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Automatic trend estimation

  • C˘alin Vamos¸
  • Maria Cr˘aciun

Part of the SpringerBriefs in Physics book series (SpringerBriefs in Physics)

Table of contents

  1. Front Matter
    Pages i-x
  2. Calin Vamos, Maria Craciun
    Pages 1-13
  3. Calin Vamos, Maria Craciun
    Pages 15-30
  4. Calin Vamos, Maria Craciun
    Pages 31-42
  5. Calin Vamos, Maria Craciun
    Pages 43-59
  6. Calin Vamos, Maria Craciun
    Pages 61-80
  7. Calin Vamos, Maria Craciun
    Pages 99-110
  8. Back Matter
    Pages 111-131

About this book

Introduction

Our book introduces a method to evaluate the accuracy of trend estimation algorithms under conditions similar to those encountered in real time series processing. This method is based on Monte Carlo experiments with artificial time series numerically generated by an original algorithm. The second part of the book contains several automatic algorithms for trend estimation and time series partitioning. The source codes of the computer programs implementing these original automatic algorithms are given in the appendix and will be freely available on the web. The book contains clear statement of the conditions and the approximations under which the algorithms work, as well as the proper interpretation of their results. We illustrate the functioning of the analyzed algorithms by processing time series from astrophysics, finance, biophysics, and paleoclimatology. The numerical experiment method extensively used in our book is already in common use in computational and statistical physics.

Keywords

Automatic Estimation of Trends Average Conditional Displacement Discrete Stochastic Processes Monte Carlo Experiment Noise Smoothing Noisy Time Series Polynomial Fitting Time Series Partitioning Trend Estimation Algorithms

Authors and affiliations

  • C˘alin Vamos¸
    • 1
  • Maria Cr˘aciun
    • 2
  1. 1.Institute of Numerical AnalysisTiberiu PopoviciuCluj-NapocaRomania
  2. 2.Institute of Numerical AnalysisTiberiu PopoviciuCluj-NapocaRomania

Bibliographic information

  • DOI https://doi.org/10.1007/978-94-007-4825-5
  • Copyright Information The Author(s) 2013
  • Publisher Name Springer, Dordrecht
  • eBook Packages Physics and Astronomy
  • Print ISBN 978-94-007-4824-8
  • Online ISBN 978-94-007-4825-5
  • Series Print ISSN 2191-5423
  • Series Online ISSN 2191-5431
  • Buy this book on publisher's site