis by the Maximum Entropy method
Kirk, B.L.; Rust, B.W.; Van Winkle, W.
1979-01-01
The principal subject of this report is the use of the Maximum Entropy method for spectral analysis of time series. The classical Fourier method is also discussed, mainly as a standard for comparison with the Maximum Entropy method. Examples are given which clearly demonstrate the superiority of the latter method over the former when the time series is short. The report also includes a chapter outlining the theory of the method, a discussion of the effects of noise in the data, a chapter on significance tests, a discussion of the problem of choosing the prediction filter length, and, most importantly, a description of a package of FORTRAN subroutines for making the various calculations. Cross-referenced program listings are given in the appendices. The report also includes a chapter demonstrating the use of the programs by means of an example. Real time series like the lynx data and sunspot numbers are also analyzed. 22 figures, 21 tables, 53 references.
Extracting unstable periodic orbits from chaotic time series data
So, P.; Schiff, S.; Gluckman, B.J., [Center for Neuroscience, Childrens Research Institute, Childrens National Medical Center and the George Washington University, NW, Washington, D.C. 20010 (United States); So, P.; Ott, E.; Grebogi, C., [Institute for Plasma Research, University of Maryland, College Park, Maryland 20742 (United States); Sauer, T., [Department of Mathematics, The George Mason University, Fairfax, Virginia 22030 (United States); Gluckman, B.J., [Naval Surface Warfare Center, Carderock Division, Bethesda, Maryland 20054-5000 (United States)
1997-05-01
A general nonlinear method to extract unstable periodic orbits from chaotic time series is proposed. By utilizing the estimated local dynamics along a trajectory, we devise a transformation of the time series data such that the transformed data are concentrated on the periodic orbits. Thus, one can extract unstable periodic orbits from a chaotic time series by simply looking for peaks in a finite grid approximation of the distribution function of the transformed data. Our method is demonstrated using data from both numerical and experimental examples, including neuronal ensemble data from mammalian brain slices. The statistical significance of the results in the presence of noise is assessed using surrogate data. {copyright} {ital 1997} {ital The American Physical Society}
Parameter-Free Search of Time-Series Discord
Wei Luo; Marcus Gallagher; Janet Wiles
2013-01-01
Time-series discord is widely used in data mining applications to characterize anomalous subsequences in time series.Compared to some other discord search algorithms,the direct search algorithm based on the recurrence plot shows the advantage of being fast and parameter free.The direct search algorithm,however,relies on quasi-periodicity in input time series,an assumption that limits the algorithm's applicability.In this paper,we eliminate the periodicity assumption from the direct search algorithm by proposing a reference function for subsequences and a new sampling strategy based on the reference function.These measures result in a new algorithm with improved efficiency and robustness,as evidenced by our empirical evaluation.
GAS DETECTING AND FORECASTING VIA TIME SERIES METHOD
黄养光
1990-01-01
The importance and urgency of gas detecting and forecasting in underground coal mining are self-evident. Unfortunately, this problem has not yet been solved thoroughly. In this paper, the author suggests that the time series analysis method be adopted for processing the gas stochastic data. The time series method is superior to the conventional Fourier analysis in some aspects, especially, the time series method possesses Forecasting (or prediction) function which is highly valuable for gas monitoring. An example ot a set ot gas data sampled From a certain foul coal mine is investigated and an AR (3) model is established. The fitting result and the forecasting error are accepted satisfactorily. At the end of this paper several remarks are presented for further discussion.