DEFF Research Database (Denmark)
Fischer, Paul; Hilbert, Astrid
2012-01-01
We introduce a platform which supplies an easy-to-handle, interactive, extendable, and fast analysis tool for time series analysis. In contrast to other software suits like Maple, Matlab, or R, which use a command-line-like interface and where the user has to memorize/look-up the appropriate...... commands, our application is select-and-click-driven. It allows to derive many different sequences of deviations for a given time series and to visualize them in different ways in order to judge their expressive power and to reuse the procedure found. For many transformations or model-ts, the user may...... choose between manual and automated parameter selection. The user can dene new transformations and add them to the system. The application contains efficient implementations of advanced and recent techniques for time series analysis including techniques related to extreme value analysis and filtering...
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
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.
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
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.
Directory of Open Access Journals (Sweden)
Mutua Stephen
Full Text Available 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.
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
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.
TIME SERIES ANALYSIS USING A UNIQUE MODEL OF TRANSFORMATION
Directory of Open Access Journals (Sweden)
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.
Analysis of Heavy-Tailed Time Series
DEFF Research Database (Denmark)
Xie, Xiaolei
This thesis is about analysis of heavy-tailed time series. We discuss tail properties of real-world equity return series and investigate the possibility that a single tail index is shared by all return series of actively traded equities in a market. Conditions for this hypothesis to be true...... are identified. We study the eigenvalues and eigenvectors of sample covariance and sample auto-covariance matrices of multivariate heavy-tailed time series, and particularly for time series with very high dimensions. Asymptotic approximations of the eigenvalues and eigenvectors of such matrices are found...... and expressed in terms of the parameters of the dependence structure, among others. Furthermore, we study an importance sampling method for estimating rare-event probabilities of multivariate heavy-tailed time series generated by matrix recursion. We show that the proposed algorithm is efficient in the sense...
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...
Time-series-analysis techniques applied to nuclear-material accounting
International Nuclear Information System (INIS)
Pike, D.H.; Morrison, G.W.; Downing, D.J.
1982-05-01
This document is designed to introduce the reader to the applications of Time Series Analysis techniques to Nuclear Material Accountability data. Time series analysis techniques are designed to extract information from a collection of random variables ordered by time by seeking to identify any trends, patterns, or other structure in the series. Since nuclear material accountability data is a time series, one can extract more information using time series analysis techniques than by using other statistical techniques. Specifically, the objective of this document is to examine the applicability of time series analysis techniques to enhance loss detection of special nuclear materials. An introductory section examines the current industry approach which utilizes inventory differences. The error structure of inventory differences is presented. Time series analysis techniques discussed include the Shewhart Control Chart, the Cumulative Summation of Inventory Differences Statistics (CUSUM) and the Kalman Filter and Linear Smoother
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.
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...
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.
Horváth, Csilla; Kornelis, Marcel; Leeflang, Peter S.H.
2002-01-01
In this review, we give a comprehensive summary of time series techniques in marketing, and discuss a variety of time series analysis (TSA) techniques and models. We classify them in the sets (i) univariate TSA, (ii) multivariate TSA, and (iii) multiple TSA. We provide relevant marketing
Time 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
The analysis of time series: an introduction
National Research Council Canada - National Science Library
Chatfield, Christopher
1989-01-01
.... A variety of practical examples are given to support the theory. The book covers a wide range of time-series topics, including probability models for time series, Box-Jenkins forecasting, spectral analysis, linear systems and system identification...
Entropic Analysis of Electromyography Time Series
Kaufman, Miron; Sung, Paul
2005-03-01
We are in the process of assessing the effectiveness of fractal and entropic measures for the diagnostic of low back pain from surface electromyography (EMG) time series. Surface electromyography (EMG) is used to assess patients with low back pain. In a typical EMG measurement, the voltage is measured every millisecond. We observed back muscle fatiguing during one minute, which results in a time series with 60,000 entries. We characterize the complexity of time series by computing the Shannon entropy time dependence. The analysis of the time series from different relevant muscles from healthy and low back pain (LBP) individuals provides evidence that the level of variability of back muscle activities is much larger for healthy individuals than for individuals with LBP. In general the time dependence of the entropy shows a crossover from a diffusive regime to a regime characterized by long time correlations (self organization) at about 0.01s.
Mathematical foundations of time series analysis a concise introduction
Beran, Jan
2017-01-01
This book provides a concise introduction to the mathematical foundations of time series analysis, with an emphasis on mathematical clarity. The text is reduced to the essential logical core, mostly using the symbolic language of mathematics, thus enabling readers to very quickly grasp the essential reasoning behind time series analysis. It appeals to anybody wanting to understand time series in a precise, mathematical manner. It is suitable for graduate courses in time series analysis but is equally useful as a reference work for students and researchers alike.
On-line analysis of reactor noise using time-series analysis
International Nuclear Information System (INIS)
McGevna, V.G.
1981-10-01
A method to allow use of time series analysis for on-line noise analysis has been developed. On-line analysis of noise in nuclear power reactors has been limited primarily to spectral analysis and related frequency domain techniques. Time series analysis has many distinct advantages over spectral analysis in the automated processing of reactor noise. However, fitting an autoregressive-moving average (ARMA) model to time series data involves non-linear least squares estimation. Unless a high speed, general purpose computer is available, the calculations become too time consuming for on-line applications. To eliminate this problem, a special purpose algorithm was developed for fitting ARMA models. While it is based on a combination of steepest descent and Taylor series linearization, properties of the ARMA model are used so that the auto- and cross-correlation functions can be used to eliminate the need for estimating derivatives. The number of calculations, per iteration varies lineegardless of the mee 0.2% yield strength displayed anisotropy, with axial and circumferential values being greater than radial. For CF8-CPF8 and CF8M-CPF8M castings to meet current ASME Code S acid fuel cells
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
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.
Nonlinear time series analysis of the human electrocardiogram
International Nuclear Information System (INIS)
Perc, Matjaz
2005-01-01
We analyse the human electrocardiogram with simple nonlinear time series analysis methods that are appropriate for graduate as well as undergraduate courses. In particular, attention is devoted to the notions of determinism and stationarity in physiological data. We emphasize that methods of nonlinear time series analysis can be successfully applied only if the studied data set originates from a deterministic stationary system. After positively establishing the presence of determinism and stationarity in the studied electrocardiogram, we calculate the maximal Lyapunov exponent, thus providing interesting insights into the dynamics of the human heart. Moreover, to facilitate interest and enable the integration of nonlinear time series analysis methods into the curriculum at an early stage of the educational process, we also provide user-friendly programs for each implemented method
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.
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.
Nonlinear time series analysis with R
Huffaker, Ray; Rosa, Rodolfo
2017-01-01
In the process of data analysis, the investigator is often facing highly-volatile and random-appearing observed data. A vast body of literature shows that the assumption of underlying stochastic processes was not necessarily representing the nature of the processes under investigation and, when other tools were used, deterministic features emerged. Non Linear Time Series Analysis (NLTS) allows researchers to test whether observed volatility conceals systematic non linear behavior, and to rigorously characterize governing dynamics. Behavioral patterns detected by non linear time series analysis, along with scientific principles and other expert information, guide the specification of mechanistic models that serve to explain real-world behavior rather than merely reproducing it. Often there is a misconception regarding the complexity of the level of mathematics needed to understand and utilize the tools of NLTS (for instance Chaos theory). However, mathematics used in NLTS is much simpler than many other subjec...
Stochastic time series analysis of hydrology data for water resources
Sathish, S.; Khadar Babu, S. K.
2017-11-01
The prediction to current publication of stochastic time series analysis in hydrology and seasonal stage. The different statistical tests for predicting the hydrology time series on Thomas-Fiering model. The hydrology time series of flood flow have accept a great deal of consideration worldwide. The concentration of stochastic process areas of time series analysis method are expanding with develop concerns about seasonal periods and global warming. The recent trend by the researchers for testing seasonal periods in the hydrologic flowseries using stochastic process on Thomas-Fiering model. The present article proposed to predict the seasonal periods in hydrology using Thomas-Fiering model.
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.
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
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
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
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
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.
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)""…
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...
Time series analysis and its applications with R examples
Shumway, Robert H
2017-01-01
The fourth edition of this popular graduate textbook, like its predecessors, presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using nontrivial data illustrate solutions to problems such as discovering natural and anthropogenic climate change, evaluating pain perception experiments using functional magnetic resonance imaging, and monitoring a nuclear test ban treaty. The book is designed as a textbook for graduate level students in the physical, biological, and social sciences and as a graduate level text in statistics. Some parts may also serve as an undergraduate introductory course. Theory and methodology are separated to allow presentations on different levels. In addition to coverage of classical methods of time series regression, ARIMA models, spectral analysis and state-space models, the text includes modern developments including categorical time series analysis, multivariate spectral methods, long memory series, nonli...
Transition Icons for Time-Series Visualization and Exploratory Analysis.
Nickerson, Paul V; Baharloo, Raheleh; Wanigatunga, Amal A; Manini, Todd M; Tighe, Patrick J; Rashidi, Parisa
2018-03-01
The modern healthcare landscape has seen the rapid emergence of techniques and devices that temporally monitor and record physiological signals. The prevalence of time-series data within the healthcare field necessitates the development of methods that can analyze the data in order to draw meaningful conclusions. Time-series behavior is notoriously difficult to intuitively understand due to its intrinsic high-dimensionality, which is compounded in the case of analyzing groups of time series collected from different patients. Our framework, which we call transition icons, renders common patterns in a visual format useful for understanding the shared behavior within groups of time series. Transition icons are adept at detecting and displaying subtle differences and similarities, e.g., between measurements taken from patients receiving different treatment strategies or stratified by demographics. We introduce various methods that collectively allow for exploratory analysis of groups of time series, while being free of distribution assumptions and including simple heuristics for parameter determination. Our technique extracts discrete transition patterns from symbolic aggregate approXimation representations, and compiles transition frequencies into a bag of patterns constructed for each group. These transition frequencies are normalized and aligned in icon form to intuitively display the underlying patterns. We demonstrate the transition icon technique for two time-series datasets-postoperative pain scores, and hip-worn accelerometer activity counts. We believe transition icons can be an important tool for researchers approaching time-series data, as they give rich and intuitive information about collective time-series behaviors.
Time series analysis of ozone data in Isfahan
Omidvari, M.; Hassanzadeh, S.; Hosseinibalam, F.
2008-07-01
Time series analysis used to investigate the stratospheric ozone formation and decomposition processes. Different time series methods are applied to detect the reason for extreme high ozone concentrations for each season. Data was convert into seasonal component and frequency domain, the latter has been evaluated by using the Fast Fourier Transform (FFT), spectral analysis. The power density spectrum estimated from the ozone data showed peaks at cycle duration of 22, 20, 36, 186, 365 and 40 days. According to seasonal component analysis most fluctuation was in 1999 and 2000, but the least fluctuation was in 2003. The best correlation between ozone and sun radiation was found in 2000. Other variables which are not available cause to this fluctuation in the 1999 and 2001. The trend of ozone is increasing in 1999 and is decreasing in other years.
Wang, Jin; Sun, Xiangping; Nahavandi, Saeid; Kouzani, Abbas; Wu, Yuchuan; She, Mary
2014-11-01
Biomedical time series clustering that automatically groups a collection of time series according to their internal similarity is of importance for medical record management and inspection such as bio-signals archiving and retrieval. In this paper, a novel framework that automatically groups a set of unlabelled multichannel biomedical time series according to their internal structural similarity is proposed. Specifically, we treat a multichannel biomedical time series as a document and extract local segments from the time series as words. We extend a topic model, i.e., the Hierarchical probabilistic Latent Semantic Analysis (H-pLSA), which was originally developed for visual motion analysis to cluster a set of unlabelled multichannel time series. The H-pLSA models each channel of the multichannel time series using a local pLSA in the first layer. The topics learned in the local pLSA are then fed to a global pLSA in the second layer to discover the categories of multichannel time series. Experiments on a dataset extracted from multichannel Electrocardiography (ECG) signals demonstrate that the proposed method performs better than previous state-of-the-art approaches and is relatively robust to the variations of parameters including length of local segments and dictionary size. Although the experimental evaluation used the multichannel ECG signals in a biometric scenario, the proposed algorithm is a universal framework for multichannel biomedical time series clustering according to their structural similarity, which has many applications in biomedical time series management. Copyright © 2014 Elsevier Ireland Ltd. All rights reserved.
Application of Time Series Analysis in Determination of Lag Time in Jahanbin Basin
Directory of Open Access Journals (Sweden)
Seied Yahya Mirzaee
2005-11-01
One of the important issues that have significant role in study of hydrology of basin is determination of lag time. Lag time has significant role in hydrological studies. Quantity of rainfall related lag time depends on several factors, such as permeability, vegetation cover, catchments slope, rainfall intensity, storm duration and type of rain. Determination of lag time is important parameter in many projects such as dam design and also water resource studies. Lag time of basin could be calculated using various methods. One of these methods is time series analysis of spectral density. The analysis is based on fouries series. The time series is approximated with Sinuous and Cosines functions. In this method harmonically significant quantities with individual frequencies are presented. Spectral density under multiple time series could be used to obtain basin lag time for annual runoff and short-term rainfall fluctuation. A long lag time could be due to snowmelt as well as melting ice due to rainfalls in freezing days. In this research the lag time of Jahanbin basin has been determined using spectral density method. The catchments is subjected to both rainfall and snowfall. For short term rainfall fluctuation with a return period 2, 3, 4 months, the lag times were found 0.18, 0.5 and 0.083 month, respectively.
Lecture notes for Advanced Time Series Analysis
DEFF Research Database (Denmark)
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, ...
Time series analysis methods and applications for flight data
Zhang, Jianye
2017-01-01
This book focuses on different facets of flight data analysis, including the basic goals, methods, and implementation techniques. As mass flight data possesses the typical characteristics of time series, the time series analysis methods and their application for flight data have been illustrated from several aspects, such as data filtering, data extension, feature optimization, similarity search, trend monitoring, fault diagnosis, and parameter prediction, etc. An intelligent information-processing platform for flight data has been established to assist in aircraft condition monitoring, training evaluation and scientific maintenance. The book will serve as a reference resource for people working in aviation management and maintenance, as well as researchers and engineers in the fields of data analysis and data mining.
Multiscale multifractal multiproperty analysis of financial time series based on Rényi entropy
Yujun, Yang; Jianping, Li; Yimei, Yang
This paper introduces a multiscale multifractal multiproperty analysis based on Rényi entropy (3MPAR) method to analyze short-range and long-range characteristics of financial time series, and then applies this method to the five time series of five properties in four stock indices. Combining the two analysis techniques of Rényi entropy and multifractal detrended fluctuation analysis (MFDFA), the 3MPAR method focuses on the curves of Rényi entropy and generalized Hurst exponent of five properties of four stock time series, which allows us to study more universal and subtle fluctuation characteristics of financial time series. By analyzing the curves of the Rényi entropy and the profiles of the logarithm distribution of MFDFA of five properties of four stock indices, the 3MPAR method shows some fluctuation characteristics of the financial time series and the stock markets. Then, it also shows a richer information of the financial time series by comparing the profile of five properties of four stock indices. In this paper, we not only focus on the multifractality of time series but also the fluctuation characteristics of the financial time series and subtle differences in the time series of different properties. We find that financial time series is far more complex than reported in some research works using one property of time series.
Multi-granular trend detection for time-series analysis
van Goethem, A.I.; Staals, F.; Löffler, M.; Dykes, J.; Speckmann, B.
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
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
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.
A novel water quality data analysis framework based on time-series data mining.
Deng, Weihui; Wang, Guoyin
2017-07-01
The rapid development of time-series data mining provides an emerging method for water resource management research. In this paper, based on the time-series data mining methodology, we propose a novel and general analysis framework for water quality time-series data. It consists of two parts: implementation components and common tasks of time-series data mining in water quality data. In the first part, we propose to granulate the time series into several two-dimensional normal clouds and calculate the similarities in the granulated level. On the basis of the similarity matrix, the similarity search, anomaly detection, and pattern discovery tasks in the water quality time-series instance dataset can be easily implemented in the second part. We present a case study of this analysis framework on weekly Dissolve Oxygen time-series data collected from five monitoring stations on the upper reaches of Yangtze River, China. It discovered the relationship of water quality in the mainstream and tributary as well as the main changing patterns of DO. The experimental results show that the proposed analysis framework is a feasible and efficient method to mine the hidden and valuable knowledge from water quality historical time-series data. Copyright © 2017 Elsevier Ltd. All rights reserved.
Time series analysis of barometric pressure data
International Nuclear Information System (INIS)
La Rocca, Paola; Riggi, Francesco; Riggi, Daniele
2010-01-01
Time series of atmospheric pressure data, collected over a period of several years, were analysed to provide undergraduate students with educational examples of application of simple statistical methods of analysis. In addition to basic methods for the analysis of periodicities, a comparison of two forecast models, one based on autoregression algorithms, and the other making use of an artificial neural network, was made. Results show that the application of artificial neural networks may give slightly better results compared to traditional methods.
Handbook of Time Series Analysis Recent Theoretical Developments and Applications
Schelter, Björn; Timmer, Jens
2006-01-01
This handbook provides an up-to-date survey of current research topics and applications of time series analysis methods written by leading experts in their fields. It covers recent developments in univariate as well as bivariate and multivariate time series analysis techniques ranging from physics' to life sciences' applications. Each chapter comprises both methodological aspects and applications to real world complex systems, such as the human brain or Earth's climate. Covering an exceptionally broad spectrum of topics, beginners, experts and practitioners who seek to understand the latest de
Notes on economic time series analysis system theoretic perspectives
Aoki, Masanao
1983-01-01
In seminars and graduate level courses I have had several opportunities to discuss modeling and analysis of time series with economists and economic graduate students during the past several years. These experiences made me aware of a gap between what economic graduate students are taught about vector-valued time series and what is available in recent system literature. Wishing to fill or narrow the gap that I suspect is more widely spread than my personal experiences indicate, I have written these notes to augment and reor ganize materials I have given in these courses and seminars. I have endeavored to present, in as much a self-contained way as practicable, a body of results and techniques in system theory that I judge to be relevant and useful to economists interested in using time series in their research. I have essentially acted as an intermediary and interpreter of system theoretic results and perspectives in time series by filtering out non-essential details, and presenting coherent accounts of wha...
Spectral Unmixing Analysis of Time Series Landsat 8 Images
Zhuo, R.; Xu, L.; Peng, J.; Chen, Y.
2018-05-01
Temporal analysis of Landsat 8 images opens up new opportunities in the unmixing procedure. Although spectral analysis of time series Landsat imagery has its own advantage, it has rarely been studied. Nevertheless, using the temporal information can provide improved unmixing performance when compared to independent image analyses. Moreover, different land cover types may demonstrate different temporal patterns, which can aid the discrimination of different natures. Therefore, this letter presents time series K-P-Means, a new solution to the problem of unmixing time series Landsat imagery. The proposed approach is to obtain the "purified" pixels in order to achieve optimal unmixing performance. The vertex component analysis (VCA) is used to extract endmembers for endmember initialization. First, nonnegative least square (NNLS) is used to estimate abundance maps by using the endmember. Then, the estimated endmember is the mean value of "purified" pixels, which is the residual of the mixed pixel after excluding the contribution of all nondominant endmembers. Assembling two main steps (abundance estimation and endmember update) into the iterative optimization framework generates the complete algorithm. Experiments using both simulated and real Landsat 8 images show that the proposed "joint unmixing" approach provides more accurate endmember and abundance estimation results compared with "separate unmixing" approach.
Topological data analysis of financial time series: Landscapes of crashes
Gidea, Marian; Katz, Yuri
2018-02-01
We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007-2009. Our methodology is based on topological data analysis (TDA). We use persistence homology to detect and quantify topological patterns that appear in multidimensional time series. Using a sliding window, we extract time-dependent point cloud data sets, to which we associate a topological space. We detect transient loops that appear in this space, and we measure their persistence. This is encoded in real-valued functions referred to as a 'persistence landscapes'. We quantify the temporal changes in persistence landscapes via their Lp-norms. We test this procedure on multidimensional time series generated by various non-linear and non-equilibrium models. We find that, in the vicinity of financial meltdowns, the Lp-norms exhibit strong growth prior to the primary peak, which ascends during a crash. Remarkably, the average spectral density at low frequencies of the time series of Lp-norms of the persistence landscapes demonstrates a strong rising trend for 250 trading days prior to either dotcom crash on 03/10/2000, or to the Lehman bankruptcy on 09/15/2008. Our study suggests that TDA provides a new type of econometric analysis, which complements the standard statistical measures. The method can be used to detect early warning signals of imminent market crashes. We believe that this approach can be used beyond the analysis of financial time series presented here.
Time series analysis of temporal networks
Sikdar, Sandipan; Ganguly, Niloy; Mukherjee, Animesh
2016-01-01
A common but an important feature of all real-world networks is that they are temporal in nature, i.e., the network structure changes over time. Due to this dynamic nature, it becomes difficult to propose suitable growth models that can explain the various important characteristic properties of these networks. In fact, in many application oriented studies only knowing these properties is sufficient. For instance, if one wishes to launch a targeted attack on a network, this can be done even without the knowledge of the full network structure; rather an estimate of some of the properties is sufficient enough to launch the attack. We, in this paper show that even if the network structure at a future time point is not available one can still manage to estimate its properties. We propose a novel method to map a temporal network to a set of time series instances, analyze them and using a standard forecast model of time series, try to predict the properties of a temporal network at a later time instance. To our aim, we consider eight properties such as number of active nodes, average degree, clustering coefficient etc. and apply our prediction framework on them. We mainly focus on the temporal network of human face-to-face contacts and observe that it represents a stochastic process with memory that can be modeled as Auto-Regressive-Integrated-Moving-Average (ARIMA). We use cross validation techniques to find the percentage accuracy of our predictions. An important observation is that the frequency domain properties of the time series obtained from spectrogram analysis could be used to refine the prediction framework by identifying beforehand the cases where the error in prediction is likely to be high. This leads to an improvement of 7.96% (for error level ≤20%) in prediction accuracy on an average across all datasets. As an application we show how such prediction scheme can be used to launch targeted attacks on temporal networks. Contribution to the Topical Issue
Trottini, Mario; Vigo, Isabel; Belda, Santiago
2015-01-01
Given a time series, running trends analysis (RTA) involves evaluating least squares trends over overlapping time windows of L consecutive time points, with overlap by all but one observation. This produces a new series called the “running trends series,” which is used as summary statistics of the original series for further analysis. In recent years, RTA has been widely used in climate applied research as summary statistics for time series and time series association. There is no doubt that ...
Sensitivity analysis of machine-learning models of hydrologic time series
O'Reilly, A. M.
2017-12-01
Sensitivity analysis traditionally has been applied to assessing model response to perturbations in model parameters, where the parameters are those model input variables adjusted during calibration. Unlike physics-based models where parameters represent real phenomena, the equivalent of parameters for machine-learning models are simply mathematical "knobs" that are automatically adjusted during training/testing/verification procedures. Thus the challenge of extracting knowledge of hydrologic system functionality from machine-learning models lies in their very nature, leading to the label "black box." Sensitivity analysis of the forcing-response behavior of machine-learning models, however, can provide understanding of how the physical phenomena represented by model inputs affect the physical phenomena represented by model outputs.As part of a previous study, hybrid spectral-decomposition artificial neural network (ANN) models were developed to simulate the observed behavior of hydrologic response contained in multidecadal datasets of lake water level, groundwater level, and spring flow. Model inputs used moving window averages (MWA) to represent various frequencies and frequency-band components of time series of rainfall and groundwater use. Using these forcing time series, the MWA-ANN models were trained to predict time series of lake water level, groundwater level, and spring flow at 51 sites in central Florida, USA. A time series of sensitivities for each MWA-ANN model was produced by perturbing forcing time-series and computing the change in response time-series per unit change in perturbation. Variations in forcing-response sensitivities are evident between types (lake, groundwater level, or spring), spatially (among sites of the same type), and temporally. Two generally common characteristics among sites are more uniform sensitivities to rainfall over time and notable increases in sensitivities to groundwater usage during significant drought periods.
Multivariate stochastic analysis for Monthly hydrological time series at Cuyahoga River Basin
zhang, L.
2011-12-01
Copula has become a very powerful statistic and stochastic methodology in case of the multivariate analysis in Environmental and Water resources Engineering. In recent years, the popular one-parameter Archimedean copulas, e.g. Gumbel-Houggard copula, Cook-Johnson copula, Frank copula, the meta-elliptical copula, e.g. Gaussian Copula, Student-T copula, etc. have been applied in multivariate hydrological analyses, e.g. multivariate rainfall (rainfall intensity, duration and depth), flood (peak discharge, duration and volume), and drought analyses (drought length, mean and minimum SPI values, and drought mean areal extent). Copula has also been applied in the flood frequency analysis at the confluences of river systems by taking into account the dependence among upstream gauge stations rather than by using the hydrological routing technique. In most of the studies above, the annual time series have been considered as stationary signal which the time series have been assumed as independent identically distributed (i.i.d.) random variables. But in reality, hydrological time series, especially the daily and monthly hydrological time series, cannot be considered as i.i.d. random variables due to the periodicity existed in the data structure. Also, the stationary assumption is also under question due to the Climate Change and Land Use and Land Cover (LULC) change in the fast years. To this end, it is necessary to revaluate the classic approach for the study of hydrological time series by relaxing the stationary assumption by the use of nonstationary approach. Also as to the study of the dependence structure for the hydrological time series, the assumption of same type of univariate distribution also needs to be relaxed by adopting the copula theory. In this paper, the univariate monthly hydrological time series will be studied through the nonstationary time series analysis approach. The dependence structure of the multivariate monthly hydrological time series will be
Time Series Analysis of Wheat Futures Reward in China
Institute of Scientific and Technical Information of China (English)
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.
Fractal analysis and nonlinear forecasting of indoor 222Rn time series
International Nuclear Information System (INIS)
Pausch, G.; Bossew, P.; Hofmann, W.; Steger, F.
1998-01-01
Fractal analyses of indoor 222 Rn time series were performed using different chaos theory based measurements such as time delay method, Hurst's rescaled range analysis, capacity (fractal) dimension, and Lyapunov exponent. For all time series we calculated only positive Lyapunov exponents which is a hint to chaos, while the Hurst exponents were well below 0.5, indicating antipersistent behaviour (past trends tend to reverse in the future). These time series were also analyzed with a nonlinear prediction method which allowed an estimation of the embedding dimensions with some restrictions, limiting the prediction to about three relative time steps. (orig.)
ESTIMATING RELIABILITY OF DISTURBANCES IN SATELLITE TIME SERIES DATA BASED ON STATISTICAL ANALYSIS
Directory of Open Access Journals (Sweden)
Z.-G. Zhou
2016-06-01
Full Text Available Normally, the status of land cover is inherently dynamic and changing continuously on temporal scale. However, disturbances or abnormal changes of land cover — caused by such as forest fire, flood, deforestation, and plant diseases — occur worldwide at unknown times and locations. Timely detection and characterization of these disturbances is of importance for land cover monitoring. Recently, many time-series-analysis methods have been developed for near real-time or online disturbance detection, using satellite image time series. However, the detection results were only labelled with “Change/ No change” by most of the present methods, while few methods focus on estimating reliability (or confidence level of the detected disturbances in image time series. To this end, this paper propose a statistical analysis method for estimating reliability of disturbances in new available remote sensing image time series, through analysis of full temporal information laid in time series data. The method consists of three main steps. (1 Segmenting and modelling of historical time series data based on Breaks for Additive Seasonal and Trend (BFAST. (2 Forecasting and detecting disturbances in new time series data. (3 Estimating reliability of each detected disturbance using statistical analysis based on Confidence Interval (CI and Confidence Levels (CL. The method was validated by estimating reliability of disturbance regions caused by a recent severe flooding occurred around the border of Russia and China. Results demonstrated that the method can estimate reliability of disturbances detected in satellite image with estimation error less than 5% and overall accuracy up to 90%.
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
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
Network structure of multivariate time series.
Lacasa, Lucas; Nicosia, Vincenzo; Latora, Vito
2015-10-21
Our understanding of a variety of phenomena in physics, biology and economics crucially depends on the analysis of multivariate time series. While a wide range tools and techniques for time series analysis already exist, the increasing availability of massive data structures calls for new approaches for multidimensional signal processing. We present here a non-parametric method to analyse multivariate time series, based on the mapping of a multidimensional time series into a multilayer network, which allows to extract information on a high dimensional dynamical system through the analysis of the structure of the associated multiplex network. The method is simple to implement, general, scalable, does not require ad hoc phase space partitioning, and is thus suitable for the analysis of large, heterogeneous and non-stationary time series. We show that simple structural descriptors of the associated multiplex networks allow to extract and quantify nontrivial properties of coupled chaotic maps, including the transition between different dynamical phases and the onset of various types of synchronization. As a concrete example we then study financial time series, showing that a multiplex network analysis can efficiently discriminate crises from periods of financial stability, where standard methods based on time-series symbolization often fail.
Time series analysis in astronomy: Limits and potentialities
DEFF Research Database (Denmark)
Vio, R.; Kristensen, N.R.; Madsen, Henrik
2005-01-01
In this paper we consider the problem of the limits concerning the physical information that can be extracted from the analysis of one or more time series ( light curves) typical of astrophysical objects. On the basis of theoretical considerations and numerical simulations, we show that with no a...
Time Series Factor Analysis with an Application to Measuring Money
Gilbert, Paul D.; Meijer, Erik
2005-01-01
Time series factor analysis (TSFA) and its associated statistical theory is developed. Unlike dynamic factor analysis (DFA), TSFA obviates the need for explicitly modeling the process dynamics of the underlying phenomena. It also differs from standard factor analysis (FA) in important respects: the
Growth And Export Expansion In Mauritius - A Time Series Analysis ...
African Journals Online (AJOL)
Growth And Export Expansion In Mauritius - A Time Series Analysis. ... RV Sannassee, R Pearce ... Using Granger Causality tests, the short-run analysis results revealed that there is significant reciprocal causality between real export earnings ...
Time series analysis of nuclear instrumentation in EBR-II
International Nuclear Information System (INIS)
Imel, G.R.
1996-01-01
Results of a time series analysis of the scaler count data from the 3 wide range nuclear detectors in the Experimental Breeder Reactor-II are presented. One of the channels was replaced, and it was desired to determine if there was any statistically significant change (ie, improvement) in the channel's response after the replacement. Data were collected from all 3 channels for 16-day periods before and after detector replacement. Time series analysis and statistical tests showed that there was no significant change after the detector replacement. Also, there were no statistically significant differences among the 3 channels, either before or after the replacement. Finally, it was determined that errors in the reactivity change inferred from subcritical count monitoring during fuel handling would be on the other of 20-30 cents for single count intervals
Time series analysis in chaotic diode resonator circuit
Energy Technology Data Exchange (ETDEWEB)
Hanias, M.P. [TEI of Chalkis, GR 34400, Evia, Chalkis (Greece)] e-mail: mhanias@teihal.gr; Giannaris, G. [TEI of Chalkis, GR 34400, Evia, Chalkis (Greece); Spyridakis, A. [TEI of Chalkis, GR 34400, Evia, Chalkis (Greece); Rigas, A. [TEI of Chalkis, GR 34400, Evia, Chalkis (Greece)
2006-01-01
A diode resonator chaotic circuit is presented. Multisim is used to simulate the circuit and show the presence of chaos. Time series analysis performed by the method proposed by Grasberger and Procaccia. The correlation and minimum embedding dimension {nu} and m {sub min}, respectively, were calculated. Also the corresponding Kolmogorov entropy was calculated.
Time series analysis in chaotic diode resonator circuit
International Nuclear Information System (INIS)
Hanias, M.P.; Giannaris, G.; Spyridakis, A.; Rigas, A.
2006-01-01
A diode resonator chaotic circuit is presented. Multisim is used to simulate the circuit and show the presence of chaos. Time series analysis performed by the method proposed by Grasberger and Procaccia. The correlation and minimum embedding dimension ν and m min , respectively, were calculated. Also the corresponding Kolmogorov entropy was calculated
Time-series analysis of Nigeria rice supply and demand: Error ...
African Journals Online (AJOL)
The study examined a time-series analysis of Nigeria rice supply and demand with a view to determining any long-run equilibrium between them using the Error Correction Model approach (ECM). The data used for the study represents the annual series of 1960-2007 (47 years) for rice supply and demand in Nigeria, ...
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.
The Photoplethismographic Signal Processed with Nonlinear Time Series Analysis Tools
International Nuclear Information System (INIS)
Hernandez Caceres, Jose Luis; Hong, Rolando; Garcia Lanz, Abel; Garcia Dominguez, Luis; Cabannas, Karelia
2001-01-01
Finger photoplethismography (PPG) signals were submitted to nonlinear time series analysis. The applied analytical techniques were: (i) High degree polynomial fitting for baseline estimation; (ii) FFT analysis for estimating power spectra; (iii) fractal dimension estimation via the Higuchi's time-domain method, and (iv) kernel nonparametric estimation for reconstructing noise free-attractors and also for estimating signal's stochastic components
Cluster analysis of activity-time series in motor learning
DEFF Research Database (Denmark)
Balslev, Daniela; Nielsen, Finn Å; Futiger, Sally A
2002-01-01
Neuroimaging studies of learning focus on brain areas where the activity changes as a function of time. To circumvent the difficult problem of model selection, we used a data-driven analytic tool, cluster analysis, which extracts representative temporal and spatial patterns from the voxel......-time series. The optimal number of clusters was chosen using a cross-validated likelihood method, which highlights the clustering pattern that generalizes best over the subjects. Data were acquired with PET at different time points during practice of a visuomotor task. The results from cluster analysis show...
Directory of Open Access Journals (Sweden)
Dennis A Dean
Full Text Available We present a novel approach for analyzing biological time-series data using a context-free language (CFL representation that allows the extraction and quantification of important features from the time-series. This representation results in Hierarchically AdaPtive (HAP analysis, a suite of multiple complementary techniques that enable rapid analysis of data and does not require the user to set parameters. HAP analysis generates hierarchically organized parameter distributions that allow multi-scale components of the time-series to be quantified and includes a data analysis pipeline that applies recursive analyses to generate hierarchically organized results that extend traditional outcome measures such as pharmacokinetics and inter-pulse interval. Pulsicons, a novel text-based time-series representation also derived from the CFL approach, are introduced as an objective qualitative comparison nomenclature. We apply HAP to the analysis of 24 hours of frequently sampled pulsatile cortisol hormone data, which has known analysis challenges, from 14 healthy women. HAP analysis generated results in seconds and produced dozens of figures for each participant. The results quantify the observed qualitative features of cortisol data as a series of pulse clusters, each consisting of one or more embedded pulses, and identify two ultradian phenotypes in this dataset. HAP analysis is designed to be robust to individual differences and to missing data and may be applied to other pulsatile hormones. Future work can extend HAP analysis to other time-series data types, including oscillatory and other periodic physiological signals.
Multiple Indicator Stationary Time Series Models.
Sivo, Stephen A.
2001-01-01
Discusses the propriety and practical advantages of specifying multivariate time series models in the context of structural equation modeling for time series and longitudinal panel data. For time series data, the multiple indicator model specification improves on classical time series analysis. For panel data, the multiple indicator model…
Mapping air temperature using time series analysis of LST : The SINTESI approach
Alfieri, S.M.; De Lorenzi, F.; Menenti, M.
2013-01-01
This paper presents a new procedure to map time series of air temperature (Ta) at fine spatial resolution using time series analysis of satellite-derived land surface temperature (LST) observations. The method assumes that air temperature is known at a single (reference) location such as in gridded
A Markovian Entropy Measure for the Analysis of Calcium Activity Time Series.
Marken, John P; Halleran, Andrew D; Rahman, Atiqur; Odorizzi, Laura; LeFew, Michael C; Golino, Caroline A; Kemper, Peter; Saha, Margaret S
2016-01-01
Methods to analyze the dynamics of calcium activity often rely on visually distinguishable features in time series data such as spikes, waves, or oscillations. However, systems such as the developing nervous system display a complex, irregular type of calcium activity which makes the use of such methods less appropriate. Instead, for such systems there exists a class of methods (including information theoretic, power spectral, and fractal analysis approaches) which use more fundamental properties of the time series to analyze the observed calcium dynamics. We present a new analysis method in this class, the Markovian Entropy measure, which is an easily implementable calcium time series analysis method which represents the observed calcium activity as a realization of a Markov Process and describes its dynamics in terms of the level of predictability underlying the transitions between the states of the process. We applied our and other commonly used calcium analysis methods on a dataset from Xenopus laevis neural progenitors which displays irregular calcium activity and a dataset from murine synaptic neurons which displays activity time series that are well-described by visually-distinguishable features. We find that the Markovian Entropy measure is able to distinguish between biologically distinct populations in both datasets, and that it can separate biologically distinct populations to a greater extent than other methods in the dataset exhibiting irregular calcium activity. These results support the benefit of using the Markovian Entropy measure to analyze calcium dynamics, particularly for studies using time series data which do not exhibit easily distinguishable features.
A Markovian Entropy Measure for the Analysis of Calcium Activity Time Series.
Directory of Open Access Journals (Sweden)
John P Marken
Full Text Available Methods to analyze the dynamics of calcium activity often rely on visually distinguishable features in time series data such as spikes, waves, or oscillations. However, systems such as the developing nervous system display a complex, irregular type of calcium activity which makes the use of such methods less appropriate. Instead, for such systems there exists a class of methods (including information theoretic, power spectral, and fractal analysis approaches which use more fundamental properties of the time series to analyze the observed calcium dynamics. We present a new analysis method in this class, the Markovian Entropy measure, which is an easily implementable calcium time series analysis method which represents the observed calcium activity as a realization of a Markov Process and describes its dynamics in terms of the level of predictability underlying the transitions between the states of the process. We applied our and other commonly used calcium analysis methods on a dataset from Xenopus laevis neural progenitors which displays irregular calcium activity and a dataset from murine synaptic neurons which displays activity time series that are well-described by visually-distinguishable features. We find that the Markovian Entropy measure is able to distinguish between biologically distinct populations in both datasets, and that it can separate biologically distinct populations to a greater extent than other methods in the dataset exhibiting irregular calcium activity. These results support the benefit of using the Markovian Entropy measure to analyze calcium dynamics, particularly for studies using time series data which do not exhibit easily distinguishable features.
Time Series Data Analysis of Wireless Sensor Network Measurements of Temperature.
Bhandari, Siddhartha; Bergmann, Neil; Jurdak, Raja; Kusy, Branislav
2017-05-26
Wireless sensor networks have gained significant traction in environmental signal monitoring and analysis. The cost or lifetime of the system typically depends on the frequency at which environmental phenomena are monitored. If sampling rates are reduced, energy is saved. Using empirical datasets collected from environmental monitoring sensor networks, this work performs time series analyses of measured temperature time series. Unlike previous works which have concentrated on suppressing the transmission of some data samples by time-series analysis but still maintaining high sampling rates, this work investigates reducing the sampling rate (and sensor wake up rate) and looks at the effects on accuracy. Results show that the sampling period of the sensor can be increased up to one hour while still allowing intermediate and future states to be estimated with interpolation RMSE less than 0.2 °C and forecasting RMSE less than 1 °C.
Mathematical methods in time series analysis and digital image processing
Kurths, J; Maass, P; Timmer, J
2008-01-01
The aim of this volume is to bring together research directions in theoretical signal and imaging processing developed rather independently in electrical engineering, theoretical physics, mathematics and the computer sciences. In particular, mathematically justified algorithms and methods, the mathematical analysis of these algorithms, and methods as well as the investigation of connections between methods from time series analysis and image processing are reviewed. An interdisciplinary comparison of these methods, drawing upon common sets of test problems from medicine and geophysical/enviromental sciences, is also addressed. This volume coherently summarizes work carried out in the field of theoretical signal and image processing. It focuses on non-linear and non-parametric models for time series as well as on adaptive methods in image processing.
Multi-Scale Entropy Analysis as a Method for Time-Series Analysis of Climate Data
Directory of Open Access Journals (Sweden)
Heiko Balzter
2015-03-01
Full Text Available Evidence is mounting that the temporal dynamics of the climate system are changing at the same time as the average global temperature is increasing due to multiple climate forcings. A large number of extreme weather events such as prolonged cold spells, heatwaves, droughts and floods have been recorded around the world in the past 10 years. Such changes in the temporal scaling behaviour of climate time-series data can be difficult to detect. While there are easy and direct ways of analysing climate data by calculating the means and variances for different levels of temporal aggregation, these methods can miss more subtle changes in their dynamics. This paper describes multi-scale entropy (MSE analysis as a tool to study climate time-series data and to identify temporal scales of variability and their change over time in climate time-series. MSE estimates the sample entropy of the time-series after coarse-graining at different temporal scales. An application of MSE to Central European, variance-adjusted, mean monthly air temperature anomalies (CRUTEM4v is provided. The results show that the temporal scales of the current climate (1960–2014 are different from the long-term average (1850–1960. For temporal scale factors longer than 12 months, the sample entropy increased markedly compared to the long-term record. Such an increase can be explained by systems theory with greater complexity in the regional temperature data. From 1961 the patterns of monthly air temperatures are less regular at time-scales greater than 12 months than in the earlier time period. This finding suggests that, at these inter-annual time scales, the temperature variability has become less predictable than in the past. It is possible that climate system feedbacks are expressed in altered temporal scales of the European temperature time-series data. A comparison with the variance and Shannon entropy shows that MSE analysis can provide additional information on the
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-...
Time series analysis of gold production in Malaysia
Muda, Nora; Hoon, Lee Yuen
2012-05-01
Gold is a soft, malleable, bright yellow metallic element and unaffected by air or most reagents. It is highly valued as an asset or investment commodity and is extensively used in jewellery, industrial application, dentistry and medical applications. In Malaysia, gold mining is limited in several areas such as Pahang, Kelantan, Terengganu, Johor and Sarawak. The main purpose of this case study is to obtain a suitable model for the production of gold in Malaysia. The model can also be used to predict the data of Malaysia's gold production in the future. Box-Jenkins time series method was used to perform time series analysis with the following steps: identification, estimation, diagnostic checking and forecasting. In addition, the accuracy of prediction is tested using mean absolute percentage error (MAPE). From the analysis, the ARIMA (3,1,1) model was found to be the best fitted model with MAPE equals to 3.704%, indicating the prediction is very accurate. Hence, this model can be used for forecasting. This study is expected to help the private and public sectors to understand the gold production scenario and later plan the gold mining activities in Malaysia.
Time Series Imputation via L1 Norm-Based Singular Spectrum Analysis
Kalantari, Mahdi; Yarmohammadi, Masoud; Hassani, Hossein; Silva, Emmanuel Sirimal
Missing values in time series data is a well-known and important problem which many researchers have studied extensively in various fields. In this paper, a new nonparametric approach for missing value imputation in time series is proposed. The main novelty of this research is applying the L1 norm-based version of Singular Spectrum Analysis (SSA), namely L1-SSA which is robust against outliers. The performance of the new imputation method has been compared with many other established methods. The comparison is done by applying them to various real and simulated time series. The obtained results confirm that the SSA-based methods, especially L1-SSA can provide better imputation in comparison to other methods.
Jung, Inuk; Jo, Kyuri; Kang, Hyejin; Ahn, Hongryul; Yu, Youngjae; Kim, Sun
2017-12-01
Identifying biologically meaningful gene expression patterns from time series gene expression data is important to understand the underlying biological mechanisms. To identify significantly perturbed gene sets between different phenotypes, analysis of time series transcriptome data requires consideration of time and sample dimensions. Thus, the analysis of such time series data seeks to search gene sets that exhibit similar or different expression patterns between two or more sample conditions, constituting the three-dimensional data, i.e. gene-time-condition. Computational complexity for analyzing such data is very high, compared to the already difficult NP-hard two dimensional biclustering algorithms. Because of this challenge, traditional time series clustering algorithms are designed to capture co-expressed genes with similar expression pattern in two sample conditions. We present a triclustering algorithm, TimesVector, specifically designed for clustering three-dimensional time series data to capture distinctively similar or different gene expression patterns between two or more sample conditions. TimesVector identifies clusters with distinctive expression patterns in three steps: (i) dimension reduction and clustering of time-condition concatenated vectors, (ii) post-processing clusters for detecting similar and distinct expression patterns and (iii) rescuing genes from unclassified clusters. Using four sets of time series gene expression data, generated by both microarray and high throughput sequencing platforms, we demonstrated that TimesVector successfully detected biologically meaningful clusters of high quality. TimesVector improved the clustering quality compared to existing triclustering tools and only TimesVector detected clusters with differential expression patterns across conditions successfully. The TimesVector software is available at http://biohealth.snu.ac.kr/software/TimesVector/. sunkim.bioinfo@snu.ac.kr. Supplementary data are available at
Time series clustering analysis of health-promoting behavior
Yang, Chi-Ta; Hung, Yu-Shiang; Deng, Guang-Feng
2013-10-01
Health promotion must be emphasized to achieve the World Health Organization goal of health for all. Since the global population is aging rapidly, ComCare elder health-promoting service was developed by the Taiwan Institute for Information Industry in 2011. Based on the Pender health promotion model, ComCare service offers five categories of health-promoting functions to address the everyday needs of seniors: nutrition management, social support, exercise management, health responsibility, stress management. To assess the overall ComCare service and to improve understanding of the health-promoting behavior of elders, this study analyzed health-promoting behavioral data automatically collected by the ComCare monitoring system. In the 30638 session records collected for 249 elders from January, 2012 to March, 2013, behavior patterns were identified by fuzzy c-mean time series clustering algorithm combined with autocorrelation-based representation schemes. The analysis showed that time series data for elder health-promoting behavior can be classified into four different clusters. Each type reveals different health-promoting needs, frequencies, function numbers and behaviors. The data analysis result can assist policymakers, health-care providers, and experts in medicine, public health, nursing and psychology and has been provided to Taiwan National Health Insurance Administration to assess the elder health-promoting behavior.
The Timeseries Toolbox - A Web Application to Enable Accessible, Reproducible Time Series Analysis
Veatch, W.; Friedman, D.; Baker, B.; Mueller, C.
2017-12-01
The vast majority of data analyzed by climate researchers are repeated observations of physical process or time series data. This data lends itself of a common set of statistical techniques and models designed to determine trends and variability (e.g., seasonality) of these repeated observations. Often, these same techniques and models can be applied to a wide variety of different time series data. The Timeseries Toolbox is a web application designed to standardize and streamline these common approaches to time series analysis and modeling with particular attention to hydrologic time series used in climate preparedness and resilience planning and design by the U. S. Army Corps of Engineers. The application performs much of the pre-processing of time series data necessary for more complex techniques (e.g. interpolation, aggregation). With this tool, users can upload any dataset that conforms to a standard template and immediately begin applying these techniques to analyze their time series data.
International Nuclear Information System (INIS)
Munoz-Diosdado, A
2005-01-01
We analyzed databases with gait time series of adults and persons with Parkinson, Huntington and amyotrophic lateral sclerosis (ALS) diseases. We obtained the staircase graphs of accumulated events that can be bounded by a straight line whose slope can be used to distinguish between gait time series from healthy and ill persons. The global Hurst exponent of these series do not show tendencies, we intend that this is because some gait time series have monofractal behavior and others have multifractal behavior so they cannot be characterized with a single Hurst exponent. We calculated the multifractal spectra, obtained the spectra width and found that the spectra of the healthy young persons are almost monofractal. The spectra of ill persons are wider than the spectra of healthy persons. In opposition to the interbeat time series where the pathology implies loss of multifractality, in the gait time series the multifractal behavior emerges with the pathology. Data were collected from healthy and ill subjects as they walked in a roughly circular path and they have sensors in both feet, so we have one time series for the left foot and other for the right foot. First, we analyzed these time series separately, and then we compared both results, with direct comparison and with a cross correlation analysis. We tried to find differences in both time series that can be used as indicators of equilibrium problems
Energy Technology Data Exchange (ETDEWEB)
Munoz-Diosdado, A [Department of Mathematics, Unidad Profesional Interdisciplinaria de Biotecnologia, Instituto Politecnico Nacional, Av. Acueducto s/n, 07340, Mexico City (Mexico)
2005-01-01
We analyzed databases with gait time series of adults and persons with Parkinson, Huntington and amyotrophic lateral sclerosis (ALS) diseases. We obtained the staircase graphs of accumulated events that can be bounded by a straight line whose slope can be used to distinguish between gait time series from healthy and ill persons. The global Hurst exponent of these series do not show tendencies, we intend that this is because some gait time series have monofractal behavior and others have multifractal behavior so they cannot be characterized with a single Hurst exponent. We calculated the multifractal spectra, obtained the spectra width and found that the spectra of the healthy young persons are almost monofractal. The spectra of ill persons are wider than the spectra of healthy persons. In opposition to the interbeat time series where the pathology implies loss of multifractality, in the gait time series the multifractal behavior emerges with the pathology. Data were collected from healthy and ill subjects as they walked in a roughly circular path and they have sensors in both feet, so we have one time series for the left foot and other for the right foot. First, we analyzed these time series separately, and then we compared both results, with direct comparison and with a cross correlation analysis. We tried to find differences in both time series that can be used as indicators of equilibrium problems.
On statistical inference in time series analysis of the evolution of road safety.
Commandeur, Jacques J F; Bijleveld, Frits D; Bergel-Hayat, Ruth; Antoniou, Constantinos; Yannis, George; Papadimitriou, Eleonora
2013-11-01
Data collected for building a road safety observatory usually include observations made sequentially through time. Examples of such data, called time series data, include annual (or monthly) number of road traffic accidents, traffic fatalities or vehicle kilometers driven in a country, as well as the corresponding values of safety performance indicators (e.g., data on speeding, seat belt use, alcohol use, etc.). Some commonly used statistical techniques imply assumptions that are often violated by the special properties of time series data, namely serial dependency among disturbances associated with the observations. The first objective of this paper is to demonstrate the impact of such violations to the applicability of standard methods of statistical inference, which leads to an under or overestimation of the standard error and consequently may produce erroneous inferences. Moreover, having established the adverse consequences of ignoring serial dependency issues, the paper aims to describe rigorous statistical techniques used to overcome them. In particular, appropriate time series analysis techniques of varying complexity are employed to describe the development over time, relating the accident-occurrences to explanatory factors such as exposure measures or safety performance indicators, and forecasting the development into the near future. Traditional regression models (whether they are linear, generalized linear or nonlinear) are shown not to naturally capture the inherent dependencies in time series data. Dedicated time series analysis techniques, such as the ARMA-type and DRAG approaches are discussed next, followed by structural time series models, which are a subclass of state space methods. The paper concludes with general recommendations and practice guidelines for the use of time series models in road safety research. Copyright © 2012 Elsevier Ltd. All rights reserved.
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Tang You-Fu; Liu Shu-Lin; Jiang Rui-Hong; Liu Ying-Hui
2013-01-01
We study the correlation between detrended fluctuation analysis (DFA) and the Lempel-Ziv complexity (LZC) in nonlinear time series analysis in this paper. Typical dynamic systems including a logistic map and a Duffing model are investigated. Moreover, the influence of Gaussian random noise on both the DFA and LZC are analyzed. The results show a high correlation between the DFA and LZC, which can quantify the non-stationarity and the nonlinearity of the time series, respectively. With the enhancement of the random component, the exponent a and the normalized complexity index C show increasing trends. In addition, C is found to be more sensitive to the fluctuation in the nonlinear time series than α. Finally, the correlation between the DFA and LZC is applied to the extraction of vibration signals for a reciprocating compressor gas valve, and an effective fault diagnosis result is obtained
Data imputation analysis for Cosmic Rays time series
Fernandes, R. C.; Lucio, P. S.; Fernandez, J. H.
2017-05-01
The occurrence of missing data concerning Galactic Cosmic Rays time series (GCR) is inevitable since loss of data is due to mechanical and human failure or technical problems and different periods of operation of GCR stations. The aim of this study was to perform multiple dataset imputation in order to depict the observational dataset. The study has used the monthly time series of GCR Climax (CLMX) and Roma (ROME) from 1960 to 2004 to simulate scenarios of 10%, 20%, 30%, 40%, 50%, 60%, 70%, 80% and 90% of missing data compared to observed ROME series, with 50 replicates. Then, the CLMX station as a proxy for allocation of these scenarios was used. Three different methods for monthly dataset imputation were selected: AMÉLIA II - runs the bootstrap Expectation Maximization algorithm, MICE - runs an algorithm via Multivariate Imputation by Chained Equations and MTSDI - an Expectation Maximization algorithm-based method for imputation of missing values in multivariate normal time series. The synthetic time series compared with the observed ROME series has also been evaluated using several skill measures as such as RMSE, NRMSE, Agreement Index, R, R2, F-test and t-test. The results showed that for CLMX and ROME, the R2 and R statistics were equal to 0.98 and 0.96, respectively. It was observed that increases in the number of gaps generate loss of quality of the time series. Data imputation was more efficient with MTSDI method, with negligible errors and best skill coefficients. The results suggest a limit of about 60% of missing data for imputation, for monthly averages, no more than this. It is noteworthy that CLMX, ROME and KIEL stations present no missing data in the target period. This methodology allowed reconstructing 43 time series.
Fractal time series analysis of postural stability in elderly and control subjects
Directory of Open Access Journals (Sweden)
Doussot Michel
2007-05-01
Full Text Available Abstract Background The study of balance using stabilogram analysis is of particular interest in the study of falls. Although simple statistical parameters derived from the stabilogram have been shown to predict risk of falls, such measures offer little insight into the underlying control mechanisms responsible for degradation in balance. In contrast, fractal and non-linear time-series analysis of stabilograms, such as estimations of the Hurst exponent (H, may provide information related to the underlying motor control strategies governing postural stability. In order to be adapted for a home-based follow-up of balance, such methods need to be robust, regardless of the experimental protocol, while producing time-series that are as short as possible. The present study compares two methods of calculating H: Detrended Fluctuation Analysis (DFA and Stabilogram Diffusion Analysis (SDA for elderly and control subjects, as well as evaluating the effect of recording duration. Methods Centre of pressure signals were obtained from 90 young adult subjects and 10 elderly subjects. Data were sampled at 100 Hz for 30 s, including stepping onto and off the force plate. Estimations of H were made using sliding windows of 10, 5, and 2.5 s durations, with windows slid forward in 1-s increments. Multivariate analysis of variance was used to test for the effect of time, age and estimation method on the Hurst exponent, while the intra-class correlation coefficient (ICC was used as a measure of reliability. Results Both SDA and DFA methods were able to identify differences in postural stability between control and elderly subjects for time series as short as 5 s, with ICC values as high as 0.75 for DFA. Conclusion Both methods would be well-suited to non-invasive longitudinal assessment of balance. In addition, reliable estimations of H were obtained from time series as short as 5 s.
Adaptive time-variant models for fuzzy-time-series forecasting.
Wong, Wai-Keung; Bai, Enjian; Chu, Alice Wai-Ching
2010-12-01
A fuzzy time series has been applied to the prediction of enrollment, temperature, stock indices, and other domains. Related studies mainly focus on three factors, namely, the partition of discourse, the content of forecasting rules, and the methods of defuzzification, all of which greatly influence the prediction accuracy of forecasting models. These studies use fixed analysis window sizes for forecasting. In this paper, an adaptive time-variant fuzzy-time-series forecasting model (ATVF) is proposed to improve forecasting accuracy. The proposed model automatically adapts the analysis window size of fuzzy time series based on the prediction accuracy in the training phase and uses heuristic rules to generate forecasting values in the testing phase. The performance of the ATVF model is tested using both simulated and actual time series including the enrollments at the University of Alabama, Tuscaloosa, and the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). The experiment results show that the proposed ATVF model achieves a significant improvement in forecasting accuracy as compared to other fuzzy-time-series forecasting models.
Bayesian near-boundary analysis in basic macroeconomic time series models
M.D. de Pooter (Michiel); F. Ravazzolo (Francesco); R. Segers (René); H.K. van Dijk (Herman)
2008-01-01
textabstractSeveral lessons learnt from a Bayesian analysis of basic macroeconomic time series models are presented for the situation where some model parameters have substantial posterior probability near the boundary of the parameter region. This feature refers to near-instability within dynamic
Time series analysis for psychological research: examining and forecasting change.
Jebb, Andrew T; Tay, Louis; Wang, Wei; Huang, Qiming
2015-01-01
Psychological research has increasingly recognized the importance of integrating temporal dynamics into its theories, and innovations in longitudinal designs and analyses have allowed such theories to be formalized and tested. However, psychological researchers may be relatively unequipped to analyze such data, given its many characteristics and the general complexities involved in longitudinal modeling. The current paper introduces time series analysis to psychological research, an analytic domain that has been essential for understanding and predicting the behavior of variables across many diverse fields. First, the characteristics of time series data are discussed. Second, different time series modeling techniques are surveyed that can address various topics of interest to psychological researchers, including describing the pattern of change in a variable, modeling seasonal effects, assessing the immediate and long-term impact of a salient event, and forecasting future values. To illustrate these methods, an illustrative example based on online job search behavior is used throughout the paper, and a software tutorial in R for these analyses is provided in the Supplementary Materials.
Time series analysis for psychological research: examining and forecasting change
Jebb, Andrew T.; Tay, Louis; Wang, Wei; Huang, Qiming
2015-01-01
Psychological research has increasingly recognized the importance of integrating temporal dynamics into its theories, and innovations in longitudinal designs and analyses have allowed such theories to be formalized and tested. However, psychological researchers may be relatively unequipped to analyze such data, given its many characteristics and the general complexities involved in longitudinal modeling. The current paper introduces time series analysis to psychological research, an analytic domain that has been essential for understanding and predicting the behavior of variables across many diverse fields. First, the characteristics of time series data are discussed. Second, different time series modeling techniques are surveyed that can address various topics of interest to psychological researchers, including describing the pattern of change in a variable, modeling seasonal effects, assessing the immediate and long-term impact of a salient event, and forecasting future values. To illustrate these methods, an illustrative example based on online job search behavior is used throughout the paper, and a software tutorial in R for these analyses is provided in the Supplementary Materials. PMID:26106341
International Nuclear Information System (INIS)
Jafri, Y.Z.; Kamal, L.
2007-01-01
Various statistical techniques was used on five-year data from 1998-2002 of average humidity, rainfall, maximum and minimum temperatures, respectively. The relationships to regression analysis time series (RATS) were developed for determining the overall trend of these climate parameters on the basis of which forecast models can be corrected and modified. We computed the coefficient of determination as a measure of goodness of fit, to our polynomial regression analysis time series (PRATS). The correlation to multiple linear regression (MLR) and multiple linear regression analysis time series (MLRATS) were also developed for deciphering the interdependence of weather parameters. Spearman's rand correlation and Goldfeld-Quandt test were used to check the uniformity or non-uniformity of variances in our fit to polynomial regression (PR). The Breusch-Pagan test was applied to MLR and MLRATS, respectively which yielded homoscedasticity. We also employed Bartlett's test for homogeneity of variances on a five-year data of rainfall and humidity, respectively which showed that the variances in rainfall data were not homogenous while in case of humidity, were homogenous. Our results on regression and regression analysis time series show the best fit to prediction modeling on climatic data of Quetta, Pakistan. (author)
Time series analysis of monthly pulpwood use in the Northeast
James T. Bones
1980-01-01
Time series analysis was used to develop a model that depicts pulpwood use in the Northeast. The model is useful in forecasting future pulpwood requirements (short term) or monitoring pulpwood-use activity in relation to past use patterns. The model predicted a downturn in use during 1980.
Time Series Analysis of 3D Coordinates Using Nonstochastic Observations
Velsink, H.
2016-01-01
Adjustment and testing of a combination of stochastic and nonstochastic observations is applied to the deformation analysis of a time series of 3D coordinates. Nonstochastic observations are constant values that are treated as if they were observations. They are used to formulate constraints on
Time Series Analysis of 3D Coordinates Using Nonstochastic Observations
Hiddo Velsink
2016-01-01
From the article: Abstract Adjustment and testing of a combination of stochastic and nonstochastic observations is applied to the deformation analysis of a time series of 3D coordinates. Nonstochastic observations are constant values that are treated as if they were observations. They are used to
The Fourier decomposition method for nonlinear and non-stationary time series analysis.
Singh, Pushpendra; Joshi, Shiv Dutt; Patney, Rakesh Kumar; Saha, Kaushik
2017-03-01
for many decades, there has been a general perception in the literature that Fourier methods are not suitable for the analysis of nonlinear and non-stationary data. In this paper, we propose a novel and adaptive Fourier decomposition method (FDM), based on the Fourier theory, and demonstrate its efficacy for the analysis of nonlinear and non-stationary time series. The proposed FDM decomposes any data into a small number of 'Fourier intrinsic band functions' (FIBFs). The FDM presents a generalized Fourier expansion with variable amplitudes and variable frequencies of a time series by the Fourier method itself. We propose an idea of zero-phase filter bank-based multivariate FDM (MFDM), for the analysis of multivariate nonlinear and non-stationary time series, using the FDM. We also present an algorithm to obtain cut-off frequencies for MFDM. The proposed MFDM generates a finite number of band-limited multivariate FIBFs (MFIBFs). The MFDM preserves some intrinsic physical properties of the multivariate data, such as scale alignment, trend and instantaneous frequency. The proposed methods provide a time-frequency-energy (TFE) distribution that reveals the intrinsic structure of a data. Numerical computations and simulations have been carried out and comparison is made with the empirical mode decomposition algorithms.
The application of complex network time series analysis in turbulent heated jets
International Nuclear Information System (INIS)
Charakopoulos, A. K.; Karakasidis, T. E.; Liakopoulos, A.; Papanicolaou, P. N.
2014-01-01
In the present study, we applied the methodology of the complex network-based time series analysis to experimental temperature time series from a vertical turbulent heated jet. More specifically, we approach the hydrodynamic problem of discriminating time series corresponding to various regions relative to the jet axis, i.e., time series corresponding to regions that are close to the jet axis from time series originating at regions with a different dynamical regime based on the constructed network properties. Applying the transformation phase space method (k nearest neighbors) and also the visibility algorithm, we transformed time series into networks and evaluated the topological properties of the networks such as degree distribution, average path length, diameter, modularity, and clustering coefficient. The results show that the complex network approach allows distinguishing, identifying, and exploring in detail various dynamical regions of the jet flow, and associate it to the corresponding physical behavior. In addition, in order to reject the hypothesis that the studied networks originate from a stochastic process, we generated random network and we compared their statistical properties with that originating from the experimental data. As far as the efficiency of the two methods for network construction is concerned, we conclude that both methodologies lead to network properties that present almost the same qualitative behavior and allow us to reveal the underlying system dynamics
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
Phase correction and error estimation in InSAR time series analysis
Zhang, Y.; Fattahi, H.; Amelung, F.
2017-12-01
During the last decade several InSAR time series approaches have been developed in response to the non-idea acquisition strategy of SAR satellites, such as large spatial and temporal baseline with non-regular acquisitions. The small baseline tubes and regular acquisitions of new SAR satellites such as Sentinel-1 allows us to form fully connected networks of interferograms and simplifies the time series analysis into a weighted least square inversion of an over-determined system. Such robust inversion allows us to focus more on the understanding of different components in InSAR time-series and its uncertainties. We present an open-source python-based package for InSAR time series analysis, called PySAR (https://yunjunz.github.io/PySAR/), with unique functionalities for obtaining unbiased ground displacement time-series, geometrical and atmospheric correction of InSAR data and quantifying the InSAR uncertainty. Our implemented strategy contains several features including: 1) improved spatial coverage using coherence-based network of interferograms, 2) unwrapping error correction using phase closure or bridging, 3) tropospheric delay correction using weather models and empirical approaches, 4) DEM error correction, 5) optimal selection of reference date and automatic outlier detection, 6) InSAR uncertainty due to the residual tropospheric delay, decorrelation and residual DEM error, and 7) variance-covariance matrix of final products for geodetic inversion. We demonstrate the performance using SAR datasets acquired by Cosmo-Skymed and TerraSAR-X, Sentinel-1 and ALOS/ALOS-2, with application on the highly non-linear volcanic deformation in Japan and Ecuador (figure 1). Our result shows precursory deformation before the 2015 eruptions of Cotopaxi volcano, with a maximum uplift of 3.4 cm on the western flank (fig. 1b), with a standard deviation of 0.9 cm (fig. 1a), supporting the finding by Morales-Rivera et al. (2017, GRL); and a post-eruptive subsidence on the same
McKenna, Thomas M; Bawa, Gagandeep; Kumar, Kamal; Reifman, Jaques
2007-04-01
The physiology analysis system (PAS) was developed as a resource to support the efficient warehousing, management, and analysis of physiology data, particularly, continuous time-series data that may be extensive, of variable quality, and distributed across many files. The PAS incorporates time-series data collected by many types of data-acquisition devices, and it is designed to free users from data management burdens. This Web-based system allows both discrete (attribute) and time-series (ordered) data to be manipulated, visualized, and analyzed via a client's Web browser. All processes occur on a server, so that the client does not have to download data or any application programs, and the PAS is independent of the client's computer operating system. The PAS contains a library of functions, written in different computer languages that the client can add to and use to perform specific data operations. Functions from the library are sequentially inserted into a function chain-based logical structure to construct sophisticated data operators from simple function building blocks, affording ad hoc query and analysis of time-series data. These features support advanced mining of physiology data.
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
A Filtering of Incomplete GNSS Position Time Series with Probabilistic Principal Component Analysis
Gruszczynski, Maciej; Klos, Anna; Bogusz, Janusz
2018-04-01
For the first time, we introduced the probabilistic principal component analysis (pPCA) regarding the spatio-temporal filtering of Global Navigation Satellite System (GNSS) position time series to estimate and remove Common Mode Error (CME) without the interpolation of missing values. We used data from the International GNSS Service (IGS) stations which contributed to the latest International Terrestrial Reference Frame (ITRF2014). The efficiency of the proposed algorithm was tested on the simulated incomplete time series, then CME was estimated for a set of 25 stations located in Central Europe. The newly applied pPCA was compared with previously used algorithms, which showed that this method is capable of resolving the problem of proper spatio-temporal filtering of GNSS time series characterized by different observation time span. We showed, that filtering can be carried out with pPCA method when there exist two time series in the dataset having less than 100 common epoch of observations. The 1st Principal Component (PC) explained more than 36% of the total variance represented by time series residuals' (series with deterministic model removed), what compared to the other PCs variances (less than 8%) means that common signals are significant in GNSS residuals. A clear improvement in the spectral indices of the power-law noise was noticed for the Up component, which is reflected by an average shift towards white noise from - 0.98 to - 0.67 (30%). We observed a significant average reduction in the accuracy of stations' velocity estimated for filtered residuals by 35, 28 and 69% for the North, East, and Up components, respectively. CME series were also subjected to analysis in the context of environmental mass loading influences of the filtering results. Subtraction of the environmental loading models from GNSS residuals provides to reduction of the estimated CME variance by 20 and 65% for horizontal and vertical components, respectively.
Analysis of JET ELMy time series
International Nuclear Information System (INIS)
Zvejnieks, G.; Kuzovkov, V.N.
2005-01-01
Full text: Achievement of the planned operational regime in the next generation tokamaks (such as ITER) still faces principal problems. One of the main challenges is obtaining the control of edge localized modes (ELMs), which should lead to both long plasma pulse times and reasonable divertor life time. In order to control ELMs the hypothesis was proposed by Degeling [1] that ELMs exhibit features of chaotic dynamics and thus a standard chaos control methods might be applicable. However, our findings which are based on the nonlinear autoregressive (NAR) model contradict this hypothesis for JET ELMy time-series. In turn, it means that ELM behavior is of a relaxation or random type. These conclusions coincide with our previous results obtained for ASDEX Upgrade time series [2]. [1] A.W. Degeling, Y.R. Martin, P.E. Bak, J. B.Lister, and X. Llobet, Plasma Phys. Control. Fusion 43, 1671 (2001). [2] G. Zvejnieks, V.N. Kuzovkov, O. Dumbrajs, A.W. Degeling, W. Suttrop, H. Urano, and H. Zohm, Physics of Plasmas 11, 5658 (2004)
Properties of Asymmetric Detrended Fluctuation Analysis in the time series of RR intervals
Piskorski, J.; Kosmider, M.; Mieszkowski, D.; Krauze, T.; Wykretowicz, A.; Guzik, P.
2018-02-01
Heart rate asymmetry is a phenomenon by which the accelerations and decelerations of heart rate behave differently, and this difference is consistent and unidirectional, i.e. in most of the analyzed recordings the inequalities have the same directions. So far, it has been established for variance and runs based types of descriptors of RR intervals time series. In this paper we apply the newly developed method of Asymmetric Detrended Fluctuation Analysis, which so far has mainly been used with economic time series, to the set of 420 stationary 30 min time series of RR intervals from young, healthy individuals aged between 20 and 40. This asymmetric approach introduces separate scaling exponents for rising and falling trends. We systematically study the presence of asymmetry in both global and local versions of this method. In this study global means "applying to the whole time series" and local means "applying to windows jumping along the recording". It is found that the correlation structure of the fluctuations left over after detrending in physiological time series shows strong asymmetric features in both magnitude, with α+ physiological data after shuffling or with a group of symmetric synthetic time series.
Recurrence Density Enhanced Complex Networks for Nonlinear Time Series Analysis
Costa, Diego G. De B.; Reis, Barbara M. Da F.; Zou, Yong; Quiles, Marcos G.; Macau, Elbert E. N.
We introduce a new method, which is entitled Recurrence Density Enhanced Complex Network (RDE-CN), to properly analyze nonlinear time series. Our method first transforms a recurrence plot into a figure of a reduced number of points yet preserving the main and fundamental recurrence properties of the original plot. This resulting figure is then reinterpreted as a complex network, which is further characterized by network statistical measures. We illustrate the computational power of RDE-CN approach by time series by both the logistic map and experimental fluid flows, which show that our method distinguishes different dynamics sufficiently well as the traditional recurrence analysis. Therefore, the proposed methodology characterizes the recurrence matrix adequately, while using a reduced set of points from the original recurrence plots.
Hayashi, Hideaki; Shibanoki, Taro; Shima, Keisuke; Kurita, Yuichi; Tsuji, Toshio
2015-12-01
This paper proposes a probabilistic neural network (NN) developed on the basis of time-series discriminant component analysis (TSDCA) that can be used to classify high-dimensional time-series patterns. TSDCA involves the compression of high-dimensional time series into a lower dimensional space using a set of orthogonal transformations and the calculation of posterior probabilities based on a continuous-density hidden Markov model with a Gaussian mixture model expressed in the reduced-dimensional space. The analysis can be incorporated into an NN, which is named a time-series discriminant component network (TSDCN), so that parameters of dimensionality reduction and classification can be obtained simultaneously as network coefficients according to a backpropagation through time-based learning algorithm with the Lagrange multiplier method. The TSDCN is considered to enable high-accuracy classification of high-dimensional time-series patterns and to reduce the computation time taken for network training. The validity of the TSDCN is demonstrated for high-dimensional artificial data and electroencephalogram signals in the experiments conducted during the study.
Correlation and multifractality in climatological time series
International Nuclear Information System (INIS)
Pedron, I T
2010-01-01
Climate can be described by statistical analysis of mean values of atmospheric variables over a period. It is possible to detect correlations in climatological time series and to classify its behavior. In this work the Hurst exponent, which can characterize correlation and persistence in time series, is obtained by using the Detrended Fluctuation Analysis (DFA) method. Data series of temperature, precipitation, humidity, solar radiation, wind speed, maximum squall, atmospheric pressure and randomic series are studied. Furthermore, the multifractality of such series is analyzed applying the Multifractal Detrended Fluctuation Analysis (MF-DFA) method. The results indicate presence of correlation (persistent character) in all climatological series and multifractality as well. A larger set of data, and longer, could provide better results indicating the universality of the exponents.
Nonparametric factor analysis of time series
Rodríguez-Poo, Juan M.; Linton, Oliver Bruce
1998-01-01
We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel.
Clinical and epidemiological rounds. Time series
Directory of Open Access Journals (Sweden)
León-Álvarez, Alba Luz
2016-07-01
Full Text Available Analysis of time series is a technique that implicates the study of individuals or groups observed in successive moments in time. This type of analysis allows the study of potential causal relationships between different variables that change over time and relate to each other. It is the most important technique to make inferences about the future, predicting, on the basis or what has happened in the past and it is applied in different disciplines of knowledge. Here we discuss different components of time series, the analysis technique and specific examples in health research.
Hayashi, Hideaki; Shima, Keisuke; Shibanoki, Taro; Kurita, Yuichi; Tsuji, Toshio
2013-01-01
This paper outlines a probabilistic neural network developed on the basis of time-series discriminant component analysis (TSDCA) that can be used to classify high-dimensional time-series patterns. TSDCA involves the compression of high-dimensional time series into a lower-dimensional space using a set of orthogonal transformations and the calculation of posterior probabilities based on a continuous-density hidden Markov model that incorporates a Gaussian mixture model expressed in the reduced-dimensional space. The analysis can be incorporated into a neural network so that parameters can be obtained appropriately as network coefficients according to backpropagation-through-time-based training algorithm. The network is considered to enable high-accuracy classification of high-dimensional time-series patterns and to reduce the computation time taken for network training. In the experiments conducted during the study, the validity of the proposed network was demonstrated for EEG signals.
Multifractal analysis of visibility graph-based Ito-related connectivity time series.
Czechowski, Zbigniew; Lovallo, Michele; Telesca, Luciano
2016-02-01
In this study, we investigate multifractal properties of connectivity time series resulting from the visibility graph applied to normally distributed time series generated by the Ito equations with multiplicative power-law noise. We show that multifractality of the connectivity time series (i.e., the series of numbers of links outgoing any node) increases with the exponent of the power-law noise. The multifractality of the connectivity time series could be due to the width of connectivity degree distribution that can be related to the exit time of the associated Ito time series. Furthermore, the connectivity time series are characterized by persistence, although the original Ito time series are random; this is due to the procedure of visibility graph that, connecting the values of the time series, generates persistence but destroys most of the nonlinear correlations. Moreover, the visibility graph is sensitive for detecting wide "depressions" in input time series.
Analysis of Land Subsidence Monitoring in Mining Area with Time-Series Insar Technology
Sun, N.; Wang, Y. J.
2018-04-01
Time-series InSAR technology has become a popular land subsidence monitoring method in recent years, because of its advantages such as high accuracy, wide area, low expenditure, intensive monitoring points and free from accessibility restrictions. In this paper, we applied two kinds of satellite data, ALOS PALSAR and RADARSAT-2, to get the subsidence monitoring results of the study area in two time periods by time-series InSAR technology. By analyzing the deformation range, rate and amount, the time-series analysis of land subsidence in mining area was realized. The results show that InSAR technology could be used to monitor land subsidence in large area and meet the demand of subsidence monitoring in mining area.
Donges, Jonathan; Heitzig, Jobst; Beronov, Boyan; Wiedermann, Marc; Runge, Jakob; Feng, Qing Yi; Tupikina, Liubov; Stolbova, Veronika; Donner, Reik; Marwan, Norbert; Dijkstra, Henk; Kurths, Jürgen
2016-04-01
We introduce the pyunicorn (Pythonic unified complex network and recurrence analysis toolbox) open source software package for applying and combining modern methods of data analysis and modeling from complex network theory and nonlinear time series analysis. pyunicorn is a fully object-oriented and easily parallelizable package written in the language Python. It allows for the construction of functional networks such as climate networks in climatology or functional brain networks in neuroscience representing the structure of statistical interrelationships in large data sets of time series and, subsequently, investigating this structure using advanced methods of complex network theory such as measures and models for spatial networks, networks of interacting networks, node-weighted statistics, or network surrogates. Additionally, pyunicorn provides insights into the nonlinear dynamics of complex systems as recorded in uni- and multivariate time series from a non-traditional perspective by means of recurrence quantification analysis, recurrence networks, visibility graphs, and construction of surrogate time series. The range of possible applications of the library is outlined, drawing on several examples mainly from the field of climatology. pyunicorn is available online at https://github.com/pik-copan/pyunicorn. Reference: J.F. Donges, J. Heitzig, B. Beronov, M. Wiedermann, J. Runge, Q.-Y. Feng, L. Tupikina, V. Stolbova, R.V. Donner, N. Marwan, H.A. Dijkstra, and J. Kurths, Unified functional network and nonlinear time series analysis for complex systems science: The pyunicorn package, Chaos 25, 113101 (2015), DOI: 10.1063/1.4934554, Preprint: arxiv.org:1507.01571 [physics.data-an].
Time series analysis of wind speed using VAR and the generalized impulse response technique
Energy Technology Data Exchange (ETDEWEB)
Ewing, Bradley T. [Area of Information Systems and Quantitative Sciences, Rawls College of Business and Wind Science and Engineering Research Center, Texas Tech University, Lubbock, TX 79409-2101 (United States); Kruse, Jamie Brown [Center for Natural Hazard Research, East Carolina University, Greenville, NC (United States); Schroeder, John L. [Department of Geosciences and Wind Science and Engineering Research Center, Texas Tech University, Lubbock, TX (United States); Smith, Douglas A. [Department of Civil Engineering and Wind Science and Engineering Research Center, Texas Tech University, Lubbock, TX (United States)
2007-03-15
This research examines the interdependence in time series wind speed data measured in the same location at four different heights. A multiple-equation system known as a vector autoregression is proposed for characterizing the time series dynamics of wind. Additionally, the recently developed method of generalized impulse response analysis provides insight into the cross-effects of the wind series and their responses to shocks. Findings are based on analysis of contemporaneous wind speed time histories taken at 13, 33, 70 and 160 ft above ground level with a sampling rate of 10 Hz. The results indicate that wind speeds measured at 70 ft was the most variable. Further, the turbulence persisted longer at the 70-ft measurement than at the other heights. The greatest interdependence is observed at 13 ft. Gusts at 160 ft led to the greatest persistence to an 'own' shock and led to greatest persistence in the responses of the other wind series. (author)
Development of analysis software for radiation time-series data with the use of visual studio 2005
International Nuclear Information System (INIS)
Hohara, Sin-ya; Horiguchi, Tetsuo; Ito, Shin
2008-01-01
Time-Series Analysis supplies a new vision that conventional analysis methods such as energy spectroscopy haven't achieved ever. However, application of time-series analysis to radiation measurements needs much effort in software and hardware development. By taking advantage of Visual Studio 2005, we developed an analysis software, 'ListFileConverter', for time-series radiation measurement system called as 'MPA-3'. The software is based on graphical user interface (GUI) architecture that enables us to save a large amount of operation time in the analysis, and moreover to make an easy-access to special file structure of MPA-3 data. In this paper, detailed structure of ListFileConverter is fully explained, and experimental results for counting capability of MPA-3 hardware system and those for neutron measurements with our UTR-KINKI reactor are also given. (author)
Geomechanical time series and its singularity spectrum analysis
Czech Academy of Sciences Publication Activity Database
Lyubushin, Alexei A.; Kaláb, Zdeněk; Lednická, Markéta
2012-01-01
Roč. 47, č. 1 (2012), s. 69-77 ISSN 1217-8977 R&D Projects: GA ČR GA105/09/0089 Institutional research plan: CEZ:AV0Z30860518 Keywords : geomechanical time series * singularity spectrum * time series segmentation * laser distance meter Subject RIV: DC - Siesmology, Volcanology, Earth Structure Impact factor: 0.347, year: 2012 http://www.akademiai.com/content/88v4027758382225/fulltext.pdf
Xia, Li C; Steele, Joshua A; Cram, Jacob A; Cardon, Zoe G; Simmons, Sheri L; Vallino, Joseph J; Fuhrman, Jed A; Sun, Fengzhu
2011-01-01
The increasing availability of time series microbial community data from metagenomics and other molecular biological studies has enabled the analysis of large-scale microbial co-occurrence and association networks. Among the many analytical techniques available, the Local Similarity Analysis (LSA) method is unique in that it captures local and potentially time-delayed co-occurrence and association patterns in time series data that cannot otherwise be identified by ordinary correlation analysis. However LSA, as originally developed, does not consider time series data with replicates, which hinders the full exploitation of available information. With replicates, it is possible to understand the variability of local similarity (LS) score and to obtain its confidence interval. We extended our LSA technique to time series data with replicates and termed it extended LSA, or eLSA. Simulations showed the capability of eLSA to capture subinterval and time-delayed associations. We implemented the eLSA technique into an easy-to-use analytic software package. The software pipeline integrates data normalization, statistical correlation calculation, statistical significance evaluation, and association network construction steps. We applied the eLSA technique to microbial community and gene expression datasets, where unique time-dependent associations were identified. The extended LSA analysis technique was demonstrated to reveal statistically significant local and potentially time-delayed association patterns in replicated time series data beyond that of ordinary correlation analysis. These statistically significant associations can provide insights to the real dynamics of biological systems. The newly designed eLSA software efficiently streamlines the analysis and is freely available from the eLSA homepage, which can be accessed at http://meta.usc.edu/softs/lsa.
The Real-time Frequency Spectrum Analysis of Neutron Pulse Signal Series
International Nuclear Information System (INIS)
Tang Yuelin; Ren Yong; Wei Biao; Feng Peng; Mi Deling; Pan Yingjun; Li Jiansheng; Ye Cenming
2009-01-01
The frequency spectrum analysis of neutron pulse signal is a very important method in nuclear stochastic signal processing Focused on the special '0' and '1' of neutron pulse signal series, this paper proposes new rotation-table and realizes a real-time frequency spectrum algorithm under 1G Hz sample rate based on PC with add, address and SSE. The numerical experimental results show that under the count rate of 3X10 6 s -1 , this algorithm is superior to FFTW in time-consumption and can meet the real-time requirement of frequency spectrum analysis. (authors)
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. .
Prediction and Geometry of Chaotic Time Series
National Research Council Canada - National Science Library
Leonardi, Mary
1997-01-01
This thesis examines the topic of chaotic time series. An overview of chaos, dynamical systems, and traditional approaches to time series analysis is provided, followed by an examination of state space reconstruction...
Investigation of interfacial wave structure using time-series analysis techniques
International Nuclear Information System (INIS)
Jayanti, S.; Hewitt, G.F.; Cliffe, K.A.
1990-09-01
The report presents an investigation into the interfacial structure in horizontal annular flow using spectral and time-series analysis techniques. Film thickness measured using conductance probes shows an interesting transition in wave pattern from a continuous low-frequency wave pattern to an intermittent, high-frequency one. From the autospectral density function of the film thickness, it appears that this transition is caused by the breaking up of long waves into smaller ones. To investigate the possibility of the wave structure being represented as a low order chaotic system, phase portraits of the time series were constructed using the technique developed by Broomhead and co-workers (1986, 1987 and 1989). These showed a banded structure when waves of relatively high frequency were filtered out. Although these results are encouraging, further work is needed to characterise the attractor. (Author)
Time Series in Education: The Analysis of Daily Attendance in Two High Schools
Koopmans, Matthijs
2011-01-01
This presentation discusses the use of a time series approach to the analysis of daily attendance in two urban high schools over the course of one school year (2009-10). After establishing that the series for both schools were stationary, they were examined for moving average processes, autoregression, seasonal dependencies (weekly cycles),…
Identification of human operator performance models utilizing time series analysis
Holden, F. M.; Shinners, S. M.
1973-01-01
The results of an effort performed by Sperry Systems Management Division for AMRL in applying time series analysis as a tool for modeling the human operator are presented. This technique is utilized for determining the variation of the human transfer function under various levels of stress. The human operator's model is determined based on actual input and output data from a tracking experiment.
Track Irregularity Time Series Analysis and Trend Forecasting
Directory of Open Access Journals (Sweden)
Jia Chaolong
2012-01-01
Full Text Available The combination of linear and nonlinear methods is widely used in the prediction of time series data. This paper analyzes track irregularity time series data by using gray incidence degree models and methods of data transformation, trying to find the connotative relationship between the time series data. In this paper, GM (1,1 is based on first-order, single variable linear differential equations; after an adaptive improvement and error correction, it is used to predict the long-term changing trend of track irregularity at a fixed measuring point; the stochastic linear AR, Kalman filtering model, and artificial neural network model are applied to predict the short-term changing trend of track irregularity at unit section. Both long-term and short-term changes prove that the model is effective and can achieve the expected accuracy.
Analysis of time series and size of equivalent sample
International Nuclear Information System (INIS)
Bernal, Nestor; Molina, Alicia; Pabon, Daniel; Martinez, Jorge
2004-01-01
In a meteorological context, a first approach to the modeling of time series is to use models of autoregressive type. This allows one to take into account the meteorological persistence or temporal behavior, thereby identifying the memory of the analyzed process. This article seeks to pre-sent the concept of the size of an equivalent sample, which helps to identify in the data series sub periods with a similar structure. Moreover, in this article we examine the alternative of adjusting the variance of the series, keeping in mind its temporal structure, as well as an adjustment to the covariance of two time series. This article presents two examples, the first one corresponding to seven simulated series with autoregressive structure of first order, and the second corresponding to seven meteorological series of anomalies of the air temperature at the surface in two Colombian regions
Studies in astronomical time series analysis. I - Modeling random processes in the time domain
Scargle, J. D.
1981-01-01
Several random process models in the time domain are defined and discussed. Attention is given to the moving average model, the autoregressive model, and relationships between and combinations of these models. Consideration is then given to methods for investigating pulse structure, procedures of model construction, computational methods, and numerical experiments. A FORTRAN algorithm of time series analysis has been developed which is relatively stable numerically. Results of test cases are given to study the effect of adding noise and of different distributions for the pulse amplitudes. A preliminary analysis of the light curve of the quasar 3C 272 is considered as an example.
Non-parametric characterization of long-term rainfall time series
Tiwari, Harinarayan; Pandey, Brij Kishor
2018-03-01
The statistical study of rainfall time series is one of the approaches for efficient hydrological system design. Identifying, and characterizing long-term rainfall time series could aid in improving hydrological systems forecasting. In the present study, eventual statistics was applied for the long-term (1851-2006) rainfall time series under seven meteorological regions of India. Linear trend analysis was carried out using Mann-Kendall test for the observed rainfall series. The observed trend using the above-mentioned approach has been ascertained using the innovative trend analysis method. Innovative trend analysis has been found to be a strong tool to detect the general trend of rainfall time series. Sequential Mann-Kendall test has also been carried out to examine nonlinear trends of the series. The partial sum of cumulative deviation test is also found to be suitable to detect the nonlinear trend. Innovative trend analysis, sequential Mann-Kendall test and partial cumulative deviation test have potential to detect the general as well as nonlinear trend for the rainfall time series. Annual rainfall analysis suggests that the maximum changes in mean rainfall is 11.53% for West Peninsular India, whereas the maximum fall in mean rainfall is 7.8% for the North Mountainous Indian region. The innovative trend analysis method is also capable of finding the number of change point available in the time series. Additionally, we have performed von Neumann ratio test and cumulative deviation test to estimate the departure from homogeneity. Singular spectrum analysis has been applied in this study to evaluate the order of departure from homogeneity in the rainfall time series. Monsoon season (JS) of North Mountainous India and West Peninsular India zones has higher departure from homogeneity and singular spectrum analysis shows the results to be in coherence with the same.
A Comparison of Missing-Data Procedures for Arima Time-Series Analysis
Velicer, Wayne F.; Colby, Suzanne M.
2005-01-01
Missing data are a common practical problem for longitudinal designs. Time-series analysis is a longitudinal method that involves a large number of observations on a single unit. Four different missing-data methods (deletion, mean substitution, mean of adjacent observations, and maximum likelihood estimation) were evaluated. Computer-generated…
Time Series Analysis of Wheat flour Price Shocks in Pakistan: A Case Analysis
Asad Raza Abdi; Ali Hassan Halepoto; Aisha Bashir Shah; Faiz M. Shaikh
2013-01-01
The current research investigates the wheat flour Price Shocks in Pakistan: A case analysis. Data was collected by using secondary sources by using Time series Analysis, and data were analyzed by using SPSS-20 version. It was revealed that the price of wheat flour increases from last four decades, and trend of price shocks shows that due to certain market variation and supply and demand shocks also play a positive relationship in price shocks in the wheat prices. It was further revealed th...
Time Series Analysis, Modeling and Applications A Computational Intelligence Perspective
Chen, Shyi-Ming
2013-01-01
Temporal and spatiotemporal data form an inherent fabric of the society as we are faced with streams of data coming from numerous sensors, data feeds, recordings associated with numerous areas of application embracing physical and human-generated phenomena (environmental data, financial markets, Internet activities, etc.). A quest for a thorough analysis, interpretation, modeling and prediction of time series comes with an ongoing challenge for developing models that are both accurate and user-friendly (interpretable). The volume is aimed to exploit the conceptual and algorithmic framework of Computational Intelligence (CI) to form a cohesive and comprehensive environment for building models of time series. The contributions covered in the volume are fully reflective of the wealth of the CI technologies by bringing together ideas, algorithms, and numeric studies, which convincingly demonstrate their relevance, maturity and visible usefulness. It reflects upon the truly remarkable diversity of methodological a...
Spatial analysis of precipitation time series over the Upper Indus Basin
Latif, Yasir; Yaoming, Ma; Yaseen, Muhammad
2018-01-01
The upper Indus basin (UIB) holds one of the most substantial river systems in the world, contributing roughly half of the available surface water in Pakistan. This water provides necessary support for agriculture, domestic consumption, and hydropower generation; all critical for a stable economy in Pakistan. This study has identified trends, analyzed variability, and assessed changes in both annual and seasonal precipitation during four time series, identified herein as: (first) 1961-2013, (second) 1971-2013, (third) 1981-2013, and (fourth) 1991-2013, over the UIB. This study investigated spatial characteristics of the precipitation time series over 15 weather stations and provides strong evidence of annual precipitation by determining significant trends at 6 stations (Astore, Chilas, Dir, Drosh, Gupis, and Kakul) out of the 15 studied stations, revealing a significant negative trend during the fourth time series. Our study also showed significantly increased precipitation at Bunji, Chitral, and Skardu, whereas such trends at the rest of the stations appear insignificant. Moreover, our study found that seasonal precipitation decreased at some locations (at a high level of significance), as well as periods of scarce precipitation during all four seasons. The observed decreases in precipitation appear stronger and more significant in autumn; having 10 stations exhibiting decreasing precipitation during the fourth time series, with respect to time and space. Furthermore, the observed decreases in precipitation appear robust and more significant for regions at high elevation (>1300 m). This analysis concludes that decreasing precipitation dominated the UIB, both temporally and spatially including in the higher areas.
Dynamical analysis and visualization of tornadoes time series.
Directory of Open Access Journals (Sweden)
António M Lopes
Full Text Available In this paper we analyze the behavior of tornado time-series in the U.S. from the perspective of dynamical systems. A tornado is a violently rotating column of air extending from a cumulonimbus cloud down to the ground. Such phenomena reveal features that are well described by power law functions and unveil characteristics found in systems with long range memory effects. Tornado time series are viewed as the output of a complex system and are interpreted as a manifestation of its dynamics. Tornadoes are modeled as sequences of Dirac impulses with amplitude proportional to the events size. First, a collection of time series involving 64 years is analyzed in the frequency domain by means of the Fourier transform. The amplitude spectra are approximated by power law functions and their parameters are read as an underlying signature of the system dynamics. Second, it is adopted the concept of circular time and the collective behavior of tornadoes analyzed. Clustering techniques are then adopted to identify and visualize the emerging patterns.
Dynamical analysis and visualization of tornadoes time series.
Lopes, António M; Tenreiro Machado, J A
2015-01-01
In this paper we analyze the behavior of tornado time-series in the U.S. from the perspective of dynamical systems. A tornado is a violently rotating column of air extending from a cumulonimbus cloud down to the ground. Such phenomena reveal features that are well described by power law functions and unveil characteristics found in systems with long range memory effects. Tornado time series are viewed as the output of a complex system and are interpreted as a manifestation of its dynamics. Tornadoes are modeled as sequences of Dirac impulses with amplitude proportional to the events size. First, a collection of time series involving 64 years is analyzed in the frequency domain by means of the Fourier transform. The amplitude spectra are approximated by power law functions and their parameters are read as an underlying signature of the system dynamics. Second, it is adopted the concept of circular time and the collective behavior of tornadoes analyzed. Clustering techniques are then adopted to identify and visualize the emerging patterns.
CROSAT: A digital computer program for statistical-spectral analysis of two discrete time series
International Nuclear Information System (INIS)
Antonopoulos Domis, M.
1978-03-01
The program CROSAT computes directly from two discrete time series auto- and cross-spectra, transfer and coherence functions, using a Fast Fourier Transform subroutine. Statistical analysis of the time series is optional. While of general use the program is constructed to be immediately compatible with the ICL 4-70 and H316 computers at AEE Winfrith, and perhaps with minor modifications, with any other hardware system. (author)
Frontiers in Time Series and Financial Econometrics
Ling, S.; McAleer, M.J.; Tong, H.
2015-01-01
__Abstract__ Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of this special issue of the journal on “Frontiers in Time Series and Financial Econometrics” is to highlight several areas of research by leading academics in which novel methods have contrib...
Remote-Sensing Time Series Analysis, a Vegetation Monitoring Tool
McKellip, Rodney; Prados, Donald; Ryan, Robert; Ross, Kenton; Spruce, Joseph; Gasser, Gerald; Greer, Randall
2008-01-01
The Time Series Product Tool (TSPT) is software, developed in MATLAB , which creates and displays high signal-to- noise Vegetation Indices imagery and other higher-level products derived from remotely sensed data. This tool enables automated, rapid, large-scale regional surveillance of crops, forests, and other vegetation. TSPT temporally processes high-revisit-rate satellite imagery produced by the Moderate Resolution Imaging Spectroradiometer (MODIS) and by other remote-sensing systems. Although MODIS imagery is acquired daily, cloudiness and other sources of noise can greatly reduce the effective temporal resolution. To improve cloud statistics, the TSPT combines MODIS data from multiple satellites (Aqua and Terra). The TSPT produces MODIS products as single time-frame and multitemporal change images, as time-series plots at a selected location, or as temporally processed image videos. Using the TSPT program, MODIS metadata is used to remove and/or correct bad and suspect data. Bad pixel removal, multiple satellite data fusion, and temporal processing techniques create high-quality plots and animated image video sequences that depict changes in vegetation greenness. This tool provides several temporal processing options not found in other comparable imaging software tools. Because the framework to generate and use other algorithms is established, small modifications to this tool will enable the use of a large range of remotely sensed data types. An effective remote-sensing crop monitoring system must be able to detect subtle changes in plant health in the earliest stages, before the effects of a disease outbreak or other adverse environmental conditions can become widespread and devastating. The integration of the time series analysis tool with ground-based information, soil types, crop types, meteorological data, and crop growth models in a Geographic Information System, could provide the foundation for a large-area crop-surveillance system that could identify
Gavrishchaka, Valeriy; Senyukova, Olga; Davis, Kristina
2015-01-01
Previously, we have proposed to use complementary complexity measures discovered by boosting-like ensemble learning for the enhancement of quantitative indicators dealing with necessarily short physiological time series. We have confirmed robustness of such multi-complexity measures for heart rate variability analysis with the emphasis on detection of emerging and intermittent cardiac abnormalities. Recently, we presented preliminary results suggesting that such ensemble-based approach could be also effective in discovering universal meta-indicators for early detection and convenient monitoring of neurological abnormalities using gait time series. Here, we argue and demonstrate that these multi-complexity ensemble measures for gait time series analysis could have significantly wider application scope ranging from diagnostics and early detection of physiological regime change to gait-based biometrics applications.
The Prediction of Teacher Turnover Employing Time Series Analysis.
Costa, Crist H.
The purpose of this study was to combine knowledge of teacher demographic data with time-series forecasting methods to predict teacher turnover. Moving averages and exponential smoothing were used to forecast discrete time series. The study used data collected from the 22 largest school districts in Iowa, designated as FACT schools. Predictions…
Analysis of cyclical behavior in time series of stock market returns
Stratimirović, Djordje; Sarvan, Darko; Miljković, Vladimir; Blesić, Suzana
2018-01-01
In this paper we have analyzed scaling properties and cyclical behavior of the three types of stock market indexes (SMI) time series: data belonging to stock markets of developed economies, emerging economies, and of the underdeveloped or transitional economies. We have used two techniques of data analysis to obtain and verify our findings: the wavelet transform (WT) spectral analysis to identify cycles in the SMI returns data, and the time-dependent detrended moving average (tdDMA) analysis to investigate local behavior around market cycles and trends. We found cyclical behavior in all SMI data sets that we have analyzed. Moreover, the positions and the boundaries of cyclical intervals that we found seam to be common for all markets in our dataset. We list and illustrate the presence of nine such periods in our SMI data. We report on the possibilities to differentiate between the level of growth of the analyzed markets by way of statistical analysis of the properties of wavelet spectra that characterize particular peak behaviors. Our results show that measures like the relative WT energy content and the relative WT amplitude of the peaks in the small scales region could be used to partially differentiate between market economies. Finally, we propose a way to quantify the level of development of a stock market based on estimation of local complexity of market's SMI series. From the local scaling exponents calculated for our nine peak regions we have defined what we named the Development Index, which proved, at least in the case of our dataset, to be suitable to rank the SMI series that we have analyzed in three distinct groups.
Comparison of correlation analysis techniques for irregularly sampled time series
Directory of Open Access Journals (Sweden)
K. Rehfeld
2011-06-01
Full Text Available Geoscientific measurements often provide time series with irregular time sampling, requiring either data reconstruction (interpolation or sophisticated methods to handle irregular sampling. We compare the linear interpolation technique and different approaches for analyzing the correlation functions and persistence of irregularly sampled time series, as Lomb-Scargle Fourier transformation and kernel-based methods. In a thorough benchmark test we investigate the performance of these techniques.
All methods have comparable root mean square errors (RMSEs for low skewness of the inter-observation time distribution. For high skewness, very irregular data, interpolation bias and RMSE increase strongly. We find a 40 % lower RMSE for the lag-1 autocorrelation function (ACF for the Gaussian kernel method vs. the linear interpolation scheme,in the analysis of highly irregular time series. For the cross correlation function (CCF the RMSE is then lower by 60 %. The application of the Lomb-Scargle technique gave results comparable to the kernel methods for the univariate, but poorer results in the bivariate case. Especially the high-frequency components of the signal, where classical methods show a strong bias in ACF and CCF magnitude, are preserved when using the kernel methods.
We illustrate the performances of interpolation vs. Gaussian kernel method by applying both to paleo-data from four locations, reflecting late Holocene Asian monsoon variability as derived from speleothem δ^{18}O measurements. Cross correlation results are similar for both methods, which we attribute to the long time scales of the common variability. The persistence time (memory is strongly overestimated when using the standard, interpolation-based, approach. Hence, the Gaussian kernel is a reliable and more robust estimator with significant advantages compared to other techniques and suitable for large scale application to paleo-data.
Studies in Astronomical Time Series Analysis. VI. Bayesian Block Representations
Scargle, Jeffrey D.; Norris, Jay P.; Jackson, Brad; Chiang, James
2013-01-01
This paper addresses the problem of detecting and characterizing local variability in time series and other forms of sequential data. The goal is to identify and characterize statistically significant variations, at the same time suppressing the inevitable corrupting observational errors. We present a simple nonparametric modeling technique and an algorithm implementing it-an improved and generalized version of Bayesian Blocks [Scargle 1998]-that finds the optimal segmentation of the data in the observation interval. The structure of the algorithm allows it to be used in either a real-time trigger mode, or a retrospective mode. Maximum likelihood or marginal posterior functions to measure model fitness are presented for events, binned counts, and measurements at arbitrary times with known error distributions. Problems addressed include those connected with data gaps, variable exposure, extension to piece- wise linear and piecewise exponential representations, multivariate time series data, analysis of variance, data on the circle, other data modes, and dispersed data. Simulations provide evidence that the detection efficiency for weak signals is close to a theoretical asymptotic limit derived by [Arias-Castro, Donoho and Huo 2003]. In the spirit of Reproducible Research [Donoho et al. (2008)] all of the code and data necessary to reproduce all of the figures in this paper are included as auxiliary material.
STUDIES IN ASTRONOMICAL TIME SERIES ANALYSIS. VI. BAYESIAN BLOCK REPRESENTATIONS
Energy Technology Data Exchange (ETDEWEB)
Scargle, Jeffrey D. [Space Science and Astrobiology Division, MS 245-3, NASA Ames Research Center, Moffett Field, CA 94035-1000 (United States); Norris, Jay P. [Physics Department, Boise State University, 2110 University Drive, Boise, ID 83725-1570 (United States); Jackson, Brad [The Center for Applied Mathematics and Computer Science, Department of Mathematics, San Jose State University, One Washington Square, MH 308, San Jose, CA 95192-0103 (United States); Chiang, James, E-mail: jeffrey.d.scargle@nasa.gov [W. W. Hansen Experimental Physics Laboratory, Kavli Institute for Particle Astrophysics and Cosmology, Department of Physics and SLAC National Accelerator Laboratory, Stanford University, Stanford, CA 94305 (United States)
2013-02-20
This paper addresses the problem of detecting and characterizing local variability in time series and other forms of sequential data. The goal is to identify and characterize statistically significant variations, at the same time suppressing the inevitable corrupting observational errors. We present a simple nonparametric modeling technique and an algorithm implementing it-an improved and generalized version of Bayesian Blocks-that finds the optimal segmentation of the data in the observation interval. The structure of the algorithm allows it to be used in either a real-time trigger mode, or a retrospective mode. Maximum likelihood or marginal posterior functions to measure model fitness are presented for events, binned counts, and measurements at arbitrary times with known error distributions. Problems addressed include those connected with data gaps, variable exposure, extension to piecewise linear and piecewise exponential representations, multivariate time series data, analysis of variance, data on the circle, other data modes, and dispersed data. Simulations provide evidence that the detection efficiency for weak signals is close to a theoretical asymptotic limit derived by Arias-Castro et al. In the spirit of Reproducible Research all of the code and data necessary to reproduce all of the figures in this paper are included as supplementary material.
STUDIES IN ASTRONOMICAL TIME SERIES ANALYSIS. VI. BAYESIAN BLOCK REPRESENTATIONS
International Nuclear Information System (INIS)
Scargle, Jeffrey D.; Norris, Jay P.; Jackson, Brad; Chiang, James
2013-01-01
This paper addresses the problem of detecting and characterizing local variability in time series and other forms of sequential data. The goal is to identify and characterize statistically significant variations, at the same time suppressing the inevitable corrupting observational errors. We present a simple nonparametric modeling technique and an algorithm implementing it—an improved and generalized version of Bayesian Blocks—that finds the optimal segmentation of the data in the observation interval. The structure of the algorithm allows it to be used in either a real-time trigger mode, or a retrospective mode. Maximum likelihood or marginal posterior functions to measure model fitness are presented for events, binned counts, and measurements at arbitrary times with known error distributions. Problems addressed include those connected with data gaps, variable exposure, extension to piecewise linear and piecewise exponential representations, multivariate time series data, analysis of variance, data on the circle, other data modes, and dispersed data. Simulations provide evidence that the detection efficiency for weak signals is close to a theoretical asymptotic limit derived by Arias-Castro et al. In the spirit of Reproducible Research all of the code and data necessary to reproduce all of the figures in this paper are included as supplementary material.
Chaotic time series analysis in economics: Balance and perspectives
International Nuclear Information System (INIS)
Faggini, Marisa
2014-01-01
The aim of the paper is not to review the large body of work concerning nonlinear time series analysis in economics, about which much has been written, but rather to focus on the new techniques developed to detect chaotic behaviours in economic data. More specifically, our attention will be devoted to reviewing some of these techniques and their application to economic and financial data in order to understand why chaos theory, after a period of growing interest, appears now not to be such an interesting and promising research area
Chaotic time series analysis in economics: Balance and perspectives
Energy Technology Data Exchange (ETDEWEB)
Faggini, Marisa, E-mail: mfaggini@unisa.it [Dipartimento di Scienze Economiche e Statistiche, Università di Salerno, Fisciano 84084 (Italy)
2014-12-15
The aim of the paper is not to review the large body of work concerning nonlinear time series analysis in economics, about which much has been written, but rather to focus on the new techniques developed to detect chaotic behaviours in economic data. More specifically, our attention will be devoted to reviewing some of these techniques and their application to economic and financial data in order to understand why chaos theory, after a period of growing interest, appears now not to be such an interesting and promising research area.
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.
Definition of distance for nonlinear time series analysis of marked point process data
Energy Technology Data Exchange (ETDEWEB)
Iwayama, Koji, E-mail: koji@sat.t.u-tokyo.ac.jp [Research Institute for Food and Agriculture, Ryukoku Univeristy, 1-5 Yokotani, Seta Oe-cho, Otsu-Shi, Shiga 520-2194 (Japan); Hirata, Yoshito; Aihara, Kazuyuki [Institute of Industrial Science, The University of Tokyo, 4-6-1 Komaba, Meguro-ku, Tokyo 153-8505 (Japan)
2017-01-30
Marked point process data are time series of discrete events accompanied with some values, such as economic trades, earthquakes, and lightnings. A distance for marked point process data allows us to apply nonlinear time series analysis to such data. We propose a distance for marked point process data which can be calculated much faster than the existing distance when the number of marks is small. Furthermore, under some assumptions, the Kullback–Leibler divergences between posterior distributions for neighbors defined by this distance are small. We performed some numerical simulations showing that analysis based on the proposed distance is effective. - Highlights: • A new distance for marked point process data is proposed. • The distance can be computed fast enough for a small number of marks. • The method to optimize parameter values of the distance is also proposed. • Numerical simulations indicate that the analysis based on the distance is effective.
Qian, Xi-Yuan; Liu, Ya-Min; Jiang, Zhi-Qiang; Podobnik, Boris; Zhou, Wei-Xing; Stanley, H. Eugene
2015-06-01
When common factors strongly influence two power-law cross-correlated time series recorded in complex natural or social systems, using detrended cross-correlation analysis (DCCA) without considering these common factors will bias the results. We use detrended partial cross-correlation analysis (DPXA) to uncover the intrinsic power-law cross correlations between two simultaneously recorded time series in the presence of nonstationarity after removing the effects of other time series acting as common forces. The DPXA method is a generalization of the detrended cross-correlation analysis that takes into account partial correlation analysis. We demonstrate the method by using bivariate fractional Brownian motions contaminated with a fractional Brownian motion. We find that the DPXA is able to recover the analytical cross Hurst indices, and thus the multiscale DPXA coefficients are a viable alternative to the conventional cross-correlation coefficient. We demonstrate the advantage of the DPXA coefficients over the DCCA coefficients by analyzing contaminated bivariate fractional Brownian motions. We calculate the DPXA coefficients and use them to extract the intrinsic cross correlation between crude oil and gold futures by taking into consideration the impact of the U.S. dollar index. We develop the multifractal DPXA (MF-DPXA) method in order to generalize the DPXA method and investigate multifractal time series. We analyze multifractal binomial measures masked with strong white noises and find that the MF-DPXA method quantifies the hidden multifractal nature while the multifractal DCCA method fails.
Time series analysis of pressure fluctuation in gas-solid fluidized beds
Directory of Open Access Journals (Sweden)
C. Alberto S. Felipe
2004-09-01
Full Text Available The purpose of the present work was to study the differentiation of states of typical fluidization (single bubble, multiple bubble and slugging in a gas-solid fluidized bed, using spectral analysis of pressure fluctuation time series. The effects of the method of measuring (differential and absolute pressure fluctuations and the axial position of the probes in the fluidization column on the identification of each of the regimes studied were evaluated. Fast Fourier Transform (FFT was the mathematic tool used to analysing the data of pressure fluctuations, which expresses the behavior of a time series in the frequency domain. Results indicated that the plenum chamber was a place for reliable measurement and that care should be taken in measurement in the dense phase. The method allowed fluid dynamic regimes to be differentiated by their dominant frequency characteristics.
Interrupted time-series analysis: studying trends in neurosurgery.
Wong, Ricky H; Smieliauskas, Fabrice; Pan, I-Wen; Lam, Sandi K
2015-12-01
OBJECT Neurosurgery studies traditionally have evaluated the effects of interventions on health care outcomes by studying overall changes in measured outcomes over time. Yet, this type of linear analysis is limited due to lack of consideration of the trend's effects both pre- and postintervention and the potential for confounding influences. The aim of this study was to illustrate interrupted time-series analysis (ITSA) as applied to an example in the neurosurgical literature and highlight ITSA's potential for future applications. METHODS The methods used in previous neurosurgical studies were analyzed and then compared with the methodology of ITSA. RESULTS The ITSA method was identified in the neurosurgical literature as an important technique for isolating the effect of an intervention (such as a policy change or a quality and safety initiative) on a health outcome independent of other factors driving trends in the outcome. The authors determined that ITSA allows for analysis of the intervention's immediate impact on outcome level and on subsequent trends and enables a more careful measure of the causal effects of interventions on health care outcomes. CONCLUSIONS ITSA represents a significant improvement over traditional observational study designs in quantifying the impact of an intervention. ITSA is a useful statistical procedure to understand, consider, and implement as the field of neurosurgery evolves in sophistication in big-data analytics, economics, and health services research.
On the Impact of a Quadratic Acceleration Term in the Analysis of Position Time Series
Bogusz, Janusz; Klos, Anna; Bos, Machiel Simon; Hunegnaw, Addisu; Teferle, Felix Norman
2016-04-01
The analysis of Global Navigation Satellite System (GNSS) position time series generally assumes that each of the coordinate component series is described by the sum of a linear rate (velocity) and various periodic terms. The residuals, the deviations between the fitted model and the observations, are then a measure of the epoch-to-epoch scatter and have been used for the analysis of the stochastic character (noise) of the time series. Often the parameters of interest in GNSS position time series are the velocities and their associated uncertainties, which have to be determined with the highest reliability. It is clear that not all GNSS position time series follow this simple linear behaviour. Therefore, we have added an acceleration term in the form of a quadratic polynomial function to the model in order to better describe the non-linear motion in the position time series. This non-linear motion could be a response to purely geophysical processes, for example, elastic rebound of the Earth's crust due to ice mass loss in Greenland, artefacts due to deficiencies in bias mitigation models, for example, of the GNSS satellite and receiver antenna phase centres, or any combination thereof. In this study we have simulated 20 time series with different stochastic characteristics such as white, flicker or random walk noise of length of 23 years. The noise amplitude was assumed at 1 mm/y-/4. Then, we added the deterministic part consisting of a linear trend of 20 mm/y (that represents the averaged horizontal velocity) and accelerations ranging from minus 0.6 to plus 0.6 mm/y2. For all these data we estimated the noise parameters with Maximum Likelihood Estimation (MLE) using the Hector software package without taken into account the non-linear term. In this way we set the benchmark to then investigate how the noise properties and velocity uncertainty may be affected by any un-modelled, non-linear term. The velocities and their uncertainties versus the accelerations for
Adventures in Modern Time Series Analysis: From the Sun to the Crab Nebula and Beyond
Scargle, Jeffrey
2014-01-01
With the generation of long, precise, and finely sampled time series the Age of Digital Astronomy is uncovering and elucidating energetic dynamical processes throughout the Universe. Fulfilling these opportunities requires data effective analysis techniques rapidly and automatically implementing advanced concepts. The Time Series Explorer, under development in collaboration with Tom Loredo, provides tools ranging from simple but optimal histograms to time and frequency domain analysis for arbitrary data modes with any time sampling. Much of this development owes its existence to Joe Bredekamp and the encouragement he provided over several decades. Sample results for solar chromospheric activity, gamma-ray activity in the Crab Nebula, active galactic nuclei and gamma-ray bursts will be displayed.
Application of the Allan Variance to Time Series Analysis in Astrometry and Geodesy: A Review.
Malkin, Zinovy
2016-04-01
The Allan variance (AVAR) was introduced 50 years ago as a statistical tool for assessing the frequency standards deviations. For the past decades, AVAR has increasingly been used in geodesy and astrometry to assess the noise characteristics in geodetic and astrometric time series. A specific feature of astrometric and geodetic measurements, as compared with clock measurements, is that they are generally associated with uncertainties; thus, an appropriate weighting should be applied during data analysis. In addition, some physically connected scalar time series naturally form series of multidimensional vectors. For example, three station coordinates time series X, Y, and Z can be combined to analyze 3-D station position variations. The classical AVAR is not intended for processing unevenly weighted and/or multidimensional data. Therefore, AVAR modifications, namely weighted AVAR (WAVAR), multidimensional AVAR (MAVAR), and weighted multidimensional AVAR (WMAVAR), were introduced to overcome these deficiencies. In this paper, a brief review is given of the experience of using AVAR and its modifications in processing astrogeodetic time series.
Predicting the Market Potential Using Time Series Analysis
Directory of Open Access Journals (Sweden)
Halmet Bradosti
2015-12-01
Full Text Available The aim of this analysis is to forecast a mini-market sales volume for the period of twelve months starting August 2015 to August 2016. The study is based on the monthly sales in Iraqi Dinar for a private local mini-market for the month of April 2014 to July 2015. As revealed on the graph and of course if the stagnant economic condition continues, the trend of future sales is down-warding. Based on time series analysis, the business may continue to operate and generate small revenues until August 2016. However, due to low sales volume, low profit margin and operating expenses, the revenues may not be adequate enough to produce positive net income and the business may not be able to operate afterward. The principal question rose from this is the forecasting sales in the region will be difficult where the business cycle so dynamic and revolutionary due to systematic risks and unforeseeable future.
Time Series Analysis Using Geometric Template Matching.
Frank, Jordan; Mannor, Shie; Pineau, Joelle; Precup, Doina
2013-03-01
We present a novel framework for analyzing univariate time series data. At the heart of the approach is a versatile algorithm for measuring the similarity of two segments of time series called geometric template matching (GeTeM). First, we use GeTeM to compute a similarity measure for clustering and nearest-neighbor classification. Next, we present a semi-supervised learning algorithm that uses the similarity measure with hierarchical clustering in order to improve classification performance when unlabeled training data are available. Finally, we present a boosting framework called TDEBOOST, which uses an ensemble of GeTeM classifiers. TDEBOOST augments the traditional boosting approach with an additional step in which the features used as inputs to the classifier are adapted at each step to improve the training error. We empirically evaluate the proposed approaches on several datasets, such as accelerometer data collected from wearable sensors and ECG data.
Studies in astronomical time series analysis: Modeling random processes in the time domain
Scargle, J. D.
1979-01-01
Random process models phased in the time domain are used to analyze astrophysical time series data produced by random processes. A moving average (MA) model represents the data as a sequence of pulses occurring randomly in time, with random amplitudes. An autoregressive (AR) model represents the correlations in the process in terms of a linear function of past values. The best AR model is determined from sampled data and transformed to an MA for interpretation. The randomness of the pulse amplitudes is maximized by a FORTRAN algorithm which is relatively stable numerically. Results of test cases are given to study the effects of adding noise and of different distributions for the pulse amplitudes. A preliminary analysis of the optical light curve of the quasar 3C 273 is given.
Koopman Operator Framework for Time Series Modeling and Analysis
Surana, Amit
2018-01-01
We propose an interdisciplinary framework for time series classification, forecasting, and anomaly detection by combining concepts from Koopman operator theory, machine learning, and linear systems and control theory. At the core of this framework is nonlinear dynamic generative modeling of time series using the Koopman operator which is an infinite-dimensional but linear operator. Rather than working with the underlying nonlinear model, we propose two simpler linear representations or model forms based on Koopman spectral properties. We show that these model forms are invariants of the generative model and can be readily identified directly from data using techniques for computing Koopman spectral properties without requiring the explicit knowledge of the generative model. We also introduce different notions of distances on the space of such model forms which is essential for model comparison/clustering. We employ the space of Koopman model forms equipped with distance in conjunction with classical machine learning techniques to develop a framework for automatic feature generation for time series classification. The forecasting/anomaly detection framework is based on using Koopman model forms along with classical linear systems and control approaches. We demonstrate the proposed framework for human activity classification, and for time series forecasting/anomaly detection in power grid application.
Jandoc, Racquel; Burden, Andrea M; Mamdani, Muhammad; Lévesque, Linda E; Cadarette, Suzanne M
2015-08-01
To describe the use and reporting of interrupted time series methods in drug utilization research. We completed a systematic search of MEDLINE, Web of Science, and reference lists to identify English language articles through to December 2013 that used interrupted time series methods in drug utilization research. We tabulated the number of studies by publication year and summarized methodological detail. We identified 220 eligible empirical applications since 1984. Only 17 (8%) were published before 2000, and 90 (41%) were published since 2010. Segmented regression was the most commonly applied interrupted time series method (67%). Most studies assessed drug policy changes (51%, n = 112); 22% (n = 48) examined the impact of new evidence, 18% (n = 39) examined safety advisories, and 16% (n = 35) examined quality improvement interventions. Autocorrelation was considered in 66% of studies, 31% reported adjusting for seasonality, and 15% accounted for nonstationarity. Use of interrupted time series methods in drug utilization research has increased, particularly in recent years. Despite methodological recommendations, there is large variation in reporting of analytic methods. Developing methodological and reporting standards for interrupted time series analysis is important to improve its application in drug utilization research, and we provide recommendations for consideration. Copyright © 2015 The Authors. Published by Elsevier Inc. All rights reserved.
Time-series modeling of long-term weight self-monitoring data.
Helander, Elina; Pavel, Misha; Jimison, Holly; Korhonen, Ilkka
2015-08-01
Long-term self-monitoring of weight is beneficial for weight maintenance, especially after weight loss. Connected weight scales accumulate time series information over long term and hence enable time series analysis of the data. The analysis can reveal individual patterns, provide more sensitive detection of significant weight trends, and enable more accurate and timely prediction of weight outcomes. However, long term self-weighing data has several challenges which complicate the analysis. Especially, irregular sampling, missing data, and existence of periodic (e.g. diurnal and weekly) patterns are common. In this study, we apply time series modeling approach on daily weight time series from two individuals and describe information that can be extracted from this kind of data. We study the properties of weight time series data, missing data and its link to individuals behavior, periodic patterns and weight series segmentation. Being able to understand behavior through weight data and give relevant feedback is desired to lead to positive intervention on health behaviors.
Johnson, Timothy C.; Slater, Lee D.; Ntarlagiannis, Dimitris; Day-Lewis, Frederick D.; Elwaseif, Mehrez
2012-01-01
Time-lapse resistivity imaging is increasingly used to monitor hydrologic processes. Compared to conventional hydrologic measurements, surface time-lapse resistivity provides superior spatial coverage in two or three dimensions, potentially high-resolution information in time, and information in the absence of wells. However, interpretation of time-lapse electrical tomograms is complicated by the ever-increasing size and complexity of long-term, three-dimensional (3-D) time series conductivity data sets. Here we use 3-D surface time-lapse electrical imaging to monitor subsurface electrical conductivity variations associated with stage-driven groundwater-surface water interactions along a stretch of the Columbia River adjacent to the Hanford 300 near Richland, Washington, USA. We reduce the resulting 3-D conductivity time series using both time-series and time-frequency analyses to isolate a paleochannel causing enhanced groundwater-surface water interactions. Correlation analysis on the time-lapse imaging results concisely represents enhanced groundwater-surface water interactions within the paleochannel, and provides information concerning groundwater flow velocities. Time-frequency analysis using the Stockwell (S) transform provides additional information by identifying the stage periodicities driving groundwater-surface water interactions due to upstream dam operations, and identifying segments in time-frequency space when these interactions are most active. These results provide new insight into the distribution and timing of river water intrusion into the Hanford 300 Area, which has a governing influence on the behavior of a uranium plume left over from historical nuclear fuel processing operations.
Pal, Mayukha; Madhusudana Rao, P.; Manimaran, P.
2014-12-01
We apply the recently developed multifractal detrended cross-correlation analysis method to investigate the cross-correlation behavior and fractal nature between two non-stationary time series. We analyze the daily return price of gold, West Texas Intermediate and Brent crude oil, foreign exchange rate data, over a period of 18 years. The cross correlation has been measured from the Hurst scaling exponents and the singularity spectrum quantitatively. From the results, the existence of multifractal cross-correlation between all of these time series is found. We also found that the cross correlation between gold and oil prices possess uncorrelated behavior and the remaining bivariate time series possess persistent behavior. It was observed for five bivariate series that the cross-correlation exponents are less than the calculated average generalized Hurst exponents (GHE) for q0 and for one bivariate series the cross-correlation exponent is greater than GHE for all q values.
Time series analysis of soil Radon-222 recorded at Kutch region, Gujarat, India
International Nuclear Information System (INIS)
Madhusudan Rao, K.; Rastogi, B.K.; Barman, Chiranjib; Chaudhuri, Hirok
2013-01-01
Kutch region in Gujarat lies in a seismic vulnerable zone (seismic zone-v). After the devastating Bhuj earthquake (7.7M) of January 26, 2001 in the Kutch region several researcher focused their attention to monitor geophysical and geochemical precursors for earthquakes in the region. In order to find out the possible geochemical precursory signals for earthquake events, we monitored radioactive gas radon-222 in sub surface soil gas at Kutch region. We have analysed the recorded soil radon-222 time series by means of nonlinear techniques such as FFT power spectral analysis, empirical mode decomposition, multi-fractal analysis along with other linear statistical methods. Some fascinating and fruitful results originated out the nonlinear analysis of the said time series have been discussed in the present paper. The entire analytical method aided us to recognize the nature and pattern of soil radon-222 emanation process. Moreover the recording and statistical and non-linear analysis of soil radon data at Kutch region will assist us to understand the preparation phase of an imminent seismic event in the region. (author)
TIME SERIES ANALYSIS ON STOCK MARKET FOR TEXT MINING CORRELATION OF ECONOMY NEWS
Directory of Open Access Journals (Sweden)
Sadi Evren SEKER
2014-01-01
Full Text Available This paper proposes an information retrieval methodfor the economy news. Theeffect of economy news, are researched in the wordlevel and stock market valuesare considered as the ground proof.The correlation between stock market prices and economy news is an already ad-dressed problem for most of the countries. The mostwell-known approach is ap-plying the text mining approaches to the news and some time series analysis tech-niques over stock market closing values in order toapply classification or cluster-ing algorithms over the features extracted. This study goes further and tries to askthe question what are the available time series analysis techniques for the stockmarket closing values and which one is the most suitable? In this study, the newsand their dates are collected into a database and text mining is applied over thenews, the text mining part has been kept simple with only term frequency – in-verse document frequency method. For the time series analysis part, we havestudied 10 different methods such as random walk, moving average, acceleration,Bollinger band, price rate of change, periodic average, difference, momentum orrelative strength index and their variation. In this study we have also explainedthese techniques in a comparative way and we have applied the methods overTurkish Stock Market closing values for more than a2 year period. On the otherhand, we have applied the term frequency – inversedocument frequency methodon the economy news of one of the high-circulatingnewspapers in Turkey.
Loredo, Thomas; Budavari, Tamas; Scargle, Jeffrey D.
2018-01-01
This presentation provides an overview of open-source software packages addressing two challenging classes of astrostatistics problems. (1) CUDAHM is a C++ framework for hierarchical Bayesian modeling of cosmic populations, leveraging graphics processing units (GPUs) to enable applying this computationally challenging paradigm to large datasets. CUDAHM is motivated by measurement error problems in astronomy, where density estimation and linear and nonlinear regression must be addressed for populations of thousands to millions of objects whose features are measured with possibly complex uncertainties, potentially including selection effects. An example calculation demonstrates accurate GPU-accelerated luminosity function estimation for simulated populations of $10^6$ objects in about two hours using a single NVIDIA Tesla K40c GPU. (2) Time Series Explorer (TSE) is a collection of software in Python and MATLAB for exploratory analysis and statistical modeling of astronomical time series. It comprises a library of stand-alone functions and classes, as well as an application environment for interactive exploration of times series data. The presentation will summarize key capabilities of this emerging project, including new algorithms for analysis of irregularly-sampled time series.
Turbulencelike Behavior of Seismic Time Series
International Nuclear Information System (INIS)
Manshour, P.; Saberi, S.; Sahimi, Muhammad; Peinke, J.; Pacheco, Amalio F.; Rahimi Tabar, M. Reza
2009-01-01
We report on a stochastic analysis of Earth's vertical velocity time series by using methods originally developed for complex hierarchical systems and, in particular, for turbulent flows. Analysis of the fluctuations of the detrended increments of the series reveals a pronounced transition in their probability density function from Gaussian to non-Gaussian. The transition occurs 5-10 hours prior to a moderate or large earthquake, hence representing a new and reliable precursor for detecting such earthquakes
Radhakrishnan, Srinivasan; Duvvuru, Arjun; Sultornsanee, Sivarit; Kamarthi, Sagar
2016-02-01
The cross correlation coefficient has been widely applied in financial time series analysis, in specific, for understanding chaotic behaviour in terms of stock price and index movements during crisis periods. To better understand time series correlation dynamics, the cross correlation matrices are represented as networks, in which a node stands for an individual time series and a link indicates cross correlation between a pair of nodes. These networks are converted into simpler trees using different schemes. In this context, Minimum Spanning Trees (MST) are the most favoured tree structures because of their ability to preserve all the nodes and thereby retain essential information imbued in the network. Although cross correlations underlying MSTs capture essential information, they do not faithfully capture dynamic behaviour embedded in the time series data of financial systems because cross correlation is a reliable measure only if the relationship between the time series is linear. To address the issue, this work investigates a new measure called phase synchronization (PS) for establishing correlations among different time series which relate to one another, linearly or nonlinearly. In this approach the strength of a link between a pair of time series (nodes) is determined by the level of phase synchronization between them. We compare the performance of phase synchronization based MST with cross correlation based MST along selected network measures across temporal frame that includes economically good and crisis periods. We observe agreement in the directionality of the results across these two methods. They show similar trends, upward or downward, when comparing selected network measures. Though both the methods give similar trends, the phase synchronization based MST is a more reliable representation of the dynamic behaviour of financial systems than the cross correlation based MST because of the former's ability to quantify nonlinear relationships among time
An Energy-Based Similarity Measure for Time Series
Directory of Open Access Journals (Sweden)
Pierre Brunagel
2007-11-01
Full Text Available A new similarity measure, called SimilB, for time series analysis, based on the cross-ÃŽÂ¨B-energy operator (2004, is introduced. ÃŽÂ¨B is a nonlinear measure which quantifies the interaction between two time series. Compared to Euclidean distance (ED or the Pearson correlation coefficient (CC, SimilB includes the temporal information and relative changes of the time series using the first and second derivatives of the time series. SimilB is well suited for both nonstationary and stationary time series and particularly those presenting discontinuities. Some new properties of ÃŽÂ¨B are presented. Particularly, we show that ÃŽÂ¨B as similarity measure is robust to both scale and time shift. SimilB is illustrated with synthetic time series and an artificial dataset and compared to the CC and the ED measures.
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.
Financial time series analysis based on information categorization method
Tian, Qiang; Shang, Pengjian; Feng, Guochen
2014-12-01
The paper mainly applies the information categorization method to analyze the financial time series. The method is used to examine the similarity of different sequences by calculating the distances between them. We apply this method to quantify the similarity of different stock markets. And we report the results of similarity in US and Chinese stock markets in periods 1991-1998 (before the Asian currency crisis), 1999-2006 (after the Asian currency crisis and before the global financial crisis), and 2007-2013 (during and after global financial crisis) by using this method. The results show the difference of similarity between different stock markets in different time periods and the similarity of the two stock markets become larger after these two crises. Also we acquire the results of similarity of 10 stock indices in three areas; it means the method can distinguish different areas' markets from the phylogenetic trees. The results show that we can get satisfactory information from financial markets by this method. The information categorization method can not only be used in physiologic time series, but also in financial time series.
BiGGEsTS: integrated environment for biclustering analysis of time series gene expression data
Directory of Open Access Journals (Sweden)
Madeira Sara C
2009-07-01
Full Text Available Abstract Background The ability to monitor changes in expression patterns over time, and to observe the emergence of coherent temporal responses using expression time series, is critical to advance our understanding of complex biological processes. Biclustering has been recognized as an effective method for discovering local temporal expression patterns and unraveling potential regulatory mechanisms. The general biclustering problem is NP-hard. In the case of time series this problem is tractable, and efficient algorithms can be used. However, there is still a need for specialized applications able to take advantage of the temporal properties inherent to expression time series, both from a computational and a biological perspective. Findings BiGGEsTS makes available state-of-the-art biclustering algorithms for analyzing expression time series. Gene Ontology (GO annotations are used to assess the biological relevance of the biclusters. Methods for preprocessing expression time series and post-processing results are also included. The analysis is additionally supported by a visualization module capable of displaying informative representations of the data, including heatmaps, dendrograms, expression charts and graphs of enriched GO terms. Conclusion BiGGEsTS is a free open source graphical software tool for revealing local coexpression of genes in specific intervals of time, while integrating meaningful information on gene annotations. It is freely available at: http://kdbio.inesc-id.pt/software/biggests. We present a case study on the discovery of transcriptional regulatory modules in the response of Saccharomyces cerevisiae to heat stress.
Analysis of complex time series using refined composite multiscale entropy
International Nuclear Information System (INIS)
Wu, Shuen-De; Wu, Chiu-Wen; Lin, Shiou-Gwo; Lee, Kung-Yen; Peng, Chung-Kang
2014-01-01
Multiscale entropy (MSE) is an effective algorithm for measuring the complexity of a time series that has been applied in many fields successfully. However, MSE may yield an inaccurate estimation of entropy or induce undefined entropy because the coarse-graining procedure reduces the length of a time series considerably at large scales. Composite multiscale entropy (CMSE) was recently proposed to improve the accuracy of MSE, but it does not resolve undefined entropy. Here we propose a refined composite multiscale entropy (RCMSE) to improve CMSE. For short time series analyses, we demonstrate that RCMSE increases the accuracy of entropy estimation and reduces the probability of inducing undefined entropy.
Empirical mode decomposition and long-range correlation analysis of sunspot time series
International Nuclear Information System (INIS)
Zhou, Yu; Leung, Yee
2010-01-01
Sunspots, which are the best known and most variable features of the solar surface, affect our planet in many ways. The number of sunspots during a period of time is highly variable and arouses strong research interest. When multifractal detrended fluctuation analysis (MF-DFA) is employed to study the fractal properties and long-range correlation of the sunspot series, some spurious crossover points might appear because of the periodic and quasi-periodic trends in the series. However many cycles of solar activities can be reflected by the sunspot time series. The 11-year cycle is perhaps the most famous cycle of the sunspot activity. These cycles pose problems for the investigation of the scaling behavior of sunspot time series. Using different methods to handle the 11-year cycle generally creates totally different results. Using MF-DFA, Movahed and co-workers employed Fourier truncation to deal with the 11-year cycle and found that the series is long-range anti-correlated with a Hurst exponent, H, of about 0.12. However, Hu and co-workers proposed an adaptive detrending method for the MF-DFA and discovered long-range correlation characterized by H≈0.74. In an attempt to get to the bottom of the problem in the present paper, empirical mode decomposition (EMD), a data-driven adaptive method, is applied to first extract the components with different dominant frequencies. MF-DFA is then employed to study the long-range correlation of the sunspot time series under the influence of these components. On removing the effects of these periods, the natural long-range correlation of the sunspot time series can be revealed. With the removal of the 11-year cycle, a crossover point located at around 60 months is discovered to be a reasonable point separating two different time scale ranges, H≈0.72 and H≈1.49. And on removing all cycles longer than 11 years, we have H≈0.69 and H≈0.28. The three cycle-removing methods—Fourier truncation, adaptive detrending and the
Centrality measures in temporal networks with time series analysis
Huang, Qiangjuan; Zhao, Chengli; Zhang, Xue; Wang, Xiaojie; Yi, Dongyun
2017-05-01
The study of identifying important nodes in networks has a wide application in different fields. However, the current researches are mostly based on static or aggregated networks. Recently, the increasing attention to networks with time-varying structure promotes the study of node centrality in temporal networks. In this paper, we define a supra-evolution matrix to depict the temporal network structure. With using of the time series analysis, the relationships between different time layers can be learned automatically. Based on the special form of the supra-evolution matrix, the eigenvector centrality calculating problem is turned into the calculation of eigenvectors of several low-dimensional matrices through iteration, which effectively reduces the computational complexity. Experiments are carried out on two real-world temporal networks, Enron email communication network and DBLP co-authorship network, the results of which show that our method is more efficient at discovering the important nodes than the common aggregating method.
WANG, D.; Wang, Y.; Zeng, X.
2017-12-01
Accurate, fast forecasting of hydro-meteorological time series is presently a major challenge in drought and flood mitigation. This paper proposes a hybrid approach, Wavelet De-noising (WD) and Rank-Set Pair Analysis (RSPA), that takes full advantage of a combination of the two approaches to improve forecasts of hydro-meteorological time series. WD allows decomposition and reconstruction of a time series by the wavelet transform, and hence separation of the noise from the original series. RSPA, a more reliable and efficient version of Set Pair Analysis, is integrated with WD to form the hybrid WD-RSPA approach. Two types of hydro-meteorological data sets with different characteristics and different levels of human influences at some representative stations are used to illustrate the WD-RSPA approach. The approach is also compared to three other generic methods: the conventional Auto Regressive Integrated Moving Average (ARIMA) method, Artificial Neural Networks (ANNs) (BP-error Back Propagation, MLP-Multilayer Perceptron and RBF-Radial Basis Function), and RSPA alone. Nine error metrics are used to evaluate the model performance. The results show that WD-RSPA is accurate, feasible, and effective. In particular, WD-RSPA is found to be the best among the various generic methods compared in this paper, even when the extreme events are included within a time series.
Foundations of Sequence-to-Sequence Modeling for Time Series
Kuznetsov, Vitaly; Mariet, Zelda
2018-01-01
The availability of large amounts of time series data, paired with the performance of deep-learning algorithms on a broad class of problems, has recently led to significant interest in the use of sequence-to-sequence models for time series forecasting. We provide the first theoretical analysis of this time series forecasting framework. We include a comparison of sequence-to-sequence modeling to classical time series models, and as such our theory can serve as a quantitative guide for practiti...
International Nuclear Information System (INIS)
Hashimoto, Tetsuo; Sanada, Yukihisa; Uezu, Yasuhiro
2004-01-01
A delayed coincidence method, time-interval analysis (TIA), has been applied to successive α-α decay events on the millisecond time-scale. Such decay events are part of the 220 Rn→ 216 Po (T 1/2 145 ms) (Th-series) and 219 Rn→ 215 Po (T 1/2 1.78 ms) (Ac-series). By using TIA in addition to measurement of 226 Ra (U-series) from α-spectrometry by liquid scintillation counting (LSC), two natural decay series could be identified and separated. The TIA detection efficiency was improved by using the pulse-shape discrimination technique (PSD) to reject β-pulses, by solvent extraction of Ra combined with simple chemical separation, and by purging the scintillation solution with dry N 2 gas. The U- and Th-series together with the Ac-series were determined, respectively, from alpha spectra and TIA carried out immediately after Ra-extraction. Using the 221 Fr→ 217 At (T 1/2 32.3 ms) decay process as a tracer, overall yields were estimated from application of TIA to the 225 Ra (Np-decay series) at the time of maximum growth. The present method has proven useful for simultaneous determination of three radioactive decay series in environmental samples. (orig.)
Work-related accidents among the Iranian population: a time series analysis, 2000-2011.
Karimlou, Masoud; Salehi, Masoud; Imani, Mehdi; Hosseini, Agha-Fatemeh; Dehnad, Afsaneh; Vahabi, Nasim; Bakhtiyari, Mahmood
2015-01-01
Work-related accidents result in human suffering and economic losses and are considered as a major health problem worldwide, especially in the economically developing world. To introduce seasonal autoregressive moving average (ARIMA) models for time series analysis of work-related accident data for workers insured by the Iranian Social Security Organization (ISSO) between 2000 and 2011. In this retrospective study, all insured people experiencing at least one work-related accident during a 10-year period were included in the analyses. We used Box-Jenkins modeling to develop a time series model of the total number of accidents. There was an average of 1476 accidents per month (1476·05±458·77, mean±SD). The final ARIMA (p,d,q) (P,D,Q)s model for fitting to data was: ARIMA(1,1,1)×(0,1,1)12 consisting of the first ordering of the autoregressive, moving average and seasonal moving average parameters with 20·942 mean absolute percentage error (MAPE). The final model showed that time series analysis of ARIMA models was useful for forecasting the number of work-related accidents in Iran. In addition, the forecasted number of work-related accidents for 2011 explained the stability of occurrence of these accidents in recent years, indicating a need for preventive occupational health and safety policies such as safety inspection.
Time-series analysis to study the impact of an intersection on dispersion along a street canyon.
Richmond-Bryant, Jennifer; Eisner, Alfred D; Hahn, Intaek; Fortune, Christopher R; Drake-Richman, Zora E; Brixey, Laurie A; Talih, M; Wiener, Russell W; Ellenson, William D
2009-12-01
This paper presents data analysis from the Brooklyn Traffic Real-Time Ambient Pollutant Penetration and Environmental Dispersion (B-TRAPPED) study to assess the transport of ultrafine particulate matter (PM) across urban intersections. Experiments were performed in a street canyon perpendicular to a highway in Brooklyn, NY, USA. Real-time ultrafine PM samplers were positioned on either side of an intersection at multiple locations along a street to collect time-series number concentration data. Meteorology equipment was positioned within the street canyon and at an upstream background site to measure wind speed and direction. Time-series analysis was performed on the PM data to compute a transport velocity along the direction of the street for the cases where background winds were parallel and perpendicular to the street. The data were analyzed for sampler pairs located (1) on opposite sides of the intersection and (2) on the same block. The time-series analysis demonstrated along-street transport, including across the intersection when background winds were parallel to the street canyon and there was minimal transport and no communication across the intersection when background winds were perpendicular to the street canyon. Low but significant values of the cross-correlation function (CCF) underscore the turbulent nature of plume transport along the street canyon. The low correlations suggest that flow switching around corners or traffic-induced turbulence at the intersection may have aided dilution of the PM plume from the highway. This observation supports similar findings in the literature. Furthermore, the time-series analysis methodology applied in this study is introduced as a technique for studying spatiotemporal variation in the urban microscale environment.
Online Time Series Analysis of Land Products over Asia Monsoon Region via Giovanni
Shen, Suhung; Leptoukh, Gregory G.; Gerasimov, Irina
2011-01-01
Time series analysis is critical to the study of land cover/land use changes and climate. Time series studies at local-to-regional scales require higher spatial resolution, such as 1km or less, data. MODIS land products of 250m to 1km resolution enable such studies. However, such MODIS land data files are distributed in 10ox10o tiles, due to large data volumes. Conducting a time series study requires downloading all tiles that include the study area for the time period of interest, and mosaicking the tiles spatially. This can be an extremely time-consuming process. In support of the Monsoon Asia Integrated Regional Study (MAIRS) program, NASA GES DISC (Goddard Earth Sciences Data and Information Services Center) has processed MODIS land products at 1 km resolution over the Asia monsoon region (0o-60oN, 60o-150oE) with a common data structure and format. The processed data have been integrated into the Giovanni system (Goddard Interactive Online Visualization ANd aNalysis Infrastructure) that enables users to explore, analyze, and download data over an area and time period of interest easily. Currently, the following regional MODIS land products are available in Giovanni: 8-day 1km land surface temperature and active fire, monthly 1km vegetation index, and yearly 0.05o, 500m land cover types. More data will be added in the near future. By combining atmospheric and oceanic data products in the Giovanni system, it is possible to do further analyses of environmental and climate changes associated with the land, ocean, and atmosphere. This presentation demonstrates exploring land products in the Giovanni system with sample case scenarios.
Interglacial climate dynamics and advanced time series analysis
Mudelsee, Manfred; Bermejo, Miguel; Köhler, Peter; Lohmann, Gerrit
2013-04-01
Studying the climate dynamics of past interglacials (IGs) helps to better assess the anthropogenically influenced dynamics of the current IG, the Holocene. We select the IG portions from the EPICA Dome C ice core archive, which covers the past 800 ka, to apply methods of statistical time series analysis (Mudelsee 2010). The analysed variables are deuterium/H (indicating temperature) (Jouzel et al. 2007), greenhouse gases (Siegenthaler et al. 2005, Loulergue et al. 2008, L¨ü thi et al. 2008) and a model-co-derived climate radiative forcing (Köhler et al. 2010). We select additionally high-resolution sea-surface-temperature records from the marine sedimentary archive. The first statistical method, persistence time estimation (Mudelsee 2002) lets us infer the 'climate memory' property of IGs. Second, linear regression informs about long-term climate trends during IGs. Third, ramp function regression (Mudelsee 2000) is adapted to look on abrupt climate changes during IGs. We compare the Holocene with previous IGs in terms of these mathematical approaches, interprete results in a climate context, assess uncertainties and the requirements to data from old IGs for yielding results of 'acceptable' accuracy. This work receives financial support from the Deutsche Forschungsgemeinschaft (Project ClimSens within the DFG Research Priority Program INTERDYNAMIK) and the European Commission (Marie Curie Initial Training Network LINC, No. 289447, within the 7th Framework Programme). References Jouzel J, Masson-Delmotte V, Cattani O, Dreyfus G, Falourd S, Hoffmann G, Minster B, Nouet J, Barnola JM, Chappellaz J, Fischer H, Gallet JC, Johnsen S, Leuenberger M, Loulergue L, Luethi D, Oerter H, Parrenin F, Raisbeck G, Raynaud D, Schilt A, Schwander J, Selmo E, Souchez R, Spahni R, Stauffer B, Steffensen JP, Stenni B, Stocker TF, Tison JL, Werner M, Wolff EW (2007) Orbital and millennial Antarctic climate variability over the past 800,000 years. Science 317:793. Köhler P, Bintanja R
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)…
Time Series Forecasting with Missing Values
Directory of Open Access Journals (Sweden)
Shin-Fu Wu
2015-11-01
Full Text Available Time series prediction has become more popular in various kinds of applications such as weather prediction, control engineering, financial analysis, industrial monitoring, etc. To deal with real-world problems, we are often faced with missing values in the data due to sensor malfunctions or human errors. Traditionally, the missing values are simply omitted or replaced by means of imputation methods. However, omitting those missing values may cause temporal discontinuity. Imputation methods, on the other hand, may alter the original time series. In this study, we propose a novel forecasting method based on least squares support vector machine (LSSVM. We employ the input patterns with the temporal information which is defined as local time index (LTI. Time series data as well as local time indexes are fed to LSSVM for doing forecasting without imputation. We compare the forecasting performance of our method with other imputation methods. Experimental results show that the proposed method is promising and is worth further investigations.
Wet tropospheric delays forecast based on Vienna Mapping Function time series analysis
Rzepecka, Zofia; Kalita, Jakub
2016-04-01
It is well known that the dry part of the zenith tropospheric delay (ZTD) is much easier to model than the wet part (ZTW). The aim of the research is applying stochastic modeling and prediction of ZTW using time series analysis tools. Application of time series analysis enables closer understanding of ZTW behavior as well as short-term prediction of future ZTW values. The ZTW data used for the studies were obtained from the GGOS service hold by Vienna technical University. The resolution of the data is six hours. ZTW for the years 2010 -2013 were adopted for the study. The International GNSS Service (IGS) permanent stations LAMA and GOPE, located in mid-latitudes, were admitted for the investigations. Initially the seasonal part was separated and modeled using periodic signals and frequency analysis. The prominent annual and semi-annual signals were removed using sines and consines functions. The autocorrelation of the resulting signal is significant for several days (20-30 samples). The residuals of this fitting were further analyzed and modeled with ARIMA processes. For both the stations optimal ARMA processes based on several criterions were obtained. On this basis predicted ZTW values were computed for one day ahead, leaving the white process residuals. Accuracy of the prediction can be estimated at about 3 cm.
Transformation-cost time-series method for analyzing irregularly sampled data.
Ozken, Ibrahim; Eroglu, Deniz; Stemler, Thomas; Marwan, Norbert; Bagci, G Baris; Kurths, Jürgen
2015-06-01
Irregular sampling of data sets is one of the challenges often encountered in time-series analysis, since traditional methods cannot be applied and the frequently used interpolation approach can corrupt the data and bias the subsequence analysis. Here we present the TrAnsformation-Cost Time-Series (TACTS) method, which allows us to analyze irregularly sampled data sets without degenerating the quality of the data set. Instead of using interpolation we consider time-series segments and determine how close they are to each other by determining the cost needed to transform one segment into the following one. Using a limited set of operations-with associated costs-to transform the time series segments, we determine a new time series, that is our transformation-cost time series. This cost time series is regularly sampled and can be analyzed using standard methods. While our main interest is the analysis of paleoclimate data, we develop our method using numerical examples like the logistic map and the Rössler oscillator. The numerical data allows us to test the stability of our method against noise and for different irregular samplings. In addition we provide guidance on how to choose the associated costs based on the time series at hand. The usefulness of the TACTS method is demonstrated using speleothem data from the Secret Cave in Borneo that is a good proxy for paleoclimatic variability in the monsoon activity around the maritime continent.
Transformation-cost time-series method for analyzing irregularly sampled data
Ozken, Ibrahim; Eroglu, Deniz; Stemler, Thomas; Marwan, Norbert; Bagci, G. Baris; Kurths, Jürgen
2015-06-01
Irregular sampling of data sets is one of the challenges often encountered in time-series analysis, since traditional methods cannot be applied and the frequently used interpolation approach can corrupt the data and bias the subsequence analysis. Here we present the TrAnsformation-Cost Time-Series (TACTS) method, which allows us to analyze irregularly sampled data sets without degenerating the quality of the data set. Instead of using interpolation we consider time-series segments and determine how close they are to each other by determining the cost needed to transform one segment into the following one. Using a limited set of operations—with associated costs—to transform the time series segments, we determine a new time series, that is our transformation-cost time series. This cost time series is regularly sampled and can be analyzed using standard methods. While our main interest is the analysis of paleoclimate data, we develop our method using numerical examples like the logistic map and the Rössler oscillator. The numerical data allows us to test the stability of our method against noise and for different irregular samplings. In addition we provide guidance on how to choose the associated costs based on the time series at hand. The usefulness of the TACTS method is demonstrated using speleothem data from the Secret Cave in Borneo that is a good proxy for paleoclimatic variability in the monsoon activity around the maritime continent.
Time Series Analysis of Onchocerciasis Data from Mexico: A Trend towards Elimination
Pérez-Rodríguez, Miguel A.; Adeleke, Monsuru A.; Orozco-Algarra, María E.; Arrendondo-Jiménez, Juan I.; Guo, Xianwu
2013-01-01
Background In Latin America, there are 13 geographically isolated endemic foci distributed among Mexico, Guatemala, Colombia, Venezuela, Brazil and Ecuador. The communities of the three endemic foci found within Mexico have been receiving ivermectin treatment since 1989. In this study, we predicted the trend of occurrence of cases in Mexico by applying time series analysis to monthly onchocerciasis data reported by the Mexican Secretariat of Health between 1988 and 2011 using the software R. Results A total of 15,584 cases were reported in Mexico from 1988 to 2011. The data of onchocerciasis cases are mainly from the main endemic foci of Chiapas and Oaxaca. The last case in Oaxaca was reported in 1998, but new cases were reported in the Chiapas foci up to 2011. Time series analysis performed for the foci in Mexico showed a decreasing trend of the disease over time. The best-fitted models with the smallest Akaike Information Criterion (AIC) were Auto-Regressive Integrated Moving Average (ARIMA) models, which were used to predict the tendency of onchocerciasis cases for two years ahead. According to the ARIMA models predictions, the cases in very low number (below 1) are expected for the disease between 2012 and 2013 in Chiapas, the last endemic region in Mexico. Conclusion The endemic regions of Mexico evolved from high onchocerciasis-endemic states to the interruption of transmission due to the strategies followed by the MSH, based on treatment with ivermectin. The extremely low level of expected cases as predicted by ARIMA models for the next two years suggest that the onchocerciasis is being eliminated in Mexico. To our knowledge, it is the first study utilizing time series for predicting case dynamics of onchocerciasis, which could be used as a benchmark during monitoring and post-treatment surveillance. PMID:23459370
Interpretation of a compositional time series
Tolosana-Delgado, R.; van den Boogaart, K. G.
2012-04-01
Common methods for multivariate time series analysis use linear operations, from the definition of a time-lagged covariance/correlation to the prediction of new outcomes. However, when the time series response is a composition (a vector of positive components showing the relative importance of a set of parts in a total, like percentages and proportions), then linear operations are afflicted of several problems. For instance, it has been long recognised that (auto/cross-)correlations between raw percentages are spurious, more dependent on which other components are being considered than on any natural link between the components of interest. Also, a long-term forecast of a composition in models with a linear trend will ultimately predict negative components. In general terms, compositional data should not be treated in a raw scale, but after a log-ratio transformation (Aitchison, 1986: The statistical analysis of compositional data. Chapman and Hill). This is so because the information conveyed by a compositional data is relative, as stated in their definition. The principle of working in coordinates allows to apply any sort of multivariate analysis to a log-ratio transformed composition, as long as this transformation is invertible. This principle is of full application to time series analysis. We will discuss how results (both auto/cross-correlation functions and predictions) can be back-transformed, viewed and interpreted in a meaningful way. One view is to use the exhaustive set of all possible pairwise log-ratios, which allows to express the results into D(D - 1)/2 separate, interpretable sets of one-dimensional models showing the behaviour of each possible pairwise log-ratios. Another view is the interpretation of estimated coefficients or correlations back-transformed in terms of compositions. These two views are compatible and complementary. These issues are illustrated with time series of seasonal precipitation patterns at different rain gauges of the USA
Complexity analysis of the turbulent environmental fluid flow time series
Mihailović, D. T.; Nikolić-Đorić, E.; Drešković, N.; Mimić, G.
2014-02-01
We have used the Kolmogorov complexities, sample and permutation entropies to quantify the randomness degree in river flow time series of two mountain rivers in Bosnia and Herzegovina, representing the turbulent environmental fluid, for the period 1926-1990. In particular, we have examined the monthly river flow time series from two rivers (the Miljacka and the Bosnia) in the mountain part of their flow and then calculated the Kolmogorov complexity (KL) based on the Lempel-Ziv Algorithm (LZA) (lower-KLL and upper-KLU), sample entropy (SE) and permutation entropy (PE) values for each time series. The results indicate that the KLL, KLU, SE and PE values in two rivers are close to each other regardless of the amplitude differences in their monthly flow rates. We have illustrated the changes in mountain river flow complexity by experiments using (i) the data set for the Bosnia River and (ii) anticipated human activities and projected climate changes. We have explored the sensitivity of considered measures in dependence on the length of time series. In addition, we have divided the period 1926-1990 into three subintervals: (a) 1926-1945, (b) 1946-1965, (c) 1966-1990, and calculated the KLL, KLU, SE, PE values for the various time series in these subintervals. It is found that during the period 1946-1965, there is a decrease in their complexities, and corresponding changes in the SE and PE, in comparison to the period 1926-1990. This complexity loss may be primarily attributed to (i) human interventions, after the Second World War, on these two rivers because of their use for water consumption and (ii) climate change in recent times.
Directory of Open Access Journals (Sweden)
Benoit Parmentier
2014-12-01
Full Text Available Characterizing biophysical changes in land change areas over large regions with short and noisy multivariate time series and multiple temporal parameters remains a challenging task. Most studies focus on detection rather than the characterization, i.e., the manner by which surface state variables are altered by the process of changes. In this study, a procedure is presented to extract and characterize simultaneous temporal changes in MODIS multivariate times series from three surface state variables the Normalized Difference Vegetation Index (NDVI, land surface temperature (LST and albedo (ALB. The analysis involves conducting a seasonal trend analysis (STA to extract three seasonal shape parameters (Amplitude 0, Amplitude 1 and Amplitude 2 and using principal component analysis (PCA to contrast trends in change and no-change areas. We illustrate the method by characterizing trends in burned and unburned pixels in Alaska over the 2001–2009 time period. Findings show consistent and meaningful extraction of temporal patterns related to fire disturbances. The first principal component (PC1 is characterized by a decrease in mean NDVI (Amplitude 0 with a concurrent increase in albedo (the mean and the annual amplitude and an increase in LST annual variability (Amplitude 1. These results provide systematic empirical evidence of surface changes associated with one type of land change, fire disturbances, and suggest that STA with PCA may be used to characterize many other types of land transitions over large landscape areas using multivariate Earth observation time series.
DTW-APPROACH FOR UNCORRELATED MULTIVARIATE TIME SERIES IMPUTATION
Phan , Thi-Thu-Hong; Poisson Caillault , Emilie; Bigand , André; Lefebvre , Alain
2017-01-01
International audience; Missing data are inevitable in almost domains of applied sciences. Data analysis with missing values can lead to a loss of efficiency and unreliable results, especially for large missing sub-sequence(s). Some well-known methods for multivariate time series imputation require high correlations between series or their features. In this paper , we propose an approach based on the shape-behaviour relation in low/un-correlated multivariate time series under an assumption of...
Assessing Spontaneous Combustion Instability with Nonlinear Time Series Analysis
Eberhart, C. J.; Casiano, M. J.
2015-01-01
Considerable interest lies in the ability to characterize the onset of spontaneous instabilities within liquid propellant rocket engine (LPRE) combustion devices. Linear techniques, such as fast Fourier transforms, various correlation parameters, and critical damping parameters, have been used at great length for over fifty years. Recently, nonlinear time series methods have been applied to deduce information pertaining to instability incipiency hidden in seemingly stochastic combustion noise. A technique commonly used in biological sciences known as the Multifractal Detrended Fluctuation Analysis has been extended to the combustion dynamics field, and is introduced here as a data analysis approach complementary to linear ones. Advancing, a modified technique is leveraged to extract artifacts of impending combustion instability that present themselves a priori growth to limit cycle amplitudes. Analysis is demonstrated on data from J-2X gas generator testing during which a distinct spontaneous instability was observed. Comparisons are made to previous work wherein the data were characterized using linear approaches. Verification of the technique is performed by examining idealized signals and comparing two separate, independently developed tools.
Li, Shuying; Zhuang, Jun; Shen, Shifei
2017-07-01
In recent years, various types of terrorist attacks occurred, causing worldwide catastrophes. According to the Global Terrorism Database (GTD), among all attack tactics, bombing attacks happened most frequently, followed by armed assaults. In this article, a model for analyzing and forecasting the conditional probability of bombing attacks (CPBAs) based on time-series methods is developed. In addition, intervention analysis is used to analyze the sudden increase in the time-series process. The results show that the CPBA increased dramatically at the end of 2011. During that time, the CPBA increased by 16.0% in a two-month period to reach the peak value, but still stays 9.0% greater than the predicted level after the temporary effect gradually decays. By contrast, no significant fluctuation can be found in the conditional probability process of armed assault. It can be inferred that some social unrest, such as America's troop withdrawal from Afghanistan and Iraq, could have led to the increase of the CPBA in Afghanistan, Iraq, and Pakistan. The integrated time-series and intervention model is used to forecast the monthly CPBA in 2014 and through 2064. The average relative error compared with the real data in 2014 is 3.5%. The model is also applied to the total number of attacks recorded by the GTD between 2004 and 2014. © 2016 Society for Risk Analysis.
Use of Time-Series, ARIMA Designs to Assess Program Efficacy.
Braden, Jeffery P.; And Others
1990-01-01
Illustrates use of time-series designs for determining efficacy of interventions with fictitious data describing drug-abuse prevention program. Discusses problems and procedures associated with time-series data analysis using Auto Regressive Integrated Moving Averages (ARIMA) models. Example illustrates application of ARIMA analysis for…
Kennedy, Curtis E; Turley, James P
2011-10-24
Thousands of children experience cardiac arrest events every year in pediatric intensive care units. Most of these children die. Cardiac arrest prediction tools are used as part of medical emergency team evaluations to identify patients in standard hospital beds that are at high risk for cardiac arrest. There are no models to predict cardiac arrest in pediatric intensive care units though, where the risk of an arrest is 10 times higher than for standard hospital beds. Current tools are based on a multivariable approach that does not characterize deterioration, which often precedes cardiac arrests. Characterizing deterioration requires a time series approach. The purpose of this study is to propose a method that will allow for time series data to be used in clinical prediction models. Successful implementation of these methods has the potential to bring arrest prediction to the pediatric intensive care environment, possibly allowing for interventions that can save lives and prevent disabilities. We reviewed prediction models from nonclinical domains that employ time series data, and identified the steps that are necessary for building predictive models using time series clinical data. We illustrate the method by applying it to the specific case of building a predictive model for cardiac arrest in a pediatric intensive care unit. Time course analysis studies from genomic analysis provided a modeling template that was compatible with the steps required to develop a model from clinical time series data. The steps include: 1) selecting candidate variables; 2) specifying measurement parameters; 3) defining data format; 4) defining time window duration and resolution; 5) calculating latent variables for candidate variables not directly measured; 6) calculating time series features as latent variables; 7) creating data subsets to measure model performance effects attributable to various classes of candidate variables; 8) reducing the number of candidate features; 9
Time series analysis of infrared satellite data for detecting thermal anomalies: a hybrid approach
Koeppen, W. C.; Pilger, E.; Wright, R.
2011-07-01
We developed and tested an automated algorithm that analyzes thermal infrared satellite time series data to detect and quantify the excess energy radiated from thermal anomalies such as active volcanoes. Our algorithm enhances the previously developed MODVOLC approach, a simple point operation, by adding a more complex time series component based on the methods of the Robust Satellite Techniques (RST) algorithm. Using test sites at Anatahan and Kīlauea volcanoes, the hybrid time series approach detected ~15% more thermal anomalies than MODVOLC with very few, if any, known false detections. We also tested gas flares in the Cantarell oil field in the Gulf of Mexico as an end-member scenario representing very persistent thermal anomalies. At Cantarell, the hybrid algorithm showed only a slight improvement, but it did identify flares that were undetected by MODVOLC. We estimate that at least 80 MODIS images for each calendar month are required to create good reference images necessary for the time series analysis of the hybrid algorithm. The improved performance of the new algorithm over MODVOLC will result in the detection of low temperature thermal anomalies that will be useful in improving our ability to document Earth's volcanic eruptions, as well as detecting low temperature thermal precursors to larger eruptions.
Time series analysis of the developed financial markets' integration using visibility graphs
Zhuang, Enyu; Small, Michael; Feng, Gang
2014-09-01
A time series representing the developed financial markets' segmentation from 1973 to 2012 is studied. The time series reveals an obvious market integration trend. To further uncover the features of this time series, we divide it into seven windows and generate seven visibility graphs. The measuring capabilities of the visibility graphs provide means to quantitatively analyze the original time series. It is found that the important historical incidents that influenced market integration coincide with variations in the measured graphical node degree. Through the measure of neighborhood span, the frequencies of the historical incidents are disclosed. Moreover, it is also found that large "cycles" and significant noise in the time series are linked to large and small communities in the generated visibility graphs. For large cycles, how historical incidents significantly affected market integration is distinguished by density and compactness of the corresponding communities.
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.
Energy Technology Data Exchange (ETDEWEB)
Lutaif, N.A. [Departamento de Clínica Médica, Faculdade de Ciências Médicas, Universidade Estadual de Campinas, Campinas, SP (Brazil); Palazzo, R. Jr [Departamento de Telemática, Faculdade de Engenharia Elétrica e Computação, Universidade Estadual de Campinas, Campinas, SP (Brazil); Gontijo, J.A.R. [Departamento de Clínica Médica, Faculdade de Ciências Médicas, Universidade Estadual de Campinas, Campinas, SP (Brazil)
2014-01-17
Maintenance of thermal homeostasis in rats fed a high-fat diet (HFD) is associated with changes in their thermal balance. The thermodynamic relationship between heat dissipation and energy storage is altered by the ingestion of high-energy diet content. Observation of thermal registers of core temperature behavior, in humans and rodents, permits identification of some characteristics of time series, such as autoreference and stationarity that fit adequately to a stochastic analysis. To identify this change, we used, for the first time, a stochastic autoregressive model, the concepts of which match those associated with physiological systems involved and applied in male HFD rats compared with their appropriate standard food intake age-matched male controls (n=7 per group). By analyzing a recorded temperature time series, we were able to identify when thermal homeostasis would be affected by a new diet. The autoregressive time series model (AR model) was used to predict the occurrence of thermal homeostasis, and this model proved to be very effective in distinguishing such a physiological disorder. Thus, we infer from the results of our study that maximum entropy distribution as a means for stochastic characterization of temperature time series registers may be established as an important and early tool to aid in the diagnosis and prevention of metabolic diseases due to their ability to detect small variations in thermal profile.
International Nuclear Information System (INIS)
Lutaif, N.A.; Palazzo, R. Jr; Gontijo, J.A.R.
2014-01-01
Maintenance of thermal homeostasis in rats fed a high-fat diet (HFD) is associated with changes in their thermal balance. The thermodynamic relationship between heat dissipation and energy storage is altered by the ingestion of high-energy diet content. Observation of thermal registers of core temperature behavior, in humans and rodents, permits identification of some characteristics of time series, such as autoreference and stationarity that fit adequately to a stochastic analysis. To identify this change, we used, for the first time, a stochastic autoregressive model, the concepts of which match those associated with physiological systems involved and applied in male HFD rats compared with their appropriate standard food intake age-matched male controls (n=7 per group). By analyzing a recorded temperature time series, we were able to identify when thermal homeostasis would be affected by a new diet. The autoregressive time series model (AR model) was used to predict the occurrence of thermal homeostasis, and this model proved to be very effective in distinguishing such a physiological disorder. Thus, we infer from the results of our study that maximum entropy distribution as a means for stochastic characterization of temperature time series registers may be established as an important and early tool to aid in the diagnosis and prevention of metabolic diseases due to their ability to detect small variations in thermal profile
Time series modeling in traffic safety research.
Lavrenz, Steven M; Vlahogianni, Eleni I; Gkritza, Konstantina; Ke, Yue
2018-08-01
The use of statistical models for analyzing traffic safety (crash) data has been well-established. However, time series techniques have traditionally been underrepresented in the corresponding literature, due to challenges in data collection, along with a limited knowledge of proper methodology. In recent years, new types of high-resolution traffic safety data, especially in measuring driver behavior, have made time series modeling techniques an increasingly salient topic of study. Yet there remains a dearth of information to guide analysts in their use. This paper provides an overview of the state of the art in using time series models in traffic safety research, and discusses some of the fundamental techniques and considerations in classic time series modeling. It also presents ongoing and future opportunities for expanding the use of time series models, and explores newer modeling techniques, including computational intelligence models, which hold promise in effectively handling ever-larger data sets. The information contained herein is meant to guide safety researchers in understanding this broad area of transportation data analysis, and provide a framework for understanding safety trends that can influence policy-making. Copyright © 2017 Elsevier Ltd. All rights reserved.
Schaefer, Alexander; Brach, Jennifer S; Perera, Subashan; Sejdić, Ervin
2014-01-30
The time evolution and complex interactions of many nonlinear systems, such as in the human body, result in fractal types of parameter outcomes that exhibit self similarity over long time scales by a power law in the frequency spectrum S(f)=1/f(β). The scaling exponent β is thus often interpreted as a "biomarker" of relative health and decline. This paper presents a thorough comparative numerical analysis of fractal characterization techniques with specific consideration given to experimentally measured gait stride interval time series. The ideal fractal signals generated in the numerical analysis are constrained under varying lengths and biases indicative of a range of physiologically conceivable fractal signals. This analysis is to complement previous investigations of fractal characteristics in healthy and pathological gait stride interval time series, with which this study is compared. The results of our analysis showed that the averaged wavelet coefficient method consistently yielded the most accurate results. Class dependent methods proved to be unsuitable for physiological time series. Detrended fluctuation analysis as most prevailing method in the literature exhibited large estimation variances. The comparative numerical analysis and experimental applications provide a thorough basis for determining an appropriate and robust method for measuring and comparing a physiologically meaningful biomarker, the spectral index β. In consideration of the constraints of application, we note the significant drawbacks of detrended fluctuation analysis and conclude that the averaged wavelet coefficient method can provide reasonable consistency and accuracy for characterizing these fractal time series. Copyright © 2013 Elsevier B.V. All rights reserved.
Schaefer, Alexander; Brach, Jennifer S.; Perera, Subashan; Sejdić, Ervin
2013-01-01
Background The time evolution and complex interactions of many nonlinear systems, such as in the human body, result in fractal types of parameter outcomes that exhibit self similarity over long time scales by a power law in the frequency spectrum S(f) = 1/fβ. The scaling exponent β is thus often interpreted as a “biomarker” of relative health and decline. New Method This paper presents a thorough comparative numerical analysis of fractal characterization techniques with specific consideration given to experimentally measured gait stride interval time series. The ideal fractal signals generated in the numerical analysis are constrained under varying lengths and biases indicative of a range of physiologically conceivable fractal signals. This analysis is to complement previous investigations of fractal characteristics in healthy and pathological gait stride interval time series, with which this study is compared. Results The results of our analysis showed that the averaged wavelet coefficient method consistently yielded the most accurate results. Comparison with Existing Methods: Class dependent methods proved to be unsuitable for physiological time series. Detrended fluctuation analysis as most prevailing method in the literature exhibited large estimation variances. Conclusions The comparative numerical analysis and experimental applications provide a thorough basis for determining an appropriate and robust method for measuring and comparing a physiologically meaningful biomarker, the spectral index β. In consideration of the constraints of application, we note the significant drawbacks of detrended fluctuation analysis and conclude that the averaged wavelet coefficient method can provide reasonable consistency and accuracy for characterizing these fractal time series. PMID:24200509
Time series analysis in road safety research uisng state space methods
BIJLEVELD, FD
2008-01-01
In this thesis we present a comprehensive study into novel time series models for aggregated road safety data. The models are mainly intended for analysis of indicators relevant to road safety, with a particular focus on how to measure these factors. Such developments may need to be related to or explained by external influences. It is also possible to make forecasts using the models. Relevant indicators include the number of persons killed permonth or year. These statistics are closely watch...
"Observation Obscurer" - Time Series Viewer, Editor and Processor
Andronov, I. L.
The program is described, which contains a set of subroutines suitable for East viewing and interactive filtering and processing of regularly and irregularly spaced time series. Being a 32-bit DOS application, it may be used as a default fast viewer/editor of time series in any compute shell ("commander") or in Windows. It allows to view the data in the "time" or "phase" mode, to remove ("obscure") or filter outstanding bad points; to make scale transformations and smoothing using few methods (e.g. mean with phase binning, determination of the statistically opti- mal number of phase bins; "running parabola" (Andronov, 1997, As. Ap. Suppl, 125, 207) fit and to make time series analysis using some methods, e.g. correlation, autocorrelation and histogram analysis: determination of extrema etc. Some features have been developed specially for variable star observers, e.g. the barycentric correction, the creation and fast analysis of "OC" diagrams etc. The manual for "hot keys" is presented. The computer code was compiled with a 32-bit Free Pascal (www.freepascal.org).
Quantifying Selection with Pool-Seq Time Series Data.
Taus, Thomas; Futschik, Andreas; Schlötterer, Christian
2017-11-01
Allele frequency time series data constitute a powerful resource for unraveling mechanisms of adaptation, because the temporal dimension captures important information about evolutionary forces. In particular, Evolve and Resequence (E&R), the whole-genome sequencing of replicated experimentally evolving populations, is becoming increasingly popular. Based on computer simulations several studies proposed experimental parameters to optimize the identification of the selection targets. No such recommendations are available for the underlying parameters selection strength and dominance. Here, we introduce a highly accurate method to estimate selection parameters from replicated time series data, which is fast enough to be applied on a genome scale. Using this new method, we evaluate how experimental parameters can be optimized to obtain the most reliable estimates for selection parameters. We show that the effective population size (Ne) and the number of replicates have the largest impact. Because the number of time points and sequencing coverage had only a minor effect, we suggest that time series analysis is feasible without major increase in sequencing costs. We anticipate that time series analysis will become routine in E&R studies. © The Author 2017. Published by Oxford University Press on behalf of the Society for Molecular Biology and Evolution.
Characterizing interdependencies of multiple time series theory and applications
Hosoya, Yuzo; Takimoto, Taro; Kinoshita, Ryo
2017-01-01
This book introduces academic researchers and professionals to the basic concepts and methods for characterizing interdependencies of multiple time series in the frequency domain. Detecting causal directions between a pair of time series and the extent of their effects, as well as testing the non existence of a feedback relation between them, have constituted major focal points in multiple time series analysis since Granger introduced the celebrated definition of causality in view of prediction improvement. Causality analysis has since been widely applied in many disciplines. Although most analyses are conducted from the perspective of the time domain, a frequency domain method introduced in this book sheds new light on another aspect that disentangles the interdependencies between multiple time series in terms of long-term or short-term effects, quantitatively characterizing them. The frequency domain method includes the Granger noncausality test as a special case. Chapters 2 and 3 of the book introduce an i...
Time series analysis of brain regional volume by MR image
International Nuclear Information System (INIS)
Tanaka, Mika; Tarusawa, Ayaka; Nihei, Mitsuyo; Fukami, Tadanori; Yuasa, Tetsuya; Wu, Jin; Ishiwata, Kiichi; Ishii, Kenji
2010-01-01
The present study proposed a methodology of time series analysis of volumes of frontal, parietal, temporal and occipital lobes and cerebellum because such volumetric reports along the process of individual's aging have been scarcely presented. Subjects analyzed were brain images of 2 healthy males and 18 females of av. age of 69.0 y, of which T1-weighted 3D SPGR (spoiled gradient recalled in the steady state) acquisitions with a GE SIGNA EXCITE HD 1.5T machine were conducted for 4 times in the time series of 42-50 months. The image size was 256 x 256 x (86-124) voxels with digitization level 16 bits. As the template for the regions, the standard gray matter atlas (icbn452 a tlas p robability g ray) and its labeled one (icbn.Labels), provided by UCLA Laboratory of Neuro Imaging, were used for individual's standardization. Segmentation, normalization and coregistration were performed with the MR imaging software SPM8 (Statistic Parametric Mapping 8). Volumes of regions were calculated as their voxel ratio to the whole brain voxel in percent. It was found that the regional volumes decreased with aging in all above lobes examined and cerebellum in average percent per year of -0.11, -0.07, -0.04, -0.02, and -0.03, respectively. The procedure for calculation of the regional volumes, which has been manually operated hitherto, can be automatically conducted for the individual brain using the standard atlases above. (T.T.)
Disentangling Time-series Spectra with Gaussian Processes: Applications to Radial Velocity Analysis
Energy Technology Data Exchange (ETDEWEB)
Czekala, Ian [Kavli Institute for Particle Astrophysics and Cosmology, Stanford University, Stanford, CA 94305 (United States); Mandel, Kaisey S.; Andrews, Sean M.; Dittmann, Jason A. [Harvard-Smithsonian Center for Astrophysics, 60 Garden Street, Cambridge, MA 02138 (United States); Ghosh, Sujit K. [Department of Statistics, NC State University, 2311 Stinson Drive, Raleigh, NC 27695 (United States); Montet, Benjamin T. [Department of Astronomy and Astrophysics, University of Chicago, 5640 S. Ellis Avenue, Chicago, IL 60637 (United States); Newton, Elisabeth R., E-mail: iczekala@stanford.edu [Massachusetts Institute of Technology, Cambridge, MA 02138 (United States)
2017-05-01
Measurements of radial velocity variations from the spectroscopic monitoring of stars and their companions are essential for a broad swath of astrophysics; these measurements provide access to the fundamental physical properties that dictate all phases of stellar evolution and facilitate the quantitative study of planetary systems. The conversion of those measurements into both constraints on the orbital architecture and individual component spectra can be a serious challenge, however, especially for extreme flux ratio systems and observations with relatively low sensitivity. Gaussian processes define sampling distributions of flexible, continuous functions that are well-motivated for modeling stellar spectra, enabling proficient searches for companion lines in time-series spectra. We introduce a new technique for spectral disentangling, where the posterior distributions of the orbital parameters and intrinsic, rest-frame stellar spectra are explored simultaneously without needing to invoke cross-correlation templates. To demonstrate its potential, this technique is deployed on red-optical time-series spectra of the mid-M-dwarf binary LP661-13. We report orbital parameters with improved precision compared to traditional radial velocity analysis and successfully reconstruct the primary and secondary spectra. We discuss potential applications for other stellar and exoplanet radial velocity techniques and extensions to time-variable spectra. The code used in this analysis is freely available as an open-source Python package.
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.
Time-Series Analysis of Remotely-Sensed SeaWiFS Chlorophyll in River-Influenced Coastal Regions
Acker, James G.; McMahon, Erin; Shen, Suhung; Hearty, Thomas; Casey, Nancy
2009-01-01
The availability of a nearly-continuous record of remotely-sensed chlorophyll a data (chl a) from the Sea-viewing Wide Field-of-view Sensor (SeaWiFS) mission, now longer than ten years, enables examination of time-series trends for multiple global locations. Innovative data analysis technology available on the World Wide Web facilitates such analyses. In coastal regions influenced by river outflows, chl a is not always indicative of actual trends in phytoplankton chlorophyll due to the interference of colored dissolved organic matter and suspended sediments; significant chl a timeseries trends for coastal regions influenced by river outflows may nonetheless be indicative of important alterations of the hydrologic and coastal environment. Chl a time-series analysis of nine marine regions influenced by river outflows demonstrates the simplicity and usefulness of this technique. The analyses indicate that coastal time-series are significantly influenced by unusual flood events. Major river systems in regions with relatively low human impact did not exhibit significant trends. Most river systems with demonstrated human impact exhibited significant negative trends, with the noteworthy exception of the Pearl River in China, which has a positive trend.
Analysis of three amphibian populations with quarter-century long time-series.
Meyer, A H; Schimidt, B R; Grossenbacher, K
1998-01-01
Amphibians are in decline in many parts of the world. Long tme-series of amphibian populations are necessary to distinguish declines from the often strong fluctuations observed in natural populations. Time-series may also help to understand the causes of these declines. We analysed 23-28-year long time-series of the frog Rana temporaria. Only one of the three studied populations showed a negative trend which was probably caused by the introduction of fish. Two populations appeared to be densi...
Directory of Open Access Journals (Sweden)
Abror Abror
2014-01-01
Full Text Available Indonesia located in tropic area consists of wet season and dry season. However, in last few years, in river discharge in dry season is very little, but in contrary, in wet season, frequency of flood increases with sharp peak and increasingly great water elevation. The increased flood discharge may occur due to change in land use or change in rainfall characteristic. Both matters should get clarity. Therefore, a research should be done to analyze rainfall characteristic, land use and flood discharge in some watershed area (DAS quantitatively from time series data. The research was conducted in DAS Gintung in Parakankidang, DAS Gung in Danawarih, DAS Rambut in Cipero, DAS Kemiri in Sidapurna and DAS Comal in Nambo, located in Tegal Regency and Pemalang Regency in Central Java Province. This research activity consisted of three main steps: input, DAS system and output. Input is DAS determination and selection and searching secondary data. DAS system is early secondary data processing consisting of rainfall analysis, HSS GAMA I parameter, land type analysis and DAS land use. Output is final processing step that consisting of calculation of Tadashi Tanimoto, USSCS effective rainfall, flood discharge, ARIMA analysis, result analysis and conclusion. Analytical calculation of ARIMA Box-Jenkins time series used software Number Cruncher Statistical Systems and Power Analysis Sample Size (NCSS-PASS version 2000, which result in time series characteristic in form of time series pattern, mean square errors (MSE, root mean square ( RMS, autocorrelation of residual and trend. Result of this research indicates that composite CN and flood discharge is proportional that means when composite CN trend increase then flood discharge trend also increase and vice versa. Meanwhile, decrease of rainfall trend is not always followed with decrease in flood discharge trend. The main cause of flood discharge characteristic is DAS management characteristic, not change in
Detrended fluctuation analysis based on higher-order moments of financial time series
Teng, Yue; Shang, Pengjian
2018-01-01
In this paper, a generalized method of detrended fluctuation analysis (DFA) is proposed as a new measure to assess the complexity of a complex dynamical system such as stock market. We extend DFA and local scaling DFA to higher moments such as skewness and kurtosis (labeled SMDFA and KMDFA), so as to investigate the volatility scaling property of financial time series. Simulations are conducted over synthetic and financial data for providing the comparative study. We further report the results of volatility behaviors in three American countries, three Chinese and three European stock markets by using DFA and LSDFA method based on higher moments. They demonstrate the dynamics behaviors of time series in different aspects, which can quantify the changes of complexity for stock market data and provide us with more meaningful information than single exponent. And the results reveal some higher moments volatility and higher moments multiscale volatility details that cannot be obtained using the traditional DFA method.
Economic feasibility of biogas production in swine farms using time series analysis
Directory of Open Access Journals (Sweden)
Felipe Luis Rockenbach
2016-07-01
Full Text Available ABSTRACT: This study aimed to measure the economic feasibility and the time needed to return capital invested for the installation of a swine manure treatment system, these values originated the sale of carbon credits and/or of compensation of electric energy in swine farms, using the Box-Jenkins forecast models. It was found that the use of biogas is a viable option in a large scale with machines that operate daily for 10h or more, being the return period between 70 to 80 months. Time series analysis models are important to anticipate the series under study behavior, providing the swine breeder/investor means to reduce the financial investment risk as well as helping to decrease the production costs. Moreover, this process can be seen as another source of income and enable the breeder to be self-sufficient in the continuous supply of electric energy, which is very valuable nowadays considering that breeders are now increasingly using various technologies.
Dynamic Factor Analysis of Nonstationary Multivariate Time Series.
Molenaar, Peter C. M.; And Others
1992-01-01
The dynamic factor model proposed by P. C. Molenaar (1985) is exhibited, and a dynamic nonstationary factor model (DNFM) is constructed with latent factor series that have time-varying mean functions. The use of a DNFM is illustrated using data from a television viewing habits study. (SLD)
Work-related accidents among the Iranian population: a time series analysis, 2000–2011
Karimlou, Masoud; Imani, Mehdi; Hosseini, Agha-Fatemeh; Dehnad, Afsaneh; Vahabi, Nasim; Bakhtiyari, Mahmood
2015-01-01
Background Work-related accidents result in human suffering and economic losses and are considered as a major health problem worldwide, especially in the economically developing world. Objectives To introduce seasonal autoregressive moving average (ARIMA) models for time series analysis of work-related accident data for workers insured by the Iranian Social Security Organization (ISSO) between 2000 and 2011. Methods In this retrospective study, all insured people experiencing at least one work-related accident during a 10-year period were included in the analyses. We used Box–Jenkins modeling to develop a time series model of the total number of accidents. Results There was an average of 1476 accidents per month (1476·05±458·77, mean±SD). The final ARIMA (p,d,q) (P,D,Q)s model for fitting to data was: ARIMA(1,1,1)×(0,1,1)12 consisting of the first ordering of the autoregressive, moving average and seasonal moving average parameters with 20·942 mean absolute percentage error (MAPE). Conclusions The final model showed that time series analysis of ARIMA models was useful for forecasting the number of work-related accidents in Iran. In addition, the forecasted number of work-related accidents for 2011 explained the stability of occurrence of these accidents in recent years, indicating a need for preventive occupational health and safety policies such as safety inspection. PMID:26119774
Directory of Open Access Journals (Sweden)
Ibgtc Bowala
2017-06-01
Full Text Available With the rapid growth of financial markets, analyzers are paying more attention on predictions. Stock data are time series data, with huge amounts. Feasible solution for handling the increasing amount of data is to use a cluster for parallel processing, and Hadoop parallel computing platform is a typical representative. There are various statistical models for forecasting time series data, but accurate clusters are a pre-requirement. Clustering analysis for time series data is one of the main methods for mining time series data for many other analysis processes. However, general clustering algorithms cannot perform clustering for time series data because series data has a special structure and a high dimensionality has highly co-related values due to high noise level. A novel model for time series clustering is presented using BIRCH, based on piecewise SVD, leading to a novel dimension reduction approach. Highly co-related features are handled using SVD with a novel approach for dimensionality reduction in order to keep co-related behavior optimal and then use BIRCH for clustering. The algorithm is a novel model that can handle massive time series data. Finally, this new model is successfully applied to real stock time series data of Yahoo finance with satisfactory results.
Time-variant power spectral analysis of heart-rate time series by ...
Indian Academy of Sciences (India)
Frequency domain representation of a short-term heart-rate time series (HRTS) signal is a popular method for evaluating the cardiovascular control system. The spectral parameters, viz. percentage power in low frequency band (%PLF), percentage power in high frequency band (%PHF), power ratio of low frequency to high ...
He, Jiayi; Shang, Pengjian; Xiong, Hui
2018-06-01
Stocks, as the concrete manifestation of financial time series with plenty of potential information, are often used in the study of financial time series. In this paper, we utilize the stock data to recognize their patterns through out the dissimilarity matrix based on modified cross-sample entropy, then three-dimensional perceptual maps of the results are provided through multidimensional scaling method. Two modified multidimensional scaling methods are proposed in this paper, that is, multidimensional scaling based on Kronecker-delta cross-sample entropy (MDS-KCSE) and multidimensional scaling based on permutation cross-sample entropy (MDS-PCSE). These two methods use Kronecker-delta based cross-sample entropy and permutation based cross-sample entropy to replace the distance or dissimilarity measurement in classical multidimensional scaling (MDS). Multidimensional scaling based on Chebyshev distance (MDSC) is employed to provide a reference for comparisons. Our analysis reveals a clear clustering both in synthetic data and 18 indices from diverse stock markets. It implies that time series generated by the same model are easier to have similar irregularity than others, and the difference in the stock index, which is caused by the country or region and the different financial policies, can reflect the irregularity in the data. In the synthetic data experiments, not only the time series generated by different models can be distinguished, the one generated under different parameters of the same model can also be detected. In the financial data experiment, the stock indices are clearly divided into five groups. Through analysis, we find that they correspond to five regions, respectively, that is, Europe, North America, South America, Asian-Pacific (with the exception of mainland China), mainland China and Russia. The results also demonstrate that MDS-KCSE and MDS-PCSE provide more effective divisions in experiments than MDSC.
Advances in Antithetic Time Series Analysis : Separating Fact from Artifact
Directory of Open Access Journals (Sweden)
Dennis Ridley
2016-01-01
Full Text Available The problem of biased time series mathematical model parameter estimates is well known to be insurmountable. When used to predict future values by extrapolation, even a de minimis bias will eventually grow into a large bias, with misleading results. This paper elucidates how combining antithetic time series' solves this baffling problem of bias in the fitted and forecast values by dynamic bias cancellation. Instead of growing to infinity, the average error can converge to a constant. (original abstract
Molenaar, P.C.M.
1987-01-01
Outlines a frequency domain analysis of the dynamic factor model and proposes a solution to the problem of constructing a causal filter of lagged factor loadings. The method is illustrated with applications to simulated and real multivariate time series. The latter applications involve topographic
Harikrishnan, K. P.; Misra, R.; Ambika, G.
2009-09-01
We show that the combined use of correlation dimension (D2) and correlation entropy (K2) as discriminating measures can extract a more accurate information regarding the different types of noise present in a time series data. For this, we make use of an algorithmic approach for computing D2 and K2 proposed by us recently [Harikrishnan KP, Misra R, Ambika G, Kembhavi AK. Physica D 2006;215:137; Harikrishnan KP, Ambika G, Misra R. Mod Phys Lett B 2007;21:129; Harikrishnan KP, Misra R, Ambika G. Pramana - J Phys, in press], which is a modification of the standard Grassberger-Proccacia scheme. While the presence of white noise can be easily identified by computing D2 of data and surrogates, K2 is a better discriminating measure to detect colored noise in the data. Analysis of time series from a real world system involving both white and colored noise is presented as evidence. To our knowledge, this is the first time that such a combined analysis is undertaken on a real world data.
A New Modified Histogram Matching Normalization for Time Series Microarray Analysis.
Astola, Laura; Molenaar, Jaap
2014-07-01
Microarray data is often utilized in inferring regulatory networks. Quantile normalization (QN) is a popular method to reduce array-to-array variation. We show that in the context of time series measurements QN may not be the best choice for this task, especially not if the inference is based on continuous time ODE model. We propose an alternative normalization method that is better suited for network inference from time series data.
Time-Series Analysis of Supergranule Characterstics at Solar Minimum
Williams, Peter E.; Pesnell, W. Dean
2013-01-01
Sixty days of Doppler images from the Solar and Heliospheric Observatory (SOHO) / Michelson Doppler Imager (MDI) investigation during the 1996 and 2008 solar minima have been analyzed to show that certain supergranule characteristics (size, size range, and horizontal velocity) exhibit fluctuations of three to five days. Cross-correlating parameters showed a good, positive correlation between supergranulation size and size range, and a moderate, negative correlation between size range and velocity. The size and velocity do exhibit a moderate, negative correlation, but with a small time lag (less than 12 hours). Supergranule sizes during five days of co-temporal data from MDI and the Solar Dynamics Observatory (SDO) / Helioseismic Magnetic Imager (HMI) exhibit similar fluctuations with a high level of correlation between them. This verifies the solar origin of the fluctuations, which cannot be caused by instrumental artifacts according to these observations. Similar fluctuations are also observed in data simulations that model the evolution of the MDI Doppler pattern over a 60-day period. Correlations between the supergranule size and size range time-series derived from the simulated data are similar to those seen in MDI data. A simple toy-model using cumulative, uncorrelated exponential growth and decay patterns at random emergence times produces a time-series similar to the data simulations. The qualitative similarities between the simulated and the observed time-series suggest that the fluctuations arise from stochastic processes occurring within the solar convection zone. This behavior, propagating to surface manifestations of supergranulation, may assist our understanding of magnetic-field-line advection, evolution, and interaction.
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.
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
Shimada, Yutaka; Ikeguchi, Tohru; Shigehara, Takaomi
2012-10-01
In this Letter, we propose a framework to transform a complex network to a time series. The transformation from complex networks to time series is realized by the classical multidimensional scaling. Applying the transformation method to a model proposed by Watts and Strogatz [Nature (London) 393, 440 (1998)], we show that ring lattices are transformed to periodic time series, small-world networks to noisy periodic time series, and random networks to random time series. We also show that these relationships are analytically held by using the circulant-matrix theory and the perturbation theory of linear operators. The results are generalized to several high-dimensional lattices.
Interrupted Time Series Versus Statistical Process Control in Quality Improvement Projects.
Andersson Hagiwara, Magnus; Andersson Gäre, Boel; Elg, Mattias
2016-01-01
To measure the effect of quality improvement interventions, it is appropriate to use analysis methods that measure data over time. Examples of such methods include statistical process control analysis and interrupted time series with segmented regression analysis. This article compares the use of statistical process control analysis and interrupted time series with segmented regression analysis for evaluating the longitudinal effects of quality improvement interventions, using an example study on an evaluation of a computerized decision support system.
Learning from environmental data: Methods for analysis of forest nutrition time series
Energy Technology Data Exchange (ETDEWEB)
Sulkava, M. (Helsinki Univ. of Technology, Espoo (Finland). Computer and Information Science)
2008-07-01
Data analysis methods play an important role in increasing our knowledge of the environment as the amount of data measured from the environment increases. This thesis fits under the scope of environmental informatics and environmental statistics. They are fields, in which data analysis methods are developed and applied for the analysis of environmental data. The environmental data studied in this thesis are time series of nutrient concentration measurements of pine and spruce needles. In addition, there are data of laboratory quality and related environmental factors, such as the weather and atmospheric depositions. The most important methods used for the analysis of the data are based on the self-organizing map and linear regression models. First, a new clustering algorithm of the self-organizing map is proposed. It is found to provide better results than two other methods for clustering of the self-organizing map. The algorithm is used to divide the nutrient concentration data into clusters, and the result is evaluated by environmental scientists. Based on the clustering, the temporal development of the forest nutrition is modeled and the effect of nitrogen and sulfur deposition on the foliar mineral composition is assessed. Second, regression models are used for studying how much environmental factors and properties of the needles affect the changes in the nutrient concentrations of the needles between their first and second year of existence. The aim is to build understandable models with good prediction capabilities. Sparse regression models are found to outperform more traditional regression models in this task. Third, fusion of laboratory quality data from different sources is performed to estimate the precisions of the analytical methods. Weighted regression models are used to quantify how much the precision of observations can affect the time needed to detect a trend in environmental time series. The results of power analysis show that improving the
Unstable Periodic Orbit Analysis of Histograms of Chaotic Time Series
International Nuclear Information System (INIS)
Zoldi, S.M.
1998-01-01
Using the Lorenz equations, we have investigated whether unstable periodic orbits (UPOs) associated with a strange attractor may predict the occurrence of the robust sharp peaks in histograms of some experimental chaotic time series. Histograms with sharp peaks occur for the Lorenz parameter value r=60.0 but not for r=28.0 , and the sharp peaks for r=60.0 do not correspond to a histogram derived from any single UPO. However, we show that histograms derived from the time series of a non-Axiom-A chaotic system can be accurately predicted by an escape-time weighting of UPO histograms. copyright 1998 The American Physical Society
Forecasting malaria cases using climatic factors in delhi, India: a time series analysis.
Kumar, Varun; Mangal, Abha; Panesar, Sanjeet; Yadav, Geeta; Talwar, Richa; Raut, Deepak; Singh, Saudan
2014-01-01
Background. Malaria still remains a public health problem in developing countries and changing environmental and climatic factors pose the biggest challenge in fighting against the scourge of malaria. Therefore, the study was designed to forecast malaria cases using climatic factors as predictors in Delhi, India. Methods. The total number of monthly cases of malaria slide positives occurring from January 2006 to December 2013 was taken from the register maintained at the malaria clinic at Rural Health Training Centre (RHTC), Najafgarh, Delhi. Climatic data of monthly mean rainfall, relative humidity, and mean maximum temperature were taken from Regional Meteorological Centre, Delhi. Expert modeler of SPSS ver. 21 was used for analyzing the time series data. Results. Autoregressive integrated moving average, ARIMA (0,1,1) (0,1,0)(12), was the best fit model and it could explain 72.5% variability in the time series data. Rainfall (P value = 0.004) and relative humidity (P value = 0.001) were found to be significant predictors for malaria transmission in the study area. Seasonal adjusted factor (SAF) for malaria cases shows peak during the months of August and September. Conclusion. ARIMA models of time series analysis is a simple and reliable tool for producing reliable forecasts for malaria in Delhi, India.
Capturing Context-Related Change in Emotional Dynamics via Fixed Moderated Time Series Analysis.
Adolf, Janne K; Voelkle, Manuel C; Brose, Annette; Schmiedek, Florian
2017-01-01
Much of recent affect research relies on intensive longitudinal studies to assess daily emotional experiences. The resulting data are analyzed with dynamic models to capture regulatory processes involved in emotional functioning. Daily contexts, however, are commonly ignored. This may not only result in biased parameter estimates and wrong conclusions, but also ignores the opportunity to investigate contextual effects on emotional dynamics. With fixed moderated time series analysis, we present an approach that resolves this problem by estimating context-dependent change in dynamic parameters in single-subject time series models. The approach examines parameter changes of known shape and thus addresses the problem of observed intra-individual heterogeneity (e.g., changes in emotional dynamics due to observed changes in daily stress). In comparison to existing approaches to unobserved heterogeneity, model estimation is facilitated and different forms of change can readily be accommodated. We demonstrate the approach's viability given relatively short time series by means of a simulation study. In addition, we present an empirical application, targeting the joint dynamics of affect and stress and how these co-vary with daily events. We discuss potentials and limitations of the approach and close with an outlook on the broader implications for understanding emotional adaption and development.
A New Modified Histogram Matching Normalization for Time Series Microarray Analysis
Directory of Open Access Journals (Sweden)
Laura Astola
2014-07-01
Full Text Available Microarray data is often utilized in inferring regulatory networks. Quantile normalization (QN is a popular method to reduce array-to-array variation. We show that in the context of time series measurements QN may not be the best choice for this task, especially not if the inference is based on continuous time ODE model. We propose an alternative normalization method that is better suited for network inference from time series data.
Mayaud, C; Wagner, T; Benischke, R; Birk, S
2014-04-16
The Lurbach karst system (Styria, Austria) is drained by two major springs and replenished by both autogenic recharge from the karst massif itself and a sinking stream that originates in low permeable schists (allogenic recharge). Detailed data from two events recorded during a tracer experiment in 2008 demonstrate that an overflow from one of the sub-catchments to the other is activated if the discharge of the main spring exceeds a certain threshold. Time series analysis (autocorrelation and cross-correlation) was applied to examine to what extent the various available methods support the identification of the transient inter-catchment flow observed in this binary karst system. As inter-catchment flow is found to be intermittent, the evaluation was focused on single events. In order to support the interpretation of the results from the time series analysis a simplified groundwater flow model was built using MODFLOW. The groundwater model is based on the current conceptual understanding of the karst system and represents a synthetic karst aquifer for which the same methods were applied. Using the wetting capability package of MODFLOW, the model simulated an overflow similar to what has been observed during the tracer experiment. Various intensities of allogenic recharge were employed to generate synthetic discharge data for the time series analysis. In addition, geometric and hydraulic properties of the karst system were varied in several model scenarios. This approach helps to identify effects of allogenic recharge and aquifer properties in the results from the time series analysis. Comparing the results from the time series analysis of the observed data with those of the synthetic data a good agreement was found. For instance, the cross-correlograms show similar patterns with respect to time lags and maximum cross-correlation coefficients if appropriate hydraulic parameters are assigned to the groundwater model. The comparable behaviors of the real and the
Automated Bayesian model development for frequency detection in biological time series
Directory of Open Access Journals (Sweden)
Oldroyd Giles ED
2011-06-01
Full Text Available Abstract Background A first step in building a mathematical model of a biological system is often the analysis of the temporal behaviour of key quantities. Mathematical relationships between the time and frequency domain, such as Fourier Transforms and wavelets, are commonly used to extract information about the underlying signal from a given time series. This one-to-one mapping from time points to frequencies inherently assumes that both domains contain the complete knowledge of the system. However, for truncated, noisy time series with background trends this unique mapping breaks down and the question reduces to an inference problem of identifying the most probable frequencies. Results In this paper we build on the method of Bayesian Spectrum Analysis and demonstrate its advantages over conventional methods by applying it to a number of test cases, including two types of biological time series. Firstly, oscillations of calcium in plant root cells in response to microbial symbionts are non-stationary and noisy, posing challenges to data analysis. Secondly, circadian rhythms in gene expression measured over only two cycles highlights the problem of time series with limited length. The results show that the Bayesian frequency detection approach can provide useful results in specific areas where Fourier analysis can be uninformative or misleading. We demonstrate further benefits of the Bayesian approach for time series analysis, such as direct comparison of different hypotheses, inherent estimation of noise levels and parameter precision, and a flexible framework for modelling the data without pre-processing. Conclusions Modelling in systems biology often builds on the study of time-dependent phenomena. Fourier Transforms are a convenient tool for analysing the frequency domain of time series. However, there are well-known limitations of this method, such as the introduction of spurious frequencies when handling short and noisy time series, and
Automated Bayesian model development for frequency detection in biological time series.
Granqvist, Emma; Oldroyd, Giles E D; Morris, Richard J
2011-06-24
A first step in building a mathematical model of a biological system is often the analysis of the temporal behaviour of key quantities. Mathematical relationships between the time and frequency domain, such as Fourier Transforms and wavelets, are commonly used to extract information about the underlying signal from a given time series. This one-to-one mapping from time points to frequencies inherently assumes that both domains contain the complete knowledge of the system. However, for truncated, noisy time series with background trends this unique mapping breaks down and the question reduces to an inference problem of identifying the most probable frequencies. In this paper we build on the method of Bayesian Spectrum Analysis and demonstrate its advantages over conventional methods by applying it to a number of test cases, including two types of biological time series. Firstly, oscillations of calcium in plant root cells in response to microbial symbionts are non-stationary and noisy, posing challenges to data analysis. Secondly, circadian rhythms in gene expression measured over only two cycles highlights the problem of time series with limited length. The results show that the Bayesian frequency detection approach can provide useful results in specific areas where Fourier analysis can be uninformative or misleading. We demonstrate further benefits of the Bayesian approach for time series analysis, such as direct comparison of different hypotheses, inherent estimation of noise levels and parameter precision, and a flexible framework for modelling the data without pre-processing. Modelling in systems biology often builds on the study of time-dependent phenomena. Fourier Transforms are a convenient tool for analysing the frequency domain of time series. However, there are well-known limitations of this method, such as the introduction of spurious frequencies when handling short and noisy time series, and the requirement for uniformly sampled data. Biological time
Zhao, Yan-Hong; Zhang, Xue-Fang; Zhao, Yan-Qiu; Bai, Fan; Qin, Fan; Sun, Jing; Dong, Ying
2017-08-01
Chronic myeloid leukemia (CML) is characterized by the accumulation of active BCR-ABL protein. Imatinib is the first-line treatment of CML; however, many patients are resistant to this drug. In this study, we aimed to compare the differences in expression patterns and functions of time-series genes in imatinib-resistant CML cells under different drug treatments. GSE24946 was downloaded from the GEO database, which included 17 samples of K562-r cells with (n=12) or without drug administration (n=5). Three drug treatment groups were considered for this study: arsenic trioxide (ATO), AMN107, and ATO+AMN107. Each group had one sample at each time point (3, 12, 24, and 48 h). Time-series genes with a ratio of standard deviation/average (coefficient of variation) >0.15 were screened, and their expression patterns were revealed based on Short Time-series Expression Miner (STEM). Then, the functional enrichment analysis of time-series genes in each group was performed using DAVID, and the genes enriched in the top ten functional categories were extracted to detect their expression patterns. Different time-series genes were identified in the three groups, and most of them were enriched in the ribosome and oxidative phosphorylation pathways. Time-series genes in the three treatment groups had different expression patterns and functions. Time-series genes in the ATO group (e.g. CCNA2 and DAB2) were significantly associated with cell adhesion, those in the AMN107 group were related to cellular carbohydrate metabolic process, while those in the ATO+AMN107 group (e.g. AP2M1) were significantly related to cell proliferation and antigen processing. In imatinib-resistant CML cells, ATO could influence genes related to cell adhesion, AMN107 might affect genes involved in cellular carbohydrate metabolism, and the combination therapy might regulate genes involved in cell proliferation.
Forootan, Ehsan; Kusche, Jürgen
2016-04-01
Geodetic/geophysical observations, such as the time series of global terrestrial water storage change or sea level and temperature change, represent samples of physical processes and therefore contain information about complex physical interactionswith many inherent time scales. Extracting relevant information from these samples, for example quantifying the seasonality of a physical process or its variability due to large-scale ocean-atmosphere interactions, is not possible by rendering simple time series approaches. In the last decades, decomposition techniques have found increasing interest for extracting patterns from geophysical observations. Traditionally, principal component analysis (PCA) and more recently independent component analysis (ICA) are common techniques to extract statistical orthogonal (uncorrelated) and independent modes that represent the maximum variance of observations, respectively. PCA and ICA can be classified as stationary signal decomposition techniques since they are based on decomposing the auto-covariance matrix or diagonalizing higher (than two)-order statistical tensors from centered time series. However, the stationary assumption is obviously not justifiable for many geophysical and climate variables even after removing cyclic components e.g., the seasonal cycles. In this paper, we present a new decomposition method, the complex independent component analysis (CICA, Forootan, PhD-2014), which can be applied to extract to non-stationary (changing in space and time) patterns from geophysical time series. Here, CICA is derived as an extension of real-valued ICA (Forootan and Kusche, JoG-2012), where we (i) define a new complex data set using a Hilbert transformation. The complex time series contain the observed values in their real part, and the temporal rate of variability in their imaginary part. (ii) An ICA algorithm based on diagonalization of fourth-order cumulants is then applied to decompose the new complex data set in (i
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.
Fulcher, Ben D; Jones, Nick S
2017-11-22
Phenotype measurements frequently take the form of time series, but we currently lack a systematic method for relating these complex data streams to scientifically meaningful outcomes, such as relating the movement dynamics of organisms to their genotype or measurements of brain dynamics of a patient to their disease diagnosis. Previous work addressed this problem by comparing implementations of thousands of diverse scientific time-series analysis methods in an approach termed highly comparative time-series analysis. Here, we introduce hctsa, a software tool for applying this methodological approach to data. hctsa includes an architecture for computing over 7,700 time-series features and a suite of analysis and visualization algorithms to automatically select useful and interpretable time-series features for a given application. Using exemplar applications to high-throughput phenotyping experiments, we show how hctsa allows researchers to leverage decades of time-series research to quantify and understand informative structure in time-series data. Copyright © 2017 The Authors. Published by Elsevier Inc. All rights reserved.
New significance test methods for Fourier analysis of geophysical time series
Directory of Open Access Journals (Sweden)
Z. Zhang
2011-09-01
Full Text Available When one applies the discrete Fourier transform to analyze finite-length time series, discontinuities at the data boundaries will distort its Fourier power spectrum. In this paper, based on a rigid statistics framework, we present a new significance test method which can extract the intrinsic feature of a geophysical time series very well. We show the difference in significance level compared with traditional Fourier tests by analyzing the Arctic Oscillation (AO and the Nino3.4 time series. In the AO, we find significant peaks at about 2.8, 4.3, and 5.7 yr periods and in Nino3.4 at about 12 yr period in tests against red noise. These peaks are not significant in traditional tests.
DEFF Research Database (Denmark)
Hisdal, H.; Holmqvist, E.; Hyvärinen, V.
Awareness that emission of greenhouse gases will raise the global temperature and change the climate has led to studies trying to identify such changes in long-term climate and hydrologic time series. This report, written by the......Awareness that emission of greenhouse gases will raise the global temperature and change the climate has led to studies trying to identify such changes in long-term climate and hydrologic time series. This report, written by the...
Testing for intracycle determinism in pseudoperiodic time series.
Coelho, Mara C S; Mendes, Eduardo M A M; Aguirre, Luis A
2008-06-01
A determinism test is proposed based on the well-known method of the surrogate data. Assuming predictability to be a signature of determinism, the proposed method checks for intracycle (e.g., short-term) determinism in the pseudoperiodic time series for which standard methods of surrogate analysis do not apply. The approach presented is composed of two steps. First, the data are preprocessed to reduce the effects of seasonal and trend components. Second, standard tests of surrogate analysis can then be used. The determinism test is applied to simulated and experimental pseudoperiodic time series and the results show the applicability of the proposed test.
Forecast models for suicide: Time-series analysis with data from Italy.
Preti, Antonio; Lentini, Gianluca
2016-01-01
The prediction of suicidal behavior is a complex task. To fine-tune targeted preventative interventions, predictive analytics (i.e. forecasting future risk of suicide) is more important than exploratory data analysis (pattern recognition, e.g. detection of seasonality in suicide time series). This study sets out to investigate the accuracy of forecasting models of suicide for men and women. A total of 101 499 male suicides and of 39 681 female suicides - occurred in Italy from 1969 to 2003 - were investigated. In order to apply the forecasting model and test its accuracy, the time series were split into a training set (1969 to 1996; 336 months) and a test set (1997 to 2003; 84 months). The main outcome was the accuracy of forecasting models on the monthly number of suicides. These measures of accuracy were used: mean absolute error; root mean squared error; mean absolute percentage error; mean absolute scaled error. In both male and female suicides a change in the trend pattern was observed, with an increase from 1969 onwards to reach a maximum around 1990 and decrease thereafter. The variances attributable to the seasonal and trend components were, respectively, 24% and 64% in male suicides, and 28% and 41% in female ones. Both annual and seasonal historical trends of monthly data contributed to forecast future trends of suicide with a margin of error around 10%. The finding is clearer in male than in female time series of suicide. The main conclusion of the study is that models taking seasonality into account seem to be able to derive information on deviation from the mean when this occurs as a zenith, but they fail to reproduce it when it occurs as a nadir. Preventative efforts should concentrate on the factors that influence the occurrence of increases above the main trend in both seasonal and cyclic patterns of suicides.
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
A Time Series Analysis to Asymmetric Marketing Competition Within a Market Structure
Francisco F. R. Ramos
1996-01-01
As a complementary to the existing studies of competitive market structure analysis, the present paper proposed a time series methodology to provide a more detailed picture of marketing competition in relation to competitive market structure. Two major hypotheses were tested as part of this project. First, it was found that some significant cross- lead and lag effects of marketing variables on sales between brands existed even between differents submarkets. second, it was found that high qual...
On-line condition monitoring of nuclear systems via symbolic time series analysis
International Nuclear Information System (INIS)
Rajagopalan, V.; Ray, A.; Garcia, H. E.
2006-01-01
This paper provides a symbolic time series analysis approach to fault diagnostics and condition monitoring. The proposed technique is built upon concepts from wavelet theory, symbolic dynamics and pattern recognition. Various aspects of the methodology such as wavelet selection, choice of alphabet and determination of depth of D-Markov Machine are explained in the paper. The technique is validated with experiments performed in a Machine Condition Monitoring (MCM) test bed at the Idaho National Laboratory. (authors)
On clustering fMRI time series
DEFF Research Database (Denmark)
Goutte, Cyril; Toft, Peter Aundal; Rostrup, E.
1999-01-01
Analysis of fMRI time series is often performed by extracting one or more parameters for the individual voxels. Methods based, e.g., on various statistical tests are then used to yield parameters corresponding to probability of activation or activation strength. However, these methods do...
FREQUENCY ANALYSIS OF MODIS NDVI TIME SERIES FOR DETERMINING HOTSPOT OF LAND DEGRADATION IN MONGOLIA
Directory of Open Access Journals (Sweden)
E. Nasanbat
2018-04-01
Full Text Available This study examines MODIS NDVI satellite imagery time series can be used to determine hotspot of land degradation area in whole Mongolia. The trend statistical analysis of Mann-Kendall was applied to a 16-year MODIS NDVI satellite imagery record, based on 16-day composited temporal data (from May to September for growing seasons and from 2000 to 2016. We performed to frequency analysis that resulting NDVI residual trend pattern would enable successful determined of negative and positive changes in photo synthetically health vegetation. Our result showed that negative and positive values and generated a map of significant trends. Also, we examined long-term of meteorological parameters for the same period. The result showed positive and negative NDVI trends concurred with land cover types change representing an improve or a degrade in vegetation, respectively. Also, integrated the climate parameters which were precipitation and air temperature changes in the same time period seem to have had an affecting on huge NDVI trend area. The time series trend analysis approach applied successfully determined hotspot of an improvement and a degraded area due to land degradation and desertification.
Frequency Analysis of Modis Ndvi Time Series for Determining Hotspot of Land Degradation in Mongolia
Nasanbat, E.; Sharav, S.; Sanjaa, T.; Lkhamjav, O.; Magsar, E.; Tuvdendorj, B.
2018-04-01
This study examines MODIS NDVI satellite imagery time series can be used to determine hotspot of land degradation area in whole Mongolia. The trend statistical analysis of Mann-Kendall was applied to a 16-year MODIS NDVI satellite imagery record, based on 16-day composited temporal data (from May to September) for growing seasons and from 2000 to 2016. We performed to frequency analysis that resulting NDVI residual trend pattern would enable successful determined of negative and positive changes in photo synthetically health vegetation. Our result showed that negative and positive values and generated a map of significant trends. Also, we examined long-term of meteorological parameters for the same period. The result showed positive and negative NDVI trends concurred with land cover types change representing an improve or a degrade in vegetation, respectively. Also, integrated the climate parameters which were precipitation and air temperature changes in the same time period seem to have had an affecting on huge NDVI trend area. The time series trend analysis approach applied successfully determined hotspot of an improvement and a degraded area due to land degradation and desertification.
Kolmogorov Space in Time Series Data
Kanjamapornkul, K.; Pinčák, R.
2016-01-01
We provide the proof that the space of time series data is a Kolmogorov space with $T_{0}$-separation axiom using the loop space of time series data. In our approach we define a cyclic coordinate of intrinsic time scale of time series data after empirical mode decomposition. A spinor field of time series data comes from the rotation of data around price and time axis by defining a new extradimension to time series data. We show that there exist hidden eight dimensions in Kolmogorov space for ...
Lara, Juan A; Lizcano, David; Pérez, Aurora; Valente, Juan P
2014-10-01
There are now domains where information is recorded over a period of time, leading to sequences of data known as time series. In many domains, like medicine, time series analysis requires to focus on certain regions of interest, known as events, rather than analyzing the whole time series. In this paper, we propose a framework for knowledge discovery in both one-dimensional and multidimensional time series containing events. We show how our approach can be used to classify medical time series by means of a process that identifies events in time series, generates time series reference models of representative events and compares two time series by analyzing the events they have in common. We have applied our framework on time series generated in the areas of electroencephalography (EEG) and stabilometry. Framework performance was evaluated in terms of classification accuracy, and the results confirmed that the proposed schema has potential for classifying EEG and stabilometric signals. The proposed framework is useful for discovering knowledge from medical time series containing events, such as stabilometric and electroencephalographic time series. These results would be equally applicable to other medical domains generating iconographic time series, such as, for example, electrocardiography (ECG). Copyright © 2014 Elsevier Inc. All rights reserved.
Chaos analysis of the electrical signal time series evoked by acupuncture
International Nuclear Information System (INIS)
Wang Jiang; Sun Li; Fei Xiangyang; Zhu Bing
2007-01-01
This paper employs chaos theory to analyze the time series of electrical signal which are evoked by different acupuncture methods applied to the Zusanli point. The phase space is reconstructed and the embedding parameters are obtained by the mutual information and Cao's methods. Subsequently, the largest Lyapunov exponent is calculated. From the analyses we can conclude that the time series are chaotic. In addition, differences between various acupuncture methods are discussed
Trend analysis using non-stationary time series clustering based on the finite element method
Gorji Sefidmazgi, M.; Sayemuzzaman, M.; Homaifar, A.; Jha, M. K.; Liess, S.
2014-05-01
In order to analyze low-frequency variability of climate, it is useful to model the climatic time series with multiple linear trends and locate the times of significant changes. In this paper, we have used non-stationary time series clustering to find change points in the trends. Clustering in a multi-dimensional non-stationary time series is challenging, since the problem is mathematically ill-posed. Clustering based on the finite element method (FEM) is one of the methods that can analyze multidimensional time series. One important attribute of this method is that it is not dependent on any statistical assumption and does not need local stationarity in the time series. In this paper, it is shown how the FEM-clustering method can be used to locate change points in the trend of temperature time series from in situ observations. This method is applied to the temperature time series of North Carolina (NC) and the results represent region-specific climate variability despite higher frequency harmonics in climatic time series. Next, we investigated the relationship between the climatic indices with the clusters/trends detected based on this clustering method. It appears that the natural variability of climate change in NC during 1950-2009 can be explained mostly by AMO and solar activity.
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.
International Nuclear Information System (INIS)
Suzuki, Kiyotaka; Matsuzawa, Hitoshi; Watanabe, Masaki; Nakada, Tsutomu; Nakayama, Naoki; Kwee, I.L.
2003-01-01
Dynamic contrast enhanced magnetic resonance imaging (dynamic MRI) represents a MRI version of non-diffusible tracer methods, the main clinical use of which is the physiological construction of what is conventionally referred to as perfusion images. The raw data utilized for constructing MRI perfusion images are time series of pixel signal alterations associated with the passage of a gadolinium containing contrast agent. Such time series are highly compatible with independent component analysis (ICA), a novel statistical signal processing technique capable of effectively separating a single mixture of multiple signals into their original independent source signals (blind separation). Accordingly, we applied ICA to dynamic MRI time series. The technique was found to be powerful, allowing for hitherto unobtainable assessment of regional cerebral hemodynamics in vivo. (author)
Causality as a Rigorous Notion and Quantitative Causality Analysis with Time Series
Liang, X. S.
2017-12-01
Given two time series, can one faithfully tell, in a rigorous and quantitative way, the cause and effect between them? Here we show that this important and challenging question (one of the major challenges in the science of big data), which is of interest in a wide variety of disciplines, has a positive answer. Particularly, for linear systems, the maximal likelihood estimator of the causality from a series X2 to another series X1, written T2→1, turns out to be concise in form: T2→1 = [C11 C12 C2,d1 — C112 C1,d1] / [C112 C22 — C11C122] where Cij (i,j=1,2) is the sample covariance between Xi and Xj, and Ci,dj the covariance between Xi and ΔXj/Δt, the difference approximation of dXj/dt using the Euler forward scheme. An immediate corollary is that causation implies correlation, but not vice versa, resolving the long-standing debate over causation versus correlation. The above formula has been validated with touchstone series purportedly generated with one-way causality that evades the classical approaches such as Granger causality test and transfer entropy analysis. It has also been applied successfully to the investigation of many real problems. Through a simple analysis with the stock series of IBM and GE, an unusually strong one-way causality is identified from the former to the latter 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 computer market. Another example presented here regards the cause-effect relation between the two climate modes, El Niño and Indian Ocean Dipole (IOD). In general, these modes are mutually causal, but the causality is asymmetric. To El Niño, the information flowing from IOD manifests itself as a propagation of uncertainty from the Indian Ocean. In the third example, an unambiguous one-way causality is found between CO2 and the global mean temperature anomaly. While it is confirmed that CO2 indeed drives the recent global warming
Seasonal and annual precipitation time series trend analysis in North Carolina, United States
Sayemuzzaman, Mohammad; Jha, Manoj K.
2014-02-01
The present study performs the spatial and temporal trend analysis of the annual and seasonal time-series of a set of uniformly distributed 249 stations precipitation data across the state of North Carolina, United States over the period of 1950-2009. The Mann-Kendall (MK) test, the Theil-Sen approach (TSA) and the Sequential Mann-Kendall (SQMK) test were applied to quantify the significance of trend, magnitude of trend, and the trend shift, respectively. Regional (mountain, piedmont and coastal) precipitation trends were also analyzed using the above-mentioned tests. Prior to the application of statistical tests, the pre-whitening technique was used to eliminate the effect of autocorrelation of precipitation data series. The application of the above-mentioned procedures has shown very notable statewide increasing trend for winter and decreasing trend for fall precipitation. Statewide mixed (increasing/decreasing) trend has been detected in annual, spring, and summer precipitation time series. Significant trends (confidence level ≥ 95%) were detected only in 8, 7, 4 and 10 nos. of stations (out of 249 stations) in winter, spring, summer, and fall, respectively. Magnitude of the highest increasing (decreasing) precipitation trend was found about 4 mm/season (- 4.50 mm/season) in fall (summer) season. Annual precipitation trend magnitude varied between - 5.50 mm/year and 9 mm/year. Regional trend analysis found increasing precipitation in mountain and coastal regions in general except during the winter. Piedmont region was found to have increasing trends in summer and fall, but decreasing trend in winter, spring and on an annual basis. The SQMK test on "trend shift analysis" identified a significant shift during 1960 - 70 in most parts of the state. Finally, the comparison between winter (summer) precipitations with the North Atlantic Oscillation (Southern Oscillation) indices concluded that the variability and trend of precipitation can be explained by the
Inverse statistical approach in heartbeat time series
International Nuclear Information System (INIS)
Ebadi, H; Shirazi, A H; Mani, Ali R; Jafari, G R
2011-01-01
We present an investigation on heart cycle time series, using inverse statistical analysis, a concept borrowed from studying turbulence. Using this approach, we studied the distribution of the exit times needed to achieve a predefined level of heart rate alteration. Such analysis uncovers the most likely waiting time needed to reach a certain change in the rate of heart beat. This analysis showed a significant difference between the raw data and shuffled data, when the heart rate accelerates or decelerates to a rare event. We also report that inverse statistical analysis can distinguish between the electrocardiograms taken from healthy volunteers and patients with heart failure
Harmonic analysis of dense time series of landsat imagery for modeling change in forest conditions
Barry Tyler. Wilson
2015-01-01
This study examined the utility of dense time series of Landsat imagery for small area estimation and mapping of change in forest conditions over time. The study area was a region in north central Wisconsin for which Landsat 7 ETM+ imagery and field measurements from the Forest Inventory and Analysis program are available for the decade of 2003 to 2012. For the periods...
Razavi, Saman; Vogel, Richard
2018-02-01
Prewhitening, the process of eliminating or reducing short-term stochastic persistence to enable detection of deterministic change, has been extensively applied to time series analysis of a range of geophysical variables. Despite the controversy around its utility, methodologies for prewhitening time series continue to be a critical feature of a variety of analyses including: trend detection of hydroclimatic variables and reconstruction of climate and/or hydrology through proxy records such as tree rings. With a focus on the latter, this paper presents a generalized approach to exploring the impact of a wide range of stochastic structures of short- and long-term persistence on the variability of hydroclimatic time series. Through this approach, we examine the impact of prewhitening on the inferred variability of time series across time scales. We document how a focus on prewhitened, residual time series can be misleading, as it can drastically distort (or remove) the structure of variability across time scales. Through examples with actual data, we show how such loss of information in prewhitened time series of tree rings (so-called "residual chronologies") can lead to the underestimation of extreme conditions in climate and hydrology, particularly droughts, reconstructed for centuries preceding the historical period.
Lhermitte, S.; Tips, M.; Verbesselt, J.; Jonckheere, I.; Van Aardt, J.; Coppin, Pol
2005-10-01
Large-scale wild fires have direct impacts on natural ecosystems and play a major role in the vegetation ecology and carbon budget. Accurate methods for describing post-fire development of vegetation are therefore essential for the understanding and monitoring of terrestrial ecosystems. Time series analysis of satellite imagery offers the potential to quantify these parameters with spatial and temporal accuracy. Current research focuses on the potential of time series analysis of SPOT Vegetation S10 data (1999-2001) to quantify the vegetation recovery of large-scale burns detected in the framework of GBA2000. The objective of this study was to provide quantitative estimates of the spatio-temporal variation of vegetation recovery based on remote sensing indicators. Southern Africa was used as a pilot study area, given the availability of ground and satellite data. An automated technique was developed to extract consistent indicators of vegetation recovery from the SPOT-VGT time series. Reference areas were used to quantify the vegetation regrowth by means of Regeneration Indices (RI). Two kinds of recovery indicators (time and value- based) were tested for RI's of NDVI, SR, SAVI, NDWI, and pure band information. The effects of vegetation structure and temporal fire regime features on the recovery indicators were subsequently analyzed. Statistical analyses were conducted to assess whether the recovery indicators were different for different vegetation types and dependent on timing of the burning season. Results highlighted the importance of appropriate reference areas and the importance of correct normalization of the SPOT-VGT data.
Analysis of Seasonal Signal in GPS Short-Baseline Time Series
Wang, Kaihua; Jiang, Weiping; Chen, Hua; An, Xiangdong; Zhou, Xiaohui; Yuan, Peng; Chen, Qusen
2018-04-01
Proper modeling of seasonal signals and their quantitative analysis are of interest in geoscience applications, which are based on position time series of permanent GPS stations. Seasonal signals in GPS short-baseline (paper, to better understand the seasonal signal in GPS short-baseline time series, we adopted and processed six different short-baselines with data span that varies from 2 to 14 years and baseline length that varies from 6 to 1100 m. To avoid seasonal signals that are overwhelmed by noise, each of the station pairs is chosen with significant differences in their height (> 5 m) or type of the monument. For comparison, we also processed an approximately zero baseline with a distance of pass-filtered (BP) noise is valid for approximately 40% of the baseline components, and another 20% of the components can be best modeled by a combination of the first-order Gauss-Markov (FOGM) process plus white noise (WN). The TEM displacements are then modeled by considering the monument height of the building structure beneath the GPS antenna. The median contributions of TEM to the annual amplitude in the vertical direction are 84% and 46% with and without additional parts of the monument, respectively. Obvious annual signals with amplitude > 0.4 mm in the horizontal direction are observed in five short-baselines, and the amplitudes exceed 1 mm in four of them. These horizontal seasonal signals are likely related to the propagation of daily/sub-daily TEM displacement or other signals related to the site environment. Mismodeling of the tropospheric delay may also introduce spurious seasonal signals with annual amplitudes of 5 and 2 mm, respectively, for two short-baselines with elevation differences greater than 100 m. The results suggest that the monument height of the additional part of a typical GPS station should be considered when estimating the TEM displacement and that the tropospheric delay should be modeled cautiously, especially with station pairs with
Use of a Principal Components Analysis for the Generation of Daily Time Series.
Dreveton, Christine; Guillou, Yann
2004-07-01
A new approach for generating daily time series is considered in response to the weather-derivatives market. This approach consists of performing a principal components analysis to create independent variables, the values of which are then generated separately with a random process. Weather derivatives are financial or insurance products that give companies the opportunity to cover themselves against adverse climate conditions. The aim of a generator is to provide a wider range of feasible situations to be used in an assessment of risk. Generation of a temperature time series is required by insurers or bankers for pricing weather options. The provision of conditional probabilities and a good representation of the interannual variance are the main challenges of a generator when used for weather derivatives. The generator was developed according to this new approach using a principal components analysis and was applied to the daily average temperature time series of the Paris-Montsouris station in France. The observed dataset was homogenized and the trend was removed to represent correctly the present climate. The results obtained with the generator show that it represents correctly the interannual variance of the observed climate; this is the main result of the work, because one of the main discrepancies of other generators is their inability to represent accurately the observed interannual climate variance—this discrepancy is not acceptable for an application to weather derivatives. The generator was also tested to calculate conditional probabilities: for example, the knowledge of the aggregated value of heating degree-days in the middle of the heating season allows one to estimate the probability if reaching a threshold at the end of the heating season. This represents the main application of a climate generator for use with weather derivatives.
Time domain series system definition and gear set reliability modeling
International Nuclear Information System (INIS)
Xie, Liyang; Wu, Ningxiang; Qian, Wenxue
2016-01-01
Time-dependent multi-configuration is a typical feature for mechanical systems such as gear trains and chain drives. As a series system, a gear train is distinct from a traditional series system, such as a chain, in load transmission path, system-component relationship, system functioning manner, as well as time-dependent system configuration. Firstly, the present paper defines time-domain series system to which the traditional series system reliability model is not adequate. Then, system specific reliability modeling technique is proposed for gear sets, including component (tooth) and subsystem (tooth-pair) load history description, material priori/posterior strength expression, time-dependent and system specific load-strength interference analysis, as well as statistically dependent failure events treatment. Consequently, several system reliability models are developed for gear sets with different tooth numbers in the scenario of tooth root material ultimate tensile strength failure. The application of the models is discussed in the last part, and the differences between the system specific reliability model and the traditional series system reliability model are illustrated by virtue of several numerical examples. - Highlights: • A new type of series system, i.e. time-domain multi-configuration series system is defined, that is of great significance to reliability modeling. • Multi-level statistical analysis based reliability modeling method is presented for gear transmission system. • Several system specific reliability models are established for gear set reliability estimation. • The differences between the traditional series system reliability model and the new model are illustrated.
Chaos analysis of the electrical signal time series evoked by acupuncture
Energy Technology Data Exchange (ETDEWEB)
Wang Jiang [School of Electrical Engineering, Tianjin University, Tianjin 300072 (China)]. E-mail: jiangwang@tju.edu.cn; Sun Li [School of Electrical Engineering, Tianjin University, Tianjin 300072 (China); Fei Xiangyang [School of Electrical Engineering, Tianjin University, Tianjin 300072 (China); Zhu Bing [Institute of Acupuncture and Moxibustion, China Academy of Traditional Chinese Medicine, Beijing 100700 (China)
2007-08-15
This paper employs chaos theory to analyze the time series of electrical signal which are evoked by different acupuncture methods applied to the Zusanli point. The phase space is reconstructed and the embedding parameters are obtained by the mutual information and Cao's methods. Subsequently, the largest Lyapunov exponent is calculated. From the analyses we can conclude that the time series are chaotic. In addition, differences between various acupuncture methods are discussed.
DEFF Research Database (Denmark)
Moskowitz, Tobias J.; Ooi, Yao Hua; Heje Pedersen, Lasse
2012-01-01
We document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial...... under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset pricing factors and performs best during extreme markets. Examining the trading activities...
Shirota, Yukari; Hashimoto, Takako; Fitri Sari, Riri
2018-03-01
It has been very significant to visualize time series big data. In the paper we shall discuss a new analysis method called “statistical shape analysis” or “geometry driven statistics” on time series statistical data in economics. In the paper, we analyse the agriculture, value added and industry, value added (percentage of GDP) changes from 2000 to 2010 in Asia. We handle the data as a set of landmarks on a two-dimensional image to see the deformation using the principal components. The point of the analysis method is the principal components of the given formation which are eigenvectors of its bending energy matrix. The local deformation can be expressed as the set of non-Affine transformations. The transformations give us information about the local differences between in 2000 and in 2010. Because the non-Affine transformation can be decomposed into a set of partial warps, we present the partial warps visually. The statistical shape analysis is widely used in biology but, in economics, no application can be found. In the paper, we investigate its potential to analyse the economic data.
Time Series Analysis of the Quasar PKS 1749+096
Lam, Michael T.; Balonek, T. J.
2011-01-01
Multiple timescales of variability are observed in quasars at a variety of wavelengths, the nature of which is not fully understood. In 2007 and 2008, the quasar 1749+096 underwent two unprecedented optical outbursts, reaching a brightness never before seen in our twenty years of monitoring. Much lower level activity had been seen prior to these two outbursts. We present an analysis of the timescales of variability over the two regimes using a variety of statistical techniques. An IDL software package developed at Colgate University over the summer of 2010, the Quasar User Interface (QUI), provides effective computation of four time series functions for analyzing underlying trends present in generic, discretely sampled data sets. Using the Autocorrelation Function, Structure Function, and Power Spectrum, we are able to quickly identify possible variability timescales. QUI is also capable of computing the Cross-Correlation Function for comparing variability at different wavelengths. We apply these algorithms to 1749+096 and present our analysis of the timescales for this object. Funding for this project was received from Colgate University, the Justus and Jayne Schlichting Student Research Fund, and the NASA / New York Space Grant.
Wang, Dong; Borthwick, Alistair G; He, Handan; Wang, Yuankun; Zhu, Jieyu; Lu, Yuan; Xu, Pengcheng; Zeng, Xiankui; Wu, Jichun; Wang, Lachun; Zou, Xinqing; Liu, Jiufu; Zou, Ying; He, Ruimin
2018-01-01
Accurate, fast forecasting of hydro-meteorological time series is presently a major challenge in drought and flood mitigation. This paper proposes a hybrid approach, wavelet de-noising (WD) and Rank-Set Pair Analysis (RSPA), that takes full advantage of a combination of the two approaches to improve forecasts of hydro-meteorological time series. WD allows decomposition and reconstruction of a time series by the wavelet transform, and hence separation of the noise from the original series. RSPA, a more reliable and efficient version of Set Pair Analysis, is integrated with WD to form the hybrid WD-RSPA approach. Two types of hydro-meteorological data sets with different characteristics and different levels of human influences at some representative stations are used to illustrate the WD-RSPA approach. The approach is also compared to three other generic methods: the conventional Auto Regressive Integrated Moving Average (ARIMA) method, Artificial Neural Networks (ANNs) (BP-error Back Propagation, MLP-Multilayer Perceptron and RBF-Radial Basis Function), and RSPA alone. Nine error metrics are used to evaluate the model performance. Compared to three other generic methods, the results generated by WD-REPA model presented invariably smaller error measures which means the forecasting capability of the WD-REPA model is better than other models. The results show that WD-RSPA is accurate, feasible, and effective. In particular, WD-RSPA is found to be the best among the various generic methods compared in this paper, even when the extreme events are included within a time series. Copyright © 2017 Elsevier Inc. All rights reserved.
Time-series analysis of climatologic measurements: a method to distinguish future climatic changes
International Nuclear Information System (INIS)
Duband, D.
1992-01-01
Time-series analysis of climatic parameters as air temperature, rivers flow rate, lakes or seas level is an indispensable basis to detect a possible significant climatic change. These observations, when they are carefully analyzed and criticized, constitute the necessary reference for testing and validation numerical climatic models which try to simulate the physical and dynamical process of the ocean-atmosphere couple, taking continents into account. 32 refs., 13 figs
Time Series Modeling of Army Mission Command Communication Networks: An Event-Driven Analysis
2013-06-01
Lehmann, D. R. (1984). How advertising affects sales: Meta- analysis of econometric results. Journal of Marketing Research , 21, 65-74. Barabási, A. L...317-357. Leone, R. P. (1983). Modeling sales-advertising relationships: An integrated time series- econometric approach. Journal of Marketing ... Research , 20, 291-295. McGrath, J. E., & Kravitz, D. A. (1982). Group research. Annual Review of Psychology, 33, 195- 230. Monge, P. R., & Contractor
Evolutionary Algorithms for the Detection of Structural Breaks in Time Series
DEFF Research Database (Denmark)
Doerr, Benjamin; Fischer, Paul; Hilbert, Astrid
2013-01-01
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 behavior of the time series changes. Typically, no solid background knowledge of the time...
time-series analysis of nigeria rice supply and demand: error ...
African Journals Online (AJOL)
O. Ojogho Ph.D
the two series have been changing which may continue for longer time than foreseen {Figure (1c)}. Figure (c) shows a forecast of rice supply and demand for Nigeria. It shows that beyond 2010, rice supply will permanently lead rice demand. This indicates that they either have time-varying means, time-varying variances or ...
Modeling activity patterns of wildlife using time-series analysis.
Zhang, Jindong; Hull, Vanessa; Ouyang, Zhiyun; He, Liang; Connor, Thomas; Yang, Hongbo; Huang, Jinyan; Zhou, Shiqiang; Zhang, Zejun; Zhou, Caiquan; Zhang, Hemin; Liu, Jianguo
2017-04-01
The study of wildlife activity patterns is an effective approach to understanding fundamental ecological and evolutionary processes. However, traditional statistical approaches used to conduct quantitative analysis have thus far had limited success in revealing underlying mechanisms driving activity patterns. Here, we combine wavelet analysis, a type of frequency-based time-series analysis, with high-resolution activity data from accelerometers embedded in GPS collars to explore the effects of internal states (e.g., pregnancy) and external factors (e.g., seasonal dynamics of resources and weather) on activity patterns of the endangered giant panda ( Ailuropoda melanoleuca ). Giant pandas exhibited higher frequency cycles during the winter when resources (e.g., water and forage) were relatively poor, as well as during spring, which includes the giant panda's mating season. During the summer and autumn when resources were abundant, pandas exhibited a regular activity pattern with activity peaks every 24 hr. A pregnant individual showed distinct differences in her activity pattern from other giant pandas for several months following parturition. These results indicate that animals adjust activity cycles to adapt to seasonal variation of the resources and unique physiological periods. Wavelet coherency analysis also verified the synchronization of giant panda activity level with air temperature and solar radiation at the 24-hr band. Our study also shows that wavelet analysis is an effective tool for analyzing high-resolution activity pattern data and its relationship to internal and external states, an approach that has the potential to inform wildlife conservation and management across species.
Cointegration and Error Correction Modelling in Time-Series Analysis: A Brief Introduction
Directory of Open Access Journals (Sweden)
Helmut Thome
2015-07-01
Full Text Available Criminological research is often based on time-series data showing some type of trend movement. Trending time-series may correlate strongly even in cases where no causal relationship exists (spurious causality. To avoid this problem researchers often apply some technique of detrending their data, such as by differencing the series. This approach, however, may bring up another problem: that of spurious non-causality. Both problems can, in principle, be avoided if the series under investigation are “difference-stationary” (if the trend movements are stochastic and “cointegrated” (if the stochastically changing trendmovements in different variables correspond to each other. The article gives a brief introduction to key instruments and interpretative tools applied in cointegration modelling.
Stochastic models for time series
Doukhan, Paul
2018-01-01
This book presents essential tools for modelling non-linear time series. The first part of the book describes the main standard tools of probability and statistics that directly apply to the time series context to obtain a wide range of modelling possibilities. Functional estimation and bootstrap are discussed, and stationarity is reviewed. The second part describes a number of tools from Gaussian chaos and proposes a tour of linear time series models. It goes on to address nonlinearity from polynomial or chaotic models for which explicit expansions are available, then turns to Markov and non-Markov linear models and discusses Bernoulli shifts time series models. Finally, the volume focuses on the limit theory, starting with the ergodic theorem, which is seen as the first step for statistics of time series. It defines the distributional range to obtain generic tools for limit theory under long or short-range dependences (LRD/SRD) and explains examples of LRD behaviours. More general techniques (central limit ...
Curceac, S.; Ternynck, C.; Ouarda, T.
2015-12-01
Over the past decades, a substantial amount of research has been conducted to model and forecast climatic variables. In this study, Nonparametric Functional Data Analysis (NPFDA) methods are applied to forecast air temperature and wind speed time series in Abu Dhabi, UAE. The dataset consists of hourly measurements recorded for a period of 29 years, 1982-2010. The novelty of the Functional Data Analysis approach is in expressing the data as curves. In the present work, the focus is on daily forecasting and the functional observations (curves) express the daily measurements of the above mentioned variables. We apply a non-linear regression model with a functional non-parametric kernel estimator. The computation of the estimator is performed using an asymmetrical quadratic kernel function for local weighting based on the bandwidth obtained by a cross validation procedure. The proximities between functional objects are calculated by families of semi-metrics based on derivatives and Functional Principal Component Analysis (FPCA). Additionally, functional conditional mode and functional conditional median estimators are applied and the advantages of combining their results are analysed. A different approach employs a SARIMA model selected according to the minimum Akaike (AIC) and Bayessian (BIC) Information Criteria and based on the residuals of the model. The performance of the models is assessed by calculating error indices such as the root mean square error (RMSE), relative RMSE, BIAS and relative BIAS. The results indicate that the NPFDA models provide more accurate forecasts than the SARIMA models. Key words: Nonparametric functional data analysis, SARIMA, time series forecast, air temperature, wind speed
Visibility graph analysis of heart rate time series and bio-marker of congestive heart failure
Bhaduri, Anirban; Bhaduri, Susmita; Ghosh, Dipak
2017-09-01
Study of RR interval time series for Congestive Heart Failure had been an area of study with different methods including non-linear methods. In this article the cardiac dynamics of heart beat are explored in the light of complex network analysis, viz. visibility graph method. Heart beat (RR Interval) time series data taken from Physionet database [46, 47] belonging to two groups of subjects, diseased (congestive heart failure) (29 in number) and normal (54 in number) are analyzed with the technique. The overall results show that a quantitative parameter can significantly differentiate between the diseased subjects and the normal subjects as well as different stages of the disease. Further, the data when split into periods of around 1 hour each and analyzed separately, also shows the same consistent differences. This quantitative parameter obtained using the visibility graph analysis thereby can be used as a potential bio-marker as well as a subsequent alarm generation mechanism for predicting the onset of Congestive Heart Failure.
Modeling financial time series with S-plus
Zivot, Eric
2003-01-01
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics This is the first book to show the power of S-PLUS for the analysis of time series data It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department at the University of Washington, and is co-director of the nascent Professional Master's Program in Computational Finance He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the He...
Use of a prototype pulse oximeter for time series analysis of heart rate variability
González, Erika; López, Jehú; Hautefeuille, Mathieu; Velázquez, Víctor; Del Moral, Jésica
2015-05-01
This work presents the development of a low cost pulse oximeter prototype consisting of pulsed red and infrared commercial LEDs and a broad spectral photodetector used to register time series of heart rate and oxygen saturation of blood. This platform, besides providing these values, like any other pulse oximeter, processes the signals to compute a power spectrum analysis of the patient heart rate variability in real time and, additionally, the device allows access to all raw and analyzed data if databases construction is required or another kind of further analysis is desired. Since the prototype is capable of acquiring data for long periods of time, it is suitable for collecting data in real life activities, enabling the development of future wearable applications.
Constructing ordinal partition transition networks from multivariate time series.
Zhang, Jiayang; Zhou, Jie; Tang, Ming; Guo, Heng; Small, Michael; Zou, Yong
2017-08-10
A growing number of algorithms have been proposed to map a scalar time series into ordinal partition transition networks. However, most observable phenomena in the empirical sciences are of a multivariate nature. We construct ordinal partition transition networks for multivariate time series. This approach yields weighted directed networks representing the pattern transition properties of time series in velocity space, which hence provides dynamic insights of the underling system. Furthermore, we propose a measure of entropy to characterize ordinal partition transition dynamics, which is sensitive to capturing the possible local geometric changes of phase space trajectories. We demonstrate the applicability of pattern transition networks to capture phase coherence to non-coherence transitions, and to characterize paths to phase synchronizations. Therefore, we conclude that the ordinal partition transition network approach provides complementary insight to the traditional symbolic analysis of nonlinear multivariate time series.
Krstacic, Goran; Krstacic, Antonija; Smalcelj, Anton; Milicic, Davor; Jembrek-Gostovic, Mirjana
2007-04-01
Dynamic analysis techniques may quantify abnormalities in heart rate variability (HRV) based on nonlinear and fractal analysis (chaos theory). The article emphasizes clinical and prognostic significance of dynamic changes in short-time series applied on patients with coronary heart disease (CHD) during the exercise electrocardiograph (ECG) test. The subjects were included in the series after complete cardiovascular diagnostic data. Series of R-R and ST-T intervals were obtained from exercise ECG data after sampling digitally. The range rescaled analysis method determined the fractal dimension of the intervals. To quantify fractal long-range correlation's properties of heart rate variability, the detrended fluctuation analysis technique was used. Approximate entropy (ApEn) was applied to quantify the regularity and complexity of time series, as well as unpredictability of fluctuations in time series. It was found that the short-term fractal scaling exponent (alpha(1)) is significantly lower in patients with CHD (0.93 +/- 0.07 vs 1.09 +/- 0.04; P chaos theory during the exercise ECG test point out the multifractal time series in CHD patients who loss normal fractal characteristics and regularity in HRV. Nonlinear analysis technique may complement traditional ECG analysis.
vector bilinear autoregressive time series model and its superiority
African Journals Online (AJOL)
KEYWORDS: Linear time series, Autoregressive process, Autocorrelation function, Partial autocorrelation function,. Vector time .... important result on matrix algebra with respect to the spectral ..... application to covariance analysis of super-.
THE ANALYSIS OF THE TIME-SERIES FLUCTUATION OF WATER DEMAND FOR THE SMALL WATER SUPPLY BLOCK
Koizumi, Akira; Suehiro, Miki; Arai, Yasuhiro; Inakazu, Toyono; Masuko, Atushi; Tamura, Satoshi; Ashida, Hiroshi
The purpose of this study is to define one apartment complex as "the water supply block" and to show the relationship between the amount of water supply for an apartment house and its time series fluctuation. We examined the observation data which were collected from 33 apartment houses. The water meters were installed at individual observation points for about 20 days in Tokyo. This study used Fourier analysis in order to grasp the irregularity in a time series data. As a result, this paper demonstrated that the smaller the amount of water supply became, the larger irregularity the time series fluctuation had. We also found that it was difficult to describe the daily cyclical pattern for a small apartment house using the dominant periodic components which were obtained from a Fourier spectrum. Our research give useful information about the design for a directional water supply system, as to making estimates of the hourly fluctuation and the maximum daily water demand.
Xia, Li C; Ai, Dongmei; Cram, Jacob A; Liang, Xiaoyi; Fuhrman, Jed A; Sun, Fengzhu
2015-09-21
Local trend (i.e. shape) analysis of time series data reveals co-changing patterns in dynamics of biological systems. However, slow permutation procedures to evaluate the statistical significance of local trend scores have limited its applications to high-throughput time series data analysis, e.g., data from the next generation sequencing technology based studies. By extending the theories for the tail probability of the range of sum of Markovian random variables, we propose formulae for approximating the statistical significance of local trend scores. Using simulations and real data, we show that the approximate p-value is close to that obtained using a large number of permutations (starting at time points >20 with no delay and >30 with delay of at most three time steps) in that the non-zero decimals of the p-values obtained by the approximation and the permutations are mostly the same when the approximate p-value is less than 0.05. In addition, the approximate p-value is slightly larger than that based on permutations making hypothesis testing based on the approximate p-value conservative. The approximation enables efficient calculation of p-values for pairwise local trend analysis, making large scale all-versus-all comparisons possible. We also propose a hybrid approach by integrating the approximation and permutations to obtain accurate p-values for significantly associated pairs. We further demonstrate its use with the analysis of the Polymouth Marine Laboratory (PML) microbial community time series from high-throughput sequencing data and found interesting organism co-occurrence dynamic patterns. The software tool is integrated into the eLSA software package that now provides accelerated local trend and similarity analysis pipelines for time series data. The package is freely available from the eLSA website: http://bitbucket.org/charade/elsa.
西埜, 晴久
2004-01-01
The paper investigates an application of long-memory processes to economic time series. We show properties of long-memory processes, which are motivated to model a long-memory phenomenon in economic time series. An FARIMA model is described as an example of long-memory model in statistical terms. The paper explains basic limit theorems and estimation methods for long-memory processes in order to apply long-memory models to economic time series.
International Nuclear Information System (INIS)
Zhang, Wenchao; Tan, Sichao; Gao, Puzhen; Wang, Zhanwei; Zhang, Liansheng; Zhang, Hong
2014-01-01
Highlights: • Natural circulation flow instabilities in rolling motion are studied. • The method of non-linear time series analysis is used. • Non-linear evolution characteristic of flow instability is analyzed. • Irregular complex flow oscillations are chaotic oscillations. • The effect of rolling parameter on the threshold of chaotic oscillation is studied. - Abstract: Non-linear characteristics of natural circulation flow instabilities under rolling motion conditions were studied by the method of non-linear time series analysis. Experimental flow time series of different dimensionless power and rolling parameters were analyzed based on phase space reconstruction theory. Attractors which were reconstructed in phase space and the geometric invariants, including correlation dimension, Kolmogorov entropy and largest Lyapunov exponent, were determined. Non-linear characteristics of natural circulation flow instabilities under rolling motion conditions was studied based on the results of the geometric invariant analysis. The results indicated that the values of the geometric invariants first increase and then decrease as dimensionless power increases which indicated the non-linear characteristics of the system first enhance and then weaken. The irregular complex flow oscillation is typical chaotic oscillation because the value of geometric invariants is at maximum. The threshold of chaotic oscillation becomes larger as the rolling frequency or rolling amplitude becomes big. The main influencing factors that influence the non-linear characteristics of the natural circulation system under rolling motion are thermal driving force, flow resistance and the additional forces caused by rolling motion. The non-linear characteristics of the natural circulation system under rolling motion changes caused by the change of the feedback and coupling degree among these influencing factors when the dimensionless power or rolling parameters changes
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").
Alakent, Burak; Doruker, Pemra; Camurdan, Mehmet C
2004-09-08
Time series analysis is applied on the collective coordinates obtained from principal component analysis of independent molecular dynamics simulations of alpha-amylase inhibitor tendamistat and immunity protein of colicin E7 based on the Calpha coordinates history. Even though the principal component directions obtained for each run are considerably different, the dynamics information obtained from these runs are surprisingly similar in terms of time series models and parameters. There are two main differences in the dynamics of the two proteins: the higher density of low frequencies and the larger step sizes for the interminima motions of colicin E7 than those of alpha-amylase inhibitor, which may be attributed to the higher number of residues of colicin E7 and/or the structural differences of the two proteins. The cumulative density function of the low frequencies in each run conforms to the expectations from the normal mode analysis. When different runs of alpha-amylase inhibitor are projected on the same set of eigenvectors, it is found that principal components obtained from a certain conformational region of a protein has a moderate explanation power in other conformational regions and the local minima are similar to a certain extent, while the height of the energy barriers in between the minima significantly change. As a final remark, time series analysis tools are further exploited in this study with the motive of explaining the equilibrium fluctuations of proteins. Copyright 2004 American Institute of Physics
Economic Conditions and the Divorce Rate: A Time-Series Analysis of the Postwar United States.
South, Scott J.
1985-01-01
Challenges the belief that the divorce rate rises during prosperity and falls during economic recessions. Time-series regression analysis of postwar United States reveals small but positive effects of unemployment on divorce rate. Stronger influences on divorce rates are changes in age structure and labor-force participation rate of women.…
On-line diagnostic techniques for air-operated control valves based on time series analysis
International Nuclear Information System (INIS)
Ito, Kenji; Matsuoka, Yoshinori; Minamikawa, Shigeru; Komatsu, Yasuki; Satoh, Takeshi.
1996-01-01
The objective of this research is to study the feasibility of applying on-line diagnostic techniques based on time series analysis to air-operated control valves - numerous valves of the type which are used in PWR plants. Generally the techniques can detect anomalies by failures in the initial stages for which detection is difficult by conventional surveillance of process parameters measured directly. However, the effectiveness of these techniques depends on the system being diagnosed. The difficulties in applying diagnostic techniques to air-operated control valves seem to come from the reduced sensitivity of their response as compared with hydraulic control systems, as well as the need to identify anomalies in low level signals that fluctuate only slightly but continuously. In this research, simulation tests were performed by setting various kinds of failure modes for a test valve with the same specifications as of a valve actually used in the plants. Actual control signals recorded from an operating plant were then used as input signals for simulation. The results of the tests confirmed the feasibility of applying on-line diagnostic techniques based on time series analysis to air-operated control valves. (author)
A Study of Wavelet Analysis and Data Extraction from Second-Order Self-Similar Time Series
Directory of Open Access Journals (Sweden)
Leopoldo Estrada Vargas
2013-01-01
Full Text Available Statistical analysis and synthesis of self-similar discrete time signals are presented. The analysis equation is formally defined through a special family of basis functions of which the simplest case matches the Haar wavelet. The original discrete time series is synthesized without loss by a linear combination of the basis functions after some scaling, displacement, and phase shift. The decomposition is then used to synthesize a new second-order self-similar signal with a different Hurst index than the original. The components are also used to describe the behavior of the estimated mean and variance of self-similar discrete time series. It is shown that the sample mean, although it is unbiased, provides less information about the process mean as its Hurst index is higher. It is also demonstrated that the classical variance estimator is biased and that the widely accepted aggregated variance-based estimator of the Hurst index results biased not due to its nature (which is being unbiased and has minimal variance but to flaws in its implementation. Using the proposed decomposition, the correct estimation of the Variance Plot is described, as well as its close association with the popular Logscale Diagram.
Efficient use of correlation entropy for analysing time series data
Indian Academy of Sciences (India)
Abstract. The correlation dimension D2 and correlation entropy K2 are both important quantifiers in nonlinear time series analysis. However, use of D2 has been more common compared to K2 as a discriminating measure. One reason for this is that D2 is a static measure and can be easily evaluated from a time series.
Characterization of time series via Rényi complexity-entropy curves
Jauregui, M.; Zunino, L.; Lenzi, E. K.; Mendes, R. S.; Ribeiro, H. V.
2018-05-01
One of the most useful tools for distinguishing between chaotic and stochastic time series is the so-called complexity-entropy causality plane. This diagram involves two complexity measures: the Shannon entropy and the statistical complexity. Recently, this idea has been generalized by considering the Tsallis monoparametric generalization of the Shannon entropy, yielding complexity-entropy curves. These curves have proven to enhance the discrimination among different time series related to stochastic and chaotic processes of numerical and experimental nature. Here we further explore these complexity-entropy curves in the context of the Rényi entropy, which is another monoparametric generalization of the Shannon entropy. By combining the Rényi entropy with the proper generalization of the statistical complexity, we associate a parametric curve (the Rényi complexity-entropy curve) with a given time series. We explore this approach in a series of numerical and experimental applications, demonstrating the usefulness of this new technique for time series analysis. We show that the Rényi complexity-entropy curves enable the differentiation among time series of chaotic, stochastic, and periodic nature. In particular, time series of stochastic nature are associated with curves displaying positive curvature in a neighborhood of their initial points, whereas curves related to chaotic phenomena have a negative curvature; finally, periodic time series are represented by vertical straight lines.
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.
Trend analysis using non-stationary time series clustering based on the finite element method
Gorji Sefidmazgi, M.; Sayemuzzaman, M.; Homaifar, A.; Jha, M. K.; Liess, S.
2014-01-01
In order to analyze low-frequency variability of climate, it is useful to model the climatic time series with multiple linear trends and locate the times of significant changes. In this paper, we have used non-stationary time series clustering to find change points in the trends. Clustering in a multi-dimensional non-stationary time series is challenging, since the problem is mathematically ill-posed. Clustering based on the finite element method (FEM) is one of the methods ...
False-nearest-neighbors algorithm and noise-corrupted time series
International Nuclear Information System (INIS)
Rhodes, C.; Morari, M.
1997-01-01
The false-nearest-neighbors (FNN) algorithm was originally developed to determine the embedding dimension for autonomous time series. For noise-free computer-generated time series, the algorithm does a good job in predicting the embedding dimension. However, the problem of predicting the embedding dimension when the time-series data are corrupted by noise was not fully examined in the original studies of the FNN algorithm. Here it is shown that with large data sets, even small amounts of noise can lead to incorrect prediction of the embedding dimension. Surprisingly, as the length of the time series analyzed by FNN grows larger, the cause of incorrect prediction becomes more pronounced. An analysis of the effect of noise on the FNN algorithm and a solution for dealing with the effects of noise are given here. Some results on the theoretically correct choice of the FNN threshold are also presented. copyright 1997 The American Physical Society
Tool Wear Monitoring Using Time Series Analysis
Song, Dong Yeul; Ohara, Yasuhiro; Tamaki, Haruo; Suga, Masanobu
A tool wear monitoring approach considering the nonlinear behavior of cutting mechanism caused by tool wear and/or localized chipping is proposed, and its effectiveness is verified through the cutting experiment and actual turning machining. Moreover, the variation in the surface roughness of the machined workpiece is also discussed using this approach. In this approach, the residual error between the actually measured vibration signal and the estimated signal obtained from the time series model corresponding to dynamic model of cutting is introduced as the feature of diagnosis. Consequently, it is found that the early tool wear state (i.e. flank wear under 40µm) can be monitored, and also the optimal tool exchange time and the tool wear state for actual turning machining can be judged by this change in the residual error. Moreover, the variation of surface roughness Pz in the range of 3 to 8µm can be estimated by the monitoring of the residual error.
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.
Chernobyl effects on domestic and inbound tourism in Sweden. A time series analysis
International Nuclear Information System (INIS)
Hultkrantz, L.; Olsson, C.
1997-01-01
This paper estimates the impact of the Chernobyl nuclear accident on domestic and international tourism in Sweden. From ARIMA time series forecasts, outlier search, and intervention analysis based on regional monthly accommodation data from 1978-1989, no effect on domestic tourism is found. However, there is an enduring deterrence effect on incoming tourism. The loss of gross revenue from incoming tourism because of the Chernobyl accident, is estimated to 2.5 billion SEK. 5 figs., 7 tabs., 1 appendix, 27 refs
Chernobyl effects on domestic and inbound tourism in Sweden. A time series analysis
Energy Technology Data Exchange (ETDEWEB)
Hultkrantz, L. [Department of Economics, University of Uppsala, Uppsala (Sweden); Olsson, C. [Department of Economics, Umeaa University, Umeaa (Sweden)
1997-03-01
This paper estimates the impact of the Chernobyl nuclear accident on domestic and international tourism in Sweden. From ARIMA time series forecasts, outlier search, and intervention analysis based on regional monthly accommodation data from 1978-1989, no effect on domestic tourism is found. However, there is an enduring deterrence effect on incoming tourism. The loss of gross revenue from incoming tourism because of the Chernobyl accident, is estimated to 2.5 billion SEK. 5 figs., 7 tabs., 1 appendix, 27 refs.
Interpretation of engine cycle-to-cycle variation by chaotic time series analysis
Energy Technology Data Exchange (ETDEWEB)
Daw, C.S.; Kahl, W.K.
1990-01-01
In this paper we summarize preliminary results from applying a new mathematical technique -- chaotic time series analysis (CTSA) -- to cylinder pressure data from a spark-ignition (SI) four-stroke engine fueled with both methanol and iso-octane. Our objective is to look for the presence of deterministic chaos'' dynamics in peak pressure variations and to investigate the potential usefulness of CTSA as a diagnostic tool. Our results suggest that sequential peak cylinder pressures exhibit some characteristic features of deterministic chaos and that CTSA can extract previously unrecognized information from such data. 18 refs., 11 figs., 2 tabs.
A Review of Subsequence Time Series Clustering
Directory of Open Access Journals (Sweden)
Seyedjamal Zolhavarieh
2014-01-01
Full Text Available Clustering of subsequence time series remains an open issue in time series clustering. Subsequence time series clustering is used in different fields, such as e-commerce, outlier detection, speech recognition, biological systems, DNA recognition, and text mining. One of the useful fields in the domain of subsequence time series clustering is pattern recognition. To improve this field, a sequence of time series data is used. This paper reviews some definitions and backgrounds related to subsequence time series clustering. The categorization of the literature reviews is divided into three groups: preproof, interproof, and postproof period. Moreover, various state-of-the-art approaches in performing subsequence time series clustering are discussed under each of the following categories. The strengths and weaknesses of the employed methods are evaluated as potential issues for future studies.
A review of subsequence time series clustering.
Zolhavarieh, Seyedjamal; Aghabozorgi, Saeed; Teh, Ying Wah
2014-01-01
Clustering of subsequence time series remains an open issue in time series clustering. Subsequence time series clustering is used in different fields, such as e-commerce, outlier detection, speech recognition, biological systems, DNA recognition, and text mining. One of the useful fields in the domain of subsequence time series clustering is pattern recognition. To improve this field, a sequence of time series data is used. This paper reviews some definitions and backgrounds related to subsequence time series clustering. The categorization of the literature reviews is divided into three groups: preproof, interproof, and postproof period. Moreover, various state-of-the-art approaches in performing subsequence time series clustering are discussed under each of the following categories. The strengths and weaknesses of the employed methods are evaluated as potential issues for future studies.
A Review of Subsequence Time Series Clustering
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
Directory of Open Access Journals (Sweden)
Mohammad Reza
2013-01-01
Full Text Available This paper investigates the relationship between logistics and economic development in Indonesia using time series data on traffic volume and economic growth for the period from 1988 to 2010. Literature reviews were conducted to find the most applicable econometric model. The data of cargo volume that travels through sea, air and rail is used as the logistics index, while GDP is used for the economic index. The time series data was tested using stationarity and co-integration tests. Granger causality tests were employed, and then a proposed logistic model is presented. This study showed that logistics plays an important role in supporting and sustaining economic growth, in a form where the economic growth is the significant demand-pull effect towards logistics. Although the model is developed in the context of Indonesia, the overall statistical analysis can be generalized to other developing economies. Based on the model, this paper presented the importance of sustaining economic development with regards continuously improving the logistics infrastructure.
Automated preparation of Kepler time series of planet hosts for asteroseismic analysis
DEFF Research Database (Denmark)
Handberg, R.; Lund, M. N.
2014-01-01
. In this paper we present the KASOC Filter, which is used to automatically prepare data from the Kepler/K2 mission for asteroseismic analyses of solar-like planet host stars. The methods are very effective at removing unwanted signals of both instrumental and planetary origins and produce significantly cleaner......One of the tasks of the Kepler Asteroseismic Science Operations Center (KASOC) is to provide asteroseismic analyses on Kepler Objects of Interest (KOIs). However, asteroseismic analysis of planetary host stars presents some unique complications with respect to data preprocessing, compared to pure...... asteroseismic targets. If not accounted for, the presence of planetary transits in the photometric time series often greatly complicates or even hinders these asteroseismic analyses. This drives the need for specialised methods of preprocessing data to make them suitable for asteroseismic analysis...
Unsupervised land cover change detection: meaningful sequential time series analysis
CSIR Research Space (South Africa)
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...
Directory of Open Access Journals (Sweden)
Felix eRembold
2015-07-01
Full Text Available Monitoring crop and natural vegetation conditions is highly relevant, particularly in the food insecure areas of the world. Data from remote sensing image time series at high temporal and medium to low spatial resolution can assist this monitoring as they provide key information about vegetation status in near real-time over large areas. The Software for the Processing and Interpretation of Remotely sensed Image Time Series (SPIRITS is a stand-alone flexible analysis environment created to facilitate the processing and analysis of large image time series and ultimately for providing clear information about vegetation status in various graphical formats to crop production analysts and decision makers. In this paper we present the latest functional developments of SPIRITS and we illustrate recent applications. The main new developments include: HDF5 importer, Image re-projection, additional options for temporal Smoothing and Periodicity conversion, computation of a rainfall-based probability index (Standardized Precipitation Index for drought detection and extension of the Graph composer functionalities.In particular,. The examples of operational analyses are taken from several recent agriculture and food security monitoring reports and bulletins. We conclude with considerations on future SPIRITS developments also in view of the data processing requirements imposed by the coming generation of remote sensing products at high spatial and temporal resolution, such as those provided by the Sentinel sensors of the European Copernicus programme.
Time series with tailored nonlinearities
Räth, C.; Laut, I.
2015-10-01
It is demonstrated how to generate time series with tailored nonlinearities by inducing well-defined constraints on the Fourier phases. Correlations between the phase information of adjacent phases and (static and dynamic) measures of nonlinearities are established and their origin is explained. By applying a set of simple constraints on the phases of an originally linear and uncorrelated Gaussian time series, the observed scaling behavior of the intensity distribution of empirical time series can be reproduced. The power law character of the intensity distributions being typical for, e.g., turbulence and financial data can thus be explained in terms of phase correlations.
Time Series, Stochastic Processes and Completeness of Quantum Theory
International Nuclear Information System (INIS)
Kupczynski, Marian
2011-01-01
Most of physical experiments are usually described as repeated measurements of some random variables. Experimental data registered by on-line computers form time series of outcomes. The frequencies of different outcomes are compared with the probabilities provided by the algorithms of quantum theory (QT). In spite of statistical predictions of QT a claim was made that it provided the most complete description of the data and of the underlying physical phenomena. This claim could be easily rejected if some fine structures, averaged out in the standard descriptive statistical analysis, were found in time series of experimental data. To search for these structures one has to use more subtle statistical tools which were developed to study time series produced by various stochastic processes. In this talk we review some of these tools. As an example we show how the standard descriptive statistical analysis of the data is unable to reveal a fine structure in a simulated sample of AR (2) stochastic process. We emphasize once again that the violation of Bell inequalities gives no information on the completeness or the non locality of QT. The appropriate way to test the completeness of quantum theory is to search for fine structures in time series of the experimental data by means of the purity tests or by studying the autocorrelation and partial autocorrelation functions.
A simple and fast representation space for classifying complex time series
International Nuclear Information System (INIS)
Zunino, Luciano; Olivares, Felipe; Bariviera, Aurelio F.; Rosso, Osvaldo A.
2017-01-01
In the context of time series analysis considerable effort has been directed towards the implementation of efficient discriminating statistical quantifiers. Very recently, a simple and fast representation space has been introduced, namely the number of turning points versus the Abbe value. It is able to separate time series from stationary and non-stationary processes with long-range dependences. In this work we show that this bidimensional approach is useful for distinguishing complex time series: different sets of financial and physiological data are efficiently discriminated. Additionally, a multiscale generalization that takes into account the multiple time scales often involved in complex systems has been also proposed. This multiscale analysis is essential to reach a higher discriminative power between physiological time series in health and disease. - Highlights: • A bidimensional scheme has been tested for classification purposes. • A multiscale generalization is introduced. • Several practical applications confirm its usefulness. • Different sets of financial and physiological data are efficiently distinguished. • This multiscale bidimensional approach has high potential as discriminative tool.
A simple and fast representation space for classifying complex time series
Energy Technology Data Exchange (ETDEWEB)
Zunino, Luciano, E-mail: lucianoz@ciop.unlp.edu.ar [Centro de Investigaciones Ópticas (CONICET La Plata – CIC), C.C. 3, 1897 Gonnet (Argentina); Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata (Argentina); Olivares, Felipe, E-mail: olivaresfe@gmail.com [Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025 Valparaíso (Chile); Bariviera, Aurelio F., E-mail: aurelio.fernandez@urv.cat [Department of Business, Universitat Rovira i Virgili, Av. Universitat 1, 43204 Reus (Spain); Rosso, Osvaldo A., E-mail: oarosso@gmail.com [Instituto de Física, Universidade Federal de Alagoas (UFAL), BR 104 Norte km 97, 57072-970, Maceió, Alagoas (Brazil); Instituto Tecnológico de Buenos Aires (ITBA) and CONICET, C1106ACD, Av. Eduardo Madero 399, Ciudad Autónoma de Buenos Aires (Argentina); Complex Systems Group, Facultad de Ingeniería y Ciencias Aplicadas, Universidad de los Andes, Av. Mons. Álvaro del Portillo 12.455, Las Condes, Santiago (Chile)
2017-03-18
In the context of time series analysis considerable effort has been directed towards the implementation of efficient discriminating statistical quantifiers. Very recently, a simple and fast representation space has been introduced, namely the number of turning points versus the Abbe value. It is able to separate time series from stationary and non-stationary processes with long-range dependences. In this work we show that this bidimensional approach is useful for distinguishing complex time series: different sets of financial and physiological data are efficiently discriminated. Additionally, a multiscale generalization that takes into account the multiple time scales often involved in complex systems has been also proposed. This multiscale analysis is essential to reach a higher discriminative power between physiological time series in health and disease. - Highlights: • A bidimensional scheme has been tested for classification purposes. • A multiscale generalization is introduced. • Several practical applications confirm its usefulness. • Different sets of financial and physiological data are efficiently distinguished. • This multiscale bidimensional approach has high potential as discriminative tool.
Permutation entropy of finite-length white-noise time series.
Little, Douglas J; Kane, Deb M
2016-08-01
Permutation entropy (PE) is commonly used to discriminate complex structure from white noise in a time series. While the PE of white noise is well understood in the long time-series limit, analysis in the general case is currently lacking. Here the expectation value and variance of white-noise PE are derived as functions of the number of ordinal pattern trials, N, and the embedding dimension, D. It is demonstrated that the probability distribution of the white-noise PE converges to a χ^{2} distribution with D!-1 degrees of freedom as N becomes large. It is further demonstrated that the PE variance for an arbitrary time series can be estimated as the variance of a related metric, the Kullback-Leibler entropy (KLE), allowing the qualitative N≫D! condition to be recast as a quantitative estimate of the N required to achieve a desired PE calculation precision. Application of this theory to statistical inference is demonstrated in the case of an experimentally obtained noise series, where the probability of obtaining the observed PE value was calculated assuming a white-noise time series. Standard statistical inference can be used to draw conclusions whether the white-noise null hypothesis can be accepted or rejected. This methodology can be applied to other null hypotheses, such as discriminating whether two time series are generated from different complex system states.
Event-sequence time series analysis in ground-based gamma-ray astronomy
International Nuclear Information System (INIS)
Barres de Almeida, U.; Chadwick, P.; Daniel, M.; Nolan, S.; McComb, L.
2008-01-01
The recent, extreme episodes of variability detected from Blazars by the leading atmospheric Cerenkov experiments motivate the development and application of specialized statistical techniques that enable the study of this rich data set to its furthest extent. The identification of the shortest variability timescales supported by the data and the actual variability structure observed in the light curves of these sources are some of the fundamental aspects being studied, that answers can bring new developments on the understanding of the physics of these objects and on the mechanisms of production of VHE gamma-rays in the Universe. Some of our efforts in studying the time variability of VHE sources involve the application of dynamic programming algorithms to the problem of detecting change-points in a Poisson sequence. In this particular paper we concentrate on the more primary issue of the applicability of counting statistics to the analysis of time-series on VHE gamma-ray astronomy.
Time Series Outlier Detection Based on Sliding Window Prediction
Directory of Open Access Journals (Sweden)
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.
Multivariate time series clustering on geophysical data recorded at Mt. Etna from 1996 to 2003
Di Salvo, Roberto; Montalto, Placido; Nunnari, Giuseppe; Neri, Marco; Puglisi, Giuseppe
2013-02-01
Time series clustering is an important task in data analysis issues in order to extract implicit, previously unknown, and potentially useful information from a large collection of data. Finding useful similar trends in multivariate time series represents a challenge in several areas including geophysics environment research. While traditional time series analysis methods deal only with univariate time series, multivariate time series analysis is a more suitable approach in the field of research where different kinds of data are available. Moreover, the conventional time series clustering techniques do not provide desired results for geophysical datasets due to the huge amount of data whose sampling rate is different according to the nature of signal. In this paper, a novel approach concerning geophysical multivariate time series clustering is proposed using dynamic time series segmentation and Self Organizing Maps techniques. This method allows finding coupling among trends of different geophysical data recorded from monitoring networks at Mt. Etna spanning from 1996 to 2003, when the transition from summit eruptions to flank eruptions occurred. This information can be used to carry out a more careful evaluation of the state of volcano and to define potential hazard assessment at Mt. Etna.
Classification of time series patterns from complex dynamic systems
Energy Technology Data Exchange (ETDEWEB)
Schryver, J.C.; Rao, N.
1998-07-01
An increasing availability of high-performance computing and data storage media at decreasing cost is making possible the proliferation of large-scale numerical databases and data warehouses. Numeric warehousing enterprises on the order of hundreds of gigabytes to terabytes are a reality in many fields such as finance, retail sales, process systems monitoring, biomedical monitoring, surveillance and transportation. Large-scale databases are becoming more accessible to larger user communities through the internet, web-based applications and database connectivity. Consequently, most researchers now have access to a variety of massive datasets. This trend will probably only continue to grow over the next several years. Unfortunately, the availability of integrated tools to explore, analyze and understand the data warehoused in these archives is lagging far behind the ability to gain access to the same data. In particular, locating and identifying patterns of interest in numerical time series data is an increasingly important problem for which there are few available techniques. Temporal pattern recognition poses many interesting problems in classification, segmentation, prediction, diagnosis and anomaly detection. This research focuses on the problem of classification or characterization of numerical time series data. Highway vehicles and their drivers are examples of complex dynamic systems (CDS) which are being used by transportation agencies for field testing to generate large-scale time series datasets. Tools for effective analysis of numerical time series in databases generated by highway vehicle systems are not yet available, or have not been adapted to the target problem domain. However, analysis tools from similar domains may be adapted to the problem of classification of numerical time series data.
The application of time series models to cloud field morphology analysis
Chin, Roland T.; Jau, Jack Y. C.; Weinman, James A.
1987-01-01
A modeling method for the quantitative description of remotely sensed cloud field images is presented. A two-dimensional texture modeling scheme based on one-dimensional time series procedures is adopted for this purpose. The time series procedure used is the seasonal autoregressive, moving average (ARMA) process in Box and Jenkins. Cloud field properties such as directionality, clustering and cloud coverage can be retrieved by this method. It has been demonstrated that a cloud field image can be quantitatively defined by a small set of parameters and synthesized surrogates can be reconstructed from these model parameters. This method enables cloud climatology to be studied quantitatively.
Time series analysis of the behavior of brazilian natural rubber
Directory of Open Access Journals (Sweden)
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.
Clustering of financial time series
D'Urso, Pierpaolo; Cappelli, Carmela; Di Lallo, Dario; Massari, Riccardo
2013-05-01
This paper addresses the topic of classifying financial time series in a fuzzy framework proposing two fuzzy clustering models both based on GARCH models. In general clustering of financial time series, due to their peculiar features, needs the definition of suitable distance measures. At this aim, the first fuzzy clustering model exploits the autoregressive representation of GARCH models and employs, in the framework of a partitioning around medoids algorithm, the classical autoregressive metric. The second fuzzy clustering model, also based on partitioning around medoids algorithm, uses the Caiado distance, a Mahalanobis-like distance, based on estimated GARCH parameters and covariances that takes into account the information about the volatility structure of time series. In order to illustrate the merits of the proposed fuzzy approaches an application to the problem of classifying 29 time series of Euro exchange rates against international currencies is presented and discussed, also comparing the fuzzy models with their crisp version.
Investigation on Law and Economics Based on Complex Network and Time Series Analysis
Yang, Jian; Qu, Zhao; Chang, Hui
2015-01-01
The research focuses on the cooperative relationship and the strategy tendency among three mutually interactive parties in financing: small enterprises, commercial banks and micro-credit companies. Complex network theory and time series analysis were applied to figure out the quantitative evidence. Moreover, this paper built up a fundamental model describing the particular interaction among them through evolutionary game. Combining the results of data analysis and current situation, it is justifiable to put forward reasonable legislative recommendations for regulations on lending activities among small enterprises, commercial banks and micro-credit companies. The approach in this research provides a framework for constructing mathematical models and applying econometrics and evolutionary game in the issue of corporation financing. PMID:26076460
Zhang, Hong; Zhang, Sheng; Wang, Ping; Qin, Yuzhe; Wang, Huifeng
2017-07-01
Particulate matter with aerodynamic diameter below 10 μm (PM 10 ) forecasting is difficult because of the uncertainties in describing the emission and meteorological fields. This paper proposed a wavelet-ARMA/ARIMA model to forecast the short-term series of the PM 10 concentrations. It was evaluated by experiments using a 10-year data set of daily PM 10 concentrations from 4 stations located in Taiyuan, China. The results indicated the following: (1) PM 10 concentrations of Taiyuan had a decreasing trend during 2005 to 2012 but increased in 2013. PM 10 concentrations had an obvious seasonal fluctuation related to coal-fired heating in winter and early spring. (2) Spatial differences among the four stations showed that the PM 10 concentrations in industrial and heavily trafficked areas were higher than those in residential and suburb areas. (3) Wavelet analysis revealed that the trend variation and the changes of the PM 10 concentration of Taiyuan were complicated. (4) The proposed wavelet-ARIMA model could be efficiently and successfully applied to the PM 10 forecasting field. Compared with the traditional ARMA/ARIMA methods, this wavelet-ARMA/ARIMA method could effectively reduce the forecasting error, improve the prediction accuracy, and realize multiple-time-scale prediction. Wavelet analysis can filter noisy signals and identify the variation trend and the fluctuation of the PM 10 time-series data. Wavelet decomposition and reconstruction reduce the nonstationarity of the PM 10 time-series data, and thus improve the accuracy of the prediction. This paper proposed a wavelet-ARMA/ARIMA model to forecast the PM 10 time series. Compared with the traditional ARMA/ARIMA method, this wavelet-ARMA/ARIMA method could effectively reduce the forecasting error, improve the prediction accuracy, and realize multiple-time-scale prediction. The proposed model could be efficiently and successfully applied to the PM 10 forecasting field.
Osada, Y.; Ohta, Y.; Demachi, T.; Kido, M.; Fujimoto, H.; Azuma, R.; Hino, R.
2013-12-01
Large interplate earthquake repeatedly occurred in Japan Trench. Recently, the detail crustal deformation revealed by the nation-wide inland GPS network called as GEONET by GSI. However, the maximum displacement region for interplate earthquake is mainly located offshore region. GPS/Acoustic seafloor geodetic observation (hereafter GPS/A) is quite important and useful for understanding of shallower part of the interplate coupling between subducting and overriding plates. We typically conduct GPS/A in specific ocean area based on repeated campaign style using research vessel or buoy. Therefore, we cannot monitor the temporal variation of seafloor crustal deformation in real time. The one of technical issue on real time observation is kinematic GPS analysis because kinematic GPS analysis based on reference and rover data. If the precise kinematic GPS analysis will be possible in the offshore region, it should be promising method for real time GPS/A with USV (Unmanned Surface Vehicle) and a moored buoy. We assessed stability, precision and accuracy of StarFireTM global satellites based augmentation system. We primarily tested for StarFire in the static condition. In order to assess coordinate precision and accuracy, we compared 1Hz StarFire time series and post-processed precise point positioning (PPP) 1Hz time series by GIPSY-OASIS II processing software Ver. 6.1.2 with three difference product types (ultra-rapid, rapid, and final orbits). We also used difference interval clock information (30 and 300 seconds) for the post-processed PPP processing. The standard deviation of real time StarFire time series is less than 30 mm (horizontal components) and 60 mm (vertical component) based on 1 month continuous processing. We also assessed noise spectrum of the estimated time series by StarFire and post-processed GIPSY PPP results. We found that the noise spectrum of StarFire time series is similar pattern with GIPSY-OASIS II processing result based on JPL rapid orbit
An econometric time-series analysis of global CO2 concentrations and emissions
International Nuclear Information System (INIS)
Cohen, B.C.; Labys, W.C.; Eliste, P.
2001-01-01
This paper extends previous work on the econometric modelling of CO 2 concentrations and emissions. The importance of such work rests in the fact that models of the Cohen-Labys variety represent the only alternative to scientific or physical models of CO 2 accumulations whose parameters are inferred rather than estimated. The stimulation for this study derives from the recent discovery of oscillations and cycles in the net biospheric flux of CO 2 . A variety of time series tests is thus used to search for the presence of normality, stationarity, cyclicality and stochastic processes in global CO 2 emissions and concentrations series. Given the evidence for cyclicality of a short-run nature in the spectra of these series, both structural time series and error correction model are applied to confirm the frequency and amplitude of these cycles. Our results suggest new possibilities for determining equilibrium levels of CO 2 concentrations and subsequently revising stabilization policies. (Author)
Quirky patterns in time-series of estimates of recruitment could be artefacts
DEFF Research Database (Denmark)
Dickey-Collas, M.; Hinzen, N.T.; Nash, R.D.M.
2015-01-01
of recruitment time-series in databases is therefore not consistent across or within species and stocks. Caution is therefore required as perhaps the characteristics of the time-series of stock dynamics may be determined by the model used to generate them, rather than underlying ecological phenomena......The accessibility of databases of global or regional stock assessment outputs is leading to an increase in meta-analysis of the dynamics of fish stocks. In most of these analyses, each of the time-series is generally assumed to be directly comparable. However, the approach to stock assessment...... employed, and the associated modelling assumptions, can have an important influence on the characteristics of each time-series. We explore this idea by investigating recruitment time-series with three different recruitment parameterizations: a stock–recruitment model, a random-walk time-series model...
Liang, Y.; Gallaher, D. W.; Grant, G.; Lv, Q.
2011-12-01
Change over time, is the central driver of climate change detection. The goal is to diagnose the underlying causes, and make projections into the future. In an effort to optimize this process we have developed the Data Rod model, an object-oriented approach that provides the ability to query grid cell changes and their relationships to neighboring grid cells through time. The time series data is organized in time-centric structures called "data rods." A single data rod can be pictured as the multi-spectral data history at one grid cell: a vertical column of data through time. This resolves the long-standing problem of managing time-series data and opens new possibilities for temporal data analysis. This structure enables rapid time- centric analysis at any grid cell across multiple sensors and satellite platforms. Collections of data rods can be spatially and temporally filtered, statistically analyzed, and aggregated for use with pattern matching algorithms. Likewise, individual image pixels can be extracted to generate multi-spectral imagery at any spatial and temporal location. The Data Rods project has created a series of prototype databases to store and analyze massive datasets containing multi-modality remote sensing data. Using object-oriented technology, this method overcomes the operational limitations of traditional relational databases. To demonstrate the speed and efficiency of time-centric analysis using the Data Rods model, we have developed a sea ice detection algorithm. This application determines the concentration of sea ice in a small spatial region across a long temporal window. If performed using traditional analytical techniques, this task would typically require extensive data downloads and spatial filtering. Using Data Rods databases, the exact spatio-temporal data set is immediately available No extraneous data is downloaded, and all selected data querying occurs transparently on the server side. Moreover, fundamental statistical
Menenti, M.; Azzali, S.; Verhoef, W.; Van Swol, R.
1993-01-01
Examples are presented of applications of a fast Fourier transform algorithm to analyze time series of images of Normalized Difference Vegetation Index values. The results obtained for a case study on Zambia indicated that differences in vegetation development among map units of an existing agroclimatic map were not significant, while reliable differences were observed among the map units obtained using the Fourier analysis.
Interrupted time-series analysis of regulations to reduce paracetamol (acetaminophen poisoning.
Directory of Open Access Journals (Sweden)
Oliver W Morgan
2007-04-01
Full Text Available Paracetamol (acetaminophen poisoning is the leading cause of acute liver failure in Great Britain and the United States. Successful interventions to reduced harm from paracetamol poisoning are needed. To achieve this, the government of the United Kingdom introduced legislation in 1998 limiting the pack size of paracetamol sold in shops. Several studies have reported recent decreases in fatal poisonings involving paracetamol. We use interrupted time-series analysis to evaluate whether the recent fall in the number of paracetamol deaths is different to trends in fatal poisoning involving aspirin, paracetamol compounds, antidepressants, or nondrug poisoning suicide.We calculated directly age-standardised mortality rates for paracetamol poisoning in England and Wales from 1993 to 2004. We used an ordinary least-squares regression model divided into pre- and postintervention segments at 1999. The model included a term for autocorrelation within the time series. We tested for changes in the level and slope between the pre- and postintervention segments. To assess whether observed changes in the time series were unique to paracetamol, we compared against poisoning deaths involving compound paracetamol (not covered by the regulations, aspirin, antidepressants, and nonpoisoning suicide deaths. We did this comparison by calculating a ratio of each comparison series with paracetamol and applying a segmented regression model to the ratios. No change in the ratio level or slope indicated no difference compared to the control series. There were about 2,200 deaths involving paracetamol. The age-standardised mortality rate rose from 8.1 per million in 1993 to 8.8 per million in 1997, subsequently falling to about 5.3 per million in 2004. After the regulations were introduced, deaths dropped by 2.69 per million (p = 0.003. Trends in the age-standardised mortality rate for paracetamol compounds, aspirin, and antidepressants were broadly similar to paracetamol
Evaluation of the autoregression time-series model for analysis of a noisy signal
International Nuclear Information System (INIS)
Allen, J.W.
1977-01-01
The autoregression (AR) time-series model of a continuous noisy signal was statistically evaluated to determine quantitatively the uncertainties of the model order, the model parameters, and the model's power spectral density (PSD). The result of such a statistical evaluation enables an experimenter to decide whether an AR model can adequately represent a continuous noisy signal and be consistent with the signal's frequency spectrum, and whether it can be used for on-line monitoring. Although evaluations of other types of signals have been reported in the literature, no direct reference has been found to AR model's uncertainties for continuous noisy signals; yet the evaluation is necessary to decide the usefulness of AR models of typical reactor signals (e.g., neutron detector output or thermocouple output) and the potential of AR models for on-line monitoring applications. AR and other time-series models for noisy data representation are being investigated by others since such models require fewer parameters than the traditional PSD model. For this study, the AR model was selected for its simplicity and conduciveness to uncertainty analysis, and controlled laboratory bench signals were used for continuous noisy data. (author)
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.
Data Mining Smart Energy Time Series
Directory of Open Access Journals (Sweden)
Janina POPEANGA
2015-07-01
Full Text Available With the advent of smart metering technology the amount of energy data will increase significantly and utilities industry will have to face another big challenge - to find relationships within time-series data and even more - to analyze such huge numbers of time series to find useful patterns and trends with fast or even real-time response. This study makes a small review of the literature in the field, trying to demonstrate how essential is the application of data mining techniques in the time series to make the best use of this large quantity of data, despite all the difficulties. Also, the most important Time Series Data Mining techniques are presented, highlighting their applicability in the energy domain.
Allan deviation analysis of financial return series
Hernández-Pérez, R.
2012-05-01
We perform a scaling analysis for the return series of different financial assets applying the Allan deviation (ADEV), which is used in the time and frequency metrology to characterize quantitatively the stability of frequency standards since it has demonstrated to be a robust quantity to analyze fluctuations of non-stationary time series for different observation intervals. The data used are opening price daily series for assets from different markets during a time span of around ten years. We found that the ADEV results for the return series at short scales resemble those expected for an uncorrelated series, consistent with the efficient market hypothesis. On the other hand, the ADEV results for absolute return series for short scales (first one or two decades) decrease following approximately a scaling relation up to a point that is different for almost each asset, after which the ADEV deviates from scaling, which suggests that the presence of clustering, long-range dependence and non-stationarity signatures in the series drive the results for large observation intervals.
Predicting chaotic time series
International Nuclear Information System (INIS)
Farmer, J.D.; Sidorowich, J.J.
1987-01-01
We present a forecasting technique for chaotic data. After embedding a time series in a state space using delay coordinates, we ''learn'' the induced nonlinear mapping using local approximation. This allows us to make short-term predictions of the future behavior of a time series, using information based only on past values. We present an error estimate for this technique, and demonstrate its effectiveness by applying it to several examples, including data from the Mackey-Glass delay differential equation, Rayleigh-Benard convection, and Taylor-Couette flow
Time irreversibility and intrinsics revealing of series with complex network approach
Xiong, Hui; Shang, Pengjian; Xia, Jianan; Wang, Jing
2018-06-01
In this work, we analyze time series on the basis of the visibility graph algorithm that maps the original series into a graph. By taking into account the all-round information carried by the signals, the time irreversibility and fractal behavior of series are evaluated from a complex network perspective, and considered signals are further classified from different aspects. The reliability of the proposed analysis is supported by numerical simulations on synthesized uncorrelated random noise, short-term correlated chaotic systems and long-term correlated fractal processes, and by the empirical analysis on daily closing prices of eleven worldwide stock indices. Obtained results suggest that finite size has a significant effect on the evaluation, and that there might be no direct relation between the time irreversibility and long-range correlation of series. Similarity and dissimilarity between stock indices are also indicated from respective regional and global perspectives, showing the existence of multiple features of underlying systems.
Recurrent Neural Networks for Multivariate Time Series with Missing Values.
Che, Zhengping; Purushotham, Sanjay; Cho, Kyunghyun; Sontag, David; Liu, Yan
2018-04-17
Multivariate time series data in practical applications, such as health care, geoscience, and biology, are characterized by a variety of missing values. In time series prediction and other related tasks, it has been noted that missing values and their missing patterns are often correlated with the target labels, a.k.a., informative missingness. There is very limited work on exploiting the missing patterns for effective imputation and improving prediction performance. In this paper, we develop novel deep learning models, namely GRU-D, as one of the early attempts. GRU-D is based on Gated Recurrent Unit (GRU), a state-of-the-art recurrent neural network. It takes two representations of missing patterns, i.e., masking and time interval, and effectively incorporates them into a deep model architecture so that it not only captures the long-term temporal dependencies in time series, but also utilizes the missing patterns to achieve better prediction results. Experiments of time series classification tasks on real-world clinical datasets (MIMIC-III, PhysioNet) and synthetic datasets demonstrate that our models achieve state-of-the-art performance and provide useful insights for better understanding and utilization of missing values in time series analysis.
Lecca, Paola; Mura, Ivan; Re, Angela; Barker, Gary C; Ihekwaba, Adaoha E C
2016-01-01
Chaotic behavior refers to a behavior which, albeit irregular, is generated by an underlying deterministic process. Therefore, a chaotic behavior is potentially controllable. This possibility becomes practically amenable especially when chaos is shown to be low-dimensional, i.e., to be attributable to a small fraction of the total systems components. In this case, indeed, including the major drivers of chaos in a system into the modeling approach allows us to improve predictability of the systems dynamics. Here, we analyzed the numerical simulations of an accurate ordinary differential equation model of the gene network regulating sporulation initiation in Bacillus subtilis to explore whether the non-linearity underlying time series data is due to low-dimensional chaos. Low-dimensional chaos is expectedly common in systems with few degrees of freedom, but rare in systems with many degrees of freedom such as the B. subtilis sporulation network. The estimation of a number of indices, which reflect the chaotic nature of a system, indicates that the dynamics of this network is affected by deterministic chaos. The neat separation between the indices obtained from the time series simulated from the model and those obtained from time series generated by Gaussian white and colored noise confirmed that the B. subtilis sporulation network dynamics is affected by low dimensional chaos rather than by noise. Furthermore, our analysis identifies the principal driver of the networks chaotic dynamics to be sporulation initiation phosphotransferase B (Spo0B). We then analyzed the parameters and the phase space of the system to characterize the instability points of the network dynamics, and, in turn, to identify the ranges of values of Spo0B and of the other drivers of the chaotic dynamics, for which the whole system is highly sensitive to minimal perturbation. In summary, we described an unappreciated source of complexity in the B. subtilis sporulation network by gathering
Measuring multiscaling in financial time-series
International Nuclear Information System (INIS)
Buonocore, R.J.; Aste, T.; Di Matteo, T.
2016-01-01
We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analyzing the multi/uni-scaling behavior of synthetic time-series with known properties. We use the results from the synthetic time-series to interpret the measure of multifractality of real log-returns time-series. The main finding is that the aggregation horizon of the returns can introduce a strong bias effect on the measure of multifractality. This effect can become especially important when returns distributions have power law tails with exponents in the range (2, 5). We discuss the right aggregation horizon to mitigate this bias.
Schultz, Michael; Verbesselt, Jan; Herold, Martin; Avitabile, Valerio
2013-10-01
Researchers who use remotely sensed data can spend half of their total effort analysing prior data. If this data preprocessing does not match the application, this time spent on data analysis can increase considerably and can lead to inaccuracies. Despite the existence of a number of methods for pre-processing Landsat time series, each method has shortcomings, particularly for mapping forest changes under varying illumination, data availability and atmospheric conditions. Based on the requirements of mapping forest changes as defined by the United Nations (UN) Reducing Emissions from Forest Degradation and Deforestation (REDD) program, the accurate reporting of the spatio-temporal properties of these changes is necessary. We compared the impact of three fundamentally different radiometric preprocessing techniques Moderate Resolution Atmospheric TRANsmission (MODTRAN), Second Simulation of a Satellite Signal in the Solar Spectrum (6S) and simple Dark Object Subtraction (DOS) on mapping forest changes using Landsat time series data. A modification of Breaks For Additive Season and Trend (BFAST) monitor was used to jointly map the spatial and temporal agreement of forest changes at test sites in Ethiopia and Viet Nam. The suitability of the pre-processing methods for the occurring forest change drivers was assessed using recently captured Ground Truth and high resolution data (1000 points). A method for creating robust generic forest maps used for the sampling design is presented. An assessment of error sources has been performed identifying haze as a major source for time series analysis commission error.
Evaluating disease management program effectiveness: an introduction to time-series analysis.
Linden, Ariel; Adams, John L; Roberts, Nancy
2003-01-01
Currently, the most widely used method in the disease management (DM) industry for evaluating program effectiveness is referred to as the "total population approach." This model is a pretest-posttest design, with the most basic limitation being that without a control group, there may be sources of bias and/or competing extraneous confounding factors that offer a plausible rationale explaining the change from baseline. Furthermore, with the current inclination of DM programs to use financial indicators rather than program-specific utilization indicators as the principal measure of program success, additional biases are introduced that may cloud evaluation results. This paper presents a non-technical introduction to time-series analysis (using disease-specific utilization measures) as an alternative, and more appropriate, approach to evaluating DM program effectiveness than the current total population approach.
Directory of Open Access Journals (Sweden)
Eulogio Pardo-Igúzquiza
2015-08-01
Full Text Available Many studies have revealed the cyclicity of past ocean/atmosphere dynamics at a wide range of time scales (from decadal to millennial time scales, based on the spectral analysis of time series of climate proxies obtained from deep sea sediment cores. Among the many techniques available for spectral analysis, the maximum entropy method and the Thomson multitaper approach have frequently been used because of their good statistical properties and high resolution with short time series. The novelty of the present study is that we compared the two methods by according to the performance of their statistical tests to assess the statistical significance of their power spectrum estimates. The statistical significance of maximum entropy estimates was assessed by a random permutation test (Pardo-Igúzquiza and Rodríguez-Tovar, 2000, while the statistical significance of the Thomson multitaper method was assessed by an F-test (Thomson, 1982. We compared the results obtained in a case study using simulated data where the spectral content of the time series was known and in a case study with real data. In both cases the results are similar: while the cycles identified as significant by maximum entropy and the permutation test have a clear physical interpretation, the F-test with the Thomson multitaper estimator tends to find as no significant the peaks in the low frequencies and tends to give as significant more spurious peaks in the middle and high frequencies. Nevertheless, the best strategy is to use both techniques and to use the advantages of each of them.
Detecting a currency’s dominance using multivariate time series analysis
Syahidah Yusoff, Nur; Sharif, Shamshuritawati
2017-09-01
A currency exchange rate is the price of one country’s currency in terms of another country’s currency. There are four different prices; opening, closing, highest, and lowest can be achieved from daily trading activities. In the past, a lot of studies have been carried out by using closing price only. However, those four prices are interrelated to each other. Thus, the multivariate time series can provide more information than univariate time series. Therefore, the enthusiasm of this paper is to compare the results of two different approaches, which are mean vector and Escoufier’s RV coefficient in constructing similarity matrices of 20 world currencies. Consequently, both matrices are used to substitute the correlation matrix required by network topology. With the help of degree centrality measure, we can detect the currency’s dominance for both networks. The pros and cons for both approaches will be presented at the end of this paper.
Time-series modeling: applications to long-term finfish monitoring data
International Nuclear Information System (INIS)
Bireley, L.E.
1985-01-01
The growing concern and awareness that developed during the 1970's over the effects that industry had on the environment caused the electric utility industry in particular to develop monitoring programs. These programs generate long-term series of data that are not very amenable to classical normal-theory statistical analysis. The monitoring data collected from three finfish programs (impingement, trawl and seine) at the Millstone Nuclear Power Station were typical of such series and thus were used to develop methodology that used the full extent of the information in the series. The basis of the methodology was classic Box-Jenkins time-series modeling; however, the models also included deterministic components that involved flow, season and time as predictor variables. Time entered into the models as harmonic regression terms. Of the 32 models fitted to finfish catch data, 19 were found to account for more than 70% of the historical variation. The models were than used to forecast finfish catches a year in advance and comparisons were made to actual data. Usually the confidence intervals associated with the forecasts encompassed most of the observed data. The technique can provide the basis for intervention analysis in future impact assessments
Kriging Methodology and Its Development in Forecasting Econometric Time Series
Directory of Open Access Journals (Sweden)
Andrej Gajdoš
2017-03-01
Full Text Available One of the approaches for forecasting future values of a time series or unknown spatial data is kriging. The main objective of the paper is to introduce a general scheme of kriging in forecasting econometric time series using a family of linear regression time series models (shortly named as FDSLRM which apply regression not only to a trend but also to a random component of the observed time series. Simultaneously performing a Monte Carlo simulation study with a real electricity consumption dataset in the R computational langure and environment, we investigate the well-known problem of “negative” estimates of variance components when kriging predictions fail. Our following theoretical analysis, including also the modern apparatus of advanced multivariate statistics, gives us the formulation and proof of a general theorem about the explicit form of moments (up to sixth order for a Gaussian time series observation. This result provides a basis for further theoretical and computational research in the kriging methodology development.
Deriving crop calendar using NDVI time-series
Patel, J. H.; Oza, M. P.
2014-11-01
Agricultural intensification is defined in terms as cropping intensity, which is the numbers of crops (single, double and triple) per year in a unit cropland area. Information about crop calendar (i.e. number of crops in a parcel of land and their planting & harvesting dates and date of peak vegetative stage) is essential for proper management of agriculture. Remote sensing sensors provide a regular, consistent and reliable measurement of vegetation response at various growth stages of crop. Therefore it is ideally suited for monitoring purpose. The spectral response of vegetation, as measured by the Normalized Difference Vegetation Index (NDVI) and its profiles, can provide a new dimension for describing vegetation growth cycle. The analysis based on values of NDVI at regular time interval provides useful information about various crop growth stages and performance of crop in a season. However, the NDVI data series has considerable amount of local fluctuation in time domain and needs to be smoothed so that dominant seasonal behavior is enhanced. Based on temporal analysis of smoothed NDVI series, it is possible to extract number of crop cycles per year and their crop calendar. In the present study, a methodology is developed to extract key elements of crop growth cycle (i.e. number of crops per year and their planting - peak - harvesting dates). This is illustrated by analysing MODIS-NDVI data series of one agricultural year (from June 2012 to May 2013) over Gujarat. Such an analysis is very useful for analysing dynamics of kharif and rabi crops.
Multiscale Poincaré plots for visualizing the structure of heartbeat time series.
Henriques, Teresa S; Mariani, Sara; Burykin, Anton; Rodrigues, Filipa; Silva, Tiago F; Goldberger, Ary L
2016-02-09
Poincaré delay maps are widely used in the analysis of cardiac interbeat interval (RR) dynamics. To facilitate visualization of the structure of these time series, we introduce multiscale Poincaré (MSP) plots. Starting with the original RR time series, the method employs a coarse-graining procedure to create a family of time series, each of which represents the system's dynamics in a different time scale. Next, the Poincaré plots are constructed for the original and the coarse-grained time series. Finally, as an optional adjunct, color can be added to each point to represent its normalized frequency. We illustrate the MSP method on simulated Gaussian white and 1/f noise time series. The MSP plots of 1/f noise time series reveal relative conservation of the phase space area over multiple time scales, while those of white noise show a marked reduction in area. We also show how MSP plots can be used to illustrate the loss of complexity when heartbeat time series from healthy subjects are compared with those from patients with chronic (congestive) heart failure syndrome or with atrial fibrillation. This generalized multiscale approach to Poincaré plots may be useful in visualizing other types of time series.
Models for Pooled Time-Series Cross-Section Data
Directory of Open Access Journals (Sweden)
Lawrence E Raffalovich
2015-07-01
Full Text Available Several models are available for the analysis of pooled time-series cross-section (TSCS data, defined as “repeated observations on fixed units” (Beck and Katz 1995. In this paper, we run the following models: (1 a completely pooled model, (2 fixed effects models, and (3 multi-level/hierarchical linear models. To illustrate these models, we use a Generalized Least Squares (GLS estimator with cross-section weights and panel-corrected standard errors (with EViews 8 on the cross-national homicide trends data of forty countries from 1950 to 2005, which we source from published research (Messner et al. 2011. We describe and discuss the similarities and differences between the models, and what information each can contribute to help answer substantive research questions. We conclude with a discussion of how the models we present may help to mitigate validity threats inherent in pooled time-series cross-section data analysis.
The Impact of the Hotel Room Tax: An Interrupted Time Series Approach
Bonham, Carl; Fujii, Edwin; Im, Eric; Mak, James
1992-01-01
Employs interrupted time series analysis to estimate ex post the impact of a hotel room tax on real net hotel revenues by analyzing that time series before and after the imposition of the tax. Finds that the tax had a negligible effect on real hotel revenues.
DEFF Research Database (Denmark)
Vincent, Claire Louise; Giebel, Gregor; Pinson, Pierre
2010-01-01
a 4-yr time series of 10-min wind speed observations. An adaptive spectral analysis method called the Hilbert–Huang transform is chosen for the analysis, because the nonstationarity of time series of wind speed observations means that they are not well described by a global spectral analysis method...... such as the Fourier transform. The Hilbert–Huang transform is a local method based on a nonparametric and empirical decomposition of the data followed by calculation of instantaneous amplitudes and frequencies using the Hilbert transform. The Hilbert–Huang transformed 4-yr time series is averaged and summarized...
Long-memory time series theory and methods
Palma, Wilfredo
2007-01-01
Wilfredo Palma, PhD, is Chairman and Professor of Statistics in the Department of Statistics at Pontificia Universidad Católica de Chile. Dr. Palma has published several refereed articles and has received over a dozen academic honors and awards. His research interests include time series analysis, prediction theory, state space systems, linear models, and econometrics.
Parametric, nonparametric and parametric modelling of a chaotic circuit time series
Timmer, J.; Rust, H.; Horbelt, W.; Voss, H. U.
2000-09-01
The determination of a differential equation underlying a measured time series is a frequently arising task in nonlinear time series analysis. In the validation of a proposed model one often faces the dilemma that it is hard to decide whether possible discrepancies between the time series and model output are caused by an inappropriate model or by bad estimates of parameters in a correct type of model, or both. We propose a combination of parametric modelling based on Bock's multiple shooting algorithm and nonparametric modelling based on optimal transformations as a strategy to test proposed models and if rejected suggest and test new ones. We exemplify this strategy on an experimental time series from a chaotic circuit where we obtain an extremely accurate reconstruction of the observed attractor.
Fractal dimension algorithms and their application to time series associated with natural phenomena
International Nuclear Information System (INIS)
La Torre, F Cervantes-De; González-Trejo, J I; Real-Ramírez, C A; Hoyos-Reyes, L F
2013-01-01
Chaotic invariants like the fractal dimensions are used to characterize non-linear time series. The fractal dimension is an important characteristic of systems, because it contains information about their geometrical structure at multiple scales. In this work, three algorithms are applied to non-linear time series: spectral analysis, rescaled range analysis and Higuchi's algorithm. The analyzed time series are associated with natural phenomena. The disturbance storm time (Dst) is a global indicator of the state of the Earth's geomagnetic activity. The time series used in this work show a self-similar behavior, which depends on the time scale of measurements. It is also observed that fractal dimensions, D, calculated with Higuchi's method may not be constant over-all time scales. This work shows that during 2001, D reaches its lowest values in March and November. The possibility that D recovers a change pattern arising from self-organized critical phenomena is also discussed
Time Series Forecasting with Missing Values
Shin-Fu Wu; Chia-Yung Chang; Shie-Jue Lee
2015-01-01
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, o...
Analysis of the development trend of China’s business administration based on time series
Jiang Rui
2016-01-01
On the general direction of the economic system, China is in a crucial period of the establishment of the modern enterprise system and reform of the macroeconomic system, and a lot of high-quality business administration talents are required to make China’s economy be stably developed. This paper carries out time series analysis of the development situation of China’s business administration major: on the whole, the society currently presents an upward trend on the demand for the business adm...
Faes, Luca; Zhao, He; Chon, Ki H; Nollo, Giandomenico
2009-03-01
We propose a method to extend to time-varying (TV) systems the procedure for generating typical surrogate time series, in order to test the presence of nonlinear dynamics in potentially nonstationary signals. The method is based on fitting a TV autoregressive (AR) model to the original series and then regressing the model coefficients with random replacements of the model residuals to generate TV AR surrogate series. The proposed surrogate series were used in combination with a TV sample entropy (SE) discriminating statistic to assess nonlinearity in both simulated and experimental time series, in comparison with traditional time-invariant (TIV) surrogates combined with the TIV SE discriminating statistic. Analysis of simulated time series showed that using TIV surrogates, linear nonstationary time series may be erroneously regarded as nonlinear and weak TV nonlinearities may remain unrevealed, while the use of TV AR surrogates markedly increases the probability of a correct interpretation. Application to short (500 beats) heart rate variability (HRV) time series recorded at rest (R), after head-up tilt (T), and during paced breathing (PB) showed: 1) modifications of the SE statistic that were well interpretable with the known cardiovascular physiology; 2) significant contribution of nonlinear dynamics to HRV in all conditions, with significant increase during PB at 0.2 Hz respiration rate; and 3) a disagreement between TV AR surrogates and TIV surrogates in about a quarter of the series, suggesting that nonstationarity may affect HRV recordings and bias the outcome of the traditional surrogate-based nonlinearity test.
Real-Time Detection of Application-Layer DDoS Attack Using Time Series Analysis
Directory of Open Access Journals (Sweden)
Tongguang Ni
2013-01-01
Full Text Available Distributed denial of service (DDoS attacks are one of the major threats to the current Internet, and application-layer DDoS attacks utilizing legitimate HTTP requests to overwhelm victim resources are more undetectable. Consequently, neither intrusion detection systems (IDS nor victim server can detect malicious packets. In this paper, a novel approach to detect application-layer DDoS attack is proposed based on entropy of HTTP GET requests per source IP address (HRPI. By approximating the adaptive autoregressive (AAR model, the HRPI time series is transformed into a multidimensional vector series. Then, a trained support vector machine (SVM classifier is applied to identify the attacks. The experiments with several databases are performed and results show that this approach can detect application-layer DDoS attacks effectively.
Effective Feature Preprocessing for Time Series Forecasting
DEFF Research Database (Denmark)
Zhao, Junhua; Dong, Zhaoyang; Xu, Zhao
2006-01-01
Time series forecasting is an important area in data mining research. Feature preprocessing techniques have significant influence on forecasting accuracy, therefore are essential in a forecasting model. Although several feature preprocessing techniques have been applied in time series forecasting...... performance in time series forecasting. It is demonstrated in our experiment that, effective feature preprocessing can significantly enhance forecasting accuracy. This research can be a useful guidance for researchers on effectively selecting feature preprocessing techniques and integrating them with time...... series forecasting models....
A KST framework for correlation network construction from time series signals
Qi, Jin-Peng; Gu, Quan; Zhu, Ying; Zhang, Ping
2018-04-01
A KST (Kolmogorov-Smirnov test and T statistic) method is used for construction of a correlation network based on the fluctuation of each time series within the multivariate time signals. In this method, each time series is divided equally into multiple segments, and the maximal data fluctuation in each segment is calculated by a KST change detection procedure. Connections between each time series are derived from the data fluctuation matrix, and are used for construction of the fluctuation correlation network (FCN). The method was tested with synthetic simulations and the result was compared with those from using KS or T only for detection of data fluctuation. The novelty of this study is that the correlation analyses was based on the data fluctuation in each segment of each time series rather than on the original time signals, which would be more meaningful for many real world applications and for analysis of large-scale time signals where prior knowledge is uncertain.
Directory of Open Access Journals (Sweden)
V. Tramutoli
1996-06-01
Full Text Available An autoregressive model was selected to describe geoelectrical time series. An objective technique was subsequently applied to analyze and discriminate values above (below an a priorifixed threshold possibly related to seismic events. A complete check of the model and the main guidelines to estimate the occurrence probability of extreme events are reported. A first application of the proposed technique is discussed through the analysis of the experimental data recorded by an automatic station located in Tito, a small town on the Apennine chain in Southern Italy. This region was hit by the November 1980 Irpinia-Basilicata earthquake and it is one of most active areas of the Mediterranean region. After a preliminary filtering procedure to reduce the influence of external parameters (i.e. the meteo-climatic effects, it was demonstrated that the geoelectrical residual time series are well described by means of a second order autoregressive model. Our findings outline a statistical methodology to evaluate the efficiency of electrical seismic precursors.
SaaS Platform for Time Series Data Handling
Oplachko, Ekaterina; Rykunov, Stanislav; Ustinin, Mikhail
2018-02-01
The paper is devoted to the description of MathBrain, a cloud-based resource, which works as a "Software as a Service" model. It is designed to maximize the efficiency of the current technology and to provide a tool for time series data handling. The resource provides access to the following analysis methods: direct and inverse Fourier transforms, Principal component analysis and Independent component analysis decompositions, quantitative analysis, magnetoencephalography inverse problem solution in a single dipole model based on multichannel spectral data.
Spectral Estimation of UV-Vis Absorbance Time Series for Water Quality Monitoring
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Leonardo Plazas-Nossa
2017-05-01
Full Text Available Context: Signals recorded as multivariate time series by UV-Vis absorbance captors installed in urban sewer systems, can be non-stationary, yielding complications in the analysis of water quality monitoring. This work proposes to perform spectral estimation using the Box-Cox transformation and differentiation in order to obtain stationary multivariate time series in a wide sense. Additionally, Principal Component Analysis (PCA is applied to reduce their dimensionality. Method: Three different UV-Vis absorbance time series for different Colombian locations were studied: (i El-Salitre Wastewater Treatment Plant (WWTP in Bogotá; (ii Gibraltar Pumping Station (GPS in Bogotá; and (iii San-Fernando WWTP in Itagüí. Each UV-Vis absorbance time series had equal sample number (5705. The esti-mation of the spectral power density is obtained using the average of modified periodograms with rectangular window and an overlap of 50%, with the 20 most important harmonics from the Discrete Fourier Transform (DFT and Inverse Fast Fourier Transform (IFFT. Results: Absorbance time series dimensionality reduction using PCA, resulted in 6, 8 and 7 principal components for each study site respectively, altogether explaining more than 97% of their variability. Values of differences below 30% for the UV range were obtained for the three study sites, while for the visible range the maximum differences obtained were: (i 35% for El-Salitre WWTP; (ii 61% for GPS; and (iii 75% for San-Fernando WWTP. Conclusions: The Box-Cox transformation and the differentiation process applied to the UV-Vis absorbance time series for the study sites (El-Salitre, GPS and San-Fernando, allowed to reduce variance and to eliminate ten-dency of the time series. A pre-processing of UV-Vis absorbance time series is recommended to detect and remove outliers and then apply the proposed process for spectral estimation. Language: Spanish.
Analysis of financial time series using multiscale entropy based on skewness and kurtosis
Xu, Meng; Shang, Pengjian
2018-01-01
There is a great interest in studying dynamic characteristics of the financial time series of the daily stock closing price in different regions. Multi-scale entropy (MSE) is effective, mainly in quantifying the complexity of time series on different time scales. This paper applies a new method for financial stability from the perspective of MSE based on skewness and kurtosis. To better understand the superior coarse-graining method for the different kinds of stock indexes, we take into account the developmental characteristics of the three continents of Asia, North America and European stock markets. We study the volatility of different financial time series in addition to analyze the similarities and differences of coarsening time series from the perspective of skewness and kurtosis. A kind of corresponding relationship between the entropy value of stock sequences and the degree of stability of financial markets, were observed. The three stocks which have particular characteristics in the eight piece of stock sequences were discussed, finding the fact that it matches the result of applying the MSE method to showing results on a graph. A comparative study is conducted to simulate over synthetic and real world data. Results show that the modified method is more effective to the change of dynamics and has more valuable information. The result is obtained at the same time, finding the results of skewness and kurtosis discrimination is obvious, but also more stable.
van der Krieke, Lian; Emerencia, Ando C; Bos, Elisabeth H; Rosmalen, Judith Gm; Riese, Harriëtte; Aiello, Marco; Sytema, Sjoerd; de Jonge, Peter
2015-01-01
BACKGROUND: Health promotion can be tailored by combining ecological momentary assessments (EMA) with time series analysis. This combined method allows for studying the temporal order of dynamic relationships among variables, which may provide concrete indications for intervention. However,
Jiang, Weiping; Deng, Liansheng; Zhou, Xiaohui; Ma, Yifang
2014-05-01
Higher-order ionospheric (HIO) corrections are proposed to become a standard part for precise GPS data analysis. For this study, we deeply investigate the impacts of the HIO corrections on the coordinate time series by implementing re-processing of the GPS data from Crustal Movement Observation Network of China (CMONOC). Nearly 13 year data are used in our three processing runs: (a) run NO, without HOI corrections, (b) run IG, both second- and third-order corrections are modeled using the International Geomagnetic Reference Field 11 (IGRF11) to model the magnetic field, (c) run ID, the same with IG but dipole magnetic model are applied. Both spectral analysis and noise analysis are adopted to investigate these effects. Results show that for CMONOC stations, HIO corrections are found to have brought an overall improvement. After the corrections are applied, the noise amplitudes decrease, with the white noise amplitudes showing a more remarkable variation. Low-latitude sites are more affected. For different coordinate components, the impacts vary. The results of an analysis of stacked periodograms show that there is a good match between the seasonal amplitudes and the HOI corrections, and the observed variations in the coordinate time series are related to HOI effects. HOI delays partially explain the seasonal amplitudes in the coordinate time series, especially for the U component. The annual amplitudes for all components are decreased for over one-half of the selected CMONOC sites. Additionally, the semi-annual amplitudes for the sites are much more strongly affected by the corrections. However, when diplole model is used, the results are not as optimistic as IGRF model. Analysis of dipole model indicate that HIO delay lead to the increase of noise amplitudes, and that HIO delays with dipole model can generate false periodic signals. When dipole model are used in modeling HIO terms, larger residual and noise are brought in rather than the effective improvements.
Directory of Open Access Journals (Sweden)
Ju Zhang
2017-12-01
Full Text Available The objective of this study was to illustrate the temporal variation of runoff and sediment of loess tilled slopes under successive rainfall conditions. Loess tilled slopes with four microtopography types (straight cultivated slope, artificial backhoe, artificial digging, and contour tillage under five slope gradients (5°, 10°, 15°, 20°, 25° were simulated and a rainfall intensity of 60 mm/h was adopted. The temporal trends of runoff and sediment yield were predicted based on the Rescaled Range (R/S analysis method. The results indicate that the Hurst indices of runoff time series and sediment time series are higher than 0.5, and a long-term positive correlation exists between the future and the past. This means that runoff and sediment of loess tilled slopes in the future will have the same trends as in the past. The results obtained by the classical R/S analysis method were the same as those of the modified R/S analysis method. The rationality and reliability of the R/S analysis method were further identified and the method can be used for predicting the trend of runoff and sediment yield. The correlation between the microtopography and the Hurst indices of the runoff and sediment yield time series, as well as between the slopes and the Hurst indices, were tested, and the result was that there was no significant correlation between them. The microtopography and slopes cannot affect the correlation and continuity of runoff and sediment yield time series. This study provides an effective method for predicting variations in the trends of runoff and sediment yield on loess tilled slopes.
Predicting long-term catchment nutrient export: the use of nonlinear time series models
Valent, Peter; Howden, Nicholas J. K.; Szolgay, Jan; Komornikova, Magda
2010-05-01
After the Second World War the nitrate concentrations in European water bodies changed significantly as the result of increased nitrogen fertilizer use and changes in land use. However, in the last decades, as a consequence of the implementation of nitrate-reducing measures in Europe, the nitrate concentrations in water bodies slowly decrease. This causes that the mean and variance of the observed time series also changes with time (nonstationarity and heteroscedascity). In order to detect changes and properly describe the behaviour of such time series by time series analysis, linear models (such as autoregressive (AR), moving average (MA) and autoregressive moving average models (ARMA)), are no more suitable. Time series with sudden changes in statistical characteristics can cause various problems in the calibration of traditional water quality models and thus give biased predictions. Proper statistical analysis of these non-stationary and heteroscedastic time series with the aim of detecting and subsequently explaining the variations in their statistical characteristics requires the use of nonlinear time series models. This information can be then used to improve the model building and calibration of conceptual water quality model or to select right calibration periods in order to produce reliable predictions. The objective of this contribution is to analyze two long time series of nitrate concentrations of the rivers Ouse and Stour with advanced nonlinear statistical modelling techniques and compare their performance with traditional linear models of the ARMA class in order to identify changes in the time series characteristics. The time series were analysed with nonlinear models with multiple regimes represented by self-exciting threshold autoregressive (SETAR) and Markov-switching models (MSW). The analysis showed that, based on the value of residual sum of squares (RSS) in both datasets, SETAR and MSW models described the time-series better than models of the
Statistical criteria for characterizing irradiance time series.
Energy Technology Data Exchange (ETDEWEB)
Stein, Joshua S.; Ellis, Abraham; Hansen, Clifford W.
2010-10-01
We propose and examine several statistical criteria for characterizing time series of solar irradiance. Time series of irradiance are used in analyses that seek to quantify the performance of photovoltaic (PV) power systems over time. Time series of irradiance are either measured or are simulated using models. Simulations of irradiance are often calibrated to or generated from statistics for observed irradiance and simulations are validated by comparing the simulation output to the observed irradiance. Criteria used in this comparison should derive from the context of the analyses in which the simulated irradiance is to be used. We examine three statistics that characterize time series and their use as criteria for comparing time series. We demonstrate these statistics using observed irradiance data recorded in August 2007 in Las Vegas, Nevada, and in June 2009 in Albuquerque, New Mexico.
Homogenising time series: beliefs, dogmas and facts
Domonkos, P.
2011-06-01
In the recent decades various homogenisation methods have been developed, but the real effects of their application on time series are still not known sufficiently. The ongoing COST action HOME (COST ES0601) is devoted to reveal the real impacts of homogenisation methods more detailed and with higher confidence than earlier. As a part of the COST activity, a benchmark dataset was built whose characteristics approach well the characteristics of real networks of observed time series. This dataset offers much better opportunity than ever before to test the wide variety of homogenisation methods, and analyse the real effects of selected theoretical recommendations. Empirical results show that real observed time series usually include several inhomogeneities of different sizes. Small inhomogeneities often have similar statistical characteristics than natural changes caused by climatic variability, thus the pure application of the classic theory that change-points of observed time series can be found and corrected one-by-one is impossible. However, after homogenisation the linear trends, seasonal changes and long-term fluctuations of time series are usually much closer to the reality than in raw time series. Some problems around detecting multiple structures of inhomogeneities, as well as that of time series comparisons within homogenisation procedures are discussed briefly in the study.
Ocean time-series near Bermuda: Hydrostation S and the US JGOFS Bermuda Atlantic time-series study
Michaels, Anthony F.; Knap, Anthony H.
1992-01-01
Bermuda is the site of two ocean time-series programs. At Hydrostation S, the ongoing biweekly profiles of temperature, salinity and oxygen now span 37 years. This is one of the longest open-ocean time-series data sets and provides a view of decadal scale variability in ocean processes. In 1988, the U.S. JGOFS Bermuda Atlantic Time-series Study began a wide range of measurements at a frequency of 14-18 cruises each year to understand temporal variability in ocean biogeochemistry. On each cruise, the data range from chemical analyses of discrete water samples to data from electronic packages of hydrographic and optics sensors. In addition, a range of biological and geochemical rate measurements are conducted that integrate over time-periods of minutes to days. This sampling strategy yields a reasonable resolution of the major seasonal patterns and of decadal scale variability. The Sargasso Sea also has a variety of episodic production events on scales of days to weeks and these are only poorly resolved. In addition, there is a substantial amount of mesoscale variability in this region and some of the perceived temporal patterns are caused by the intersection of the biweekly sampling with the natural spatial variability. In the Bermuda time-series programs, we have added a series of additional cruises to begin to assess these other sources of variation and their impacts on the interpretation of the main time-series record. However, the adequate resolution of higher frequency temporal patterns will probably require the introduction of new sampling strategies and some emerging technologies such as biogeochemical moorings and autonomous underwater vehicles.
Time series modeling for analysis and control advanced autopilot and monitoring systems
Ohtsu, Kohei; Kitagawa, Genshiro
2015-01-01
This book presents multivariate time series methods for the analysis and optimal control of feedback systems. Although ships’ autopilot systems are considered through the entire book, the methods set forth in this book can be applied to many other complicated, large, or noisy feedback control systems for which it is difficult to derive a model of the entire system based on theory in that subject area. The basic models used in this method are the multivariate autoregressive model with exogenous variables (ARX) model and the radial bases function net-type coefficients ARX model. The noise contribution analysis can then be performed through the estimated autoregressive (AR) model and various types of autopilot systems can be designed through the state–space representation of the models. The marine autopilot systems addressed in this book include optimal controllers for course-keeping motion, rolling reduction controllers with rudder motion, engine governor controllers, noise adaptive autopilots, route-tracki...
Directory of Open Access Journals (Sweden)
Mingliang Gao
2018-02-01
Full Text Available Land subsidence is the disaster phenomenon of environmental geology with regionally surface altitude lowering caused by the natural or man-made factors. Beijing, the capital city of China, has suffered from land subsidence since the 1950s, and extreme groundwater extraction has led to subsidence rates of more than 100 mm/year. In this study, we employ two SAR datasets acquired by Envisat and TerraSAR-X satellites to investigate the surface deformation in Beijing Plain from 2003 to 2013 based on the multi-temporal InSAR technique. Furthermore, we also use observation wells to provide in situ hydraulic head levels to perform the evolution of land subsidence and spatial-temporal changes of groundwater level. Then, we analyze the accumulated displacement and hydraulic head level time series using continuous wavelet transform to separate periodic signal components. Finally, cross wavelet transform (XWT and wavelet transform coherence (WTC are implemented to analyze the relationship between the accumulated displacement and hydraulic head level time series. The results show that the subsidence centers in the northern Beijing Plain is spatially consistent with the groundwater drop funnels. According to the analysis of well based results located in different areas, the long-term groundwater exploitation in the northern subsidence area has led to the continuous decline of the water level, resulting in the inelastic and permanent compaction, while for the monitoring wells located outside the subsidence area, the subsidence time series show obvious elastic deformation characteristics (seasonal characteristics as the groundwater level changes. Moreover, according to the wavelet transformation, the land subsidence time series at monitoring well site lags several months behind the groundwater level change.
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.
Lasaponara, Rosa; Lanorte, Antonio; Lovallo, Michele; Telesca, Luciano
2015-04-01
Time series can fruitfully support fire monitoring and management from statistical analysis of fire occurrence (Tuia et al. 2008) to danger estimation (lasaponara 2005), damage evaluation (Lanorte et al 2014) and post fire recovery (Lanorte et al. 2014). In this paper, the time dynamics of SPOT-VEGETATION Normalized Difference Vegetation Index (NDVI) time series are analyzed by using the statistical approach of the Fisher-Shannon (FS) information plane to assess and monitor vegetation recovery after fire disturbance. Fisher-Shannon information plane analysis allows us to gain insight into the complex structure of a time series to quantify its degree of organization and order. The analysis was carried out using 10-day Maximum Value Composites of NDVI (MVC-NDVI) with a 1 km × 1 km spatial resolution. The investigation was performed on two test sites located in Galizia (North Spain) and Peloponnese (South Greece), selected for the vast fires which occurred during the summer of 2006 and 2007 and for their different vegetation covers made up mainly of low shrubland in Galizia test site and evergreen forest in Peloponnese. Time series of MVC-NDVI have been analyzed before and after the occurrence of the fire events. Results obtained for both the investigated areas clearly pointed out that the dynamics of the pixel time series before the occurrence of the fire is characterized by a larger degree of disorder and uncertainty; while the pixel time series after the occurrence of the fire are featured by a higher degree of organization and order. In particular, regarding the Peloponneso fire, such discrimination is more evident than in the Galizia fire. This suggests a clear possibility to discriminate the different post-fire behaviors and dynamics exhibited by the different vegetation covers. Reference Lanorte A, R Lasaponara, M Lovallo, L Telesca 2014 Fisher-Shannon information plane analysis of SPOT/VEGETATION Normalized Difference Vegetation Index (NDVI) time series to
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…
Carleton, W Christopher; Campbell, David; Collard, Mark
2018-01-01
Statistical time-series analysis has the potential to improve our understanding of human-environment interaction in deep time. However, radiocarbon dating-the most common chronometric technique in archaeological and palaeoenvironmental research-creates challenges for established statistical methods. The methods assume that observations in a time-series are precisely dated, but this assumption is often violated when calibrated radiocarbon dates are used because they usually have highly irregular uncertainties. As a result, it is unclear whether the methods can be reliably used on radiocarbon-dated time-series. With this in mind, we conducted a large simulation study to investigate the impact of chronological uncertainty on a potentially useful time-series method. The method is a type of regression involving a prediction algorithm called the Poisson Exponentially Weighted Moving Average (PEMWA). It is designed for use with count time-series data, which makes it applicable to a wide range of questions about human-environment interaction in deep time. Our simulations suggest that the PEWMA method can often correctly identify relationships between time-series despite chronological uncertainty. When two time-series are correlated with a coefficient of 0.25, the method is able to identify that relationship correctly 20-30% of the time, providing the time-series contain low noise levels. With correlations of around 0.5, it is capable of correctly identifying correlations despite chronological uncertainty more than 90% of the time. While further testing is desirable, these findings indicate that the method can be used to test hypotheses about long-term human-environment interaction with a reasonable degree of confidence.
Li, Xiuming; Sun, Mei; Gao, Cuixia; Han, Dun; Wang, Minggang
2018-02-01
This paper presents the parametric modified limited penetrable visibility graph (PMLPVG) algorithm for constructing complex networks from time series. We modify the penetrable visibility criterion of limited penetrable visibility graph (LPVG) in order to improve the rationality of the original penetrable visibility and preserve the dynamic characteristics of the time series. The addition of view angle provides a new approach to characterize the dynamic structure of the time series that is invisible in the previous algorithm. The reliability of the PMLPVG algorithm is verified by applying it to three types of artificial data as well as the actual data of natural gas prices in different regions. The empirical results indicate that PMLPVG algorithm can distinguish the different time series from each other. Meanwhile, the analysis results of natural gas prices data using PMLPVG are consistent with the detrended fluctuation analysis (DFA). The results imply that the PMLPVG algorithm may be a reasonable and significant tool for identifying various time series in different fields.
Relating interesting quantitative time series patterns with text events and text features
Wanner, Franz; Schreck, Tobias; Jentner, Wolfgang; Sharalieva, Lyubka; Keim, Daniel A.
2013-12-01
In many application areas, the key to successful data analysis is the integrated analysis of heterogeneous data. One example is the financial domain, where time-dependent and highly frequent quantitative data (e.g., trading volume and price information) and textual data (e.g., economic and political news reports) need to be considered jointly. Data analysis tools need to support an integrated analysis, which allows studying the relationships between textual news documents and quantitative properties of the stock market price series. In this paper, we describe a workflow and tool that allows a flexible formation of hypotheses about text features and their combinations, which reflect quantitative phenomena observed in stock data. To support such an analysis, we combine the analysis steps of frequent quantitative and text-oriented data using an existing a-priori method. First, based on heuristics we extract interesting intervals and patterns in large time series data. The visual analysis supports the analyst in exploring parameter combinations and their results. The identified time series patterns are then input for the second analysis step, in which all identified intervals of interest are analyzed for frequent patterns co-occurring with financial news. An a-priori method supports the discovery of such sequential temporal patterns. Then, various text features like the degree of sentence nesting, noun phrase complexity, the vocabulary richness, etc. are extracted from the news to obtain meta patterns. Meta patterns are defined by a specific combination of text features which significantly differ from the text features of the remaining news data. Our approach combines a portfolio of visualization and analysis techniques, including time-, cluster- and sequence visualization and analysis functionality. We provide two case studies, showing the effectiveness of our combined quantitative and textual analysis work flow. The workflow can also be generalized to other
Forecasting Cryptocurrencies Financial Time Series
DEFF Research Database (Denmark)
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco
2018-01-01
This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, Litecoin, Ripple and Ethereum. We apply a set of crypto–predictors and rely...
Forecasting Cryptocurrencies Financial Time Series
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco
2018-01-01
This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, Litecoin, Ripple and Ethereum. We apply a set of crypto–predictors and rely on Dynamic Model Averaging to combine a large set of univariate Dynamic Linear Models and several multivariate Vector Autoregressive models with different forms of time variation. We find statistical si...
Penning de Vries, Bas B L; Kolkert, Joé L P; Meerwaldt, Robbert; Groenwold, Rolf H H
2017-10-01
Associations between atmospheric pressure and abdominal aortic aneurysm (AAA) rupture risk have been reported, but empirical evidence is inconclusive and largely derived from studies that did not account for possible nonlinearity, seasonality, and confounding by temperature. Associations between atmospheric pressure and AAA rupture risk were investigated using local meteorological data and a case series of 358 patients admitted to hospital for ruptured AAA during the study period, January 2002 to December 2012. Two analyses were performed-a time series analysis and a case-crossover study. Results from the 2 analyses were similar; neither the time series analysis nor the case-crossover study showed a significant association between atmospheric pressure ( P = .627 and P = .625, respectively, for mean daily atmospheric pressure) or atmospheric pressure variation ( P = .464 and P = .816, respectively, for 24-hour change in mean daily atmospheric pressure) and AAA rupture risk. This study failed to support claims that atmospheric pressure causally affects AAA rupture risk. In interpreting our results, one should be aware that the range of atmospheric pressure observed in this study is not representative of the atmospheric pressure to which patients with AAA may be exposed, for example, during air travel or travel to high altitudes in the mountains. Making firm claims regarding these conditions in relation to AAA rupture risk is difficult at best. Furthermore, despite the fact that we used one of the largest case series to date to investigate the effect of atmospheric pressure on AAA rupture risk, it is possible that this study is simply too small to demonstrate a causal link.
Chen, Wei-Shing
2011-04-01
The aim of the article is to answer the question if the Taiwan unemployment rate dynamics is generated by a non-linear deterministic dynamic process. This paper applies a recurrence plot and recurrence quantification approach based on the analysis of non-stationary hidden transition patterns of the unemployment rate of Taiwan. The case study uses the time series data of the Taiwan’s unemployment rate during the period from 1978/01 to 2010/06. The results show that recurrence techniques are able to identify various phases in the evolution of unemployment transition in Taiwan.
Costationarity of Locally Stationary Time Series Using costat
Cardinali, Alessandro; Nason, Guy P.
2013-01-01
This article describes the R package costat. This package enables a user to (i) perform a test for time series stationarity; (ii) compute and plot time-localized autocovariances, and (iii) to determine and explore any costationary relationship between two locally stationary time series. Two locally stationary time series are said to be costationary if there exists two time-varying combination functions such that the linear combination of the two series with the functions produces another time...
A better understanding of long-range temporal dependence of traffic flow time series
Feng, Shuo; Wang, Xingmin; Sun, Haowei; Zhang, Yi; Li, Li
2018-02-01
Long-range temporal dependence is an important research perspective for modelling of traffic flow time series. Various methods have been proposed to depict the long-range temporal dependence, including autocorrelation function analysis, spectral analysis and fractal analysis. However, few researches have studied the daily temporal dependence (i.e. the similarity between different daily traffic flow time series), which can help us better understand the long-range temporal dependence, such as the origin of crossover phenomenon. Moreover, considering both types of dependence contributes to establishing more accurate model and depicting the properties of traffic flow time series. In this paper, we study the properties of daily temporal dependence by simple average method and Principal Component Analysis (PCA) based method. Meanwhile, we also study the long-range temporal dependence by Detrended Fluctuation Analysis (DFA) and Multifractal Detrended Fluctuation Analysis (MFDFA). The results show that both the daily and long-range temporal dependence exert considerable influence on the traffic flow series. The DFA results reveal that the daily temporal dependence creates crossover phenomenon when estimating the Hurst exponent which depicts the long-range temporal dependence. Furthermore, through the comparison of the DFA test, PCA-based method turns out to be a better method to extract the daily temporal dependence especially when the difference between days is significant.
Linden, Ariel; Yarnold, Paul R
2016-12-01
Single-group interrupted time series analysis (ITSA) is a popular evaluation methodology in which a single unit of observation is being studied, the outcome variable is serially ordered as a time series and the intervention is expected to 'interrupt' the level and/or trend of the time series, subsequent to its introduction. Given that the internal validity of the design rests on the premise that the interruption in the time series is associated with the introduction of the treatment, treatment effects may seem less plausible if a parallel trend already exists in the time series prior to the actual intervention. Thus, sensitivity analyses should focus on detecting structural breaks in the time series before the intervention. In this paper, we introduce a machine-learning algorithm called optimal discriminant analysis (ODA) as an approach to determine if structural breaks can be identified in years prior to the initiation of the intervention, using data from California's 1988 voter-initiated Proposition 99 to reduce smoking rates. The ODA analysis indicates that numerous structural breaks occurred prior to the actual initiation of Proposition 99 in 1989, including perfect structural breaks in 1983 and 1985, thereby casting doubt on the validity of treatment effects estimated for the actual intervention when using a single-group ITSA design. Given the widespread use of ITSA for evaluating observational data and the increasing use of machine-learning techniques in traditional research, we recommend that structural break sensitivity analysis is routinely incorporated in all research using the single-group ITSA design. © 2016 John Wiley & Sons, Ltd.
Detecting nonlinear structure in time series
International Nuclear Information System (INIS)
Theiler, J.
1991-01-01
We describe an approach for evaluating the statistical significance of evidence for nonlinearity in a time series. The formal application of our method requires the careful statement of a null hypothesis which characterizes a candidate linear process, the generation of an ensemble of ''surrogate'' data sets which are similar to the original time series but consistent with the null hypothesis, and the computation of a discriminating statistic for the original and for each of the surrogate data sets. The idea is to test the original time series against the null hypothesis by checking whether the discriminating statistic computed for the original time series differs significantly from the statistics computed for each of the surrogate sets. While some data sets very cleanly exhibit low-dimensional chaos, there are many cases where the evidence is sketchy and difficult to evaluate. We hope to provide a framework within which such claims of nonlinearity can be evaluated. 5 refs., 4 figs
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...
Time Series Modelling of Syphilis Incidence in China from 2005 to 2012.
Zhang, Xingyu; Zhang, Tao; Pei, Jiao; Liu, Yuanyuan; Li, Xiaosong; Medrano-Gracia, Pau
2016-01-01
The infection rate of syphilis in China has increased dramatically in recent decades, becoming a serious public health concern. Early prediction of syphilis is therefore of great importance for heath planning and management. In this paper, we analyzed surveillance time series data for primary, secondary, tertiary, congenital and latent syphilis in mainland China from 2005 to 2012. Seasonality and long-term trend were explored with decomposition methods. Autoregressive integrated moving average (ARIMA) was used to fit a univariate time series model of syphilis incidence. A separate multi-variable time series for each syphilis type was also tested using an autoregressive integrated moving average model with exogenous variables (ARIMAX). The syphilis incidence rates have increased three-fold from 2005 to 2012. All syphilis time series showed strong seasonality and increasing long-term trend. Both ARIMA and ARIMAX models fitted and estimated syphilis incidence well. All univariate time series showed highest goodness-of-fit results with the ARIMA(0,0,1)×(0,1,1) model. Time series analysis was an effective tool for modelling the historical and future incidence of syphilis in China. The ARIMAX model showed superior performance than the ARIMA model for the modelling of syphilis incidence. Time series correlations existed between the models for primary, secondary, tertiary, congenital and latent syphilis.
Ramseyer, Fabian; Kupper, Zeno; Caspar, Franz; Znoj, Hansjörg; Tschacher, Wolfgang
2014-10-01
Processes occurring in the course of psychotherapy are characterized by the simple fact that they unfold in time and that the multiple factors engaged in change processes vary highly between individuals (idiographic phenomena). Previous research, however, has neglected the temporal perspective by its traditional focus on static phenomena, which were mainly assessed at the group level (nomothetic phenomena). To support a temporal approach, the authors introduce time-series panel analysis (TSPA), a statistical methodology explicitly focusing on the quantification of temporal, session-to-session aspects of change in psychotherapy. TSPA-models are initially built at the level of individuals and are subsequently aggregated at the group level, thus allowing the exploration of prototypical models. TSPA is based on vector auto-regression (VAR), an extension of univariate auto-regression models to multivariate time-series data. The application of TSPA is demonstrated in a sample of 87 outpatient psychotherapy patients who were monitored by postsession questionnaires. Prototypical mechanisms of change were derived from the aggregation of individual multivariate models of psychotherapy process. In a 2nd step, the associations between mechanisms of change (TSPA) and pre- to postsymptom change were explored. TSPA allowed a prototypical process pattern to be identified, where patient's alliance and self-efficacy were linked by a temporal feedback-loop. Furthermore, therapist's stability over time in both mastery and clarification interventions was positively associated with better outcomes. TSPA is a statistical tool that sheds new light on temporal mechanisms of change. Through this approach, clinicians may gain insight into prototypical patterns of change in psychotherapy. PsycINFO Database Record (c) 2014 APA, all rights reserved.
Time series behaviour of the number of Air Asia passengers: A distributional approach
Asrah, Norhaidah Mohd; Djauhari, Maman Abdurachman
2013-09-01
The common practice to time series analysis is by fitting a model and then further analysis is conducted on the residuals. However, if we know the distributional behavior of time series, the analyses in model identification, parameter estimation, and model checking are more straightforward. In this paper, we show that the number of Air Asia passengers can be represented as a geometric Brownian motion process. Therefore, instead of using the standard approach in model fitting, we use an appropriate transformation to come up with a stationary, normally distributed and even independent time series. An example in forecasting the number of Air Asia passengers will be given to illustrate the advantages of the method.
Durbin, J.; Koopman, S.J.M.
1998-01-01
The analysis of non-Gaussian time series using state space models is considered from both classical and Bayesian perspectives. The treatment in both cases is based on simulation using importance sampling and antithetic variables; Monte Carlo Markov chain methods are not employed. Non-Gaussian
Software for hydrogeologic time series analysis, interfacing data with physical insight
Asmuth, Jos R. von; Maas, K.; Knotters, M.; Bierkens, M.F.P.; Bakker, M.; Olsthoorn, T.; Cirkel, D.; Leunk, I.; Schaars, F.; Asmuth, Daniel C. von
2012-01-01
The program Menyanthes combines a variety of functions for managing, editing, visualizing, analyzing and modeling hydrogeologic time series. Menyanthes was initially developed within the scope of the PhD research of the first author, whose primary aimwas the integration of data and
Analysis of rainfall and temperature time series to detect long-term ...
Indian Academy of Sciences (India)
67
ABSTRACT. Arid and semiarid environments have been identified with locations prone to impacts of climate variability and change. Investigating long term trends is one way of tracing climate change impacts. This study investigates variability through annual and seasonal meteorological time series. Possible ...
Xie, Hong-Bo; Dokos, Socrates
2013-06-01
We present a hybrid symplectic geometry and central tendency measure (CTM) method for detection of determinism in noisy time series. CTM is effective for detecting determinism in short time series and has been applied in many areas of nonlinear analysis. However, its performance significantly degrades in the presence of strong noise. In order to circumvent this difficulty, we propose to use symplectic principal component analysis (SPCA), a new chaotic signal de-noising method, as the first step to recover the system dynamics. CTM is then applied to determine whether the time series arises from a stochastic process or has a deterministic component. Results from numerical experiments, ranging from six benchmark deterministic models to 1/f noise, suggest that the hybrid method can significantly improve detection of determinism in noisy time series by about 20 dB when the data are contaminated by Gaussian noise. Furthermore, we apply our algorithm to study the mechanomyographic (MMG) signals arising from contraction of human skeletal muscle. Results obtained from the hybrid symplectic principal component analysis and central tendency measure demonstrate that the skeletal muscle motor unit dynamics can indeed be deterministic, in agreement with previous studies. However, the conventional CTM method was not able to definitely detect the underlying deterministic dynamics. This result on MMG signal analysis is helpful in understanding neuromuscular control mechanisms and developing MMG-based engineering control applications.
Directory of Open Access Journals (Sweden)
L. Jia
2011-03-01
Full Text Available Liquid and solid precipitation is abundant in the high elevation, upper reach of the Heihe River basin in northwestern China. The development of modern irrigation schemes in the middle reach of the basin is taking up an increasing share of fresh water resources, endangering the oasis and traditional irrigation systems in the lower reach. In this study, the response of vegetation in the Ejina Oasis in the lower reach of the Heihe River to the water yield of the upper catchment was analyzed by time series analysis of monthly observations of precipitation in the upper and lower catchment, river streamflow downstream of the modern irrigation schemes and satellite observations of vegetation index. Firstly, remotely sensed NDVI data acquired by Terra-MODIS are used to monitor the vegetation dynamic for a seven years period between 2000 and 2006. Due to cloud-contamination, atmospheric influence and different solar and viewing angles, however, the quality and consistence of time series of remotely sensed NDVI data are degraded. A Fourier Transform method – the Harmonic Analysis of Time Series (HANTS algorithm – is used to reconstruct cloud- and noise-free NDVI time series data from the Terra-MODIS NDVI dataset. Modification is made on HANTS by adding additional parameters to deal with large data gaps in yearly time series in combination with a Temporal-Similarity-Statistics (TSS method developed in this study to seek for initial values for the large gap periods. Secondly, the same Fourier Transform method is used to model time series of the vegetation phenology. The reconstructed cloud-free NDVI time series data are used to study the relationship between the water availability (i.e. the local precipitation and upstream water yield and the evolution of vegetation conditions in Ejina Oasis from 2000 to 2006. Anomalies in precipitation, streamflow, and vegetation index are detected by comparing each year with the average year. The results showed that
Energy-Based Wavelet De-Noising of Hydrologic Time Series
Sang, Yan-Fang; Liu, Changming; Wang, Zhonggen; Wen, Jun; Shang, Lunyu
2014-01-01
De-noising is a substantial issue in hydrologic time series analysis, but it is a difficult task due to the defect of methods. In this paper an energy-based wavelet de-noising method was proposed. It is to remove noise by comparing energy distribution of series with the background energy distribution, which is established from Monte-Carlo test. Differing from wavelet threshold de-noising (WTD) method with the basis of wavelet coefficient thresholding, the proposed method is based on energy distribution of series. It can distinguish noise from deterministic components in series, and uncertainty of de-noising result can be quantitatively estimated using proper confidence interval, but WTD method cannot do this. Analysis of both synthetic and observed series verified the comparable power of the proposed method and WTD, but de-noising process by the former is more easily operable. The results also indicate the influences of three key factors (wavelet choice, decomposition level choice and noise content) on wavelet de-noising. Wavelet should be carefully chosen when using the proposed method. The suitable decomposition level for wavelet de-noising should correspond to series' deterministic sub-signal which has the smallest temporal scale. If too much noise is included in a series, accurate de-noising result cannot be obtained by the proposed method or WTD, but the series would show pure random but not autocorrelation characters, so de-noising is no longer needed. PMID:25360533
Energy Technology Data Exchange (ETDEWEB)
Zunino, Luciano, E-mail: lucianoz@ciop.unlp.edu.ar [Centro de Investigaciones Ópticas (CONICET La Plata – CIC), C.C. 3, 1897 Gonnet (Argentina); Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata (Argentina); Olivares, Felipe, E-mail: olivaresfe@gmail.com [Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV), 23-40025 Valparaíso (Chile); Scholkmann, Felix, E-mail: Felix.Scholkmann@gmail.com [Research Office for Complex Physical and Biological Systems (ROCoS), Mutschellenstr. 179, 8038 Zurich (Switzerland); Biomedical Optics Research Laboratory, Department of Neonatology, University Hospital Zurich, University of Zurich, 8091 Zurich (Switzerland); Rosso, Osvaldo A., E-mail: oarosso@gmail.com [Instituto de Física, Universidade Federal de Alagoas (UFAL), BR 104 Norte km 97, 57072-970, Maceió, Alagoas (Brazil); Instituto Tecnológico de Buenos Aires (ITBA) and CONICET, C1106ACD, Av. Eduardo Madero 399, Ciudad Autónoma de Buenos Aires (Argentina); Complex Systems Group, Facultad de Ingeniería y Ciencias Aplicadas, Universidad de los Andes, Av. Mons. Álvaro del Portillo 12.455, Las Condes, Santiago (Chile)
2017-06-15
A symbolic encoding scheme, based on the ordinal relation between the amplitude of neighboring values of a given data sequence, should be implemented before estimating the permutation entropy. Consequently, equalities in the analyzed signal, i.e. repeated equal values, deserve special attention and treatment. In this work, we carefully study the effect that the presence of equalities has on permutation entropy estimated values when these ties are symbolized, as it is commonly done, according to their order of appearance. On the one hand, the analysis of computer-generated time series is initially developed to understand the incidence of repeated values on permutation entropy estimations in controlled scenarios. The presence of temporal correlations is erroneously concluded when true pseudorandom time series with low amplitude resolutions are considered. On the other hand, the analysis of real-world data is included to illustrate how the presence of a significant number of equal values can give rise to false conclusions regarding the underlying temporal structures in practical contexts. - Highlights: • Impact of repeated values in a signal when estimating permutation entropy is studied. • Numerical and experimental tests are included for characterizing this limitation. • Non-negligible temporal correlations can be spuriously concluded by repeated values. • Data digitized with low amplitude resolutions could be especially affected. • Analysis with shuffled realizations can help to overcome this limitation.
feets: feATURE eXTRACTOR for tIME sERIES
Cabral, Juan; Sanchez, Bruno; Ramos, Felipe; Gurovich, Sebastián; Granitto, Pablo; VanderPlas, Jake
2018-06-01
feets characterizes and analyzes light-curves from astronomical photometric databases for modelling, classification, data cleaning, outlier detection and data analysis. It uses machine learning algorithms to determine the numerical descriptors that characterize and distinguish the different variability classes of light-curves; these range from basic statistical measures such as the mean or standard deviation to complex time-series characteristics such as the autocorrelation function. The library is not restricted to the astronomical field and could also be applied to any kind of time series. This project is a derivative work of FATS (ascl:1711.017).
An integral time series on simulated labeling using fractal structure
International Nuclear Information System (INIS)
Djainal, D.D.
1997-01-01
This research deals with the detection of time series of vertical two-phase flow, in attempt to developed an objective indicator of time series flow patterns. One of new method is fractal analysis which can complement conventional methods in the description of highly irregular fluctuations. in the present work, fractal analysis applied to analyze simulated boiling coolant signal. this simulated signals built by sum random elements in small subchannels of the coolant channel. Two modes are defined and both modes are characterized by their void fractions. in the case of unimodal-PDF signals, the difference between these modes is relative small. on other hand, bimodal-PDF signals have relative large range. in this research, fractal dimension can indicate the characters of that signals simulation
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. © 2016 The Author(s).
Self-potential time series analysis in a seismic area of the Southern Apennines: preliminary results
Directory of Open Access Journals (Sweden)
V. Tramutoli
1994-06-01
Full Text Available The self-potential time series recorded during the period May 1991 - August 1992 by an automatic station, located in a seismic area of Southern Apennines, is analyzed. We deal with the spectral and the statistical features of the electrotellurie precursors: they can play a major role in the approach to seismic prediction. The time-dynamics of the experimental time series is investigated, the cyclic components and the time trends are removed. In particular we consider the influence of external noise, related to anthropic activities and meteoclimatic parameters, and pick out the anomalies from the residual series. Finally we show the preliminary results of the correlation between the anomalies in the time patterns of self-potential data and the earthquakes which occurred in the area.
Detecting chaos in irregularly sampled time series.
Kulp, C W
2013-09-01
Recently, Wiebe and Virgin [Chaos 22, 013136 (2012)] developed an algorithm which detects chaos by analyzing a time series' power spectrum which is computed using the Discrete Fourier Transform (DFT). Their algorithm, like other time series characterization algorithms, requires that the time series be regularly sampled. Real-world data, however, are often irregularly sampled, thus, making the detection of chaotic behavior difficult or impossible with those methods. In this paper, a characterization algorithm is presented, which effectively detects chaos in irregularly sampled time series. The work presented here is a modification of Wiebe and Virgin's algorithm and uses the Lomb-Scargle Periodogram (LSP) to compute a series' power spectrum instead of the DFT. The DFT is not appropriate for irregularly sampled time series. However, the LSP is capable of computing the frequency content of irregularly sampled data. Furthermore, a new method of analyzing the power spectrum is developed, which can be useful for differentiating between chaotic and non-chaotic behavior. The new characterization algorithm is successfully applied to irregularly sampled data generated by a model as well as data consisting of observations of variable stars.
Multivariate Time Series Search
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...
National Research Council Canada - National Science Library
Adler, Robert
1997-01-01
We describe how to take a stable, ARMA, time series through the various stages of model identification, parameter estimation, and diagnostic checking, and accompany the discussion with a goodly number...
Neural Network Models for Time Series Forecasts
Tim Hill; Marcus O'Connor; William Remus
1996-01-01
Neural networks have been advocated as an alternative to traditional statistical forecasting methods. In the present experiment, time series forecasts produced by neural networks are compared with forecasts from six statistical time series methods generated in a major forecasting competition (Makridakis et al. [Makridakis, S., A. Anderson, R. Carbone, R. Fildes, M. Hibon, R. Lewandowski, J. Newton, E. Parzen, R. Winkler. 1982. The accuracy of extrapolation (time series) methods: Results of a ...
CSIR Research Space (South Africa)
Van den Bergh, F
2012-08-01
Full Text Available Course resolution earth observation satellites offer large data sets with daily observations at global scales. These data sets represent a rich resource that, because of the high acquisition rate, allows the application of time-series analysis...
Time-Series Analysis of Intermittent Velocity Fluctuations in Turbulent Boundary Layers
Zayernouri, Mohsen; Samiee, Mehdi; Meerschaert, Mark M.; Klewicki, Joseph
2017-11-01
Classical turbulence theory is modified under the inhomogeneities produced by the presence of a wall. In this regard, we propose a new time series model for the streamwise velocity fluctuations in the inertial sub-layer of turbulent boundary layers. The new model employs tempered fractional calculus and seamlessly extends the classical 5/3 spectral model of Kolmogorov in the inertial subrange to the whole spectrum from large to small scales. Moreover, the proposed time-series model allows the quantification of data uncertainties in the underlying stochastic cascade of turbulent kinetic energy. The model is tested using well-resolved streamwise velocity measurements up to friction Reynolds numbers of about 20,000. The physics of the energy cascade are briefly described within the context of the determined model parameters. This work was supported by the AFOSR Young Investigator Program (YIP) award (FA9550-17-1-0150) and partially by MURI/ARO (W911NF-15-1-0562).
The Usage of Time Series Control Charts for Financial Process Analysis
Directory of Open Access Journals (Sweden)
Kovářík Martin
2012-09-01
Full Text Available We will deal with financial proceedings of the company using methods of SPC (Statistical Process Control, specifically through time series control charts. The paper will outline the intersection of two disciplines which are econometrics and statistical process control. The theoretical part will discuss the methodology of time series control charts and in the research part there will be this methodology demonstrated in three case studies. The first study will focus on the regulation of simulated financial flows for a company by CUSUM control chart. The second study will involve the regulation of financial flows for a heteroskedastic financial process by EWMA control chart. The last case study of our paper will be devoted to applications of ARIMA, EWMA and CUSUM control charts in the financial data that are sensitive to the mean shifting while calculating the autocorrelation in the data. In this paper, we highlight the versatility of control charts not only in manufacturing but also in managing the financial stability of cash flows.
Robust and Adaptive Online Time Series Prediction with Long Short-Term Memory
Directory of Open Access Journals (Sweden)
Haimin Yang
2017-01-01
Full Text Available Online time series prediction is the mainstream method in a wide range of fields, ranging from speech analysis and noise cancelation to stock market analysis. However, the data often contains many outliers with the increasing length of time series in real world. These outliers can mislead the learned model if treated as normal points in the process of prediction. To address this issue, in this paper, we propose a robust and adaptive online gradient learning method, RoAdam (Robust Adam, for long short-term memory (LSTM to predict time series with outliers. This method tunes the learning rate of the stochastic gradient algorithm adaptively in the process of prediction, which reduces the adverse effect of outliers. It tracks the relative prediction error of the loss function with a weighted average through modifying Adam, a popular stochastic gradient method algorithm for training deep neural networks. In our algorithm, the large value of the relative prediction error corresponds to a small learning rate, and vice versa. The experiments on both synthetic data and real time series show that our method achieves better performance compared to the existing methods based on LSTM.
Robust and Adaptive Online Time Series Prediction with Long Short-Term Memory.
Yang, Haimin; Pan, Zhisong; Tao, Qing
2017-01-01
Online time series prediction is the mainstream method in a wide range of fields, ranging from speech analysis and noise cancelation to stock market analysis. However, the data often contains many outliers with the increasing length of time series in real world. These outliers can mislead the learned model if treated as normal points in the process of prediction. To address this issue, in this paper, we propose a robust and adaptive online gradient learning method, RoAdam (Robust Adam), for long short-term memory (LSTM) to predict time series with outliers. This method tunes the learning rate of the stochastic gradient algorithm adaptively in the process of prediction, which reduces the adverse effect of outliers. It tracks the relative prediction error of the loss function with a weighted average through modifying Adam, a popular stochastic gradient method algorithm for training deep neural networks. In our algorithm, the large value of the relative prediction error corresponds to a small learning rate, and vice versa. The experiments on both synthetic data and real time series show that our method achieves better performance compared to the existing methods based on LSTM.
Time Series Observations in the North Indian Ocean
Digital Repository Service at National Institute of Oceanography (India)
Shenoy, D.M.; Naik, H.; Kurian, S.; Naqvi, S.W.A.; Khare, N.
Ocean and the ongoing time series study (Candolim Time Series; CaTS) off Goa. In addition, this article also focuses on the new time series initiative in the Arabian Sea and the Bay of Bengal under Sustained Indian Ocean Biogeochemistry and Ecosystem...
On Stabilizing the Variance of Dynamic Functional Brain Connectivity Time Series.
Thompson, William Hedley; Fransson, Peter
2016-12-01
Assessment of dynamic functional brain connectivity based on functional magnetic resonance imaging (fMRI) data is an increasingly popular strategy to investigate temporal dynamics of the brain's large-scale network architecture. Current practice when deriving connectivity estimates over time is to use the Fisher transformation, which aims to stabilize the variance of correlation values that fluctuate around varying true correlation values. It is, however, unclear how well the stabilization of signal variance performed by the Fisher transformation works for each connectivity time series, when the true correlation is assumed to be fluctuating. This is of importance because many subsequent analyses either assume or perform better when the time series have stable variance or adheres to an approximate Gaussian distribution. In this article, using simulations and analysis of resting-state fMRI data, we analyze the effect of applying different variance stabilization strategies on connectivity time series. We focus our investigation on the Fisher transformation, the Box-Cox (BC) transformation and an approach that combines both transformations. Our results show that, if the intention of stabilizing the variance is to use metrics on the time series, where stable variance or a Gaussian distribution is desired (e.g., clustering), the Fisher transformation is not optimal and may even skew connectivity time series away from being Gaussian. Furthermore, we show that the suboptimal performance of the Fisher transformation can be substantially improved by including an additional BC transformation after the dynamic functional connectivity time series has been Fisher transformed.
Tuning the Voices of a Choir: Detecting Ecological Gradients in Time-Series Populations.
Directory of Open Access Journals (Sweden)
Allan Buras
Full Text Available This paper introduces a new approach-the Principal Component Gradient Analysis (PCGA-to detect ecological gradients in time-series populations, i.e. several time-series originating from different individuals of a population. Detection of ecological gradients is of particular importance when dealing with time-series from heterogeneous populations which express differing trends. PCGA makes use of polar coordinates of loadings from the first two axes obtained by principal component analysis (PCA to define groups of similar trends. Based on the mean inter-series correlation (rbar the gain of increasing a common underlying signal by PCGA groups is quantified using Monte Carlo Simulations. In terms of validation PCGA is compared to three other existing approaches. Focusing on dendrochronological examples, PCGA is shown to correctly determine population gradients and in particular cases to be advantageous over other considered methods. Furthermore, PCGA groups in each example allowed for enhancing the strength of a common underlying signal and comparably well as hierarchical cluster analysis. Our results indicate that PCGA potentially allows for a better understanding of mechanisms causing time-series population gradients as well as objectively enhancing the performance of climate transfer functions in dendroclimatology. While our examples highlight the relevance of PCGA to the field of dendrochronology, we believe that also other disciplines working with data of comparable structure may benefit from PCGA.
Tuning the Voices of a Choir: Detecting Ecological Gradients in Time-Series Populations.
Buras, Allan; van der Maaten-Theunissen, Marieke; van der Maaten, Ernst; Ahlgrimm, Svenja; Hermann, Philipp; Simard, Sonia; Heinrich, Ingo; Helle, Gerd; Unterseher, Martin; Schnittler, Martin; Eusemann, Pascal; Wilmking, Martin
2016-01-01
This paper introduces a new approach-the Principal Component Gradient Analysis (PCGA)-to detect ecological gradients in time-series populations, i.e. several time-series originating from different individuals of a population. Detection of ecological gradients is of particular importance when dealing with time-series from heterogeneous populations which express differing trends. PCGA makes use of polar coordinates of loadings from the first two axes obtained by principal component analysis (PCA) to define groups of similar trends. Based on the mean inter-series correlation (rbar) the gain of increasing a common underlying signal by PCGA groups is quantified using Monte Carlo Simulations. In terms of validation PCGA is compared to three other existing approaches. Focusing on dendrochronological examples, PCGA is shown to correctly determine population gradients and in particular cases to be advantageous over other considered methods. Furthermore, PCGA groups in each example allowed for enhancing the strength of a common underlying signal and comparably well as hierarchical cluster analysis. Our results indicate that PCGA potentially allows for a better understanding of mechanisms causing time-series population gradients as well as objectively enhancing the performance of climate transfer functions in dendroclimatology. While our examples highlight the relevance of PCGA to the field of dendrochronology, we believe that also other disciplines working with data of comparable structure may benefit from PCGA.
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.
Time Series Modelling of Syphilis Incidence in China from 2005 to 2012
Zhang, Xingyu; Zhang, Tao; Pei, Jiao; Liu, Yuanyuan; Li, Xiaosong; Medrano-Gracia, Pau
2016-01-01
Background The infection rate of syphilis in China has increased dramatically in recent decades, becoming a serious public health concern. Early prediction of syphilis is therefore of great importance for heath planning and management. Methods In this paper, we analyzed surveillance time series data for primary, secondary, tertiary, congenital and latent syphilis in mainland China from 2005 to 2012. Seasonality and long-term trend were explored with decomposition methods. Autoregressive integrated moving average (ARIMA) was used to fit a univariate time series model of syphilis incidence. A separate multi-variable time series for each syphilis type was also tested using an autoregressive integrated moving average model with exogenous variables (ARIMAX). Results The syphilis incidence rates have increased three-fold from 2005 to 2012. All syphilis time series showed strong seasonality and increasing long-term trend. Both ARIMA and ARIMAX models fitted and estimated syphilis incidence well. All univariate time series showed highest goodness-of-fit results with the ARIMA(0,0,1)×(0,1,1) model. Conclusion Time series analysis was an effective tool for modelling the historical and future incidence of syphilis in China. The ARIMAX model showed superior performance than the ARIMA model for the modelling of syphilis incidence. Time series correlations existed between the models for primary, secondary, tertiary, congenital and latent syphilis. PMID:26901682
Berti, Matteo; Corsini, Alessandro; Franceschini, Silvia; Iannacone, Jean Pascal
2013-04-01
The application of space borne synthetic aperture radar interferometry has progressed, over the last two decades, from the pioneer use of single interferograms for analyzing changes on the earth's surface to the development of advanced multi-interferogram techniques to analyze any sort of natural phenomena which involves movements of the ground. The success of multi-interferograms techniques in the analysis of natural hazards such as landslides and subsidence is widely documented in the scientific literature and demonstrated by the consensus among the end-users. Despite the great potential of this technique, radar interpretation of slope movements is generally based on the sole analysis of average displacement velocities, while the information embraced in multi interferogram time series is often overlooked if not completely neglected. The underuse of PS time series is probably due to the detrimental effect of residual atmospheric errors, which make the PS time series characterized by erratic, irregular fluctuations often difficult to interpret, and also to the difficulty of performing a visual, supervised analysis of the time series for a large dataset. In this work is we present a procedure for automatic classification of PS time series based on a series of statistical characterization tests. The procedure allows to classify the time series into six distinctive target trends (0=uncorrelated; 1=linear; 2=quadratic; 3=bilinear; 4=discontinuous without constant velocity; 5=discontinuous with change in velocity) and retrieve for each trend a series of descriptive parameters which can be efficiently used to characterize the temporal changes of ground motion. The classification algorithms were developed and tested using an ENVISAT datasets available in the frame of EPRS-E project (Extraordinary Plan of Environmental Remote Sensing) of the Italian Ministry of Environment (track "Modena", Northern Apennines). This dataset was generated using standard processing, then the
Geometric noise reduction for multivariate time series.
Mera, M Eugenia; Morán, Manuel
2006-03-01
We propose an algorithm for the reduction of observational noise in chaotic multivariate time series. The algorithm is based on a maximum likelihood criterion, and its goal is to reduce the mean distance of the points of the cleaned time series to the attractor. We give evidence of the convergence of the empirical measure associated with the cleaned time series to the underlying invariant measure, implying the possibility to predict the long run behavior of the true dynamics.
BRITS: Bidirectional Recurrent Imputation for Time Series
Cao, Wei; Wang, Dong; Li, Jian; Zhou, Hao; Li, Lei; Li, Yitan
2018-01-01
Time series are widely used as signals in many classification/regression tasks. It is ubiquitous that time series contains many missing values. Given multiple correlated time series data, how to fill in missing values and to predict their class labels? Existing imputation methods often impose strong assumptions of the underlying data generating process, such as linear dynamics in the state space. In this paper, we propose BRITS, a novel method based on recurrent neural networks for missing va...
Ferrand, Yann; Kelton, Christina M L; Guo, Jeff J; Levy, Martin S; Yu, Yan
2011-03-01
Medicaid programs' spending on antidepressants increased from $159 million in 1991 to $2 billion in 2005. The National Institute for Health Care Management attributed this expenditure growth to increases in drug utilization, entry of newer higher-priced antidepressants, and greater prescription drug insurance coverage. Rising enrollment in Medicaid has also contributed to this expenditure growth. This research examines the impact of specific events, including branded-drug and generic entry, a black box warning, direct-to-consumer advertising (DTCA), and new indication approval, on Medicaid spending on antidepressants. Using quarterly expenditure data for 1991-2005 from the national Medicaid pharmacy claims database maintained by the Centers for Medicare and Medicaid Services, a time-series autoregressive integrated moving average (ARIMA) intervention analysis was performed on 6 specific antidepressant drugs and on overall antidepressant spending. Twenty-nine potentially relevant interventions and their dates of occurrence were identified from the literature. Each was tested for an impact on the time series. Forecasts from the models were compared with a holdout sample of actual expenditure data. Interventions with significant impacts on Medicaid expenditures included the patent expiration of Prozac® (P0.05), implying that the expanding market for antidepressants overwhelmed the effect of generic competition. Copyright © 2011 Elsevier Inc. All rights reserved.
Directory of Open Access Journals (Sweden)
Sean T. Doherty
2015-01-01
Full Text Available Type 2 diabetes is known to be associated with environmental, behavioral, and lifestyle factors. However, the actual impacts of these factors on blood glucose (BG variation throughout the day have remained relatively unexplored. Continuous blood glucose monitors combined with human activity tracking technologies afford new opportunities for exploration in a naturalistic setting. Data from a study of 40 patients with diabetes is utilized in this paper, including continuously monitored BG, food/medicine intake, and patient activity/location tracked using global positioning systems over a 4-day period. Standard linear regression and more disaggregated time-series analysis using autoregressive integrated moving average (ARIMA are used to explore patient BG variation throughout the day and over space. The ARIMA models revealed a wide variety of BG correlating factors related to specific activity types, locations (especially those far from home, and travel modes, although the impacts were highly personal. Traditional variables related to food intake and medications were less often significant. Overall, the time-series analysis revealed considerable patient-by-patient variation in the effects of geographic and daily lifestyle factors. We would suggest that maps of BG spatial variation or an interactive messaging system could provide new tools to engage patients and highlight potential risk factors.
Global Population Density Grid Time Series Estimates
National Aeronautics and Space Administration — Global Population Density Grid Time Series Estimates provide a back-cast time series of population density grids based on the year 2000 population grid from SEDAC's...
Directory of Open Access Journals (Sweden)
Kazuo Iijima
Full Text Available Clinical studies for assessing the effectiveness and safety in a premarketing setting are conducted under time and cost constraints. In recent years, postmarketing data analysis has been given more attention. However, to our knowledge, no studies have compared the effectiveness and the safety between the pre- and postmarketing settings. In this study, we aimed to investigate the importance of the postmarketing data analysis using clinical data.Studies on capsule endoscopy with rich clinical data in both pre- and postmarketing settings were selected for the analysis. For effectiveness, clinical studies published before October 10, 2015 comparing capsule endoscopy and conventional flexible endoscopy measuring the detection ratio of obscure gastrointestinal bleeding were selected (premarketing: 4 studies and postmarketing: 8 studies from PubMed (MEDLINE, Cochrane Library, EMBASE and Web of Science. Among the 12 studies, 5 were blinded and 7 were non-blinded. A time series meta-analysis was conducted. Effectiveness (odds ratio decreased in the postmarketing setting (premarketing: 5.19 [95% confidence interval: 3.07-8.76] vs. postmarketing: 1.48 [0.81-2.69]. The change in odds ratio was caused by the increase in the detection ratio with flexible endoscopy as the control group. The efficacy of capsule endoscopy did not change between pre- and postmarketing settings. Heterogeneity (I2 increased in the postmarketing setting because of one study. For safety, in terms of endoscope retention in the body, data from the approval summary and adverse event reports were analyzed. The incidence of retention decreased in the postmarketing setting (premarketing: 0.75% vs postmarketing: 0.095%. The introduction of the new patency capsule for checking the patency of the digestive tract might contribute to the decrease.Effectiveness and safety could change in the postmarketing setting. Therefore, time series meta-analyses could be useful to continuously monitor the
A new modified histogram matching normalization for time series microarray analysis
Astola, L.J.; Molenaar, J.
2014-01-01
Microarray data is often utilized in inferring regulatory networks. Quantile normalization (QN) is a popular method to reduce array-to-array variation. We show that in the context of time series measurements QN may not be the best choice for this task, especially not if the inference is based on
Self-potential time series analysis in a seismic area of the Southern Apennines: preliminary results
Di Bello, G.; Lapenna, V.; Satriano, C.; Tramutoli, V.
1994-01-01
The self-potential time series recorded during the period May 1991 - August 1992 by an automatic station, located in a seismic area of Southern Apennines, is analyzed. We deal with the spectral and the statistical features of the electrotellurie precursors: they can play a major role in the approach to seismic prediction. The time-dynamics of the experimental time series is investigated, the cyclic components and the time trends are removed. In particular we consider the influence of external...
Lyons, Mitchell B.; Roelfsema, Chris M.; Phinn, Stuart R.
2013-03-01
The spatial and temporal dynamics of seagrasses have been well studied at the leaf to patch scales, however, the link to large spatial extent landscape and population dynamics is still unresolved in seagrass ecology. Traditional remote sensing approaches have lacked the temporal resolution and consistency to appropriately address this issue. This study uses two high temporal resolution time-series of thematic seagrass cover maps to examine the spatial and temporal dynamics of seagrass at both an inter- and intra-annual time scales, one of the first globally to do so at this scale. Previous work by the authors developed an object-based approach to map seagrass cover level distribution from a long term archive of Landsat TM and ETM+ images on the Eastern Banks (≈200 km2), Moreton Bay, Australia. In this work a range of trend and time-series analysis methods are demonstrated for a time-series of 23 annual maps from 1988 to 2010 and a time-series of 16 monthly maps during 2008-2010. Significant new insight was presented regarding the inter- and intra-annual dynamics of seagrass persistence over time, seagrass cover level variability, seagrass cover level trajectory, and change in area of seagrass and cover levels over time. Overall we found that there was no significant decline in total seagrass area on the Eastern Banks, but there was a significant decline in seagrass cover level condition. A case study of two smaller communities within the Eastern Banks that experienced a decline in both overall seagrass area and condition are examined in detail, highlighting possible differences in environmental and process drivers. We demonstrate how trend and time-series analysis enabled seagrass distribution to be appropriately assessed in context of its spatial and temporal history and provides the ability to not only quantify change, but also describe the type of change. We also demonstrate the potential use of time-series analysis products to investigate seagrass growth and
Agarwal, G. C.; Osafo-Charles, F.; Oneill, W. D.; Gottlieb, G. L.
1982-01-01
Time series analysis is applied to model human operator dynamics in pursuit and compensatory tracking modes. The normalized residual criterion is used as a one-step analytical tool to encompass the processes of identification, estimation, and diagnostic checking. A parameter constraining technique is introduced to develop more reliable models of human operator dynamics. The human operator is adequately modeled by a second order dynamic system both in pursuit and compensatory tracking modes. In comparing the data sampling rates, 100 msec between samples is adequate and is shown to provide better results than 200 msec sampling. The residual power spectrum and eigenvalue analysis show that the human operator is not a generator of periodic characteristics.
High-resolution (noble) gas time series for aquatic research
Popp, A. L.; Brennwald, M. S.; Weber, U.; Kipfer, R.
2017-12-01
We developed a portable mass spectrometer (miniRUEDI) for on-site quantification of gas concentrations (He, Ar, Kr, N2, O2, CO2, CH4, etc.) in terrestrial gases [1,2]. Using the gas-equilibrium membrane-inlet technique (GE-MIMS), the miniRUEDI for the first time also allows accurate on-site and long-term dissolved-gas analysis in water bodies. The miniRUEDI is designed for operation in the field and at remote locations, using battery power and ambient air as a calibration gas. In contrast to conventional sampling and subsequent lab analysis, the miniRUEDI provides real-time and continuous time series of gas concentrations with a time resolution of a few seconds.Such high-resolution time series and immediate data availability open up new opportunities for research in highly dynamic and heterogeneous environmental systems. In addition the combined analysis of inert and reactive gas species provides direct information on the linkages of physical and biogoechemical processes, such as the air/water gas exchange, excess air formation, O2 turnover, or N2 production by denitrification [1,3,4].We present the miniRUEDI instrument and discuss its use for environmental research based on recent applications of tracking gas dynamics related to rapid and short-term processes in aquatic systems. [1] Brennwald, M.S., Schmidt, M., Oser, J., and Kipfer, R. (2016). Environmental Science and Technology, 50(24):13455-13463, doi: 10.1021/acs.est.6b03669[2] Gasometrix GmbH, gasometrix.com[3] Mächler, L., Peter, S., Brennwald, M.S., and Kipfer, R. (2013). Excess air formation as a mechanism for delivering oxygen to groundwater. Water Resources Research, doi:10.1002/wrcr.20547[4] Mächler, L., Brennwald, M.S., and Kipfer, R. (2013). Argon Concentration Time-Series As a Tool to Study Gas Dynamics in the Hyporheic Zone. Environmental Science and Technology, doi: 10.1021/es305309b
FTSPlot: fast time series visualization for large datasets.
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Michael Riss
Full Text Available The analysis of electrophysiological recordings often involves visual inspection of time series data to locate specific experiment epochs, mask artifacts, and verify the results of signal processing steps, such as filtering or spike detection. Long-term experiments with continuous data acquisition generate large amounts of data. Rapid browsing through these massive datasets poses a challenge to conventional data plotting software because the plotting time increases proportionately to the increase in the volume of data. This paper presents FTSPlot, which is a visualization concept for large-scale time series datasets using techniques from the field of high performance computer graphics, such as hierarchic level of detail and out-of-core data handling. In a preprocessing step, time series data, event, and interval annotations are converted into an optimized data format, which then permits fast, interactive visualization. The preprocessing step has a computational complexity of O(n x log(N; the visualization itself can be done with a complexity of O(1 and is therefore independent of the amount of data. A demonstration prototype has been implemented and benchmarks show that the technology is capable of displaying large amounts of time series data, event, and interval annotations lag-free with < 20 ms ms. The current 64-bit implementation theoretically supports datasets with up to 2(64 bytes, on the x86_64 architecture currently up to 2(48 bytes are supported, and benchmarks have been conducted with 2(40 bytes/1 TiB or 1.3 x 10(11 double precision samples. The presented software is freely available and can be included as a Qt GUI component in future software projects, providing a standard visualization method for long-term electrophysiological experiments.
International Nuclear Information System (INIS)
Hashimoto, T.; Sanada, Y.; Uezu, Y.
2003-01-01
A delayed coincidence method, called a time interval analysis (TIA) method, has been successfully applied to selective determination of the correlated α-α decay events in millisecond order life-time. A main decay process applicable to TIA-treatment is 220 Rn → 216 Po(T 1/2 :145ms) → {Th-series}. The TIA is fundamentally based on the difference of time interval distribution between non-correlated decay events and other events such as background or random events when they were compiled the time interval data within a fixed time (for example, a tenth of concerned half lives). The sensitivity of the TIA-analysis due to correlated α-α decay events could be subsequently improved in respect of background elimination using the pulse shape discrimination technique (PSD with PERALS counter) to reject β/γ-pulses, purging of nitrogen gas into extra scintillator, and applying solvent extraction of Ra. (author)
Reconstruction of ensembles of coupled time-delay systems from time series.
Sysoev, I V; Prokhorov, M D; Ponomarenko, V I; Bezruchko, B P
2014-06-01
We propose a method to recover from time series the parameters of coupled time-delay systems and the architecture of couplings between them. The method is based on a reconstruction of model delay-differential equations and estimation of statistical significance of couplings. It can be applied to networks composed of nonidentical nodes with an arbitrary number of unidirectional and bidirectional couplings. We test our method on chaotic and periodic time series produced by model equations of ensembles of diffusively coupled time-delay systems in the presence of noise, and apply it to experimental time series obtained from electronic oscillators with delayed feedback coupled by resistors.
Nonlinear Analysis of Time Series in Genome-Wide Linkage Disequilibrium Data
Hernández-Lemus, Enrique; Estrada-Gil, Jesús K.; Silva-Zolezzi, Irma; Fernández-López, J. Carlos; Hidalgo-Miranda, Alfredo; Jiménez-Sánchez, Gerardo
2008-02-01
The statistical study of large scale genomic data has turned out to be a very important tool in population genetics. Quantitative methods are essential to understand and implement association studies in the biomedical and health sciences. Nevertheless, the characterization of recently admixed populations has been an elusive problem due to the presence of a number of complex phenomena. For example, linkage disequilibrium structures are thought to be more complex than their non-recently admixed population counterparts, presenting the so-called ancestry blocks, admixed regions that are not yet smoothed by the effect of genetic recombination. In order to distinguish characteristic features for various populations we have implemented several methods, some of them borrowed or adapted from the analysis of nonlinear time series in statistical physics and quantitative physiology. We calculate the main fractal dimensions (Kolmogorov's capacity, information dimension and correlation dimension, usually named, D0, D1 and D2). We also have made detrended fluctuation analysis and information based similarity index calculations for the probability distribution of correlations of linkage disequilibrium coefficient of six recently admixed (mestizo) populations within the Mexican Genome Diversity Project [1] and for the non-recently admixed populations in the International HapMap Project [2]. Nonlinear correlations showed up as a consequence of internal structure within the haplotype distributions. The analysis of these correlations as well as the scope and limitations of these procedures within the biomedical sciences are discussed.
Yang, Hong; Lin, Shan; Cui, Jingru
2014-02-10
Arsenic trioxide (ATO) is presently the most active single agent in the treatment of acute promyelocytic leukemia (APL). In order to explore the molecular mechanism of ATO in leukemia cells with time series, we adopted bioinformatics strategy to analyze expression changing patterns and changes in transcription regulation modules of time series genes filtered from Gene Expression Omnibus database (GSE24946). We totally screened out 1847 time series genes for subsequent analysis. The KEGG (Kyoto encyclopedia of genes and genomes) pathways enrichment analysis of these genes showed that oxidative phosphorylation and ribosome were the top 2 significantly enriched pathways. STEM software was employed to compare changing patterns of gene expression with assigned 50 expression patterns. We screened out 7 significantly enriched patterns and 4 tendency charts of time series genes. The result of Gene Ontology showed that functions of times series genes mainly distributed in profiles 41, 40, 39 and 38. Seven genes with positive regulation of cell adhesion function were enriched in profile 40, and presented the same first increased model then decreased model as profile 40. The transcription module analysis showed that they mainly involved in oxidative phosphorylation pathway and ribosome pathway. Overall, our data summarized the gene expression changes in ATO treated K562-r cell lines with time and suggested that time series genes mainly regulated cell adhesive. Furthermore, our result may provide theoretical basis of molecular biology in treating acute promyelocytic leukemia. Copyright © 2013 Elsevier B.V. All rights reserved.
The Gaussian Graphical Model in Cross-Sectional and Time-Series Data.
Epskamp, Sacha; Waldorp, Lourens J; Mõttus, René; Borsboom, Denny
2018-04-16
We discuss the Gaussian graphical model (GGM; an undirected network of partial correlation coefficients) and detail its utility as an exploratory data analysis tool. The GGM shows which variables predict one-another, allows for sparse modeling of covariance structures, and may highlight potential causal relationships between observed variables. We describe the utility in three kinds of psychological data sets: data sets in which consecutive cases are assumed independent (e.g., cross-sectional data), temporally ordered data sets (e.g., n = 1 time series), and a mixture of the 2 (e.g., n > 1 time series). In time-series analysis, the GGM can be used to model the residual structure of a vector-autoregression analysis (VAR), also termed graphical VAR. Two network models can then be obtained: a temporal network and a contemporaneous network. When analyzing data from multiple subjects, a GGM can also be formed on the covariance structure of stationary means-the between-subjects network. We discuss the interpretation of these models and propose estimation methods to obtain these networks, which we implement in the R packages graphicalVAR and mlVAR. The methods are showcased in two empirical examples, and simulation studies on these methods are included in the supplementary materials.
A cluster merging method for time series microarray with production values.
Chira, Camelia; Sedano, Javier; Camara, Monica; Prieto, Carlos; Villar, Jose R; Corchado, Emilio
2014-09-01
A challenging task in time-course microarray data analysis is to cluster genes meaningfully combining the information provided by multiple replicates covering the same key time points. This paper proposes a novel cluster merging method to accomplish this goal obtaining groups with highly correlated genes. The main idea behind the proposed method is to generate a clustering starting from groups created based on individual temporal series (representing different biological replicates measured in the same time points) and merging them by taking into account the frequency by which two genes are assembled together in each clustering. The gene groups at the level of individual time series are generated using several shape-based clustering methods. This study is focused on a real-world time series microarray task with the aim to find co-expressed genes related to the production and growth of a certain bacteria. The shape-based clustering methods used at the level of individual time series rely on identifying similar gene expression patterns over time which, in some models, are further matched to the pattern of production/growth. The proposed cluster merging method is able to produce meaningful gene groups which can be naturally ranked by the level of agreement on the clustering among individual time series. The list of clusters and genes is further sorted based on the information correlation coefficient and new problem-specific relevant measures. Computational experiments and results of the cluster merging method are analyzed from a biological perspective and further compared with the clustering generated based on the mean value of time series and the same shape-based algorithm.
Outlier Detection in Structural Time Series Models
DEFF Research Database (Denmark)
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......–to–specific approach to the detection of structural change, currently implemented in Autometrics via indicator saturation, has proven to be both practical and effective in the context of stationary dynamic regression models and unit–root autoregressions. By focusing on impulse– and step–indicator saturation, we...
Sun, Bruce Qiang; Zhang, Jie
2016-03-01
For the effects of social integration on suicides, there have been different and even contradictive conclusions. In this study, the selected economic and social risks of suicide for different age groups and genders in the United Kingdom were identified and the effects were estimated by the multilevel time series analyses. To our knowledge, there exist no previous studies that estimated a dynamic model of suicides on the time series data together with multilevel analysis and autoregressive distributed lags. The investigation indicated that unemployment rate, inflation rate, and divorce rate are all significantly and positively related to the national suicide rates in the United Kingdom from 1981 to 2011. Furthermore, the suicide rates of almost all groups above 40 years are significantly associated with the risk factors of unemployment and inflation rate, in comparison with the younger groups. © 2016 American Academy of Forensic Sciences.
A Bias and Variance Analysis for Multistep-Ahead Time Series Forecasting.
Ben Taieb, Souhaib; Atiya, Amir F
2016-01-01
Multistep-ahead forecasts can either be produced recursively by iterating a one-step-ahead time series model or directly by estimating a separate model for each forecast horizon. In addition, there are other strategies; some of them combine aspects of both aforementioned concepts. In this paper, we present a comprehensive investigation into the bias and variance behavior of multistep-ahead forecasting strategies. We provide a detailed review of the different multistep-ahead strategies. Subsequently, we perform a theoretical study that derives the bias and variance for a number of forecasting strategies. Finally, we conduct a Monte Carlo experimental study that compares and evaluates the bias and variance performance of the different strategies. From the theoretical and the simulation studies, we analyze the effect of different factors, such as the forecast horizon and the time series length, on the bias and variance components, and on the different multistep-ahead strategies. Several lessons are learned, and recommendations are given concerning the advantages, disadvantages, and best conditions of use of each strategy.
Time series prediction: statistical and neural techniques
Zahirniak, Daniel R.; DeSimio, Martin P.
1996-03-01
In this paper we compare the performance of nonlinear neural network techniques to those of linear filtering techniques in the prediction of time series. Specifically, we compare the results of using the nonlinear systems, known as multilayer perceptron and radial basis function neural networks, with the results obtained using the conventional linear Wiener filter, Kalman filter and Widrow-Hoff adaptive filter in predicting future values of stationary and non- stationary time series. Our results indicate the performance of each type of system is heavily dependent upon the form of the time series being predicted and the size of the system used. In particular, the linear filters perform adequately for linear or near linear processes while the nonlinear systems perform better for nonlinear processes. Since the linear systems take much less time to be developed, they should be tried prior to using the nonlinear systems when the linearity properties of the time series process are unknown.
Effectiveness of Multivariate Time Series Classification Using Shapelets
Directory of Open Access Journals (Sweden)
A. P. Karpenko
2015-01-01
Full Text Available Typically, time series classifiers require signal pre-processing (filtering signals from noise and artifact removal, etc., enhancement of signal features (amplitude, frequency, spectrum, etc., classification of signal features in space using the classical techniques and classification algorithms of multivariate data. We consider a method of classifying time series, which does not require enhancement of the signal features. The method uses the shapelets of time series (time series shapelets i.e. small fragments of this series, which reflect properties of one of its classes most of all.Despite the significant number of publications on the theory and shapelet applications for classification of time series, the task to evaluate the effectiveness of this technique remains relevant. An objective of this publication is to study the effectiveness of a number of modifications of the original shapelet method as applied to the multivariate series classification that is a littlestudied problem. The paper presents the problem statement of multivariate time series classification using the shapelets and describes the shapelet–based basic method of binary classification, as well as various generalizations and proposed modification of the method. It also offers the software that implements a modified method and results of computational experiments confirming the effectiveness of the algorithmic and software solutions.The paper shows that the modified method and the software to use it allow us to reach the classification accuracy of about 85%, at best. The shapelet search time increases in proportion to input data dimension.
Gualandi, Adriano; Serpelloni, Enrico; Elina Belardinelli, Maria; Bonafede, Maurizio; Pezzo, Giuseppe; Tolomei, Cristiano
2015-04-01
A critical point in the analysis of ground displacement time series, as those measured by modern space geodetic techniques (primarly continuous GPS/GNSS and InSAR) is the development of data driven methods that allow to discern and characterize the different sources that generate the observed displacements. A widely used multivariate statistical technique is the Principal Component Analysis (PCA), which allows to reduce the dimensionality of the data space maintaining most of the variance of the dataset explained. It reproduces the original data using a limited number of Principal Components, but it also shows some deficiencies, since PCA does not perform well in finding the solution to the so-called Blind Source Separation (BSS) problem. The recovering and separation of the different sources that generate the observed ground deformation is a fundamental task in order to provide a physical meaning to the possible different sources. PCA fails in the BSS problem since it looks for a new Euclidean space where the projected data are uncorrelated. Usually, the uncorrelation condition is not strong enough and it has been proven that the BSS problem can be tackled imposing on the components to be independent. The Independent Component Analysis (ICA) is, in fact, another popular technique adopted to approach this problem, and it can be used in all those fields where PCA is also applied. An ICA approach enables us to explain the displacement time series imposing a fewer number of constraints on the model, and to reveal anomalies in the data such as transient deformation signals. However, the independence condition is not easy to impose, and it is often necessary to introduce some approximations. To work around this problem, we use a variational bayesian ICA (vbICA) method, which models the probability density function (pdf) of each source signal using a mix of Gaussian distributions. This technique allows for more flexibility in the description of the pdf of the sources
Cycles, scaling and crossover phenomenon in length of the day (LOD) time series
Telesca, Luciano
2007-06-01
The dynamics of the temporal fluctuations of the length of the day (LOD) time series from January 1, 1962 to November 2, 2006 were investigated. The power spectrum of the whole time series has revealed annual, semi-annual, decadal and daily oscillatory behaviors, correlated with oceanic-atmospheric processes and interactions. The scaling behavior was analyzed by using the detrended fluctuation analysis (DFA), which has revealed two different scaling regimes, separated by a crossover timescale at approximately 23 days. Flicker-noise process can describe the dynamics of the LOD time regime involving intermediate and long timescales, while Brownian dynamics characterizes the LOD time series for small timescales.
Balakrishnan, Kalpana; Ganguli, Bhaswati; Ghosh, Santu; Sankar, S; Thanasekaraan, Vijaylakshmi; Rayudu, V N; Caussy, Harry
2011-03-01
This report describes the results of a time-series analysis of the effect of short-term exposure to particulate matter with an aerodynamic diameter part of its Public Health and Air Pollution in Asia (PAPA) initiative. The study involved integration and analysis of retrospective data for the years 2002 through 2004. The data were obtained from relevant government agencies in charge of routine data collection. Data on meteorologic confounders (including temperature, relative humidity, and dew point) were available on all days of the study period. Data on mortality were also available on all days, but information on cause-of-death (including accidental deaths) could not be reliably ascertained. Hence, only all-cause daily mortality was used as the major outcome for the time-series analyses. Data on PM10, nitrogen dioxide (NO2), and sulfur dioxide (SO2) were limited to a much smaller number of days, but spanned the full study period. Data limitations resulting from low sensitivity of gaseous pollutant measurements led to using only PM10 in the main analysis. Of the eight operational ambient air quality monitor (AQM) stations in the city, seven met the selection criteria set forth in the common protocol developed for the three PAPA studies in India. In addition, all raw data used in the analysis were subjected to additional quality assurance (QA) and quality control (QC) criteria to ensure the validity of the measurements. Two salient features of the PM10 data set in Chennai were a high percentage of missing readings and a low correlation among daily data recorded by the AQMs. The latter resulted partly because each AQM had a small footprint (approximate area over which the air pollutant measurements recorded in the AQM are considered valid), and partly because of differences in source profiles among the 10 zones within the city. The zones were defined by the Chennai Corporation based on population density. Alternative exposure series were developed to control for
Extracting biologically significant patterns from short time series gene expression data
Directory of Open Access Journals (Sweden)
McGinnis Thomas
2009-08-01
Full Text Available Abstract Background Time series gene expression data analysis is used widely to study the dynamics of various cell processes. Most of the time series data available today consist of few time points only, thus making the application of standard clustering techniques difficult. Results We developed two new algorithms that are capable of extracting biological patterns from short time point series gene expression data. The two algorithms, ASTRO and MiMeSR, are inspired by the rank order preserving framework and the minimum mean squared residue approach, respectively. However, ASTRO and MiMeSR differ from previous approaches in that they take advantage of the relatively few number of time points in order to reduce the problem from NP-hard to linear. Tested on well-defined short time expression data, we found that our approaches are robust to noise, as well as to random patterns, and that they can correctly detect the temporal expression profile of relevant functional categories. Evaluation of our methods was performed using Gene Ontology (GO annotations and chromatin immunoprecipitation (ChIP-chip data. Conclusion Our approaches generally outperform both standard clustering algorithms and algorithms designed specifically for clustering of short time series gene expression data. Both algorithms are available at http://www.benoslab.pitt.edu/astro/.
Russian State Time and Earth Rotation Service: Observations, Eop Series, Prediction
Kaufman, M.; Pasynok, S.
2010-01-01
Russian State Time, Frequency and Earth Rotation Service provides the official EOP data and time for use in scientific, technical and metrological works in Russia. The observations of GLONASS and GPS on 30 stations in Russia, and also the Russian and worldwide observations data of VLBI (35 stations) and SLR (20 stations) are used now. To these three series of EOP the data calculated in two other Russian analysis centers are added: IAA (VLBI, GPS and SLR series) and MCC (SLR). Joint processing of these 7 series is carried out every day (the operational EOP data for the last day and the predicted values for 50 days). The EOP values are weekly refined and systematic errors of every individual series are corrected. The combined results become accessible on the VNIIFTRI server (ftp.imvp.ru) approximately at 6h UT daily.
Quality Control Procedure Based on Partitioning of NMR Time Series
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Michał Staniszewski
2018-03-01
Full Text Available The quality of the magnetic resonance spectroscopy (MRS depends on the stability of magnetic resonance (MR system performance and optimal hardware functioning, which ensure adequate levels of signal-to-noise ratios (SNR as well as good spectral resolution and minimal artifacts in the spectral data. MRS quality control (QC protocols and methodologies are based on phantom measurements that are repeated regularly. In this work, a signal partitioning algorithm based on a dynamic programming (DP method for QC assessment of the spectral data is described. The proposed algorithm allows detection of the change points—the abrupt variations in the time series data. The proposed QC method was tested using the simulated and real phantom data. Simulated data were randomly generated time series distorted by white noise. The real data were taken from the phantom quality control studies of the MRS scanner collected for four and a half years and analyzed by LCModel software. Along with the proposed algorithm, performance of various literature methods was evaluated for the predefined number of change points based on the error values calculated by subtracting the mean values calculated for the periods between the change-points from the original data points. The time series were checked using external software, a set of external methods and the proposed tool, and the obtained results were comparable. The application of dynamic programming in the analysis of the phantom MRS data is a novel approach to QC. The obtained results confirm that the presented change-point-detection tool can be used either for independent analysis of MRS time series (or any other or as a part of quality control.
Directory of Open Access Journals (Sweden)
G. P. Pavlos
1999-01-01
Full Text Available A long AE index time series is used as a crucial magnetospheric quantity in order to study the underlying dynainics. For this purpose we utilize methods of nonlinear and chaotic analysis of time series. Two basic components of this analysis are the reconstruction of the experimental tiine series state space trajectory of the underlying process and the statistical testing of an null hypothesis. The null hypothesis against which the experimental time series are tested is that the observed AE index signal is generated by a linear stochastic signal possibly perturbed by a static nonlinear distortion. As dis ' ' ating statistics we use geometrical characteristics of the reconstructed state space (Part I, which is the work of this paper and dynamical characteristics (Part II, which is the work a separate paper, and "nonlinear" surrogate data, generated by two different techniques which can mimic the original (AE index signal. lie null hypothesis is tested for geometrical characteristics which are the dimension of the reconstructed trajectory and some new geometrical parameters introduced in this work for the efficient discrimination between the nonlinear stochastic surrogate data and the AE index. Finally, the estimated geometric characteristics of the magnetospheric AE index present new evidence about the nonlinear and low dimensional character of the underlying magnetospheric dynamics for the AE index.
van den Akker, R.
2007-01-01
This thesis adresses statistical problems in econometrics. The first part contributes statistical methodology for nonnegative integer-valued time series. The second part of this thesis discusses semiparametric estimation in copula models and develops semiparametric lower bounds for a large class of
Robust Forecasting of Non-Stationary Time Series
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
Trend analysis of time-series data: A novel method for untargeted metabolite discovery
Peters, S.; Janssen, H.-G.; Vivó-Truyols, G.
2010-01-01
A new strategy for biomarker discovery is presented that uses time-series metabolomics data. Data sets from samples analysed at different time points after an intervention are searched for compounds that show a meaningful trend following the intervention. Obviously, this requires new data-analytical
Lenoir, Guillaume; Crucifix, Michel
2018-03-01
Geophysical time series are sometimes sampled irregularly along the time axis. The situation is particularly frequent in palaeoclimatology. Yet, there is so far no general framework for handling the continuous wavelet transform when the time sampling is irregular. Here we provide such a framework. To this end, we define the scalogram as the continuous-wavelet-transform equivalent of the extended Lomb-Scargle periodogram defined in Part 1 of this study (Lenoir and Crucifix, 2018). The signal being analysed is modelled as the sum of a locally periodic component in the time-frequency plane, a polynomial trend, and a background noise. The mother wavelet adopted here is the Morlet wavelet classically used in geophysical applications. The background noise model is a stationary Gaussian continuous autoregressive-moving-average (CARMA) process, which is more general than the traditional Gaussian white and red noise processes. The scalogram is smoothed by averaging over neighbouring times in order to reduce its variance. The Shannon-Nyquist exclusion zone is however defined as the area corrupted by local aliasing issues. The local amplitude in the time-frequency plane is then estimated with least-squares methods. We also derive an approximate formula linking the squared amplitude and the scalogram. Based on this property, we define a new analysis tool: the weighted smoothed scalogram, which we recommend for most analyses. The estimated signal amplitude also gives access to band and ridge filtering. Finally, we design a test of significance for the weighted smoothed scalogram against the stationary Gaussian CARMA background noise, and provide algorithms for computing confidence levels, either analytically or with Monte Carlo Markov chain methods. All the analysis tools presented in this article are available to the reader in the Python package WAVEPAL.
Mills, T
2012-01-01
This book develops the major themes of time series analysis from its formal beginnings in the early part of the 20th century to the present day through the research of six distinguished British statisticians, all of whose work is characterised by the British traits of pragmatism and the desire to solve practical problems of importance.
Visser, H.; Molenaar, J.
1995-05-01
The detection of trends in climatological data has become central to the discussion on climate change due to the enhanced greenhouse effect. To prove detection, a method is needed (i) to make inferences on significant rises or declines in trends, (ii) to take into account natural variability in climate series, and (iii) to compare output from GCMs with the trends in observed climate data. To meet these requirements, flexible mathematical tools are needed. A structural time series model is proposed with which a stochastic trend, a deterministic trend, and regression coefficients can be estimated simultaneously. The stochastic trend component is described using the class of ARIMA models. The regression component is assumed to be linear. However, the regression coefficients corresponding with the explanatory variables may be time dependent to validate this assumption. The mathematical technique used to estimate this trend-regression model is the Kaiman filter. The main features of the filter are discussed.Examples of trend estimation are given using annual mean temperatures at a single station in the Netherlands (1706-1990) and annual mean temperatures at Northern Hemisphere land stations (1851-1990). The inclusion of explanatory variables is shown by regressing the latter temperature series on four variables: Southern Oscillation index (SOI), volcanic dust index (VDI), sunspot numbers (SSN), and a simulated temperature signal, induced by increasing greenhouse gases (GHG). In all analyses, the influence of SSN on global temperatures is found to be negligible. The correlations between temperatures and SOI and VDI appear to be negative. For SOI, this correlation is significant, but for VDI it is not, probably because of a lack of volcanic eruptions during the sample period. The relation between temperatures and GHG is positive, which is in agreement with the hypothesis of a warming climate because of increasing levels of greenhouse gases. The prediction performance of
Iannacone, J.; Berti, M.; Allievi, J.; Del Conte, S.; Corsini, A.
2013-12-01
Space borne InSAR has proven to be very valuable for landslides detection. In particular, extremely slow landslides (Cruden and Varnes, 1996) can be now clearly identified, thanks to the millimetric precision reached by recent multi-interferometric algorithms. The typical approach in radar interpretation for landslides mapping is based on average annual velocity of the deformation which is calculated over the entire times series. The Hotspot and Cluster Analysis (Lu et al., 2012) and the PSI-based matrix approach (Cigna et al., 2013) are examples of landslides mapping techniques based on average annual velocities. However, slope movements can be affected by non-linear deformation trends, (i.e. reactivation of dormant landslides, deceleration due to natural or man-made slope stabilization, seasonal activity, etc). Therefore, analyzing deformation time series is crucial in order to fully characterize slope dynamics. While this is relatively simple to be carried out manually when dealing with small dataset, the time series analysis over regional scale dataset requires automated classification procedures. Berti et al. (2013) developed an automatic procedure for the analysis of InSAR time series based on a sequence of statistical tests. The analysis allows to classify the time series into six distinctive target trends (0=uncorrelated; 1=linear; 2=quadratic; 3=bilinear; 4=discontinuous without constant velocity; 5=discontinuous with change in velocity) which are likely to represent different slope processes. The analysis also provides a series of descriptive parameters which can be used to characterize the temporal changes of ground motion. All the classification algorithms were integrated into a Graphical User Interface called PSTime. We investigated an area of about 2000 km2 in the Northern Apennines of Italy by using SqueeSAR™ algorithm (Ferretti et al., 2011). Two Radarsat-1 data stack, comprising of 112 scenes in descending orbit and 124 scenes in ascending orbit
Recurrence and symmetry of time series: Application to transition detection
International Nuclear Information System (INIS)
Girault, Jean-Marc
2015-01-01
Highlights: •A new theoretical framework based on the symmetry concept is proposed. •Four types of symmetry present in any time series were analyzed. •New descriptors make possible the analysis of regime changes in logistic systems. •Chaos–chaos, chaos–periodic, symmetry-breaking, symmetry-increasing bifurcations can be detected. -- Abstract: The study of transitions in low dimensional, nonlinear dynamical systems is a complex problem for which there is not yet a simple, global numerical method able to detect chaos–chaos, chaos–periodic bifurcations and symmetry-breaking, symmetry-increasing bifurcations. We present here for the first time a general framework focusing on the symmetry concept of time series that at the same time reveals new kinds of recurrence. We propose several numerical tools based on the symmetry concept allowing both the qualification and quantification of different kinds of possible symmetry. By using several examples based on periodic symmetrical time series and on logistic and cubic maps, we show that it is possible with simple numerical tools to detect a large number of bifurcations of chaos–chaos, chaos–periodic, broken symmetry and increased symmetry types
Analysis of time series for postal shipments in Regional VII East Java Indonesia
Kusrini, DE; Ulama, B. S. S.; Aridinanti, L.
2018-03-01
The change of number delivery goods through PT. Pos Regional VII East Java Indonesia indicates that the trend of increasing and decreasing the delivery of documents and non-documents in PT. Pos Regional VII East Java Indonesia is strongly influenced by conditions outside of PT. Pos Regional VII East Java Indonesia so that the prediction the number of document and non-documents requires a model that can accommodate it. Based on the time series plot monthly data fluctuations occur from 2013-2016 then the model is done using ARIMA or seasonal ARIMA and selected the best model based on the smallest AIC value. The results of data analysis about the number of shipments on each product sent through the Sub-Regional Postal Office VII East Java indicates that there are 5 post offices of 26 post offices entering the territory. The largest number of shipments is available on the PPB (Paket Pos Biasa is regular package shipment/non-document ) and SKH (Surat Kilat Khusus is Special Express Mail/document) products. The time series model generated is largely a Random walk model meaning that the number of shipment in the future is influenced by random effects that are difficult to predict. Some are AR and MA models, except for Express shipment products with Malang post office destination which has seasonal ARIMA model on lag 6 and 12. This means that the number of items in the following month is affected by the number of items in the previous 6 months.
Luo, Yi; Zhang, Tao; Li, Xiao-song
2016-05-01
To explore the application of fuzzy time series model based on fuzzy c-means clustering in forecasting monthly incidence of Hepatitis E in mainland China. Apredictive model (fuzzy time series method based on fuzzy c-means clustering) was developed using Hepatitis E incidence data in mainland China between January 2004 and July 2014. The incidence datafrom August 2014 to November 2014 were used to test the fitness of the predictive model. The forecasting results were compared with those resulted from traditional fuzzy time series models. The fuzzy time series model based on fuzzy c-means clustering had 0.001 1 mean squared error (MSE) of fitting and 6.977 5 x 10⁻⁴ MSE of forecasting, compared with 0.0017 and 0.0014 from the traditional forecasting model. The results indicate that the fuzzy time series model based on fuzzy c-means clustering has a better performance in forecasting incidence of Hepatitis E.
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.
Variability of African Farming Systems from Phenological Analysis of NDVI Time Series
Vrieling, Anton; deBeurs, K. M.; Brown, Molly E.
2011-01-01
Food security exists when people have access to sufficient, safe and nutritious food at all times to meet their dietary needs. The natural resource base is one of the many factors affecting food security. Its variability and decline creates problems for local food production. In this study we characterize for sub-Saharan Africa vegetation phenology and assess variability and trends of phenological indicators based on NDVI time series from 1982 to 2006. We focus on cumulated NDVI over the season (cumNDVI) which is a proxy for net primary productivity. Results are aggregated at the level of major farming systems, while determining also spatial variability within farming systems. High temporal variability of cumNDVI occurs in semiarid and subhumid regions. The results show a large area of positive cumNDVI trends between Senegal and South Sudan. These correspond to positive CRU rainfall trends found and relate to recovery after the 1980's droughts. We find significant negative cumNDVI trends near the south-coast of West Africa (Guinea coast) and in Tanzania. For each farming system, causes of change and variability are discussed based on available literature (Appendix A). Although food security comprises more than the local natural resource base, our results can perform an input for food security analysis by identifying zones of high variability or downward trends. Farming systems are found to be a useful level of analysis. Diversity and trends found within farming system boundaries underline that farming systems are dynamic.
The Relative Importance of the Service Sector in the Mexican Economy: A Time Series Analysis
Directory of Open Access Journals (Sweden)
Carlos Alberto Flores
2014-01-01
Full Text Available We conduct a study of the secondary and tertiary sectors with the goal of highlighting the relative im-portance of services in the Mexican economy. We consider a time series analysis approach designed to identify the stochastic nature of the series, as well as to define their long-run and-short run relationships with Gross Domestic Product (GDP. The results of cointegration tests suggest that, for the most part, activities in the secondary and tertiary sectors share a common trend with GDP. Interestingly, the long-run elasticities of GDP with respect to services are on average larger than those with respect to secondary activities. Common cycle tests results identify the existence of common cycles between GDP and the disaggregated sectors, as well as with manufacturing, commerce, real estate and transportation. In this case, the short-run elasticities of secondary activities are on average larger than those corresponding to services.
ON THE FOURIER AND WAVELET ANALYSIS OF CORONAL TIME SERIES
International Nuclear Information System (INIS)
Auchère, F.; Froment, C.; Bocchialini, K.; Buchlin, E.; Solomon, J.
2016-01-01
Using Fourier and wavelet analysis, we critically re-assess the significance of our detection of periodic pulsations in coronal loops. We show that the proper identification of the frequency dependence and statistical properties of the different components of the power spectra provides a strong argument against the common practice of data detrending, which tends to produce spurious detections around the cut-off frequency of the filter. In addition, the white and red noise models built into the widely used wavelet code of Torrence and Compo cannot, in most cases, adequately represent the power spectra of coronal time series, thus also possibly causing false positives. Both effects suggest that several reports of periodic phenomena should be re-examined. The Torrence and Compo code nonetheless effectively computes rigorous confidence levels if provided with pertinent models of mean power spectra, and we describe the appropriate manner in which to call its core routines. We recall the meaning of the default confidence levels output from the code, and we propose new Monte-Carlo-derived levels that take into account the total number of degrees of freedom in the wavelet spectra. These improvements allow us to confirm that the power peaks that we detected have a very low probability of being caused by noise.
ON THE FOURIER AND WAVELET ANALYSIS OF CORONAL TIME SERIES
Energy Technology Data Exchange (ETDEWEB)
Auchère, F.; Froment, C.; Bocchialini, K.; Buchlin, E.; Solomon, J., E-mail: frederic.auchere@ias.u-psud.fr [Institut d’Astrophysique Spatiale, CNRS, Univ. Paris-Sud, Université Paris-Saclay, Bât. 121, F-91405 Orsay (France)
2016-07-10
Using Fourier and wavelet analysis, we critically re-assess the significance of our detection of periodic pulsations in coronal loops. We show that the proper identification of the frequency dependence and statistical properties of the different components of the power spectra provides a strong argument against the common practice of data detrending, which tends to produce spurious detections around the cut-off frequency of the filter. In addition, the white and red noise models built into the widely used wavelet code of Torrence and Compo cannot, in most cases, adequately represent the power spectra of coronal time series, thus also possibly causing false positives. Both effects suggest that several reports of periodic phenomena should be re-examined. The Torrence and Compo code nonetheless effectively computes rigorous confidence levels if provided with pertinent models of mean power spectra, and we describe the appropriate manner in which to call its core routines. We recall the meaning of the default confidence levels output from the code, and we propose new Monte-Carlo-derived levels that take into account the total number of degrees of freedom in the wavelet spectra. These improvements allow us to confirm that the power peaks that we detected have a very low probability of being caused by noise.
Onisko, Agnieszka; Druzdzel, Marek J; Austin, R Marshall
2016-01-01
Classical statistics is a well-established approach in the analysis of medical data. While the medical community seems to be familiar with the concept of a statistical analysis and its interpretation, the Bayesian approach, argued by many of its proponents to be superior to the classical frequentist approach, is still not well-recognized in the analysis of medical data. The goal of this study is to encourage data analysts to use the Bayesian approach, such as modeling with graphical probabilistic networks, as an insightful alternative to classical statistical analysis of medical data. This paper offers a comparison of two approaches to analysis of medical time series data: (1) classical statistical approach, such as the Kaplan-Meier estimator and the Cox proportional hazards regression model, and (2) dynamic Bayesian network modeling. Our comparison is based on time series cervical cancer screening data collected at Magee-Womens Hospital, University of Pittsburgh Medical Center over 10 years. The main outcomes of our comparison are cervical cancer risk assessments produced by the three approaches. However, our analysis discusses also several aspects of the comparison, such as modeling assumptions, model building, dealing with incomplete data, individualized risk assessment, results interpretation, and model validation. Our study shows that the Bayesian approach is (1) much more flexible in terms of modeling effort, and (2) it offers an individualized risk assessment, which is more cumbersome for classical statistical approaches.
Analysis of monotonic greening and browning trends from global NDVI time-series
Jong, de R.; Bruin, de S.; Wit, de A.J.W.; Schaepman, M.E.; Dent, D.L.
2011-01-01
Remotely sensed vegetation indices are widely used to detect greening and browning trends; especially the global coverage of time-series normalized difference vegetation index (NDVI) data which are available from 1981. Seasonality and serial auto-correlation in the data have previously been dealt
Complex network approach to fractional time series
Energy Technology Data Exchange (ETDEWEB)
Manshour, Pouya [Physics Department, Persian Gulf University, Bushehr 75169 (Iran, Islamic Republic of)
2015-10-15
In order to extract correlation information inherited in stochastic time series, the visibility graph algorithm has been recently proposed, by which a time series can be mapped onto a complex network. We demonstrate that the visibility algorithm is not an appropriate one to study the correlation aspects of a time series. We then employ the horizontal visibility algorithm, as a much simpler one, to map fractional processes onto complex networks. The degree distributions are shown to have parabolic exponential forms with Hurst dependent fitting parameter. Further, we take into account other topological properties such as maximum eigenvalue of the adjacency matrix and the degree assortativity, and show that such topological quantities can also be used to predict the Hurst exponent, with an exception for anti-persistent fractional Gaussian noises. To solve this problem, we take into account the Spearman correlation coefficient between nodes' degrees and their corresponding data values in the original time series.
Time series analysis of reference crop evapotranspiration for Bokaro District, Jharkhand, India
Directory of Open Access Journals (Sweden)
Gautam Ratnesh
2016-09-01
Full Text Available Evapotranspiration is the one of the major role playing element in water cycle. More accurate measurement and forecasting of Evapotranspiration would enable more efficient water resources management. This study, is therefore, particularly focused on evapotranspiration modelling and forecasting, since forecasting would provide better information for optimal water resources management. There are numerous techniques of evapotranspiration forecasting that include autoregressive (AR and moving average (MA, autoregressive moving average (ARMA, autoregressive integrated moving average (ARIMA, Thomas Feiring, etc. Out of these models ARIMA model has been found to be more suitable for analysis and forecasting of hydrological events. Therefore, in this study ARIMA models have been used for forecasting of mean monthly reference crop evapotranspiration by stochastic analysis. The data series of 102 years i.e. 1224 months of Bokaro District were used for analysis and forecasting. Different order of ARIMA model was selected on the basis of autocorrelation function (ACF and partial autocorrelation (PACF of data series. Maximum likelihood method was used for determining the parameters of the models. To see the statistical parameter of model, best fitted model is ARIMA (0, 1, 4 (0, 1, 112.
Tools for Generating Useful Time-series Data from PhenoCam Images
Milliman, T. E.; Friedl, M. A.; Frolking, S.; Hufkens, K.; Klosterman, S.; Richardson, A. D.; Toomey, M. P.
2012-12-01
The PhenoCam project (http://phenocam.unh.edu/) is tasked with acquiring, processing, and archiving digital repeat photography to be used for scientific studies of vegetation phenological processes. Over the past 5 years the PhenoCam project has collected over 2 million time series images for a total over 700 GB of image data. Several papers have been published describing derived "vegetation indices" (such as green-chromatic-coordinate or gcc) which can be compared to standard measures such as NDVI or EVI. Imagery from our archive is available for download but converting series of images for a particular camera into useful scientific data, while simple in principle, is complicated by a variety of factors. Cameras are often exposed to harsh weather conditions (high wind, rain, ice, snow pile up), which result in images where the field of view (FOV) is partially obscured or completely blocked for periods of time. The FOV can also change for other reasons (mount failures, tower maintenance, etc.) Some of the relatively inexpensive cameras that are being used can also temporarily lose color balance or exposure controls resulting in loss of imagery. All these factors negatively influence the automated analysis of the image time series making this a non-trivial task. Here we discuss the challenges of processing PhenoCam image time-series for vegetation monitoring and the associated data management tasks. We describe our current processing framework and a simple standardized output format for the resulting time-series data. The time-series data in this format will be generated for specific "regions of interest" (ROI's) for each of the cameras in the PhenoCam network. This standardized output (which will be updated daily) can be considered 'the pulse' of a particular camera and will provide a default phenological dynamic for said camera. The time-series data can also be viewed as a higher level product which can be used to generate "vegetation indices", like gcc, for
Moeeni, Hamid; Bonakdari, Hossein; Fatemi, Seyed Ehsan
2017-04-01
Because time series stationarization has a key role in stochastic modeling results, three methods are analyzed in this study. The methods are seasonal differencing, seasonal standardization and spectral analysis to eliminate the periodic effect on time series stationarity. First, six time series including 4 streamflow series and 2 water temperature series are stationarized. The stochastic term for these series obtained with ARIMA is subsequently modeled. For the analysis, 9228 models are introduced. It is observed that seasonal standardization and spectral analysis eliminate the periodic term completely, while seasonal differencing maintains seasonal correlation structures. The obtained results indicate that all three methods present acceptable performance overall. However, model accuracy in monthly streamflow prediction is higher with seasonal differencing than with the other two methods. Another advantage of seasonal differencing over the other methods is that the monthly streamflow is never estimated as negative. Standardization is the best method for predicting monthly water temperature although it is quite similar to seasonal differencing, while spectral analysis performed the weakest in all cases. It is concluded that for each monthly seasonal series, seasonal differencing is the best stationarization method in terms of periodic effect elimination. Moreover, the monthly water temperature is predicted with more accuracy than monthly streamflow. The criteria of the average stochastic term divided by the amplitude of the periodic term obtained for monthly streamflow and monthly water temperature were 0.19 and 0.30, 0.21 and 0.13, and 0.07 and 0.04 respectively. As a result, the periodic term is more dominant than the stochastic term for water temperature in the monthly water temperature series compared to streamflow series.
Deviations from uniform power law scaling in nonstationary time series
Viswanathan, G. M.; Peng, C. K.; Stanley, H. E.; Goldberger, A. L.
1997-01-01
A classic problem in physics is the analysis of highly nonstationary time series that typically exhibit long-range correlations. Here we test the hypothesis that the scaling properties of the dynamics of healthy physiological systems are more stable than those of pathological systems by studying beat-to-beat fluctuations in the human heart rate. We develop techniques based on the Fano factor and Allan factor functions, as well as on detrended fluctuation analysis, for quantifying deviations from uniform power-law scaling in nonstationary time series. By analyzing extremely long data sets of up to N = 10(5) beats for 11 healthy subjects, we find that the fluctuations in the heart rate scale approximately uniformly over several temporal orders of magnitude. By contrast, we find that in data sets of comparable length for 14 subjects with heart disease, the fluctuations grow erratically, indicating a loss of scaling stability.
Incremental fuzzy C medoids clustering of time series data using dynamic time warping distance.
Liu, Yongli; Chen, Jingli; Wu, Shuai; Liu, Zhizhong; Chao, Hao
2018-01-01
Clustering time series data is of great significance since it could extract meaningful statistics and other characteristics. Especially in biomedical engineering, outstanding clustering algorithms for time series may help improve the health level of people. Considering data scale and time shifts of time series, in this paper, we introduce two incremental fuzzy clustering algorithms based on a Dynamic Time Warping (DTW) distance. For recruiting Single-Pass and Online patterns, our algorithms could handle large-scale time series data by splitting it into a set of chunks which are processed sequentially. Besides, our algorithms select DTW to measure distance of pair-wise time series and encourage higher clustering accuracy because DTW could determine an optimal match between any two time series by stretching or compressing segments of temporal data. Our new algorithms are compared to some existing prominent incremental fuzzy clustering algorithms on 12 benchmark time series datasets. The experimental results show that the proposed approaches could yield high quality clusters and were better than all the competitors in terms of clustering accuracy.
Incremental fuzzy C medoids clustering of time series data using dynamic time warping distance
Chen, Jingli; Wu, Shuai; Liu, Zhizhong; Chao, Hao
2018-01-01
Clustering time series data is of great significance since it could extract meaningful statistics and other characteristics. Especially in biomedical engineering, outstanding clustering algorithms for time series may help improve the health level of people. Considering data scale and time shifts of time series, in this paper, we introduce two incremental fuzzy clustering algorithms based on a Dynamic Time Warping (DTW) distance. For recruiting Single-Pass and Online patterns, our algorithms could handle large-scale time series data by splitting it into a set of chunks which are processed sequentially. Besides, our algorithms select DTW to measure distance of pair-wise time series and encourage higher clustering accuracy because DTW could determine an optimal match between any two time series by stretching or compressing segments of temporal data. Our new algorithms are compared to some existing prominent incremental fuzzy clustering algorithms on 12 benchmark time series datasets. The experimental results show that the proposed approaches could yield high quality clusters and were better than all the competitors in terms of clustering accuracy. PMID:29795600
STATIONARITY OF ANNUAL MAXIMUM DAILY STREAMFLOW TIME SERIES IN SOUTH-EAST BRAZILIAN RIVERS
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Jorge Machado Damázio
2015-08-01
Full Text Available DOI: 10.12957/cadest.2014.18302The paper presents a statistical analysis of annual maxima daily streamflow between 1931 and 2013 in South-East Brazil focused in detecting and modelling non-stationarity aspects. Flood protection for the large valleys in South-East Brazil is provided by multiple purpose reservoir systems built during 20th century, which design and operation plans has been done assuming stationarity of historical flood time series. Land cover changes and rapidly-increasing level of atmosphere greenhouse gases of the last century may be affecting flood regimes in these valleys so that it can be that nonstationary modelling should be applied to re-asses dam safety and flood control operation rules at the existent reservoir system. Six annual maximum daily streamflow time series are analysed. The time series were plotted together with fitted smooth loess functions and non-parametric statistical tests are performed to check the significance of apparent trends shown by the plots. Non-stationarity is modelled by fitting univariate extreme value distribution functions which location varies linearly with time. Stationarity and non-stationarity modelling are compared with the likelihood ratio statistic. In four of the six analyzed time series non-stationarity modelling outperformed stationarity modelling.Keywords: Stationarity; Extreme Value Distributions; Flood Frequency Analysis; Maximum Likelihood Method.
Hamid, Nor Zila Abd; Adenan, Nur Hamiza; Noorani, Mohd Salmi Md
2017-08-01
Forecasting and analyzing the ozone (O3) concentration time series is important because the pollutant is harmful to health. This study is a pilot study for forecasting and analyzing the O3 time series in one of Malaysian educational area namely Shah Alam using chaotic approach. Through this approach, the observed hourly scalar time series is reconstructed into a multi-dimensional phase space, which is then used to forecast the future time series through the local linear approximation method. The main purpose is to forecast the high O3 concentrations. The original method performed poorly but the improved method addressed the weakness thereby enabling the high concentrations to be successfully forecast. The correlation coefficient between the observed and forecasted time series through the improved method is 0.9159 and both the mean absolute error and root mean squared error are low. Thus, the improved method is advantageous. The time series analysis by means of the phase space plot and Cao method identified the presence of low-dimensional chaotic dynamics in the observed O3 time series. Results showed that at least seven factors affect the studied O3 time series, which is consistent with the listed factors from the diurnal variations investigation and the sensitivity analysis from past studies. In conclusion, chaotic approach has been successfully forecast and analyzes the O3 time series in educational area of Shah Alam. These findings are expected to help stakeholders such as Ministry of Education and Department of Environment in having a better air pollution management.
Time series clustering in large data sets
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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.
Advances in time series methods and applications the A. Ian McLeod festschrift
Stanford, David; Yu, Hao
2016-01-01
This volume reviews and summarizes some of A. I. McLeod's significant contributions to time series analysis. It also contains original contributions to the field and to related areas by participants of the festschrift held in June 2014 and friends of Dr. McLeod. Covering a diverse range of state-of-the-art topics, this volume well balances applied and theoretical research across fourteen contributions by experts in the field. It will be of interest to researchers and practitioners in time series, econometricians, and graduate students in time series or econometrics, as well as environmental statisticians, data scientists, statisticians interested in graphical models, and researchers in quantitative risk management.
Functional clustering of time series gene expression data by Granger causality
2012-01-01
Background A common approach for time series gene expression data analysis includes the clustering of genes with similar expression patterns throughout time. Clustered gene expression profiles point to the joint contribution of groups of genes to a particular cellular process. However, since genes belong to intricate networks, other features, besides comparable expression patterns, should provide additional information for the identification of functionally similar genes. Results In this study we perform gene clustering through the identification of Granger causality between and within sets of time series gene expression data. Granger causality is based on the idea that the cause of an event cannot come after its consequence. Conclusions This kind of analysis can be used as a complementary approach for functional clustering, wherein genes would be clustered not solely based on their expression similarity but on their topological proximity built according to the intensity of Granger causality among them. PMID:23107425
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.
García Maset, Leonor; González, Lidia Blasco; Furquet, Gonzalo Llop; Suay, Francisco Montes; Marco, Roberto Hernández
2016-11-01
Time series analysis provides information on blood glucose dynamics that is unattainable with conventional glycemic variability (GV) indices. To date, no studies have been published on these parameters in pediatric patients with type 1 diabetes. Our aim is to evaluate the relationship between time series analysis and conventional GV indices, and glycosylated hemoglobin (HbA1c) levels. This is a transversal study of 41 children and adolescents with type 1 diabetes. Glucose monitoring was carried out continuously for 72 h to study the following GV indices: standard deviation (SD) of glucose levels (mg/dL), coefficient of variation (%), interquartile range (IQR; mg/dL), mean amplitude of the largest glycemic excursions (MAGE), and continuous overlapping net glycemic action (CONGA). The time series analysis was conducted by means of detrended fluctuation analysis (DFA) and Poincaré plot. Time series parameters (DFA alpha coefficient and elements of the ellipse of the Poincaré plot) correlated well with the more conventional GV indices. Patients were grouped according to the terciles of these indices, to the terciles of eccentricity (1: 12.56-16.98, 2: 16.99-21.91, 3: 21.92-41.03), and to the value of the DFA alpha coefficient (> or ≤1.5). No differences were observed in the HbA1c of patients grouped by GV index criteria; however, significant differences were found in patients grouped by alpha coefficient and eccentricity, not only in terms of HbA1c, but also in SD glucose, IQR, and CONGA index. The loss of complexity in glycemic homeostasis is accompanied by an increase in variability.
Lag space estimation in time series modelling
DEFF Research Database (Denmark)
Goutte, Cyril
1997-01-01
The purpose of this article is to investigate some techniques for finding the relevant lag-space, i.e. input information, for time series modelling. This is an important aspect of time series modelling, as it conditions the design of the model through the regressor vector a.k.a. the input layer...
Directory of Open Access Journals (Sweden)
Jun Yang
2014-01-01
Full Text Available To improve the CNC machine tools precision, a thermal error modeling for the motorized spindle was proposed based on time series analysis, considering the length of cutting tools and thermal declined angles, and the real-time error compensation was implemented. A five-point method was applied to measure radial thermal declinations and axial expansion of the spindle with eddy current sensors, solving the problem that the three-point measurement cannot obtain the radial thermal angle errors. Then the stationarity of the thermal error sequences was determined by the Augmented Dickey-Fuller Test Algorithm, and the autocorrelation/partial autocorrelation function was applied to identify the model pattern. By combining both Yule-Walker equations and information criteria, the order and parameters of the models were solved effectively, which improved the prediction accuracy and generalization ability. The results indicated that the prediction accuracy of the time series model could reach up to 90%. In addition, the axial maximum error decreased from 39.6 μm to 7 μm after error compensation, and the machining accuracy was improved by 89.7%. Moreover, the X/Y-direction accuracy can reach up to 77.4% and 86%, respectively, which demonstrated that the proposed methods of measurement, modeling, and compensation were effective.
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...
PhilDB: the time series database with built-in change logging
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Andrew MacDonald
2016-03-01
Full Text Available PhilDB is an open-source time series database that supports storage of time series datasets that are dynamic; that is, it records updates to existing values in a log as they occur. PhilDB eases loading of data for the user by utilising an intelligent data write method. It preserves existing values during updates and abstracts the update complexity required to achieve logging of data value changes. It implements fast reads to make it practical to select data for analysis. Recent open-source systems have been developed to indefinitely store long-period high-resolution time series data without change logging. Unfortunately, such systems generally require a large initial installation investment before use because they are designed to operate over a cluster of servers to achieve high-performance writing of static data in real time. In essence, they have a ‘big data’ approach to storage and access. Other open-source projects for handling time series data that avoid the ‘big data’ approach are also relatively new and are complex or incomplete. None of these systems gracefully handle revision of existing data while tracking values that change. Unlike ‘big data’ solutions, PhilDB has been designed for single machine deployment on commodity hardware, reducing the barrier to deployment. PhilDB takes a unique approach to meta-data tracking; optional attribute attachment. This facilitates scaling the complexities of storing a wide variety of data. That is, it allows time series data to be loaded as time series instances with minimal initial meta-data, yet additional attributes can be created and attached to differentiate the time series instances when a wider variety of data is needed. PhilDB was written in Python, leveraging existing libraries. While some existing systems come close to meeting the needs PhilDB addresses, none cover all the needs at once. PhilDB was written to fill this gap in existing solutions. This paper explores existing time
Effect of parameter calculation in direct estimation of the Lyapunov exponent in short time series
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A. M. López Jiménez
2002-01-01
Full Text Available The literature about non-linear dynamics offers a few recommendations, which sometimes are divergent, about the criteria to be used in order to select the optimal calculus parameters in the estimation of Lyapunov exponents by direct methods. These few recommendations are circumscribed to the analysis of chaotic systems. We have found no recommendation for the estimation of λ starting from the time series of classic systems. The reason for this is the interest in distinguishing variability due to a chaotic behavior of determinist dynamic systems of variability caused by white noise or linear stochastic processes, and less in the identification of non-linear terms from the analysis of time series. In this study we have centered in the dependence of the Lyapunov exponent, obtained by means of direct estimation, of the initial distance and the time evolution. We have used generated series of chaotic systems and generated series of classic systems with varying complexity. To generate the series we have used the logistic map.
International Nuclear Information System (INIS)
Hofschen, S.; Wolff, I.
1996-01-01
Time-domain simulation results of two-dimensional (2-D) planar waveguide finite-difference time-domain (FDTD) analysis are normally analyzed using Fourier transform. The introduced method of time series analysis to extract propagation and attenuation constants reduces the desired computation time drastically. Additionally, a nonequidistant discretization together with an adequate excitation technique is used to reduce the number of spatial grid points. Therefore, it is possible to reduce the number of spatial grid points. Therefore, it is possible to simulate normal- and superconducting planar waveguide structures with very thin conductors a