Online Conditional Outlier Detection in Nonstationary Time Series

PubMed Central

Liu, Siqi; Wright, Adam; Hauskrecht, Milos

2017-01-01

The objective of this work is to develop methods for detecting outliers in time series data. Such methods can become the key component of various monitoring and alerting systems, where an outlier may be equal to some adverse condition that needs human attention. However, real-world time series are often affected by various sources of variability present in the environment that may influence the quality of detection; they may (1) explain some of the changes in the signal that would otherwise lead to false positive detections, as well as, (2) reduce the sensitivity of the detection algorithm leading to increase in false negatives. To alleviate these problems, we propose a new two-layer outlier detection approach that first tries to model and account for the nonstationarity and periodic variation in the time series, and then tries to use other observable variables in the environment to explain any additional signal variation. Our experiments on several data sets in different domains show that our method provides more accurate modeling of the time series, and that it is able to significantly improve outlier detection performance. PMID:29644345

Improvements to surrogate data methods for nonstationary time series.

PubMed

Lucio, J H; Valdés, R; Rodríguez, L R

2012-05-01

The method of surrogate data has been extensively applied to hypothesis testing of system linearity, when only one realization of the system, a time series, is known. Normally, surrogate data should preserve the linear stochastic structure and the amplitude distribution of the original series. Classical surrogate data methods (such as random permutation, amplitude adjusted Fourier transform, or iterative amplitude adjusted Fourier transform) are successful at preserving one or both of these features in stationary cases. However, they always produce stationary surrogates, hence existing nonstationarity could be interpreted as dynamic nonlinearity. Certain modifications have been proposed that additionally preserve some nonstationarity, at the expense of reproducing a great deal of nonlinearity. However, even those methods generally fail to preserve the trend (i.e., global nonstationarity in the mean) of the original series. This is the case of time series with unit roots in their autoregressive structure. Additionally, those methods, based on Fourier transform, either need first and last values in the original series to match, or they need to select a piece of the original series with matching ends. These conditions are often inapplicable and the resulting surrogates are adversely affected by the well-known artefact problem. In this study, we propose a simple technique that, applied within existing Fourier-transform-based methods, generates surrogate data that jointly preserve the aforementioned characteristics of the original series, including (even strong) trends. Moreover, our technique avoids the negative effects of end mismatch. Several artificial and real, stationary and nonstationary, linear and nonlinear time series are examined, in order to demonstrate the advantages of the methods. Corresponding surrogate data are produced with the classical and with the proposed methods, and the results are compared.

A simple and fast representation space for classifying complex time series

NASA Astrophysics Data System (ADS)

Zunino, Luciano; Olivares, Felipe; Bariviera, Aurelio F.; Rosso, Osvaldo A.

2017-03-01

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.

Non-parametric characterization of long-term rainfall time series

NASA Astrophysics Data System (ADS)

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.

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

NASA Astrophysics Data System (ADS)

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.

PubMed

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.

Visibility Graph Based Time Series Analysis

PubMed Central

Stephen, Mutua; Gu, Changgui; Yang, Huijie

2015-01-01

Network based time series analysis has made considerable achievements in the recent years. By mapping mono/multivariate time series into networks, one can investigate both it’s microscopic and macroscopic behaviors. However, most proposed approaches lead to the construction of static networks consequently providing limited information on evolutionary behaviors. In the present paper we propose a method called visibility graph based time series analysis, in which series segments are mapped to visibility graphs as being descriptions of the corresponding states and the successively occurring states are linked. This procedure converts a time series to a temporal network and at the same time a network of networks. Findings from empirical records for stock markets in USA (S&P500 and Nasdaq) and artificial series generated by means of fractional Gaussian motions show that the method can provide us rich information benefiting short-term and long-term predictions. Theoretically, we propose a method to investigate time series from the viewpoint of network of networks. PMID:26571115

Visibility Graph Based Time Series Analysis.

PubMed

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.

Introduction to Time Series Analysis

NASA Technical Reports Server (NTRS)

Hardin, J. C.

1986-01-01

The field of time series analysis is explored from its logical foundations to the most modern data analysis techniques. The presentation is developed, as far as possible, for continuous data, so that the inevitable use of discrete mathematics is postponed until the reader has gained some familiarity with the concepts. The monograph seeks to provide the reader with both the theoretical overview and the practical details necessary to correctly apply the full range of these powerful techniques. In addition, the last chapter introduces many specialized areas where research is currently in progress.

Updating Landsat time series of surface-reflectance composites and forest change products with new observations

NASA Astrophysics Data System (ADS)

Hermosilla, Txomin; Wulder, Michael A.; White, Joanne C.; Coops, Nicholas C.; Hobart, Geordie W.

2017-12-01

The use of time series satellite data allows for the temporally dense, systematic, transparent, and synoptic capture of land dynamics over time. Subsequent to the opening of the Landsat archive, several time series approaches for characterizing landscape change have been developed, often representing a particular analytical time window. The information richness and widespread utility of these time series data have created a need to maintain the currency of time series information via the addition of new data, as it becomes available. When an existing time series is temporally extended, it is critical that previously generated change information remains consistent, thereby not altering reported change statistics or science outcomes based on that change information. In this research, we investigate the impacts and implications of adding additional years to an existing 29-year annual Landsat time series for forest change. To do so, we undertook a spatially explicit comparison of the 29 overlapping years of a time series representing 1984-2012, with a time series representing 1984-2016. Surface reflectance values, and presence, year, and type of change were compared. We found that the addition of years to extend the time series had minimal effect on the annual surface reflectance composites, with slight band-specific differences (r ≥ 0.1) in the final years of the original time series being updated. The area of stand replacing disturbances and determination of change year are virtually unchanged for the overlapping period between the two time-series products. Over the overlapping temporal period (1984-2012), the total area of change differs by 0.53%, equating to an annual difference in change area of 0.019%. Overall, the spatial and temporal agreement of the changes detected by both time series was 96%. Further, our findings suggest that the entire pre-existing historic time series does not need to be re-processed during the update process. Critically, given the time

Using forbidden ordinal patterns to detect determinism in irregularly sampled time series.

PubMed

Kulp, C W; Chobot, J M; Niskala, B J; Needhammer, C J

2016-02-01

It is known that when symbolizing a time series into ordinal patterns using the Bandt-Pompe (BP) methodology, there will be ordinal patterns called forbidden patterns that do not occur in a deterministic series. The existence of forbidden patterns can be used to identify deterministic dynamics. In this paper, the ability to use forbidden patterns to detect determinism in irregularly sampled time series is tested on data generated from a continuous model system. The study is done in three parts. First, the effects of sampling time on the number of forbidden patterns are studied on regularly sampled time series. The next two parts focus on two types of irregular-sampling, missing data and timing jitter. It is shown that forbidden patterns can be used to detect determinism in irregularly sampled time series for low degrees of sampling irregularity (as defined in the paper). In addition, comments are made about the appropriateness of using the BP methodology to symbolize irregularly sampled time series.

Volatility of linear and nonlinear time series

NASA Astrophysics Data System (ADS)

Kalisky, Tomer; Ashkenazy, Yosef; Havlin, Shlomo

2005-07-01

Previous studies indicated that nonlinear properties of Gaussian distributed time series with long-range correlations, ui , can be detected and quantified by studying the correlations in the magnitude series ∣ui∣ , the “volatility.” However, the origin for this empirical observation still remains unclear and the exact relation between the correlations in ui and the correlations in ∣ui∣ is still unknown. Here we develop analytical relations between the scaling exponent of linear series ui and its magnitude series ∣ui∣ . Moreover, we find that nonlinear time series exhibit stronger (or the same) correlations in the magnitude time series compared with linear time series with the same two-point correlations. Based on these results we propose a simple model that generates multifractal time series by explicitly inserting long range correlations in the magnitude series; the nonlinear multifractal time series is generated by multiplying a long-range correlated time series (that represents the magnitude series) with uncorrelated time series [that represents the sign series sgn(ui) ]. We apply our techniques on daily deep ocean temperature records from the equatorial Pacific, the region of the El-Ninõ phenomenon, and find: (i) long-range correlations from several days to several years with 1/f power spectrum, (ii) significant nonlinear behavior as expressed by long-range correlations of the volatility series, and (iii) broad multifractal spectrum.

Network structure of multivariate time series.

PubMed

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.

A Method for Comparing Multivariate Time Series with Different Dimensions

PubMed Central

Tapinos, Avraam; Mendes, Pedro

2013-01-01

In many situations it is desirable to compare dynamical systems based on their behavior. Similarity of behavior often implies similarity of internal mechanisms or dependency on common extrinsic factors. While there are widely used methods for comparing univariate time series, most dynamical systems are characterized by multivariate time series. Yet, comparison of multivariate time series has been limited to cases where they share a common dimensionality. A semi-metric is a distance function that has the properties of non-negativity, symmetry and reflexivity, but not sub-additivity. Here we develop a semi-metric – SMETS – that can be used for comparing groups of time series that may have different dimensions. To demonstrate its utility, the method is applied to dynamic models of biochemical networks and to portfolios of shares. The former is an example of a case where the dependencies between system variables are known, while in the latter the system is treated (and behaves) as a black box. PMID:23393554

A study of stationarity in time series by using wavelet transform

NASA Astrophysics Data System (ADS)

Dghais, Amel Abdoullah Ahmed; Ismail, Mohd Tahir

2014-07-01

In this work the core objective is to apply discrete wavelet transform (DWT) functions namely Haar, Daubechies, Symmlet, Coiflet and discrete approximation of the meyer wavelets in non-stationary financial time series data from US stock market (DJIA30). The data consists of 2048 daily data of closing index starting from December 17, 2004 until October 23, 2012. From the unit root test the results show that the data is non stationary in the level. In order to study the stationarity of a time series, the autocorrelation function (ACF) is used. Results indicate that, Haar function is the lowest function to obtain noisy series as compared to Daubechies, Symmlet, Coiflet and discrete approximation of the meyer wavelets. In addition, the original data after decomposition by DWT is less noisy series than decomposition by DWT for return time series.

Association mining of dependency between time series

NASA Astrophysics Data System (ADS)

Hafez, Alaaeldin

2001-03-01

Time series analysis is considered as a crucial component of strategic control over a broad variety of disciplines in business, science and engineering. Time series data is a sequence of observations collected over intervals of time. Each time series describes a phenomenon as a function of time. Analysis on time series data includes discovering trends (or patterns) in a time series sequence. In the last few years, data mining has emerged and been recognized as a new technology for data analysis. Data Mining is the process of discovering potentially valuable patterns, associations, trends, sequences and dependencies in data. Data mining techniques can discover information that many traditional business analysis and statistical techniques fail to deliver. In this paper, we adapt and innovate data mining techniques to analyze time series data. By using data mining techniques, maximal frequent patterns are discovered and used in predicting future sequences or trends, where trends describe the behavior of a sequence. In order to include different types of time series (e.g. irregular and non- systematic), we consider past frequent patterns of the same time sequences (local patterns) and of other dependent time sequences (global patterns). We use the word 'dependent' instead of the word 'similar' for emphasis on real life time series where two time series sequences could be completely different (in values, shapes, etc.), but they still react to the same conditions in a dependent way. In this paper, we propose the Dependence Mining Technique that could be used in predicting time series sequences. The proposed technique consists of three phases: (a) for all time series sequences, generate their trend sequences, (b) discover maximal frequent trend patterns, generate pattern vectors (to keep information of frequent trend patterns), use trend pattern vectors to predict future time series sequences.

A Review of Subsequence Time Series Clustering

PubMed Central

Teh, Ying Wah

2014-01-01

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

A review of subsequence time series clustering.

PubMed

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.

Smoothing of climate time series revisited

NASA Astrophysics Data System (ADS)

Mann, Michael E.

2008-08-01

We present an easily implemented method for smoothing climate time series, generalizing upon an approach previously described by Mann (2004). The method adaptively weights the three lowest order time series boundary constraints to optimize the fit with the raw time series. We apply the method to the instrumental global mean temperature series from 1850-2007 and to various surrogate global mean temperature series from 1850-2100 derived from the CMIP3 multimodel intercomparison project. These applications demonstrate that the adaptive method systematically out-performs certain widely used default smoothing methods, and is more likely to yield accurate assessments of long-term warming trends.

Relating the large-scale structure of time series and visibility networks.

PubMed

Rodríguez, Miguel A

2017-06-01

The structure of time series is usually characterized by means of correlations. A new proposal based on visibility networks has been considered recently. Visibility networks are complex networks mapped from surfaces or time series using visibility properties. The structures of time series and visibility networks are closely related, as shown by means of fractional time series in recent works. In these works, a simple relationship between the Hurst exponent H of fractional time series and the exponent of the distribution of edges γ of the corresponding visibility network, which exhibits a power law, is shown. To check and generalize these results, in this paper we delve into this idea of connected structures by defining both structures more properly. In addition to the exponents used before, H and γ, which take into account local properties, we consider two more exponents that, as we will show, characterize global properties. These are the exponent α for time series, which gives the scaling of the variance with the size as var∼T^{2α}, and the exponent κ of their corresponding network, which gives the scaling of the averaged maximum of the number of edges, 〈k_{M}〉∼N^{κ}. With this representation, a more precise connection between the structures of general time series and their associated visibility network is achieved. Similarities and differences are more clearly established, and new scaling forms of complex networks appear in agreement with their respective classes of time series.

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

PubMed

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.

Time series with tailored nonlinearities

NASA Astrophysics Data System (ADS)

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.

Clustering of financial time series

NASA Astrophysics Data System (ADS)

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.

Aggregated Indexing of Biomedical Time Series Data

PubMed Central

Woodbridge, Jonathan; Mortazavi, Bobak; Sarrafzadeh, Majid; Bui, Alex A.T.

2016-01-01

Remote and wearable medical sensing has the potential to create very large and high dimensional datasets. Medical time series databases must be able to efficiently store, index, and mine these datasets to enable medical professionals to effectively analyze data collected from their patients. Conventional high dimensional indexing methods are a two stage process. First, a superset of the true matches is efficiently extracted from the database. Second, supersets are pruned by comparing each of their objects to the query object and rejecting any objects falling outside a predetermined radius. This pruning stage heavily dominates the computational complexity of most conventional search algorithms. Therefore, indexing algorithms can be significantly improved by reducing the amount of pruning. This paper presents an online algorithm to aggregate biomedical times series data to significantly reduce the search space (index size) without compromising the quality of search results. This algorithm is built on the observation that biomedical time series signals are composed of cyclical and often similar patterns. This algorithm takes in a stream of segments and groups them to highly concentrated collections. Locality Sensitive Hashing (LSH) is used to reduce the overall complexity of the algorithm, allowing it to run online. The output of this aggregation is used to populate an index. The proposed algorithm yields logarithmic growth of the index (with respect to the total number of objects) while keeping sensitivity and specificity simultaneously above 98%. Both memory and runtime complexities of time series search are improved when using aggregated indexes. In addition, data mining tasks, such as clustering, exhibit runtimes that are orders of magnitudes faster when run on aggregated indexes. PMID:27617298

Time averaging, ageing and delay analysis of financial time series

NASA Astrophysics Data System (ADS)

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.

Memory and betweenness preference in temporal networks induced from time series

NASA Astrophysics Data System (ADS)

Weng, Tongfeng; Zhang, Jie; Small, Michael; Zheng, Rui; Hui, Pan

2017-02-01

We construct temporal networks from time series via unfolding the temporal information into an additional topological dimension of the networks. Thus, we are able to introduce memory entropy analysis to unravel the memory effect within the considered signal. We find distinct patterns in the entropy growth rate of the aggregate network at different memory scales for time series with different dynamics ranging from white noise, 1/f noise, autoregressive process, periodic to chaotic dynamics. Interestingly, for a chaotic time series, an exponential scaling emerges in the memory entropy analysis. We demonstrate that the memory exponent can successfully characterize bifurcation phenomenon, and differentiate the human cardiac system in healthy and pathological states. Moreover, we show that the betweenness preference analysis of these temporal networks can further characterize dynamical systems and separate distinct electrocardiogram recordings. Our work explores the memory effect and betweenness preference in temporal networks constructed from time series data, providing a new perspective to understand the underlying dynamical systems.

Entropic Analysis of Electromyography Time Series

NASA Astrophysics Data System (ADS)

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.

Homogenising time series: Beliefs, dogmas and facts

NASA Astrophysics Data System (ADS)

Domonkos, P.

2010-09-01

For obtaining reliable information about climate change and climate variability the use of high quality data series is essentially important, and one basic tool of quality improvements is the statistical homogenisation of observed time series. In the recent decades large number of homogenisation methods has been developed, but the real effects of their application on time series are still not known entirely. The ongoing COST HOME project (COST ES0601) is devoted to reveal the real impacts of homogenisation methods more detailed and with higher confidence than earlier. As 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 to test the wide variety of homogenisation methods, and analyse the real effects of selected theoretical recommendations. The author believes that several old theoretical rules have to be re-evaluated. Some examples of the hot questions, a) Statistically detected change-points can be accepted only with the confirmation of metadata information? b) Do semi-hierarchic algorithms for detecting multiple change-points in time series function effectively in practise? c) Is it good to limit the spatial comparison of candidate series with up to five other series in the neighbourhood? Empirical results - those from the COST benchmark, and other experiments too - show that real observed time series usually include several inhomogeneities of different sizes. Small inhomogeneities seem like part of the climatic variability, thus the pure application of 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. The developers and users of homogenisation methods have to bear in mind that

Quantifying memory in complex physiological time-series.

PubMed

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.

Quantifying Memory in Complex Physiological Time-Series

PubMed Central

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. PMID:24039811

Multifractality Signatures in Quasars Time Series. I. 3C 273

NASA Astrophysics Data System (ADS)

Belete, A. Bewketu; Bravo, J. P.; Canto Martins, B. L.; Leão, I. C.; De Araujo, J. M.; De Medeiros, J. R.

2018-05-01

The presence of multifractality in a time series shows different correlations for different time scales as well as intermittent behaviour that cannot be captured by a single scaling exponent. The identification of a multifractal nature allows for a characterization of the dynamics and of the intermittency of the fluctuations in non-linear and complex systems. In this study, we search for a possible multifractal structure (multifractality signature) of the flux variability in the quasar 3C 273 time series for all electromagnetic wavebands at different observation points, and the origins for the observed multifractality. This study is intended to highlight how the scaling behaves across the different bands of the selected candidate which can be used as an additional new technique to group quasars based on the fractal signature observed in their time series and determine whether quasars are non-linear physical systems or not. The Multifractal Detrended Moving Average algorithm (MFDMA) has been used to study the scaling in non-linear, complex and dynamic systems. To achieve this goal, we applied the backward (θ = 0) MFDMA method for one-dimensional signals. We observe weak multifractal (close to monofractal) behaviour in some of the time series of our candidate except in the mm, UV and X-ray bands. The non-linear temporal correlation is the main source of the observed multifractality in the time series whereas the heaviness of the distribution contributes less.

InSAR Deformation Time Series Processed On-Demand in the Cloud

NASA Astrophysics Data System (ADS)

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

2017-12-01

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

Bayesian methods for outliers detection in GNSS time series

NASA Astrophysics Data System (ADS)

Qianqian, Zhang; Qingming, Gui

2013-07-01

This article is concerned with the problem of detecting outliers in GNSS time series based on Bayesian statistical theory. Firstly, a new model is proposed to simultaneously detect different types of outliers based on the conception of introducing different types of classification variables corresponding to the different types of outliers; the problem of outlier detection is converted into the computation of the corresponding posterior probabilities, and the algorithm for computing the posterior probabilities based on standard Gibbs sampler is designed. Secondly, we analyze the reasons of masking and swamping about detecting patches of additive outliers intensively; an unmasking Bayesian method for detecting additive outlier patches is proposed based on an adaptive Gibbs sampler. Thirdly, the correctness of the theories and methods proposed above is illustrated by simulated data and then by analyzing real GNSS observations, such as cycle slips detection in carrier phase data. Examples illustrate that the Bayesian methods for outliers detection in GNSS time series proposed by this paper are not only capable of detecting isolated outliers but also capable of detecting additive outlier patches. Furthermore, it can be successfully used to process cycle slips in phase data, which solves the problem of small cycle slips.

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

PubMed

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.

Causal strength induction from time series data.

PubMed

Soo, Kevin W; Rottman, Benjamin M

2018-04-01

One challenge when inferring the strength of cause-effect relations from time series data is that the cause and/or effect can exhibit temporal trends. If temporal trends are not accounted for, a learner could infer that a causal relation exists when it does not, or even infer that there is a positive causal relation when the relation is negative, or vice versa. We propose that learners use a simple heuristic to control for temporal trends-that they focus not on the states of the cause and effect at a given instant, but on how the cause and effect change from one observation to the next, which we call transitions. Six experiments were conducted to understand how people infer causal strength from time series data. We found that participants indeed use transitions in addition to states, which helps them to reach more accurate causal judgments (Experiments 1A and 1B). Participants use transitions more when the stimuli are presented in a naturalistic visual format than a numerical format (Experiment 2), and the effect of transitions is not driven by primacy or recency effects (Experiment 3). Finally, we found that participants primarily use the direction in which variables change rather than the magnitude of the change for estimating causal strength (Experiments 4 and 5). Collectively, these studies provide evidence that people often use a simple yet effective heuristic for inferring causal strength from time series data. (PsycINFO Database Record (c) 2018 APA, all rights reserved).

Interpretable Categorization of Heterogeneous Time Series Data

NASA Technical Reports Server (NTRS)

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

2017-01-01

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

Multiscale limited penetrable horizontal visibility graph for analyzing nonlinear time series

NASA Astrophysics Data System (ADS)

Gao, Zhong-Ke; Cai, Qing; Yang, Yu-Xuan; Dang, Wei-Dong; Zhang, Shan-Shan

2016-10-01

Visibility graph has established itself as a powerful tool for analyzing time series. We in this paper develop a novel multiscale limited penetrable horizontal visibility graph (MLPHVG). We use nonlinear time series from two typical complex systems, i.e., EEG signals and two-phase flow signals, to demonstrate the effectiveness of our method. Combining MLPHVG and support vector machine, we detect epileptic seizures from the EEG signals recorded from healthy subjects and epilepsy patients and the classification accuracy is 100%. In addition, we derive MLPHVGs from oil-water two-phase flow signals and find that the average clustering coefficient at different scales allows faithfully identifying and characterizing three typical oil-water flow patterns. These findings render our MLPHVG method particularly useful for analyzing nonlinear time series from the perspective of multiscale network analysis.

Homogenising time series: beliefs, dogmas and facts

NASA Astrophysics Data System (ADS)

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.

Multivariate Time Series Decomposition into Oscillation Components.

PubMed

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.

Forecasting Enrollments with Fuzzy Time Series.

ERIC Educational Resources Information Center

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…

CHEMICAL TIME-SERIES SAMPLING

EPA Science Inventory

The rationale for chemical time-series sampling has its roots in the same fundamental relationships as govern well hydraulics. Samples of ground water are collected as a function of increasing time of pumpage. The most efficient pattern of collection consists of logarithmically s...

Cloud masking and removal in remote sensing image time series

NASA Astrophysics Data System (ADS)

Gómez-Chova, Luis; Amorós-López, Julia; Mateo-García, Gonzalo; Muñoz-Marí, Jordi; Camps-Valls, Gustau

2017-01-01

Automatic cloud masking of Earth observation images is one of the first required steps in optical remote sensing data processing since the operational use and product generation from satellite image time series might be hampered by undetected clouds. The high temporal revisit of current and forthcoming missions and the scarcity of labeled data force us to cast cloud screening as an unsupervised change detection problem in the temporal domain. We introduce a cloud screening method based on detecting abrupt changes along the time dimension. The main assumption is that image time series follow smooth variations over land (background) and abrupt changes will be mainly due to the presence of clouds. The method estimates the background surface changes using the information in the time series. In particular, we propose linear and nonlinear least squares regression algorithms that minimize both the prediction and the estimation error simultaneously. Then, significant differences in the image of interest with respect to the estimated background are identified as clouds. The use of kernel methods allows the generalization of the algorithm to account for higher-order (nonlinear) feature relations. After the proposed cloud masking and cloud removal, cloud-free time series at high spatial resolution can be used to obtain a better monitoring of land cover dynamics and to generate more elaborated products. The method is tested in a dataset with 5-day revisit time series from SPOT-4 at high resolution and with Landsat-8 time series. Experimental results show that the proposed method yields more accurate cloud masks when confronted with state-of-the-art approaches typically used in operational settings. In addition, the algorithm has been implemented in the Google Earth Engine platform, which allows us to access the full Landsat-8 catalog and work in a parallel distributed platform to extend its applicability to a global planetary scale.

On Stabilizing the Variance of Dynamic Functional Brain Connectivity Time Series

PubMed Central

Fransson, Peter

2016-01-01

Abstract 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. PMID:27784176

GrammarViz 3.0: Interactive Discovery of Variable-Length Time Series Patterns

DOE PAGES

Senin, Pavel; Lin, Jessica; Wang, Xing; ...

2018-02-23

The problems of recurrent and anomalous pattern discovery in time series, e.g., motifs and discords, respectively, have received a lot of attention from researchers in the past decade. However, since the pattern search space is usually intractable, most existing detection algorithms require that the patterns have discriminative characteristics and have its length known in advance and provided as input, which is an unreasonable requirement for many real-world problems. In addition, patterns of similar structure, but of different lengths may co-exist in a time series. In order to address these issues, we have developed algorithms for variable-length time series pattern discoverymore » that are based on symbolic discretization and grammar inference—two techniques whose combination enables the structured reduction of the search space and discovery of the candidate patterns in linear time. In this work, we present GrammarViz 3.0—a software package that provides implementations of proposed algorithms and graphical user interface for interactive variable-length time series pattern discovery. The current version of the software provides an alternative grammar inference algorithm that improves the time series motif discovery workflow, and introduces an experimental procedure for automated discretization parameter selection that builds upon the minimum cardinality maximum cover principle and aids the time series recurrent and anomalous pattern discovery.« less

GrammarViz 3.0: Interactive Discovery of Variable-Length Time Series Patterns

DOE Office of Scientific and Technical Information (OSTI.GOV)

Senin, Pavel; Lin, Jessica; Wang, Xing

The problems of recurrent and anomalous pattern discovery in time series, e.g., motifs and discords, respectively, have received a lot of attention from researchers in the past decade. However, since the pattern search space is usually intractable, most existing detection algorithms require that the patterns have discriminative characteristics and have its length known in advance and provided as input, which is an unreasonable requirement for many real-world problems. In addition, patterns of similar structure, but of different lengths may co-exist in a time series. In order to address these issues, we have developed algorithms for variable-length time series pattern discoverymore » that are based on symbolic discretization and grammar inference—two techniques whose combination enables the structured reduction of the search space and discovery of the candidate patterns in linear time. In this work, we present GrammarViz 3.0—a software package that provides implementations of proposed algorithms and graphical user interface for interactive variable-length time series pattern discovery. The current version of the software provides an alternative grammar inference algorithm that improves the time series motif discovery workflow, and introduces an experimental procedure for automated discretization parameter selection that builds upon the minimum cardinality maximum cover principle and aids the time series recurrent and anomalous pattern discovery.« less

Learning time series for intelligent monitoring

NASA Technical Reports Server (NTRS)

Manganaris, Stefanos; Fisher, Doug

1994-01-01

We address the problem of classifying time series according to their morphological features in the time domain. In a supervised machine-learning framework, we induce a classification procedure from a set of preclassified examples. For each class, we infer a model that captures its morphological features using Bayesian model induction and the minimum message length approach to assign priors. In the performance task, we classify a time series in one of the learned classes when there is enough evidence to support that decision. Time series with sufficiently novel features, belonging to classes not present in the training set, are recognized as such. We report results from experiments in a monitoring domain of interest to NASA.

Directionality volatility in electroencephalogram time series

NASA Astrophysics Data System (ADS)

Mansor, Mahayaudin M.; Green, David A.; Metcalfe, Andrew V.

2016-06-01

We compare time series of electroencephalograms (EEGs) from healthy volunteers with EEGs from subjects diagnosed with epilepsy. The EEG time series from the healthy group are recorded during awake state with their eyes open and eyes closed, and the records from subjects with epilepsy are taken from three different recording regions of pre-surgical diagnosis: hippocampal, epileptogenic and seizure zone. The comparisons for these 5 categories are in terms of deviations from linear time series models with constant variance Gaussian white noise error inputs. One feature investigated is directionality, and how this can be modelled by either non-linear threshold autoregressive models or non-Gaussian errors. A second feature is volatility, which is modelled by Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) processes. Other features include the proportion of variability accounted for by time series models, and the skewness and the kurtosis of the residuals. The results suggest these comparisons may have diagnostic potential for epilepsy and provide early warning of seizures.

Identification of periods of clear sky irradiance in time series of GHI measurements

DOE PAGES

Reno, Matthew J.; Hansen, Clifford W.

2016-01-18

In this study, we present a simple algorithm for identifying periods of time with broadband global horizontal irradiance (GHI) similar to that occurring during clear sky conditions from a time series of GHI measurements. Other available methods to identify these periods do so by identifying periods with clear sky conditions using additional measurements, such as direct or diffuse irradiance. Our algorithm compares characteristics of the time series of measured GHI with the output of a clear sky model without requiring additional measurements. We validate our algorithm using data from several locations by comparing our results with those obtained from amore » clear sky detection algorithm, and with satellite and ground-based sky imagery.« less

Identification of periods of clear sky irradiance in time series of GHI measurements

DOE Office of Scientific and Technical Information (OSTI.GOV)

Reno, Matthew J.; Hansen, Clifford W.

In this study, we present a simple algorithm for identifying periods of time with broadband global horizontal irradiance (GHI) similar to that occurring during clear sky conditions from a time series of GHI measurements. Other available methods to identify these periods do so by identifying periods with clear sky conditions using additional measurements, such as direct or diffuse irradiance. Our algorithm compares characteristics of the time series of measured GHI with the output of a clear sky model without requiring additional measurements. We validate our algorithm using data from several locations by comparing our results with those obtained from amore » clear sky detection algorithm, and with satellite and ground-based sky imagery.« less

Information mining over heterogeneous and high-dimensional time-series data in clinical trials databases.

PubMed

Altiparmak, Fatih; Ferhatosmanoglu, Hakan; Erdal, Selnur; Trost, Donald C

2006-04-01

An effective analysis of clinical trials data involves analyzing different types of data such as heterogeneous and high dimensional time series data. The current time series analysis methods generally assume that the series at hand have sufficient length to apply statistical techniques to them. Other ideal case assumptions are that data are collected in equal length intervals, and while comparing time series, the lengths are usually expected to be equal to each other. However, these assumptions are not valid for many real data sets, especially for the clinical trials data sets. An addition, the data sources are different from each other, the data are heterogeneous, and the sensitivity of the experiments varies by the source. Approaches for mining time series data need to be revisited, keeping the wide range of requirements in mind. In this paper, we propose a novel approach for information mining that involves two major steps: applying a data mining algorithm over homogeneous subsets of data, and identifying common or distinct patterns over the information gathered in the first step. Our approach is implemented specifically for heterogeneous and high dimensional time series clinical trials data. Using this framework, we propose a new way of utilizing frequent itemset mining, as well as clustering and declustering techniques with novel distance metrics for measuring similarity between time series data. By clustering the data, we find groups of analytes (substances in blood) that are most strongly correlated. Most of these relationships already known are verified by the clinical panels, and, in addition, we identify novel groups that need further biomedical analysis. A slight modification to our algorithm results an effective declustering of high dimensional time series data, which is then used for "feature selection." Using industry-sponsored clinical trials data sets, we are able to identify a small set of analytes that effectively models the state of normal health.

Clustering Financial Time Series by Network Community Analysis

NASA Astrophysics Data System (ADS)

Piccardi, Carlo; Calatroni, Lisa; Bertoni, Fabio

In this paper, we describe a method for clustering financial time series which is based on community analysis, a recently developed approach for partitioning the nodes of a network (graph). A network with N nodes is associated to the set of N time series. The weight of the link (i, j), which quantifies the similarity between the two corresponding time series, is defined according to a metric based on symbolic time series analysis, which has recently proved effective in the context of financial time series. Then, searching for network communities allows one to identify groups of nodes (and then time series) with strong similarity. A quantitative assessment of the significance of the obtained partition is also provided. The method is applied to two distinct case-studies concerning the US and Italy Stock Exchange, respectively. In the US case, the stability of the partitions over time is also thoroughly investigated. The results favorably compare with those obtained with the standard tools typically used for clustering financial time series, such as the minimal spanning tree and the hierarchical tree.

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

DOE Office of Scientific and Technical Information (OSTI.GOV)

Charakopoulos, A. K.; Karakasidis, T. E., E-mail: thkarak@uth.gr; Liakopoulos, A.

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 topologicalmore » 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.« less

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

DOE Office of Scientific and Technical Information (OSTI.GOV)

Charakopoulos, A. K.; Karakasidis, T. E., E-mail: thkarak@uth.gr; Liakopoulos, A.

2014-06-15

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 topologicalmore » 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.« less

Time Series Model Identification by Estimating Information.

DTIC Science & Technology

1982-11-01

principle, Applications of Statistics, P. R. Krishnaiah , ed., North-Holland: Amsterdam, 27-41. Anderson, T. W. (1971). The Statistical Analysis of Time Series...E. (1969). Multiple Time Series Modeling, Multivariate Analysis II, edited by P. Krishnaiah , Academic Press: New York, 389-409. Parzen, E. (1981...Newton, H. J. (1980). Multiple Time Series Modeling, II Multivariate Analysis - V, edited by P. Krishnaiah , North Holland: Amsterdam, 181-197. Shibata, R

Coastline detection with time series of SAR images

NASA Astrophysics Data System (ADS)

Ao, Dongyang; Dumitru, Octavian; Schwarz, Gottfried; Datcu, Mihai

2017-10-01

For maritime remote sensing, coastline detection is a vital task. With continuous coastline detection results from satellite image time series, the actual shoreline, the sea level, and environmental parameters can be observed to support coastal management and disaster warning. Established coastline detection methods are often based on SAR images and wellknown image processing approaches. These methods involve a lot of complicated data processing, which is a big challenge for remote sensing time series. Additionally, a number of SAR satellites operating with polarimetric capabilities have been launched in recent years, and many investigations of target characteristics in radar polarization have been performed. In this paper, a fast and efficient coastline detection method is proposed which comprises three steps. First, we calculate a modified correlation coefficient of two SAR images of different polarization. This coefficient differs from the traditional computation where normalization is needed. Through this modified approach, the separation between sea and land becomes more prominent. Second, we set a histogram-based threshold to distinguish between sea and land within the given image. The histogram is derived from the statistical distribution of the polarized SAR image pixel amplitudes. Third, we extract continuous coastlines using a Canny image edge detector that is rather immune to speckle noise. Finally, the individual coastlines derived from time series of .SAR images can be checked for changes.

Scale-dependent intrinsic entropies of complex time series.

PubMed

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).

An Energy-Based Similarity Measure for Time Series

NASA Astrophysics Data System (ADS)

Boudraa, Abdel-Ouahab; Cexus, Jean-Christophe; Groussat, Mathieu; Brunagel, Pierre

2007-12-01

A new similarity measure, called SimilB, for time series analysis, based on the cross-[InlineEquation not available: see fulltext.]-energy operator (2004), is introduced. [InlineEquation not available: see fulltext.] 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 [InlineEquation not available: see fulltext.] are presented. Particularly, we show that [InlineEquation not available: see fulltext.] 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.

Detecting chaos in irregularly sampled time series.

PubMed

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.

Complexity analysis of the turbulent environmental fluid flow time series

NASA Astrophysics Data System (ADS)

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.

Phase walk analysis of leptokurtic time series.

PubMed

Schreiber, Korbinian; Modest, Heike I; Räth, Christoph

2018-06-01

The Fourier phase information play a key role for the quantified description of nonlinear data. We present a novel tool for time series analysis that identifies nonlinearities by sensitively detecting correlations among the Fourier phases. The method, being called phase walk analysis, is based on well established measures from random walk analysis, which are now applied to the unwrapped Fourier phases of time series. We provide an analytical description of its functionality and demonstrate its capabilities on systematically controlled leptokurtic noise. Hereby, we investigate the properties of leptokurtic time series and their influence on the Fourier phases of time series. The phase walk analysis is applied to measured and simulated intermittent time series, whose probability density distribution is approximated by power laws. We use the day-to-day returns of the Dow-Jones industrial average, a synthetic time series with tailored nonlinearities mimicing the power law behavior of the Dow-Jones and the acceleration of the wind at an Atlantic offshore site. Testing for nonlinearities by means of surrogates shows that the new method yields strong significances for nonlinear behavior. Due to the drastically decreased computing time as compared to embedding space methods, the number of surrogate realizations can be increased by orders of magnitude. Thereby, the probability distribution of the test statistics can very accurately be derived and parameterized, which allows for much more precise tests on nonlinearities.

FATS: Feature Analysis for Time Series

NASA Astrophysics Data System (ADS)

Nun, Isadora; Protopapas, Pavlos; Sim, Brandon; Zhu, Ming; Dave, Rahul; Castro, Nicolas; Pichara, Karim

2017-11-01

FATS facilitates and standardizes feature extraction for time series data; it quickly and efficiently calculates a compilation of many existing light curve features. Users can characterize or analyze an astronomical photometric database, though this library is not necessarily restricted to the astronomical domain and can also be applied to any kind of time series data.

Time-dependent limited penetrable visibility graph analysis of nonstationary time series

NASA Astrophysics Data System (ADS)

Gao, Zhong-Ke; Cai, Qing; Yang, Yu-Xuan; Dang, Wei-Dong

2017-06-01

Recent years have witnessed the development of visibility graph theory, which allows us to analyze a time series from the perspective of complex network. We in this paper develop a novel time-dependent limited penetrable visibility graph (TDLPVG). Two examples using nonstationary time series from RR intervals and gas-liquid flows are provided to demonstrate the effectiveness of our approach. The results of the first example suggest that our TDLPVG method allows characterizing the time-varying behaviors and classifying heart states of healthy, congestive heart failure and atrial fibrillation from RR interval time series. For the second example, we infer TDLPVGs from gas-liquid flow signals and interestingly find that the deviation of node degree of TDLPVGs enables to effectively uncover the time-varying dynamical flow behaviors of gas-liquid slug and bubble flow patterns. All these results render our TDLPVG method particularly powerful for characterizing the time-varying features underlying realistic complex systems from time series.

Efficient Algorithms for Segmentation of Item-Set Time Series

NASA Astrophysics Data System (ADS)

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.

The parametric modified limited penetrable visibility graph for constructing complex networks from time series

NASA Astrophysics Data System (ADS)

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.

Sensor-Generated Time Series Events: A Definition Language

PubMed Central

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.

Remote Sensing Time Series Product Tool

NASA Technical Reports Server (NTRS)

Predos, Don; Ryan, Robert E.; Ross, Kenton W.

2006-01-01

The TSPT (Time Series Product Tool) software was custom-designed for NASA to rapidly create and display single-band and band-combination time series, such as NDVI (Normalized Difference Vegetation Index) images, for wide-area crop surveillance and for other time-critical applications. The TSPT, developed in MATLAB, allows users to create and display various MODIS (Moderate Resolution Imaging Spectroradiometer) or simulated VIIRS (Visible/Infrared Imager Radiometer Suite) products as single images, as time series plots at a selected location, or as temporally processed image videos. Manually creating these types of products is extremely labor intensive; however, the TSPT development tool makes the process simplified and efficient. MODIS is ideal for monitoring large crop areas because of its wide swath (2330 km), its relatively small ground sample distance (250 m), and its high temporal revisit time (twice daily). Furthermore, because MODIS imagery is acquired daily, rapid changes in vegetative health can potentially be detected. The new TSPT technology provides users with the ability to temporally process high-revisit-rate satellite imagery, such as that acquired from MODIS and from its successor, the VIIRS. The TSPT features the important capability of fusing data from both MODIS instruments onboard the Terra and Aqua satellites, which drastically improves cloud statistics. With the TSPT, MODIS metadata is used to find and optionally remove bad and suspect data. Noise removal and temporal processing techniques allow users to create low-noise time series plots and image videos and to select settings and thresholds that tailor particular output products. The TSPT GUI (graphical user interface) provides an interactive environment for crafting what-if scenarios by enabling a user to repeat product generation using different settings and thresholds. The TSPT Application Programming Interface provides more fine-tuned control of product generation, allowing experienced

Extending nonlinear analysis to short ecological time series.

PubMed

Hsieh, Chih-hao; Anderson, Christian; Sugihara, George

2008-01-01

Nonlinearity is important and ubiquitous in ecology. Though detectable in principle, nonlinear behavior is often difficult to characterize, analyze, and incorporate mechanistically into models of ecosystem function. One obvious reason is that quantitative nonlinear analysis tools are data intensive (require long time series), and time series in ecology are generally short. Here we demonstrate a useful method that circumvents data limitation and reduces sampling error by combining ecologically similar multispecies time series into one long time series. With this technique, individual ecological time series containing as few as 20 data points can be mined for such important information as (1) significantly improved forecast ability, (2) the presence and location of nonlinearity, and (3) the effective dimensionality (the number of relevant variables) of an ecological system.

Financial Time-series Analysis: a Brief Overview

NASA Astrophysics Data System (ADS)

Chakraborti, A.; Patriarca, M.; Santhanam, M. S.

Prices of commodities or assets produce what is called time-series. Different kinds of financial time-series have been recorded and studied for decades. Nowadays, all transactions on a financial market are recorded, leading to a huge amount of data available, either for free in the Internet or commercially. Financial time-series analysis is of great interest to practitioners as well as to theoreticians, for making inferences and predictions. Furthermore, the stochastic uncertainties inherent in financial time-series and the theory needed to deal with them make the subject especially interesting not only to economists, but also to statisticians and physicists [1]. While it would be a formidable task to make an exhaustive review on the topic, with this review we try to give a flavor of some of its aspects.

Estimation of coupling between time-delay systems from time series

NASA Astrophysics Data System (ADS)

Prokhorov, M. D.; Ponomarenko, V. I.

2005-07-01

We propose a method for estimation of coupling between the systems governed by scalar time-delay differential equations of the Mackey-Glass type from the observed time series data. The method allows one to detect the presence of certain types of linear coupling between two time-delay systems, to define the type, strength, and direction of coupling, and to recover the model equations of coupled time-delay systems from chaotic time series corrupted by noise. We verify our method using both numerical and experimental data.

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

PubMed

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.

Time Series Model Identification and Prediction Variance Horizon.

DTIC Science & Technology

1980-06-01

stationary time series Y(t). -6- In terms of p(v), the definition of the three time series memory types is: No Memory Short Memory Long Memory X IP (v)I 0 0...X lp(v)l < - I IP (v) = v=1 v=l v=l Within short memory time series there are three types whose classification in terms of correlation functions is...1974) "Some Recent Advances in Time Series Modeling", TEEE Transactions on Automatic ControZ, VoZ . AC-19, No. 6, December, 723-730. Parzen, E. (1976) "An

Time series smoother for effect detection.

PubMed

You, Cheng; Lin, Dennis K J; Young, S Stanley

2018-01-01

In environmental epidemiology, it is often encountered that multiple time series data with a long-term trend, including seasonality, cannot be fully adjusted by the observed covariates. The long-term trend is difficult to separate from abnormal short-term signals of interest. This paper addresses how to estimate the long-term trend in order to recover short-term signals. Our case study demonstrates that the current spline smoothing methods can result in significant positive and negative cross-correlations from the same dataset, depending on how the smoothing parameters are chosen. To circumvent this dilemma, three classes of time series smoothers are proposed to detrend time series data. These smoothers do not require fine tuning of parameters and can be applied to recover short-term signals. The properties of these smoothers are shown with both a case study using a factorial design and a simulation study using datasets generated from the original dataset. General guidelines are provided on how to discover short-term signals from time series with a long-term trend. The benefit of this research is that a problem is identified and characteristics of possible solutions are determined.

Time series smoother for effect detection

PubMed Central

Lin, Dennis K. J.; Young, S. Stanley

2018-01-01

In environmental epidemiology, it is often encountered that multiple time series data with a long-term trend, including seasonality, cannot be fully adjusted by the observed covariates. The long-term trend is difficult to separate from abnormal short-term signals of interest. This paper addresses how to estimate the long-term trend in order to recover short-term signals. Our case study demonstrates that the current spline smoothing methods can result in significant positive and negative cross-correlations from the same dataset, depending on how the smoothing parameters are chosen. To circumvent this dilemma, three classes of time series smoothers are proposed to detrend time series data. These smoothers do not require fine tuning of parameters and can be applied to recover short-term signals. The properties of these smoothers are shown with both a case study using a factorial design and a simulation study using datasets generated from the original dataset. General guidelines are provided on how to discover short-term signals from time series with a long-term trend. The benefit of this research is that a problem is identified and characteristics of possible solutions are determined. PMID:29684033

Tissue classification using depth-dependent ultrasound time series analysis: in-vitro animal study

NASA Astrophysics Data System (ADS)

Imani, Farhad; Daoud, Mohammad; Moradi, Mehdi; Abolmaesumi, Purang; Mousavi, Parvin

2011-03-01

Time series analysis of ultrasound radio-frequency (RF) signals has been shown to be an effective tissue classification method. Previous studies of this method for tissue differentiation at high and clinical-frequencies have been reported. In this paper, analysis of RF time series is extended to improve tissue classification at the clinical frequencies by including novel features extracted from the time series spectrum. The primary feature examined is the Mean Central Frequency (MCF) computed for regions of interest (ROIs) in the tissue extending along the axial axis of the transducer. In addition, the intercept and slope of a line fitted to the MCF-values of the RF time series as a function of depth have been included. To evaluate the accuracy of the new features, an in vitro animal study is performed using three tissue types: bovine muscle, bovine liver, and chicken breast, where perfect two-way classification is achieved. The results show statistically significant improvements over the classification accuracies with previously reported features.

A Four-Stage Hybrid Model for Hydrological Time Series Forecasting

PubMed Central

Di, Chongli; Yang, Xiaohua; Wang, Xiaochao

2014-01-01

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

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

PubMed

Di, Chongli; Yang, Xiaohua; Wang, Xiaochao

2014-01-01

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

Time series modeling in traffic safety research.

PubMed

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.

Robust, automatic GPS station velocities and velocity time series

NASA Astrophysics Data System (ADS)

Blewitt, G.; Kreemer, C.; Hammond, W. C.

2014-12-01

Automation in GPS coordinate time series analysis makes results more objective and reproducible, but not necessarily as robust as the human eye to detect problems. Moreover, it is not a realistic option to manually scan our current load of >20,000 time series per day. This motivates us to find an automatic way to estimate station velocities that is robust to outliers, discontinuities, seasonality, and noise characteristics (e.g., heteroscedasticity). Here we present a non-parametric method based on the Theil-Sen estimator, defined as the median of velocities vij=(xj-xi)/(tj-ti) computed between all pairs (i, j). Theil-Sen estimators produce statistically identical solutions to ordinary least squares for normally distributed data, but they can tolerate up to 29% of data being problematic. To mitigate seasonality, our proposed estimator only uses pairs approximately separated by an integer number of years (N-δt)<(tj-ti )<(N+δt), where δt is chosen to be small enough to capture seasonality, yet large enough to reduce random error. We fix N=1 to maximally protect against discontinuities. In addition to estimating an overall velocity, we also use these pairs to estimate velocity time series. To test our methods, we process real data sets that have already been used with velocities published in the NA12 reference frame. Accuracy can be tested by the scatter of horizontal velocities in the North American plate interior, which is known to be stable to ~0.3 mm/yr. This presents new opportunities for time series interpretation. For example, the pattern of velocity variations at the interannual scale can help separate tectonic from hydrological processes. Without any step detection, velocity estimates prove to be robust for stations affected by the Mw7.2 2010 El Mayor-Cucapah earthquake, and velocity time series show a clear change after the earthquake, without any of the usual parametric constraints, such as relaxation of postseismic velocities to their preseismic values.

Time series of the northeast Pacific

NASA Astrophysics Data System (ADS)

Peña, M. Angelica; Bograd, Steven J.

2007-10-01

In July 2006, the North Pacific Marine Science Organization (PICES) and Fisheries & Oceans Canada sponsored the symposium “Time Series of the Northeast Pacific: A symposium to mark the 50th anniversary of Line P”. The symposium, which celebrated 50 years of oceanography along Line P and at Ocean Station Papa (OSP), explored the scientific value of the Line P and other long oceanographic time series of the northeast Pacific (NEP). Overviews of the principal NEP time-series were presented, which facilitated regional comparisons and promoted interaction and exchange of information among investigators working in the NEP. More than 80 scientists from 8 countries attended the symposium. This introductory essay is a brief overview of the symposium and the 10 papers that were selected for this special issue of Progress in Oceanography.

Pearson correlation estimation for irregularly sampled time series

NASA Astrophysics Data System (ADS)

Rehfeld, K.; Marwan, N.; Heitzig, J.; Kurths, J.

2012-04-01

Many applications in the geosciences call for the joint and objective analysis of irregular time series. For automated processing, robust measures of linear and nonlinear association are needed. Up to now, the standard approach would have been to reconstruct the time series on a regular grid, using linear or spline interpolation. Interpolation, however, comes with systematic side-effects, as it increases the auto-correlation in the time series. We have searched for the best method to estimate Pearson correlation for irregular time series, i.e. the one with the lowest estimation bias and variance. We adapted a kernel-based approach, using Gaussian weights. Pearson correlation is calculated, in principle, as a mean over products of previously centralized observations. In the regularly sampled case, observations in both time series were observed at the same time and thus the allocation of measurement values into pairs of products is straightforward. In the irregularly sampled case, however, measurements were not necessarily observed at the same time. Now, the key idea of the kernel-based method is to calculate weighted means of products, with the weight depending on the time separation between the observations. If the lagged correlation function is desired, the weights depend on the absolute difference between observation time separation and the estimation lag. To assess the applicability of the approach we used extensive simulations to determine the extent of interpolation side-effects with increasing irregularity of time series. We compared different approaches, based on (linear) interpolation, the Lomb-Scargle Fourier Transform, the sinc kernel and the Gaussian kernel. We investigated the role of kernel bandwidth and signal-to-noise ratio in the simulations. We found that the Gaussian kernel approach offers significant advantages and low Root-Mean Square Errors for regular, slightly irregular and very irregular time series. We therefore conclude that it is a good

Characterizing time series via complexity-entropy curves

NASA Astrophysics Data System (ADS)

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.

Analysis of Nonstationary Time Series for Biological Rhythms Research.

PubMed

Leise, Tanya L

2017-06-01

This article is part of a Journal of Biological Rhythms series exploring analysis and statistics topics relevant to researchers in biological rhythms and sleep research. The goal is to provide an overview of the most common issues that arise in the analysis and interpretation of data in these fields. In this article on time series analysis for biological rhythms, we describe some methods for assessing the rhythmic properties of time series, including tests of whether a time series is indeed rhythmic. Because biological rhythms can exhibit significant fluctuations in their period, phase, and amplitude, their analysis may require methods appropriate for nonstationary time series, such as wavelet transforms, which can measure how these rhythmic parameters change over time. We illustrate these methods using simulated and real time series.

Forbidden patterns in financial time series

NASA Astrophysics Data System (ADS)

Zanin, Massimiliano

2008-03-01

The existence of forbidden patterns, i.e., certain missing sequences in a given time series, is a recently proposed instrument of potential application in the study of time series. Forbidden patterns are related to the permutation entropy, which has the basic properties of classic chaos indicators, such as Lyapunov exponent or Kolmogorov entropy, thus allowing to separate deterministic (usually chaotic) from random series; however, it requires fewer values of the series to be calculated, and it is suitable for using with small datasets. In this paper, the appearance of forbidden patterns is studied in different economical indicators such as stock indices (Dow Jones Industrial Average and Nasdaq Composite), NYSE stocks (IBM and Boeing), and others (ten year Bond interest rate), to find evidence of deterministic behavior in their evolutions. Moreover, the rate of appearance of the forbidden patterns is calculated, and some considerations about the underlying dynamics are suggested.

Complex network approach to fractional time series

DOE Office of Scientific and Technical Information (OSTI.GOV)

Manshour, Pouya

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 adjacencymore » 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.« less

Advanced spectral methods for climatic time series

USGS Publications Warehouse

Ghil, M.; Allen, M.R.; Dettinger, M.D.; Ide, K.; Kondrashov, D.; Mann, M.E.; Robertson, A.W.; Saunders, A.; Tian, Y.; Varadi, F.; Yiou, P.

2002-01-01

The analysis of univariate or multivariate time series provides crucial information to describe, understand, and predict climatic variability. The discovery and implementation of a number of novel methods for extracting useful information from time series has recently revitalized this classical field of study. Considerable progress has also been made in interpreting the information so obtained in terms of dynamical systems theory. In this review we describe the connections between time series analysis and nonlinear dynamics, discuss signal- to-noise enhancement, and present some of the novel methods for spectral analysis. The various steps, as well as the advantages and disadvantages of these methods, are illustrated by their application to an important climatic time series, the Southern Oscillation Index. This index captures major features of interannual climate variability and is used extensively in its prediction. Regional and global sea surface temperature data sets are used to illustrate multivariate spectral methods. Open questions and further prospects conclude the review.

Degree-Pruning Dynamic Programming Approaches to Central Time Series Minimizing Dynamic Time Warping Distance.

PubMed

Sun, Tao; Liu, Hongbo; Yu, Hong; Chen, C L Philip

2016-06-28

The central time series crystallizes the common patterns of the set it represents. In this paper, we propose a global constrained degree-pruning dynamic programming (g(dp)²) approach to obtain the central time series through minimizing dynamic time warping (DTW) distance between two time series. The DTW matching path theory with global constraints is proved theoretically for our degree-pruning strategy, which is helpful to reduce the time complexity and computational cost. Our approach can achieve the optimal solution between two time series. An approximate method to the central time series of multiple time series [called as m_g(dp)²] is presented based on DTW barycenter averaging and our g(dp)² approach by considering hierarchically merging strategy. As illustrated by the experimental results, our approaches provide better within-group sum of squares and robustness than other relevant algorithms.

Geodesic regression for image time-series.

PubMed

Niethammer, Marc; Huang, Yang; Vialard, François-Xavier

2011-01-01

Registration of image-time series has so far been accomplished (i) by concatenating registrations between image pairs, (ii) by solving a joint estimation problem resulting in piecewise geodesic paths between image pairs, (iii) by kernel based local averaging or (iv) by augmenting the joint estimation with additional temporal irregularity penalties. Here, we propose a generative model extending least squares linear regression to the space of images by using a second-order dynamic formulation for image registration. Unlike previous approaches, the formulation allows for a compact representation of an approximation to the full spatio-temporal trajectory through its initial values. The method also opens up possibilities to design image-based approximation algorithms. The resulting optimization problem is solved using an adjoint method.

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

PubMed

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

PubMed Central

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

Stochastic nature of series of waiting times.

PubMed

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

2013-06-01

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

Analyzing a stochastic time series obeying a second-order differential equation.

PubMed

Lehle, B; Peinke, J

2015-06-01

The stochastic properties of a Langevin-type Markov process can be extracted from a given time series by a Markov analysis. Also processes that obey a stochastically forced second-order differential equation can be analyzed this way by employing a particular embedding approach: To obtain a Markovian process in 2N dimensions from a non-Markovian signal in N dimensions, the system is described in a phase space that is extended by the temporal derivative of the signal. For a discrete time series, however, this derivative can only be calculated by a differencing scheme, which introduces an error. If the effects of this error are not accounted for, this leads to systematic errors in the estimation of the drift and diffusion functions of the process. In this paper we will analyze these errors and we will propose an approach that correctly accounts for them. This approach allows an accurate parameter estimation and, additionally, is able to cope with weak measurement noise, which may be superimposed to a given time series.

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

NASA Astrophysics Data System (ADS)

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.

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

PubMed

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.

Delay differential analysis of time series.

PubMed

Lainscsek, Claudia; Sejnowski, Terrence J

2015-03-01

Nonlinear dynamical system analysis based on embedding theory has been used for modeling and prediction, but it also has applications to signal detection and classification of time series. An embedding creates a multidimensional geometrical object from a single time series. Traditionally either delay or derivative embeddings have been used. The delay embedding is composed of delayed versions of the signal, and the derivative embedding is composed of successive derivatives of the signal. The delay embedding has been extended to nonuniform embeddings to take multiple timescales into account. Both embeddings provide information on the underlying dynamical system without having direct access to all the system variables. Delay differential analysis is based on functional embeddings, a combination of the derivative embedding with nonuniform delay embeddings. Small delay differential equation (DDE) models that best represent relevant dynamic features of time series data are selected from a pool of candidate models for detection or classification. We show that the properties of DDEs support spectral analysis in the time domain where nonlinear correlation functions are used to detect frequencies, frequency and phase couplings, and bispectra. These can be efficiently computed with short time windows and are robust to noise. For frequency analysis, this framework is a multivariate extension of discrete Fourier transform (DFT), and for higher-order spectra, it is a linear and multivariate alternative to multidimensional fast Fourier transform of multidimensional correlations. This method can be applied to short or sparse time series and can be extended to cross-trial and cross-channel spectra if multiple short data segments of the same experiment are available. Together, this time-domain toolbox provides higher temporal resolution, increased frequency and phase coupling information, and it allows an easy and straightforward implementation of higher-order spectra across time

GNSS Network time series analysis

NASA Astrophysics Data System (ADS)

Normand, M.; Balodis, J.; Janpaule, I.; Haritonova, D.

2012-12-01

Time series of GNSS station results of both the EUPOS®-Riga and LatPos networks have been developed at the Institute of Geodesy and Geoinformation (University of Latvia) using Bernese v.5.0 software. The base stations were selected among the EPN and IGS stations in surroundings of Latvia at the distances up to 700 km. The results of time series are analysed and coordinate velocity vectors have been determined. The background of the map of tectonic faults helps to interpret the GNSS station coordinate velocity vector behaviour in proper environment. The outlying situations recognized. The question still aroused on the nature of the some of outlying situations. The dependence from various influences has been tested.

Stochastic nature of series of waiting times

NASA Astrophysics Data System (ADS)

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

2013-06-01

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

Characterizing artifacts in RR stress test time series.

PubMed

Astudillo-Salinas, Fabian; Palacio-Baus, Kenneth; Solano-Quinde, Lizandro; Medina, Ruben; Wong, Sara

2016-08-01

Electrocardiographic stress test records have a lot of artifacts. In this paper we explore a simple method to characterize the amount of artifacts present in unprocessed RR stress test time series. Four time series classes were defined: Very good lead, Good lead, Low quality lead and Useless lead. 65 ECG, 8 lead, records of stress test series were analyzed. Firstly, RR-time series were annotated by two experts. The automatic methodology is based on dividing the RR-time series in non-overlapping windows. Each window is marked as noisy whenever it exceeds an established standard deviation threshold (SDT). Series are classified according to the percentage of windows that exceeds a given value, based upon the first manual annotation. Different SDT were explored. Results show that SDT close to 20% (as a percentage of the mean) provides the best results. The coincidence between annotators classification is 70.77% whereas, the coincidence between the second annotator and the automatic method providing the best matches is larger than 63%. Leads classified as Very good leads and Good leads could be combined to improve automatic heartbeat labeling.

A novel weight determination method for time series data aggregation

NASA Astrophysics Data System (ADS)

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.

Time series, periodograms, and significance

NASA Astrophysics Data System (ADS)

Hernandez, G.

1999-05-01

The geophysical literature shows a wide and conflicting usage of methods employed to extract meaningful information on coherent oscillations from measurements. This makes it difficult, if not impossible, to relate the findings reported by different authors. Therefore, we have undertaken a critical investigation of the tests and methodology used for determining the presence of statistically significant coherent oscillations in periodograms derived from time series. Statistical significance tests are only valid when performed on the independent frequencies present in a measurement. Both the number of possible independent frequencies in a periodogram and the significance tests are determined by the number of degrees of freedom, which is the number of true independent measurements, present in the time series, rather than the number of sample points in the measurement. The number of degrees of freedom is an intrinsic property of the data, and it must be determined from the serial coherence of the time series. As part of this investigation, a detailed study has been performed which clearly illustrates the deleterious effects that the apparently innocent and commonly used processes of filtering, de-trending, and tapering of data have on periodogram analysis and the consequent difficulties in the interpretation of the statistical significance thus derived. For the sake of clarity, a specific example of actual field measurements containing unevenly-spaced measurements, gaps, etc., as well as synthetic examples, have been used to illustrate the periodogram approach, and pitfalls, leading to the (statistical) significance tests for the presence of coherent oscillations. Among the insights of this investigation are: (1) the concept of a time series being (statistically) band limited by its own serial coherence and thus having a critical sampling rate which defines one of the necessary requirements for the proper statistical design of an experiment; (2) the design of a critical

Entropy of electromyography time series

NASA Astrophysics Data System (ADS)

Kaufman, Miron; Zurcher, Ulrich; Sung, Paul S.

2007-12-01

A nonlinear analysis based on Renyi entropy is applied to electromyography (EMG) time series from back muscles. The time dependence of the entropy of the EMG signal exhibits a crossover from a subdiffusive regime at short times to a plateau at longer times. We argue that this behavior characterizes complex biological systems. The plateau value of the entropy can be used to differentiate between healthy and low back pain individuals.

Comparison of time series models for predicting campylobacteriosis risk in New Zealand.

PubMed

Al-Sakkaf, A; Jones, G

2014-05-01

Predicting campylobacteriosis cases is a matter of considerable concern in New Zealand, after the number of the notified cases was the highest among the developed countries in 2006. Thus, there is a need to develop a model or a tool to predict accurately the number of campylobacteriosis cases as the Microbial Risk Assessment Model used to predict the number of campylobacteriosis cases failed to predict accurately the number of actual cases. We explore the appropriateness of classical time series modelling approaches for predicting campylobacteriosis. Finding the most appropriate time series model for New Zealand data has additional practical considerations given a possible structural change, that is, a specific and sudden change in response to the implemented interventions. A univariate methodological approach was used to predict monthly disease cases using New Zealand surveillance data of campylobacteriosis incidence from 1998 to 2009. The data from the years 1998 to 2008 were used to model the time series with the year 2009 held out of the data set for model validation. The best two models were then fitted to the full 1998-2009 data and used to predict for each month of 2010. The Holt-Winters (multiplicative) and ARIMA (additive) intervention models were considered the best models for predicting campylobacteriosis in New Zealand. It was noticed that the prediction by an additive ARIMA with intervention was slightly better than the prediction by a Holt-Winter multiplicative method for the annual total in year 2010, the former predicting only 23 cases less than the actual reported cases. It is confirmed that classical time series techniques such as ARIMA with intervention and Holt-Winters can provide a good prediction performance for campylobacteriosis risk in New Zealand. The results reported by this study are useful to the New Zealand Health and Safety Authority's efforts in addressing the problem of the campylobacteriosis epidemic. © 2013 Blackwell Verlag GmbH.

Application of the Allan Variance to Time Series Analysis in Astrometry and Geodesy: A Review.

PubMed

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.

Visualizing frequent patterns in large multivariate time series

NASA Astrophysics Data System (ADS)

Hao, M.; Marwah, M.; Janetzko, H.; Sharma, R.; Keim, D. A.; Dayal, U.; Patnaik, D.; Ramakrishnan, N.

2011-01-01

The detection of previously unknown, frequently occurring patterns in time series, often called motifs, has been recognized as an important task. However, it is difficult to discover and visualize these motifs as their numbers increase, especially in large multivariate time series. To find frequent motifs, we use several temporal data mining and event encoding techniques to cluster and convert a multivariate time series to a sequence of events. Then we quantify the efficiency of the discovered motifs by linking them with a performance metric. To visualize frequent patterns in a large time series with potentially hundreds of nested motifs on a single display, we introduce three novel visual analytics methods: (1) motif layout, using colored rectangles for visualizing the occurrences and hierarchical relationships of motifs in a multivariate time series, (2) motif distortion, for enlarging or shrinking motifs as appropriate for easy analysis and (3) motif merging, to combine a number of identical adjacent motif instances without cluttering the display. Analysts can interactively optimize the degree of distortion and merging to get the best possible view. A specific motif (e.g., the most efficient or least efficient motif) can be quickly detected from a large time series for further investigation. We have applied these methods to two real-world data sets: data center cooling and oil well production. The results provide important new insights into the recurring patterns.

Robust extrema features for time-series data analysis.

PubMed

Vemulapalli, Pramod K; Monga, Vishal; Brennan, Sean N

2013-06-01

The extraction of robust features for comparing and analyzing time series is a fundamentally important problem. Research efforts in this area encompass dimensionality reduction using popular signal analysis tools such as the discrete Fourier and wavelet transforms, various distance metrics, and the extraction of interest points from time series. Recently, extrema features for analysis of time-series data have assumed increasing significance because of their natural robustness under a variety of practical distortions, their economy of representation, and their computational benefits. Invariably, the process of encoding extrema features is preceded by filtering of the time series with an intuitively motivated filter (e.g., for smoothing), and subsequent thresholding to identify robust extrema. We define the properties of robustness, uniqueness, and cardinality as a means to identify the design choices available in each step of the feature generation process. Unlike existing methods, which utilize filters "inspired" from either domain knowledge or intuition, we explicitly optimize the filter based on training time series to optimize robustness of the extracted extrema features. We demonstrate further that the underlying filter optimization problem reduces to an eigenvalue problem and has a tractable solution. An encoding technique that enhances control over cardinality and uniqueness is also presented. Experimental results obtained for the problem of time series subsequence matching establish the merits of the proposed algorithm.

Fractal analysis of the short time series in a visibility graph method

NASA Astrophysics Data System (ADS)

Li, Ruixue; Wang, Jiang; Yu, Haitao; Deng, Bin; Wei, Xile; Chen, Yingyuan

2016-05-01

The aim of this study is to evaluate the performance of the visibility graph (VG) method on short fractal time series. In this paper, the time series of Fractional Brownian motions (fBm), characterized by different Hurst exponent H, are simulated and then mapped into a scale-free visibility graph, of which the degree distributions show the power-law form. The maximum likelihood estimation (MLE) is applied to estimate power-law indexes of degree distribution, and in this progress, the Kolmogorov-Smirnov (KS) statistic is used to test the performance of estimation of power-law index, aiming to avoid the influence of droop head and heavy tail in degree distribution. As a result, we find that the MLE gives an optimal estimation of power-law index when KS statistic reaches its first local minimum. Based on the results from KS statistic, the relationship between the power-law index and the Hurst exponent is reexamined and then amended to meet short time series. Thus, a method combining VG, MLE and KS statistics is proposed to estimate Hurst exponents from short time series. Lastly, this paper also offers an exemplification to verify the effectiveness of the combined method. In addition, the corresponding results show that the VG can provide a reliable estimation of Hurst exponents.

Analysis and generation of groundwater concentration time series

NASA Astrophysics Data System (ADS)

Crăciun, Maria; Vamoş, Călin; Suciu, Nicolae

2018-01-01

Concentration time series are provided by simulated concentrations of a nonreactive solute transported in groundwater, integrated over the transverse direction of a two-dimensional computational domain and recorded at the plume center of mass. The analysis of a statistical ensemble of time series reveals subtle features that are not captured by the first two moments which characterize the approximate Gaussian distribution of the two-dimensional concentration fields. The concentration time series exhibit a complex preasymptotic behavior driven by a nonstationary trend and correlated fluctuations with time-variable amplitude. Time series with almost the same statistics are generated by successively adding to a time-dependent trend a sum of linear regression terms, accounting for correlations between fluctuations around the trend and their increments in time, and terms of an amplitude modulated autoregressive noise of order one with time-varying parameter. The algorithm generalizes mixing models used in probability density function approaches. The well-known interaction by exchange with the mean mixing model is a special case consisting of a linear regression with constant coefficients.

Time series analysis of gold production in Malaysia

NASA Astrophysics Data System (ADS)

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.

Earth's Surface Displacements from the GPS Time Series

NASA Astrophysics Data System (ADS)

Haritonova, D.; Balodis, J.; Janpaule, I.; Morozova, K.

2015-11-01

The GPS observations of both Latvian permanent GNSS networks - EUPOS®-Riga and LatPos, have been collected for a period of 8 years - from 2007 to 2014. Local surface displacements have been derived from the obtained coordinate time series eliminating different impact sources. The Bernese software is used for data processing. The EUREF Permanent Network (EPN) stations in the surroundings of Latvia are selected as fiducial stations. The results have shown a positive tendency of vertical displacements in the western part of Latvia - station heights are increasing, and negative velocities are observed in the central and eastern parts. Station vertical velocities are ranging in diapason of 4 mm/year. In the case of horizontal displacements, site velocities are up to 1 mm/year and mostly oriented to the south. The comparison of the obtained results with data from the deformation model NKG_RF03vel has been made. Additionally, the purpose of this study is to analyse GPS time series obtained using two different data processing strategies: Precise Point Positioning (PPP) and estimation of station coordinates relatively to the positions of fiducial stations also known as Differential GNSS.

Transition Icons for Time-Series Visualization and Exploratory Analysis.

PubMed

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.

Bayesian dynamic modeling of time series of dengue disease case counts.

PubMed

Martínez-Bello, Daniel Adyro; López-Quílez, Antonio; Torres-Prieto, Alexander

2017-07-01

The aim of this study is to model the association between weekly time series of dengue case counts and meteorological variables, in a high-incidence city of Colombia, applying Bayesian hierarchical dynamic generalized linear models over the period January 2008 to August 2015. Additionally, we evaluate the model's short-term performance for predicting dengue cases. The methodology shows dynamic Poisson log link models including constant or time-varying coefficients for the meteorological variables. Calendar effects were modeled using constant or first- or second-order random walk time-varying coefficients. The meteorological variables were modeled using constant coefficients and first-order random walk time-varying coefficients. We applied Markov Chain Monte Carlo simulations for parameter estimation, and deviance information criterion statistic (DIC) for model selection. We assessed the short-term predictive performance of the selected final model, at several time points within the study period using the mean absolute percentage error. The results showed the best model including first-order random walk time-varying coefficients for calendar trend and first-order random walk time-varying coefficients for the meteorological variables. Besides the computational challenges, interpreting the results implies a complete analysis of the time series of dengue with respect to the parameter estimates of the meteorological effects. We found small values of the mean absolute percentage errors at one or two weeks out-of-sample predictions for most prediction points, associated with low volatility periods in the dengue counts. We discuss the advantages and limitations of the dynamic Poisson models for studying the association between time series of dengue disease and meteorological variables. The key conclusion of the study is that dynamic Poisson models account for the dynamic nature of the variables involved in the modeling of time series of dengue disease, producing useful

Bayesian dynamic modeling of time series of dengue disease case counts

PubMed Central

López-Quílez, Antonio; Torres-Prieto, Alexander

2017-01-01

The aim of this study is to model the association between weekly time series of dengue case counts and meteorological variables, in a high-incidence city of Colombia, applying Bayesian hierarchical dynamic generalized linear models over the period January 2008 to August 2015. Additionally, we evaluate the model’s short-term performance for predicting dengue cases. The methodology shows dynamic Poisson log link models including constant or time-varying coefficients for the meteorological variables. Calendar effects were modeled using constant or first- or second-order random walk time-varying coefficients. The meteorological variables were modeled using constant coefficients and first-order random walk time-varying coefficients. We applied Markov Chain Monte Carlo simulations for parameter estimation, and deviance information criterion statistic (DIC) for model selection. We assessed the short-term predictive performance of the selected final model, at several time points within the study period using the mean absolute percentage error. The results showed the best model including first-order random walk time-varying coefficients for calendar trend and first-order random walk time-varying coefficients for the meteorological variables. Besides the computational challenges, interpreting the results implies a complete analysis of the time series of dengue with respect to the parameter estimates of the meteorological effects. We found small values of the mean absolute percentage errors at one or two weeks out-of-sample predictions for most prediction points, associated with low volatility periods in the dengue counts. We discuss the advantages and limitations of the dynamic Poisson models for studying the association between time series of dengue disease and meteorological variables. The key conclusion of the study is that dynamic Poisson models account for the dynamic nature of the variables involved in the modeling of time series of dengue disease, producing useful

Multiscale structure of time series revealed by the monotony spectrum.

PubMed

Vamoş, Călin

2017-03-01

Observation of complex systems produces time series with specific dynamics at different time scales. The majority of the existing numerical methods for multiscale analysis first decompose the time series into several simpler components and the multiscale structure is given by the properties of their components. We present a numerical method which describes the multiscale structure of arbitrary time series without decomposing them. It is based on the monotony spectrum defined as the variation of the mean amplitude of the monotonic segments with respect to the mean local time scale during successive averagings of the time series, the local time scales being the durations of the monotonic segments. The maxima of the monotony spectrum indicate the time scales which dominate the variations of the time series. We show that the monotony spectrum can correctly analyze a diversity of artificial time series and can discriminate the existence of deterministic variations at large time scales from the random fluctuations. As an application we analyze the multifractal structure of some hydrological time series.

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

PubMed

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.

A novel encoding Lempel-Ziv complexity algorithm for quantifying the irregularity of physiological time series.

PubMed

Zhang, Yatao; Wei, Shoushui; Liu, Hai; Zhao, Lina; Liu, Chengyu

2016-09-01

The Lempel-Ziv (LZ) complexity and its variants have been extensively used to analyze the irregularity of physiological time series. To date, these measures cannot explicitly discern between the irregularity and the chaotic characteristics of physiological time series. Our study compared the performance of an encoding LZ (ELZ) complexity algorithm, a novel variant of the LZ complexity algorithm, with those of the classic LZ (CLZ) and multistate LZ (MLZ) complexity algorithms. Simulation experiments on Gaussian noise, logistic chaotic, and periodic time series showed that only the ELZ algorithm monotonically declined with the reduction in irregularity in time series, whereas the CLZ and MLZ approaches yielded overlapped values for chaotic time series and time series mixed with Gaussian noise, demonstrating the accuracy of the proposed ELZ algorithm in capturing the irregularity, rather than the complexity, of physiological time series. In addition, the effect of sequence length on the ELZ algorithm was more stable compared with those on CLZ and MLZ, especially when the sequence length was longer than 300. A sensitivity analysis for all three LZ algorithms revealed that both the MLZ and the ELZ algorithms could respond to the change in time sequences, whereas the CLZ approach could not. Cardiac interbeat (RR) interval time series from the MIT-BIH database were also evaluated, and the results showed that the ELZ algorithm could accurately measure the inherent irregularity of the RR interval time series, as indicated by lower LZ values yielded from a congestive heart failure group versus those yielded from a normal sinus rhythm group (p < 0.01). Copyright © 2016 Elsevier Ireland Ltd. All rights reserved.

Data imputation analysis for Cosmic Rays time series

NASA Astrophysics Data System (ADS)

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

2017-05-01

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

Algorithm for Compressing Time-Series Data

NASA Technical Reports Server (NTRS)

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").

Layered Ensemble Architecture for Time Series Forecasting.

PubMed

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

2016-01-01

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

Heart rate time series characteristics for early detection of infections in critically ill patients.

PubMed

Tambuyzer, T; Guiza, F; Boonen, E; Meersseman, P; Vervenne, H; Hansen, T K; Bjerre, M; Van den Berghe, G; Berckmans, D; Aerts, J M; Meyfroidt, G

2017-04-01

It is difficult to make a distinction between inflammation and infection. Therefore, new strategies are required to allow accurate detection of infection. Here, we hypothesize that we can distinguish infected from non-infected ICU patients based on dynamic features of serum cytokine concentrations and heart rate time series. Serum cytokine profiles and heart rate time series of 39 patients were available for this study. The serum concentration of ten cytokines were measured using blood sampled every 10 min between 2100 and 0600 hours. Heart rate was recorded every minute. Ten metrics were used to extract features from these time series to obtain an accurate classification of infected patients. The predictive power of the metrics derived from the heart rate time series was investigated using decision tree analysis. Finally, logistic regression methods were used to examine whether classification performance improved with inclusion of features derived from the cytokine time series. The AUC of a decision tree based on two heart rate features was 0.88. The model had good calibration with 0.09 Hosmer-Lemeshow p value. There was no significant additional value of adding static cytokine levels or cytokine time series information to the generated decision tree model. The results suggest that heart rate is a better marker for infection than information captured by cytokine time series when the exact stage of infection is not known. The predictive value of (expensive) biomarkers should always be weighed against the routinely monitored data, and such biomarkers have to demonstrate added value.

Time series regression studies in environmental epidemiology.

PubMed

Bhaskaran, Krishnan; Gasparrini, Antonio; Hajat, Shakoor; Smeeth, Liam; Armstrong, Ben

2013-08-01

Time series regression studies have been widely used in environmental epidemiology, notably in investigating the short-term associations between exposures such as air pollution, weather variables or pollen, and health outcomes such as mortality, myocardial infarction or disease-specific hospital admissions. Typically, for both exposure and outcome, data are available at regular time intervals (e.g. daily pollution levels and daily mortality counts) and the aim is to explore short-term associations between them. In this article, we describe the general features of time series data, and we outline the analysis process, beginning with descriptive analysis, then focusing on issues in time series regression that differ from other regression methods: modelling short-term fluctuations in the presence of seasonal and long-term patterns, dealing with time varying confounding factors and modelling delayed ('lagged') associations between exposure and outcome. We finish with advice on model checking and sensitivity analysis, and some common extensions to the basic model.

Exploratory Causal Analysis in Bivariate Time Series Data

NASA Astrophysics Data System (ADS)

McCracken, James M.

Many scientific disciplines rely on observational data of systems for which it is difficult (or impossible) to implement controlled experiments and data analysis techniques are required for identifying causal information and relationships directly from observational data. This need has lead to the development of many different time series causality approaches and tools including transfer entropy, convergent cross-mapping (CCM), and Granger causality statistics. In this thesis, the existing time series causality method of CCM is extended by introducing a new method called pairwise asymmetric inference (PAI). It is found that CCM may provide counter-intuitive causal inferences for simple dynamics with strong intuitive notions of causality, and the CCM causal inference can be a function of physical parameters that are seemingly unrelated to the existence of a driving relationship in the system. For example, a CCM causal inference might alternate between ''voltage drives current'' and ''current drives voltage'' as the frequency of the voltage signal is changed in a series circuit with a single resistor and inductor. PAI is introduced to address both of these limitations. Many of the current approaches in the times series causality literature are not computationally straightforward to apply, do not follow directly from assumptions of probabilistic causality, depend on assumed models for the time series generating process, or rely on embedding procedures. A new approach, called causal leaning, is introduced in this work to avoid these issues. The leaning is found to provide causal inferences that agree with intuition for both simple systems and more complicated empirical examples, including space weather data sets. The leaning may provide a clearer interpretation of the results than those from existing time series causality tools. A practicing analyst can explore the literature to find many proposals for identifying drivers and causal connections in times series data

A user-defined data type for the storage of time series data allowing efficient similarity screening.

PubMed

Sorokin, Anatoly; Selkov, Gene; Goryanin, Igor

2012-07-16

The volume of the experimentally measured time series data is rapidly growing, while storage solutions offering better data types than simple arrays of numbers or opaque blobs for keeping series data are sorely lacking. A number of indexing methods have been proposed to provide efficient access to time series data, but none has so far been integrated into a tried-and-proven database system. To explore the possibility of such integration, we have developed a data type for time series storage in PostgreSQL, an object-relational database system, and equipped it with an access method based on SAX (Symbolic Aggregate approXimation). This new data type has been successfully tested in a database supporting a large-scale plant gene expression experiment, and it was additionally tested on a very large set of simulated time series data. Copyright © 2011 Elsevier B.V. All rights reserved.

A window-based time series feature extraction method.

PubMed

Katircioglu-Öztürk, Deniz; Güvenir, H Altay; Ravens, Ursula; Baykal, Nazife

2017-10-01

This study proposes a robust similarity score-based time series feature extraction method that is termed as Window-based Time series Feature ExtraCtion (WTC). Specifically, WTC generates domain-interpretable results and involves significantly low computational complexity thereby rendering itself useful for densely sampled and populated time series datasets. In this study, WTC is applied to a proprietary action potential (AP) time series dataset on human cardiomyocytes and three precordial leads from a publicly available electrocardiogram (ECG) dataset. This is followed by comparing WTC in terms of predictive accuracy and computational complexity with shapelet transform and fast shapelet transform (which constitutes an accelerated variant of the shapelet transform). The results indicate that WTC achieves a slightly higher classification performance with significantly lower execution time when compared to its shapelet-based alternatives. With respect to its interpretable features, WTC has a potential to enable medical experts to explore definitive common trends in novel datasets. Copyright © 2017 Elsevier Ltd. All rights reserved.

Effects of linear trends on estimation of noise in GNSS position time-series

DOE Office of Scientific and Technical Information (OSTI.GOV)

Dmitrieva, K.; Segall, P.; Bradley, A. M.

A thorough understanding of time-dependent noise in Global Navigation Satellite System (GNSS) position time-series is necessary for computing uncertainties in any signals found in the data. However, estimation of time-correlated noise is a challenging task and is complicated by the difficulty in separating noise from signal, the features of greatest interest in the time-series. In this study, we investigate how linear trends affect the estimation of noise in daily GNSS position time-series. We use synthetic time-series to study the relationship between linear trends and estimates of time-correlated noise for the six most commonly cited noise models. We find that themore » effects of added linear trends, or conversely de-trending, vary depending on the noise model. The commonly adopted model of random walk (RW), flicker noise (FN) and white noise (WN) is the most severely affected by de-trending, with estimates of low-amplitude RW most severely biased. FN plus WN is least affected by adding or removing trends. Non-integer power-law noise estimates are also less affected by de-trending, but are very sensitive to the addition of trend when the spectral index is less than one. We derive an analytical relationship between linear trends and the estimated RW variance for the special case of pure RW noise. Finally, overall, we find that to ascertain the correct noise model for GNSS position time-series and to estimate the correct noise parameters, it is important to have independent constraints on the actual trends in the data.« less

Effects of linear trends on estimation of noise in GNSS position time-series

NASA Astrophysics Data System (ADS)

Dmitrieva, K.; Segall, P.; Bradley, A. M.

2017-01-01

A thorough understanding of time-dependent noise in Global Navigation Satellite System (GNSS) position time-series is necessary for computing uncertainties in any signals found in the data. However, estimation of time-correlated noise is a challenging task and is complicated by the difficulty in separating noise from signal, the features of greatest interest in the time-series. In this paper, we investigate how linear trends affect the estimation of noise in daily GNSS position time-series. We use synthetic time-series to study the relationship between linear trends and estimates of time-correlated noise for the six most commonly cited noise models. We find that the effects of added linear trends, or conversely de-trending, vary depending on the noise model. The commonly adopted model of random walk (RW), flicker noise (FN) and white noise (WN) is the most severely affected by de-trending, with estimates of low-amplitude RW most severely biased. FN plus WN is least affected by adding or removing trends. Non-integer power-law noise estimates are also less affected by de-trending, but are very sensitive to the addition of trend when the spectral index is less than one. We derive an analytical relationship between linear trends and the estimated RW variance for the special case of pure RW noise. Overall, we find that to ascertain the correct noise model for GNSS position time-series and to estimate the correct noise parameters, it is important to have independent constraints on the actual trends in the data.

Effects of linear trends on estimation of noise in GNSS position time-series

DOE PAGES

Dmitrieva, K.; Segall, P.; Bradley, A. M.

2016-10-20

A thorough understanding of time-dependent noise in Global Navigation Satellite System (GNSS) position time-series is necessary for computing uncertainties in any signals found in the data. However, estimation of time-correlated noise is a challenging task and is complicated by the difficulty in separating noise from signal, the features of greatest interest in the time-series. In this study, we investigate how linear trends affect the estimation of noise in daily GNSS position time-series. We use synthetic time-series to study the relationship between linear trends and estimates of time-correlated noise for the six most commonly cited noise models. We find that themore » effects of added linear trends, or conversely de-trending, vary depending on the noise model. The commonly adopted model of random walk (RW), flicker noise (FN) and white noise (WN) is the most severely affected by de-trending, with estimates of low-amplitude RW most severely biased. FN plus WN is least affected by adding or removing trends. Non-integer power-law noise estimates are also less affected by de-trending, but are very sensitive to the addition of trend when the spectral index is less than one. We derive an analytical relationship between linear trends and the estimated RW variance for the special case of pure RW noise. Finally, overall, we find that to ascertain the correct noise model for GNSS position time-series and to estimate the correct noise parameters, it is important to have independent constraints on the actual trends in the data.« less

Functional clustering of time series gene expression data by Granger causality

PubMed Central

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

Detection of bifurcations in noisy coupled systems from multiple time series

DOE Office of Scientific and Technical Information (OSTI.GOV)

Williamson, Mark S., E-mail: m.s.williamson@exeter.ac.uk; Lenton, Timothy M.

We generalize a method of detecting an approaching bifurcation in a time series of a noisy system from the special case of one dynamical variable to multiple dynamical variables. For a system described by a stochastic differential equation consisting of an autonomous deterministic part with one dynamical variable and an additive white noise term, small perturbations away from the system's fixed point will decay slower the closer the system is to a bifurcation. This phenomenon is known as critical slowing down and all such systems exhibit this decay-type behaviour. However, when the deterministic part has multiple coupled dynamical variables, themore » possible dynamics can be much richer, exhibiting oscillatory and chaotic behaviour. In our generalization to the multi-variable case, we find additional indicators to decay rate, such as frequency of oscillation. In the case of approaching a homoclinic bifurcation, there is no change in decay rate but there is a decrease in frequency of oscillations. The expanded method therefore adds extra tools to help detect and classify approaching bifurcations given multiple time series, where the underlying dynamics are not fully known. Our generalisation also allows bifurcation detection to be applied spatially if one treats each spatial location as a new dynamical variable. One may then determine the unstable spatial mode(s). This is also something that has not been possible with the single variable method. The method is applicable to any set of time series regardless of its origin, but may be particularly useful when anticipating abrupt changes in the multi-dimensional climate system.« less

Detection of bifurcations in noisy coupled systems from multiple time series

NASA Astrophysics Data System (ADS)

Williamson, Mark S.; Lenton, Timothy M.

2015-03-01

We generalize a method of detecting an approaching bifurcation in a time series of a noisy system from the special case of one dynamical variable to multiple dynamical variables. For a system described by a stochastic differential equation consisting of an autonomous deterministic part with one dynamical variable and an additive white noise term, small perturbations away from the system's fixed point will decay slower the closer the system is to a bifurcation. This phenomenon is known as critical slowing down and all such systems exhibit this decay-type behaviour. However, when the deterministic part has multiple coupled dynamical variables, the possible dynamics can be much richer, exhibiting oscillatory and chaotic behaviour. In our generalization to the multi-variable case, we find additional indicators to decay rate, such as frequency of oscillation. In the case of approaching a homoclinic bifurcation, there is no change in decay rate but there is a decrease in frequency of oscillations. The expanded method therefore adds extra tools to help detect and classify approaching bifurcations given multiple time series, where the underlying dynamics are not fully known. Our generalisation also allows bifurcation detection to be applied spatially if one treats each spatial location as a new dynamical variable. One may then determine the unstable spatial mode(s). This is also something that has not been possible with the single variable method. The method is applicable to any set of time series regardless of its origin, but may be particularly useful when anticipating abrupt changes in the multi-dimensional climate system.

Simulation of time series by distorted Gaussian processes

NASA Technical Reports Server (NTRS)

Greenhall, C. A.

1977-01-01

Distorted stationary Gaussian process can be used to provide computer-generated imitations of experimental time series. A method of analyzing a source time series and synthesizing an imitation is shown, and an example using X-band radiometer data is given.

An approach to checking case-crossover analyses based on equivalence with time-series methods.

PubMed

Lu, Yun; Symons, James Morel; Geyh, Alison S; Zeger, Scott L

2008-03-01

The case-crossover design has been increasingly applied to epidemiologic investigations of acute adverse health effects associated with ambient air pollution. The correspondence of the design to that of matched case-control studies makes it inferentially appealing for epidemiologic studies. Case-crossover analyses generally use conditional logistic regression modeling. This technique is equivalent to time-series log-linear regression models when there is a common exposure across individuals, as in air pollution studies. Previous methods for obtaining unbiased estimates for case-crossover analyses have assumed that time-varying risk factors are constant within reference windows. In this paper, we rely on the connection between case-crossover and time-series methods to illustrate model-checking procedures from log-linear model diagnostics for time-stratified case-crossover analyses. Additionally, we compare the relative performance of the time-stratified case-crossover approach to time-series methods under 3 simulated scenarios representing different temporal patterns of daily mortality associated with air pollution in Chicago, Illinois, during 1995 and 1996. Whenever a model-be it time-series or case-crossover-fails to account appropriately for fluctuations in time that confound the exposure, the effect estimate will be biased. It is therefore important to perform model-checking in time-stratified case-crossover analyses rather than assume the estimator is unbiased.

Long-range correlations in time series generated by time-fractional diffusion: A numerical study

NASA Astrophysics Data System (ADS)

Barbieri, Davide; Vivoli, Alessandro

2005-09-01

Time series models showing power law tails in autocorrelation functions are common in econometrics. A special non-Markovian model for such kind of time series is provided by the random walk introduced by Gorenflo et al. as a discretization of time fractional diffusion. The time series so obtained are analyzed here from a numerical point of view in terms of autocorrelations and covariance matrices.

Trend time-series modeling and forecasting with neural networks.

PubMed

Qi, Min; Zhang, G Peter

2008-05-01

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

Wavelet analysis and scaling properties of time series

NASA Astrophysics Data System (ADS)

Manimaran, P.; Panigrahi, Prasanta K.; Parikh, Jitendra C.

2005-10-01

We propose a wavelet based method for the characterization of the scaling behavior of nonstationary time series. It makes use of the built-in ability of the wavelets for capturing the trends in a data set, in variable window sizes. Discrete wavelets from the Daubechies family are used to illustrate the efficacy of this procedure. After studying binomial multifractal time series with the present and earlier approaches of detrending for comparison, we analyze the time series of averaged spin density in the 2D Ising model at the critical temperature, along with several experimental data sets possessing multifractal behavior.

Time Series Decomposition into Oscillation Components and Phase Estimation.

PubMed

Matsuda, Takeru; Komaki, Fumiyasu

2017-02-01

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

Testing the effectiveness of family therapeutic assessment: a case study using a time-series design.

PubMed

Smith, Justin D; Wolf, Nicole J; Handler, Leonard; Nash, Michael R

2009-11-01

We describe a family Therapeutic Assessment (TA) case study employing 2 assessors, 2 assessment rooms, and a video link. In the study, we employed a daily measures time-series design with a pretreatment baseline and follow-up period to examine the family TA treatment model. In addition to being an illustrative addition to a number of clinical reports suggesting the efficacy of family TA, this study is the first to apply a case-based time-series design to test whether family TA leads to clinical improvement and also illustrates when that improvement occurs. Results support the trajectory of change proposed by Finn (2007), the TA model's creator, who posits that benefits continue beyond the formal treatment itself.

Ambient temperature and coronary heart disease mortality in Beijing, China: a time series study

PubMed Central

2012-01-01

Background Many studies have examined the association between ambient temperature and mortality. However, less evidence is available on the temperature effects on coronary heart disease (CHD) mortality, especially in China. In this study, we examined the relationship between ambient temperature and CHD mortality in Beijing, China during 2000 to 2011. In addition, we compared time series and time-stratified case-crossover models for the non-linear effects of temperature. Methods We examined the effects of temperature on CHD mortality using both time series and time-stratified case-crossover models. We also assessed the effects of temperature on CHD mortality by subgroups: gender (female and male) and age (age > =65 and age < 65). We used a distributed lag non-linear model to examine the non-linear effects of temperature on CHD mortality up to 15 lag days. We used Akaike information criterion to assess the model fit for the two designs. Results The time series models had a better model fit than time-stratified case-crossover models. Both designs showed that the relationships between temperature and group-specific CHD mortality were non-linear. Extreme cold and hot temperatures significantly increased the risk of CHD mortality. Hot effects were acute and short-term, while cold effects were delayed by two days and lasted for five days. The old people and women were more sensitive to extreme cold and hot temperatures than young and men. Conclusions This study suggests that time series models performed better than time-stratified case-crossover models according to the model fit, even though they produced similar non-linear effects of temperature on CHD mortality. In addition, our findings indicate that extreme cold and hot temperatures increase the risk of CHD mortality in Beijing, China, particularly for women and old people. PMID:22909034

Empirical intrinsic geometry for nonlinear modeling and time series filtering.

PubMed

Talmon, Ronen; Coifman, Ronald R

2013-07-30

In this paper, we present a method for time series analysis based on empirical intrinsic geometry (EIG). EIG enables one to reveal the low-dimensional parametric manifold as well as to infer the underlying dynamics of high-dimensional time series. By incorporating concepts of information geometry, this method extends existing geometric analysis tools to support stochastic settings and parametrizes the geometry of empirical distributions. However, the statistical models are not required as priors; hence, EIG may be applied to a wide range of real signals without existing definitive models. We show that the inferred model is noise-resilient and invariant under different observation and instrumental modalities. In addition, we show that it can be extended efficiently to newly acquired measurements in a sequential manner. These two advantages enable us to revisit the Bayesian approach and incorporate empirical dynamics and intrinsic geometry into a nonlinear filtering framework. We show applications to nonlinear and non-Gaussian tracking problems as well as to acoustic signal localization.

Deconvolution of mixing time series on a graph

PubMed Central

Blocker, Alexander W.; Airoldi, Edoardo M.

2013-01-01

In many applications we are interested in making inference on latent time series from indirect measurements, which are often low-dimensional projections resulting from mixing or aggregation. Positron emission tomography, super-resolution, and network traffic monitoring are some examples. Inference in such settings requires solving a sequence of ill-posed inverse problems, yt = Axt, where the projection mechanism provides information on A. We consider problems in which A specifies mixing on a graph of times series that are bursty and sparse. We develop a multilevel state-space model for mixing times series and an efficient approach to inference. A simple model is used to calibrate regularization parameters that lead to efficient inference in the multilevel state-space model. We apply this method to the problem of estimating point-to-point traffic flows on a network from aggregate measurements. Our solution outperforms existing methods for this problem, and our two-stage approach suggests an efficient inference strategy for multilevel models of multivariate time series. PMID:25309135

RADON CONCENTRATION TIME SERIES MODELING AND APPLICATION DISCUSSION.

PubMed

Stránský, V; Thinová, L

2017-11-01

In the year 2010 a continual radon measurement was established at Mladeč Caves in the Czech Republic using a continual radon monitor RADIM3A. In order to model radon time series in the years 2010-15, the Box-Jenkins Methodology, often used in econometrics, was applied. Because of the behavior of radon concentrations (RCs), a seasonal integrated, autoregressive moving averages model with exogenous variables (SARIMAX) has been chosen to model the measured time series. This model uses the time series seasonality, previously acquired values and delayed atmospheric parameters, to forecast RC. The developed model for RC time series is called regARIMA(5,1,3). Model residuals could be retrospectively compared with seismic evidence of local or global earthquakes, which occurred during the RCs measurement. This technique enables us to asses if continuously measured RC could serve an earthquake precursor. © The Author 2017. Published by Oxford University Press. All rights reserved. For Permissions, please email: journals.permissions@oup.com.

Nonstationary time series prediction combined with slow feature analysis

NASA Astrophysics Data System (ADS)

Wang, G.; Chen, X.

2015-07-01

Almost all climate time series have some degree of nonstationarity due to external driving forces perturbing the observed system. Therefore, these external driving forces should be taken into account when constructing the climate dynamics. This paper presents a new technique of obtaining the driving forces of a time series from the slow feature analysis (SFA) approach, and then introduces them into a predictive model to predict nonstationary time series. The basic theory of the technique is to consider the driving forces as state variables and to incorporate them into the predictive model. Experiments using a modified logistic time series and winter ozone data in Arosa, Switzerland, were conducted to test the model. The results showed improved prediction skills.

Econophysics — complex correlations and trend switchings in financial time series

NASA Astrophysics Data System (ADS)

Preis, T.

2011-03-01

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

Time Series Econometrics for the 21st Century

ERIC Educational Resources Information Center

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)…

The examination of headache activity using time-series research designs.

PubMed

Houle, Timothy T; Remble, Thomas A; Houle, Thomas A

2005-05-01

The majority of research conducted on headache has utilized cross-sectional designs which preclude the examination of dynamic factors and principally rely on group-level effects. The present article describes the application of an individual-oriented process model using time-series analytical techniques. The blending of a time-series approach with an interactive process model allows consideration of the relationships of intra-individual dynamic processes, while not precluding the researcher to examine inter-individual differences. The authors explore the nature of time-series data and present two necessary assumptions underlying the time-series approach. The concept of shock and its contribution to headache activity is also presented. The time-series approach is not without its problems and two such problems are specifically reported: autocorrelation and the distribution of daily observations. The article concludes with the presentation of several analytical techniques suited to examine the time-series interactive process model.

Semi-autonomous remote sensing time series generation tool

NASA Astrophysics Data System (ADS)

Babu, Dinesh Kumar; Kaufmann, Christof; Schmidt, Marco; Dhams, Thorsten; Conrad, Christopher

2017-10-01

High spatial and temporal resolution data is vital for crop monitoring and phenology change detection. Due to the lack of satellite architecture and frequent cloud cover issues, availability of daily high spatial data is still far from reality. Remote sensing time series generation of high spatial and temporal data by data fusion seems to be a practical alternative. However, it is not an easy process, since it involves multiple steps and also requires multiple tools. In this paper, a framework of Geo Information System (GIS) based tool is presented for semi-autonomous time series generation. This tool will eliminate the difficulties by automating all the steps and enable the users to generate synthetic time series data with ease. Firstly, all the steps required for the time series generation process are identified and grouped into blocks based on their functionalities. Later two main frameworks are created, one to perform all the pre-processing steps on various satellite data and the other one to perform data fusion to generate time series. The two frameworks can be used individually to perform specific tasks or they could be combined to perform both the processes in one go. This tool can handle most of the known geo data formats currently available which makes it a generic tool for time series generation of various remote sensing satellite data. This tool is developed as a common platform with good interface which provides lot of functionalities to enable further development of more remote sensing applications. A detailed description on the capabilities and the advantages of the frameworks are given in this paper.

Time Series Analysis of Insar Data: Methods and Trends

NASA Technical Reports Server (NTRS)

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.

Interpretation of a compositional time series

NASA Astrophysics Data System (ADS)

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

A comparison between MS-VECM and MS-VECMX on economic time series data

NASA Astrophysics Data System (ADS)

Phoong, Seuk-Wai; Ismail, Mohd Tahir; Sek, Siok-Kun

2014-07-01

Multivariate Markov switching models able to provide useful information on the study of structural change data since the regime switching model can analyze the time varying data and capture the mean and variance in the series of dependence structure. This paper will investigates the oil price and gold price effects on Malaysia, Singapore, Thailand and Indonesia stock market returns. Two forms of Multivariate Markov switching models are used namely the mean adjusted heteroskedasticity Markov Switching Vector Error Correction Model (MSMH-VECM) and the mean adjusted heteroskedasticity Markov Switching Vector Error Correction Model with exogenous variable (MSMH-VECMX). The reason for using these two models are to capture the transition probabilities of the data since real financial time series data always exhibit nonlinear properties such as regime switching, cointegrating relations, jumps or breaks passing the time. A comparison between these two models indicates that MSMH-VECM model able to fit the time series data better than the MSMH-VECMX model. In addition, it was found that oil price and gold price affected the stock market changes in the four selected countries.

Simultaneous determination of radionuclides separable into natural decay series by use of time-interval analysis.

PubMed

Hashimoto, Tetsuo; Sanada, Yukihisa; Uezu, Yasuhiro

2004-05-01

A delayed coincidence method, time-interval analysis (TIA), has been applied to successive alpha- alpha 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 alpha-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 beta-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.

Self-affinity in the dengue fever time series

NASA Astrophysics Data System (ADS)

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.

BiGGEsTS: integrated environment for biclustering analysis of time series gene expression data

PubMed Central

Gonçalves, Joana P; Madeira, Sara C; Oliveira, Arlindo L

2009-01-01

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: . We present a case study on the discovery of transcriptional regulatory modules in the response of Saccharomyces cerevisiae to heat stress. PMID:19583847

Developing consistent time series landsat data products

USDA-ARS?s Scientific Manuscript database

The Landsat series satellite has provided earth observation data record continuously since early 1970s. There are increasing demands on having a consistent time series of Landsat data products. In this presentation, I will summarize the work supported by the USGS Landsat Science Team project from 20...

Time-series modeling of long-term weight self-monitoring data.

PubMed

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.

Nonstationary time series prediction combined with slow feature analysis

NASA Astrophysics Data System (ADS)

Wang, G.; Chen, X.

2015-01-01

Almost all climate time series have some degree of nonstationarity due to external driving forces perturbations of the observed system. Therefore, these external driving forces should be taken into account when reconstructing the climate dynamics. This paper presents a new technique of combining the driving force of a time series obtained using the Slow Feature Analysis (SFA) approach, then introducing the driving force into a predictive model to predict non-stationary time series. In essence, the main idea of the technique is to consider the driving forces as state variables and incorporate them into the prediction model. To test the method, experiments using a modified logistic time series and winter ozone data in Arosa, Switzerland, were conducted. The results showed improved and effective prediction skill.

A probabilistic method for constructing wave time-series at inshore locations using model scenarios

USGS Publications Warehouse

Long, Joseph W.; Plant, Nathaniel G.; Dalyander, P. Soupy; Thompson, David M.

2014-01-01

Continuous time-series of wave characteristics (height, period, and direction) are constructed using a base set of model scenarios and simple probabilistic methods. This approach utilizes an archive of computationally intensive, highly spatially resolved numerical wave model output to develop time-series of historical or future wave conditions without performing additional, continuous numerical simulations. The archive of model output contains wave simulations from a set of model scenarios derived from an offshore wave climatology. Time-series of wave height, period, direction, and associated uncertainties are constructed at locations included in the numerical model domain. The confidence limits are derived using statistical variability of oceanographic parameters contained in the wave model scenarios. The method was applied to a region in the northern Gulf of Mexico and assessed using wave observations at 12 m and 30 m water depths. Prediction skill for significant wave height is 0.58 and 0.67 at the 12 m and 30 m locations, respectively, with similar performance for wave period and direction. The skill of this simplified, probabilistic time-series construction method is comparable to existing large-scale, high-fidelity operational wave models but provides higher spatial resolution output at low computational expense. The constructed time-series can be developed to support a variety of applications including climate studies and other situations where a comprehensive survey of wave impacts on the coastal area is of interest.

A Physiological Time Series Dynamics-Based Approach to Patient Monitoring and Outcome Prediction

PubMed Central

Lehman, Li-Wei H.; Adams, Ryan P.; Mayaud, Louis; Moody, George B.; Malhotra, Atul; Mark, Roger G.; Nemati, Shamim

2015-01-01

Cardiovascular variables such as heart rate (HR) and blood pressure (BP) are regulated by an underlying control system, and therefore, the time series of these vital signs exhibit rich dynamical patterns of interaction in response to external perturbations (e.g., drug administration), as well as pathological states (e.g., onset of sepsis and hypotension). A question of interest is whether “similar” dynamical patterns can be identified across a heterogeneous patient cohort, and be used for prognosis of patients’ health and progress. In this paper, we used a switching vector autoregressive framework to systematically learn and identify a collection of vital sign time series dynamics, which are possibly recurrent within the same patient and may be shared across the entire cohort. We show that these dynamical behaviors can be used to characterize the physiological “state” of a patient. We validate our technique using simulated time series of the cardiovascular system, and human recordings of HR and BP time series from an orthostatic stress study with known postural states. Using the HR and BP dynamics of an intensive care unit (ICU) cohort of over 450 patients from the MIMIC II database, we demonstrate that the discovered cardiovascular dynamics are significantly associated with hospital mortality (dynamic modes 3 and 9, p = 0.001, p = 0.006 from logistic regression after adjusting for the APACHE scores). Combining the dynamics of BP time series and SAPS-I or APACHE-III provided a more accurate assessment of patient survival/mortality in the hospital than using SAPS-I and APACHE-III alone (p = 0.005 and p = 0.045). Our results suggest that the discovered dynamics of vital sign time series may contain additional prognostic value beyond that of the baseline acuity measures, and can potentially be used as an independent predictor of outcomes in the ICU. PMID:25014976

Detecting Land Cover Change by Trend and Seasonality of Remote Sensing Time Series

NASA Astrophysics Data System (ADS)

Oliveira, J. C.; Epiphanio, J. N.; Mello, M. P.

2013-05-01

Natural resource managers demand knowledge of information on the spatiotemporal dynamics of land use and land cover change, and detection and characteristics change over time is an initial step for the understanding of the mechanism of change. The propose of this research is the use the approach BFAST (Breaks For Additive Seasonal and Trend) for detects trend and seasonal changes within Normalized Difference Vegetation Index (NDVI) time series. BFAST integrates the decomposition of time series into trend, seasonal, and noise components with methods for detecting change within time series without the need to select a reference period, set a threshold, or define a change trajectory. BFAST iteratively estimates the time and number of changes, and characterizes change by its magnitude and direction. The general model is of the form Yt = Tt + St + et (t= 1,2,3,…, n) where Yt is the observed data at time t, Tt is the trend component, St is the seasonal component, and et is the remainder component. In this study was used MODIS NDVI time series datasets (MOD13Q1) over 11 years (2000 - 2010) on an intensive agricultural area in Mato Grosso - Brazil. At first it was applied a filter for noise reduction (4253H twice) over spectral curve of each MODIS pixel, and subsequently each time series was decomposed into seasonal, trend, and remainder components by BFAST. Were detected one abrupt change from a single pixel of forest and two abrupt changes on trend component to a pixel of the agricultural area. Figure 1 shows the number of phonological change with base in seasonal component for study area. This paper demonstrated the ability of the BFAST to detect long-term phenological change by analyzing time series while accounting for abrupt and gradual changes. The algorithm iteratively estimates the dates and number of changes occurring within seasonal and trend components, and characterizes changes by extracting the magnitude and direction of change. Changes occurring in the

Fast Algorithms for Mining Co-evolving Time Series

DTIC Science & Technology

2011-09-01

Keogh et al., 2001, 2004] and (b) forecasting, like an autoregressive integrated moving average model ( ARIMA ) and related meth- ods [Box et al., 1994...computing hardware? We develop models to mine time series with missing values, to extract compact representation from time sequences, to segment the...sequences, and to do forecasting. For large scale data, we propose algorithms for learning time series models , in particular, including Linear Dynamical

Temporal Decompostion of a Distribution System Quasi-Static Time-Series Simulation

DOE Office of Scientific and Technical Information (OSTI.GOV)

Mather, Barry A; Hunsberger, Randolph J

This paper documents the first phase of an investigation into reducing runtimes of complex OpenDSS models through parallelization. As the method seems promising, future work will quantify - and further mitigate - errors arising from this process. In this initial report, we demonstrate how, through the use of temporal decomposition, the run times of a complex distribution-system-level quasi-static time series simulation can be reduced roughly proportional to the level of parallelization. Using this method, the monolithic model runtime of 51 hours was reduced to a minimum of about 90 minutes. As expected, this comes at the expense of control- andmore » voltage-errors at the time-slice boundaries. All evaluations were performed using a real distribution circuit model with the addition of 50 PV systems - representing a mock complex PV impact study. We are able to reduce induced transition errors through the addition of controls initialization, though small errors persist. The time savings with parallelization are so significant that we feel additional investigation to reduce control errors is warranted.« less

Time-series analysis of the barriers for admission into a spinal rehabilitation unit.

PubMed

New, P W; Akram, M

2016-02-01

This is a prospective open-cohort case series. The objective of this study was to assess changes over time in the duration of key acute hospital process barriers for patients with spinal cord damage (SCD) from admission until transfer into spinal rehabilitation unit (SRU) or other destinations. The study was conducted in Acute hospitals, Victoria, Australia (2006-2013). Duration of the following discrete sequential processes was measured: acute hospital admission until referral to SRU, referral until SRU assessment, SRU assessment until ready for SRU transfer and ready for transfer until SRU admission. Time-series analysis was performed using a generalised additive model (GAM). Seasonality of non-traumatic spinal cord dysfunction (SCDys) was examined. GAM analysis shows that the waiting time for admission into SRU was significantly (P<0.001) longer for patients who were female, who had tetraplegia, who were motor complete, had a pelvic pressure ulcer and who were referred from another health network. Age had a non-linear effect on the duration of waiting for transfer from acute hospital to SRU and both the acute hospital and SRU length of stay (LOS). The duration patients spent waiting for SRU admission increased over the study period. There was an increase in the number of referrals over the study period and an increase in the number of patients accepted but not admitted into the SRU. There was no notable seasonal influence on the referral of patients with SCDys. Time-series analysis provides additional insights into changes in the waiting times for SRU admission and the LOS in hospital for patients with SCD.

Characterization of time series via Rényi complexity-entropy curves

NASA Astrophysics Data System (ADS)

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.

Characterizing Time Series Data Diversity for Wind Forecasting: Preprint

DOE Office of Scientific and Technical Information (OSTI.GOV)

Hodge, Brian S; Chartan, Erol Kevin; Feng, Cong

Wind forecasting plays an important role in integrating variable and uncertain wind power into the power grid. Various forecasting models have been developed to improve the forecasting accuracy. However, it is challenging to accurately compare the true forecasting performances from different methods and forecasters due to the lack of diversity in forecasting test datasets. This paper proposes a time series characteristic analysis approach to visualize and quantify wind time series diversity. The developed method first calculates six time series characteristic indices from various perspectives. Then the principal component analysis is performed to reduce the data dimension while preserving the importantmore » information. The diversity of the time series dataset is visualized by the geometric distribution of the newly constructed principal component space. The volume of the 3-dimensional (3D) convex polytope (or the length of 1D number axis, or the area of the 2D convex polygon) is used to quantify the time series data diversity. The method is tested with five datasets with various degrees of diversity.« less

Quantifying Selection with Pool-Seq Time Series Data.

PubMed

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.

Interrupted time series regression for the evaluation of public health interventions: a tutorial.

PubMed

Bernal, James Lopez; Cummins, Steven; Gasparrini, Antonio

2017-02-01

Interrupted time series (ITS) analysis is a valuable study design for evaluating the effectiveness of population-level health interventions that have been implemented at a clearly defined point in time. It is increasingly being used to evaluate the effectiveness of interventions ranging from clinical therapy to national public health legislation. Whereas the design shares many properties of regression-based approaches in other epidemiological studies, there are a range of unique features of time series data that require additional methodological considerations. In this tutorial we use a worked example to demonstrate a robust approach to ITS analysis using segmented regression. We begin by describing the design and considering when ITS is an appropriate design choice. We then discuss the essential, yet often omitted, step of proposing the impact model a priori. Subsequently, we demonstrate the approach to statistical analysis including the main segmented regression model. Finally we describe the main methodological issues associated with ITS analysis: over-dispersion of time series data, autocorrelation, adjusting for seasonal trends and controlling for time-varying confounders, and we also outline some of the more complex design adaptations that can be used to strengthen the basic ITS design.

Interrupted time series regression for the evaluation of public health interventions: a tutorial

PubMed Central

Bernal, James Lopez; Cummins, Steven; Gasparrini, Antonio

2017-01-01

Abstract Interrupted time series (ITS) analysis is a valuable study design for evaluating the effectiveness of population-level health interventions that have been implemented at a clearly defined point in time. It is increasingly being used to evaluate the effectiveness of interventions ranging from clinical therapy to national public health legislation. Whereas the design shares many properties of regression-based approaches in other epidemiological studies, there are a range of unique features of time series data that require additional methodological considerations. In this tutorial we use a worked example to demonstrate a robust approach to ITS analysis using segmented regression. We begin by describing the design and considering when ITS is an appropriate design choice. We then discuss the essential, yet often omitted, step of proposing the impact model a priori. Subsequently, we demonstrate the approach to statistical analysis including the main segmented regression model. Finally we describe the main methodological issues associated with ITS analysis: over-dispersion of time series data, autocorrelation, adjusting for seasonal trends and controlling for time-varying confounders, and we also outline some of the more complex design adaptations that can be used to strengthen the basic ITS design. PMID:27283160

High-resolution (noble) gas time series for aquatic research

NASA Astrophysics Data System (ADS)

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

A multidisciplinary database for geophysical time series management

NASA Astrophysics Data System (ADS)

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

2013-12-01

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

Noise analysis of GPS time series in Taiwan

NASA Astrophysics Data System (ADS)

Lee, You-Chia; Chang, Wu-Lung

2017-04-01

Global positioning system (GPS) usually used for researches of plate tectonics and crustal deformation. In most studies, GPS time series considered only time-independent noises (white noise), but time-dependent noises (flicker noise, random walk noise) which were found by nearly twenty years are also important to the precision of data. The rate uncertainties of stations will be underestimated if the GPS time series are assumed only time-independent noise. Therefore studying the noise properties of GPS time series is necessary in order to realize the precision and reliability of velocity estimates. The lengths of our GPS time series are from over 500 stations around Taiwan with time spans longer than 2.5 years up to 20 years. The GPS stations include different monument types such as deep drill braced, roof, metal tripod, and concrete pier, and the most common type in Taiwan is the metal tripod. We investigated the noise properties of continuous GPS time series by using the spectral index and amplitude of the power law noise. During the process we first remove the data outliers, and then estimate linear trend, size of offsets, and seasonal signals, and finally the amplitudes of the power-law and white noise are estimated simultaneously. Our preliminary results show that the noise amplitudes of the north component are smaller than that of the other two components, and the largest amplitudes are in the vertical. We also find that the amplitudes of white noise and power-law noises are positively correlated in three components. Comparisons of noise amplitudes of different monument types in Taiwan reveal that the deep drill braced monuments have smaller data uncertainties and therefore are more stable than other monuments.

Higher-Order Hurst Signatures: Dynamical Information in Time Series

NASA Astrophysics Data System (ADS)

Ferenbaugh, Willis

2005-10-01

Understanding and comparing time series from different systems requires characteristic measures of the dynamics embedded in the series. The Hurst exponent is a second-order dynamical measure of a time series which grew up within the blossoming fractal world of Mandelbrot. This characteristic measure is directly related to the behavior of the autocorrelation, the power-spectrum, and other second-order things. And as with these other measures, the Hurst exponent captures and quantifies some but not all of the intrinsic nature of a series. The more elusive characteristics live in the phase spectrum and the higher-order spectra. This research is a continuing quest to (more) fully characterize the dynamical information in time series produced by plasma experiments or models. The goal is to supplement the series information which can be represented by a Hurst exponent, and we would like to develop supplemental techniques in analogy with Hurst's original R/S analysis. These techniques should be another way to plumb the higher-order dynamics.

Assessments of higher-order ionospheric effects on GPS coordinate time series: A case study of CMONOC with longer time series

NASA Astrophysics Data System (ADS)

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.

Analysis of Time-Series Quasi-Experiments. Final Report.

ERIC Educational Resources Information Center

Glass, Gene V.; Maguire, Thomas O.

The objective of this project was to investigate the adequacy of statistical models developed by G. E. P. Box and G. C. Tiao for the analysis of time-series quasi-experiments: (1) The basic model developed by Box and Tiao is applied to actual time-series experiment data from two separate experiments, one in psychology and one in educational…

A Computer Evolution in Teaching Undergraduate Time Series

ERIC Educational Resources Information Center

Hodgess, Erin M.

2004-01-01

In teaching undergraduate time series courses, we have used a mixture of various statistical packages. We have finally been able to teach all of the applied concepts within one statistical package; R. This article describes the process that we use to conduct a thorough analysis of a time series. An example with a data set is provided. We compare…

Modeling Time Series Data for Supervised Learning

ERIC Educational Resources Information Center

Baydogan, Mustafa Gokce

2012-01-01

Temporal data are increasingly prevalent and important in analytics. Time series (TS) data are chronological sequences of observations and an important class of temporal data. Fields such as medicine, finance, learning science and multimedia naturally generate TS data. Each series provide a high-dimensional data vector that challenges the learning…

Empirical method to measure stochasticity and multifractality in nonlinear time series

NASA Astrophysics Data System (ADS)

Lin, Chih-Hao; Chang, Chia-Seng; Li, Sai-Ping

2013-12-01

An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the stochasticity of different time series can be compared. The local volatility of the time series under study can be constructed using this algorithm, and the multifractal structure of the time series can be analyzed by using this local volatility. As an example, we employ this method to analyze financial time series from different stock markets. The result shows that while developed markets evolve very much like an Ito process, the emergent markets are far from efficient. Differences about the multifractal structures and leverage effects between developed and emergent markets are discussed. The algorithm used here can be applied in a similar fashion to study time series of other complex systems.

GNSS Network Time Series Analysis

NASA Astrophysics Data System (ADS)

Balodis, J.; Janpaule, I.; Haritonova, D.; Normand, M.; Silabriedis, G.; Zarinjsh, A.; Zvirgzds, J.

2012-04-01

Time series of GNSS station results of both the EUPOS®-RIGA and LATPOS networks has been developed at the Institute of Geodesy and Geoinformation (University of Latvia) using Bernese v.5.0 software. The base stations were selected among the EPN and IGS stations in surroundings of Latvia. In various day solutions the base station selection has been miscellaneous. Most frequently 5 - 8 base stations were selected from a set of stations {BOR1, JOEN, JOZE, MDVJ, METS, POLV, PULK, RIGA, TORA, VAAS, VISO, VLNS}. The rejection of "bad base stations" was performed by Bernese software depending on the quality of proper station data in proper day. This caused a reason of miscellaneous base station selection in various days. The results of time series are analysed. The question aroused on the nature of some outlying situations. The seasonal effect of the behaviour of the network has been identified when distance and elevation changes between stations has been analysed. The dependence from various influences has been recognised.

Correlated errors in geodetic time series: Implications for time-dependent deformation

USGS Publications Warehouse

Langbein, J.; Johnson, H.

1997-01-01

addition, the seasonal noise can be as large as 3 mm in amplitude but typically is less than 0.5 mm. Because of the presence of random-walk noise in these time series, modeling and interpretation of the geodetic data must account for this source of error. By way of example we show that estimating the time-varying strain tensor (a form of spatial averaging) from geodetic data having both random-walk and white noise error components results in seemingly significant variations in the rate of strain accumulation; spatial averaging does reduce the size of both noise components but not their relative influence on the resulting strain accumulation model. Copyright 1997 by the American Geophysical Union.

Evaluation of Scaling Invariance Embedded in Short Time Series

PubMed Central

Pan, Xue; Hou, Lei; Stephen, Mutua; Yang, Huijie; Zhu, Chenping

2014-01-01

Scaling invariance of time series has been making great contributions in diverse research fields. But how to evaluate scaling exponent from a real-world series is still an open problem. Finite length of time series may induce unacceptable fluctuation and bias to statistical quantities and consequent invalidation of currently used standard methods. In this paper a new concept called correlation-dependent balanced estimation of diffusion entropy is developed to evaluate scale-invariance in very short time series with length . Calculations with specified Hurst exponent values of show that by using the standard central moving average de-trending procedure this method can evaluate the scaling exponents for short time series with ignorable bias () and sharp confidential interval (standard deviation ). Considering the stride series from ten volunteers along an approximate oval path of a specified length, we observe that though the averages and deviations of scaling exponents are close, their evolutionary behaviors display rich patterns. It has potential use in analyzing physiological signals, detecting early warning signals, and so on. As an emphasis, the our core contribution is that by means of the proposed method one can estimate precisely shannon entropy from limited records. PMID:25549356

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

NASA Astrophysics Data System (ADS)

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.

Clinical time series prediction: towards a hierarchical dynamical system framework

PubMed Central

Liu, Zitao; Hauskrecht, Milos

2014-01-01

Objective Developing machine learning and data mining algorithms for building temporal models of clinical time series is important for understanding of the patient condition, the dynamics of a disease, effect of various patient management interventions and clinical decision making. In this work, we propose and develop a novel hierarchical framework for modeling clinical time series data of varied length and with irregularly sampled observations. Materials and methods Our hierarchical dynamical system framework for modeling clinical time series combines advantages of the two temporal modeling approaches: the linear dynamical system and the Gaussian process. We model the irregularly sampled clinical time series by using multiple Gaussian process sequences in the lower level of our hierarchical framework and capture the transitions between Gaussian processes by utilizing the linear dynamical system. The experiments are conducted on the complete blood count (CBC) panel data of 1000 post-surgical cardiac patients during their hospitalization. Our framework is evaluated and compared to multiple baseline approaches in terms of the mean absolute prediction error and the absolute percentage error. Results We tested our framework by first learning the time series model from data for the patient in the training set, and then applying the model in order to predict future time series values on the patients in the test set. We show that our model outperforms multiple existing models in terms of its predictive accuracy. Our method achieved a 3.13% average prediction accuracy improvement on ten CBC lab time series when it was compared against the best performing baseline. A 5.25% average accuracy improvement was observed when only short-term predictions were considered. Conclusion A new hierarchical dynamical system framework that lets us model irregularly sampled time series data is a promising new direction for modeling clinical time series and for improving their predictive

Clinical time series prediction: Toward a hierarchical dynamical system framework.

PubMed

Liu, Zitao; Hauskrecht, Milos

2015-09-01

Developing machine learning and data mining algorithms for building temporal models of clinical time series is important for understanding of the patient condition, the dynamics of a disease, effect of various patient management interventions and clinical decision making. In this work, we propose and develop a novel hierarchical framework for modeling clinical time series data of varied length and with irregularly sampled observations. Our hierarchical dynamical system framework for modeling clinical time series combines advantages of the two temporal modeling approaches: the linear dynamical system and the Gaussian process. We model the irregularly sampled clinical time series by using multiple Gaussian process sequences in the lower level of our hierarchical framework and capture the transitions between Gaussian processes by utilizing the linear dynamical system. The experiments are conducted on the complete blood count (CBC) panel data of 1000 post-surgical cardiac patients during their hospitalization. Our framework is evaluated and compared to multiple baseline approaches in terms of the mean absolute prediction error and the absolute percentage error. We tested our framework by first learning the time series model from data for the patients in the training set, and then using it to predict future time series values for the patients in the test set. We show that our model outperforms multiple existing models in terms of its predictive accuracy. Our method achieved a 3.13% average prediction accuracy improvement on ten CBC lab time series when it was compared against the best performing baseline. A 5.25% average accuracy improvement was observed when only short-term predictions were considered. A new hierarchical dynamical system framework that lets us model irregularly sampled time series data is a promising new direction for modeling clinical time series and for improving their predictive performance. Copyright © 2014 Elsevier B.V. All rights reserved.

Characterizing time series: when Granger causality triggers complex networks

NASA Astrophysics Data System (ADS)

Ge, Tian; Cui, Yindong; Lin, Wei; Kurths, Jürgen; Liu, Chong

2012-08-01

In this paper, we propose a new approach to characterize time series with noise perturbations in both the time and frequency domains by combining Granger causality and complex networks. We construct directed and weighted complex networks from time series and use representative network measures to describe their physical and topological properties. Through analyzing the typical dynamical behaviors of some physical models and the MIT-BIHMassachusetts Institute of Technology-Beth Israel Hospital. human electrocardiogram data sets, we show that the proposed approach is able to capture and characterize various dynamics and has much potential for analyzing real-world time series of rather short length.

Monitoring Forest Regrowth Using a Multi-Platform Time Series

NASA Technical Reports Server (NTRS)

Sabol, Donald E., Jr.; Smith, Milton O.; Adams, John B.; Gillespie, Alan R.; Tucker, Compton J.

1996-01-01

techniques typically are not consistent for the same scene imaged under different illumination conditions, especially in the mountainous regions. In addition, it is difficult to correct for atmospheric and instrumental differences between multiple scenes in a time series. In this paper, we present an approach for monitoring forest cutting/regrowth in a semi-mountainous portion of the southern Gifford Pinchot National Forest using a multisensor-time series composed of MSS, TM, and AVIRIS images.

Filter-based multiscale entropy analysis of complex physiological time series.

PubMed

Xu, Yuesheng; Zhao, Liang

2013-08-01

Multiscale entropy (MSE) has been widely and successfully used in analyzing the complexity of physiological time series. We reinterpret the averaging process in MSE as filtering a time series by a filter of a piecewise constant type. From this viewpoint, we introduce filter-based multiscale entropy (FME), which filters a time series to generate multiple frequency components, and then we compute the blockwise entropy of the resulting components. By choosing filters adapted to the feature of a given time series, FME is able to better capture its multiscale information and to provide more flexibility for studying its complexity. Motivated by the heart rate turbulence theory, which suggests that the human heartbeat interval time series can be described in piecewise linear patterns, we propose piecewise linear filter multiscale entropy (PLFME) for the complexity analysis of the time series. Numerical results from PLFME are more robust to data of various lengths than those from MSE. The numerical performance of the adaptive piecewise constant filter multiscale entropy without prior information is comparable to that of PLFME, whose design takes prior information into account.

Unified functional network and nonlinear time series analysis for complex systems science: The pyunicorn package

NASA Astrophysics Data System (ADS)

Donges, Jonathan F.; Heitzig, Jobst; Beronov, Boyan; Wiedermann, Marc; Runge, Jakob; Feng, Qing Yi; Tupikina, Liubov; Stolbova, Veronika; Donner, Reik V.; Marwan, Norbert; Dijkstra, Henk A.; Kurths, Jürgen

2015-11-01

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.

Measurements of spatial population synchrony: influence of time series transformations.

PubMed

Chevalier, Mathieu; Laffaille, Pascal; Ferdy, Jean-Baptiste; Grenouillet, Gaël

2015-09-01

Two mechanisms have been proposed to explain spatial population synchrony: dispersal among populations, and the spatial correlation of density-independent factors (the "Moran effect"). To identify which of these two mechanisms is driving spatial population synchrony, time series transformations (TSTs) of abundance data have been used to remove the signature of one mechanism, and highlight the effect of the other. However, several issues with TSTs remain, and to date no consensus has emerged about how population time series should be handled in synchrony studies. Here, by using 3131 time series involving 34 fish species found in French rivers, we computed several metrics commonly used in synchrony studies to determine whether a large-scale climatic factor (temperature) influenced fish population dynamics at the regional scale, and to test the effect of three commonly used TSTs (detrending, prewhitening and a combination of both) on these metrics. We also tested whether the influence of TSTs on time series and population synchrony levels was related to the features of the time series using both empirical and simulated time series. For several species, and regardless of the TST used, we evidenced a Moran effect on freshwater fish populations. However, these results were globally biased downward by TSTs which reduced our ability to detect significant signals. Depending on the species and the features of the time series, we found that TSTs could lead to contradictory results, regardless of the metric considered. Finally, we suggest guidelines on how population time series should be processed in synchrony studies.

FO Aqr time-series observations requested

NASA Astrophysics Data System (ADS)

Waagen, Elizabeth O.

2016-07-01

Dr. Colin Littlefield (University of Notre Dame) and colleagues Drs. Peter Garnavich (Notre Dame), Erin Aadland (Minnesota State), and Mark Kennedy (University College Cork) have requested AAVSO assistance in monitoring the intermediate polar cataclysmic variable FO Aqr beginning immediately. Littlefield, who with his colleagues recently published ATel #9216 and #9225, writes: "This system is in a faint state for the first time in its observational record, implying a dropoff in the mass-transfer rate. AAVSO observations contributed by Shawn Dvorak [the only observer following FO Aqr at the time] were particularly helpful in detecting this low state. Since early May, the system has recovered to V 15, but it is still well below its normal brightness. In addition, our time-series photometry shows a very strong 11.26-minute photometric period. By contrast, during its bright state, FO Aqr's light curve is dominated by a 20.9-minute period, corresponding with the spin period of the white dwarf. We interpret our observations as evidence that the system's accretion processes have changed dramatically as a result of the reduced mass-transfer rate. We have...determined that...[the 11.26-min] periodicity is dependent on the orbital phase of the binary. The 11.26-min period is dominant for about half of the orbit, but for the other half, a 22.5-min period is stronger. AAVSO observers can help us study both of these periods as well as their dependence on the orbital phase. We are particularly interested in any changes in this behavior as the system continues to brighten...Time-series photometry of FO Aqr [is requested] in order to better study the evolution of the 11.26-minute period as the system rebrightens. Unfiltered photometry reduced with a V zeropoint would be the most useful to us...A cadence of less than 60 seconds per image is important, given the brevity of these periods (especially the 11.26-min period). Finder charts with sequence may be created using the AAVSO

Signatures of ecological processes in microbial community time series.

PubMed

Faust, Karoline; Bauchinger, Franziska; Laroche, Béatrice; de Buyl, Sophie; Lahti, Leo; Washburne, Alex D; Gonze, Didier; Widder, Stefanie

2018-06-28

Growth rates, interactions between community members, stochasticity, and immigration are important drivers of microbial community dynamics. In sequencing data analysis, such as network construction and community model parameterization, we make implicit assumptions about the nature of these drivers and thereby restrict model outcome. Despite apparent risk of methodological bias, the validity of the assumptions is rarely tested, as comprehensive procedures are lacking. Here, we propose a classification scheme to determine the processes that gave rise to the observed time series and to enable better model selection. We implemented a three-step classification scheme in R that first determines whether dependence between successive time steps (temporal structure) is present in the time series and then assesses with a recently developed neutrality test whether interactions between species are required for the dynamics. If the first and second tests confirm the presence of temporal structure and interactions, then parameters for interaction models are estimated. To quantify the importance of temporal structure, we compute the noise-type profile of the community, which ranges from black in case of strong dependency to white in the absence of any dependency. We applied this scheme to simulated time series generated with the Dirichlet-multinomial (DM) distribution, Hubbell's neutral model, the generalized Lotka-Volterra model and its discrete variant (the Ricker model), and a self-organized instability model, as well as to human stool microbiota time series. The noise-type profiles for all but DM data clearly indicated distinctive structures. The neutrality test correctly classified all but DM and neutral time series as non-neutral. The procedure reliably identified time series for which interaction inference was suitable. Both tests were required, as we demonstrated that all structured time series, including those generated with the neutral model, achieved a moderate to high

Neural network versus classical time series forecasting models

NASA Astrophysics Data System (ADS)

Nor, Maria Elena; Safuan, Hamizah Mohd; Shab, Noorzehan Fazahiyah Md; Asrul, Mohd; Abdullah, Affendi; Mohamad, Nurul Asmaa Izzati; Lee, Muhammad Hisyam

2017-05-01

Artificial neural network (ANN) has advantage in time series forecasting as it has potential to solve complex forecasting problems. This is because ANN is data driven approach which able to be trained to map past values of a time series. In this study the forecast performance between neural network and classical time series forecasting method namely seasonal autoregressive integrated moving average models was being compared by utilizing gold price data. Moreover, the effect of different data preprocessing on the forecast performance of neural network being examined. The forecast accuracy was evaluated using mean absolute deviation, root mean square error and mean absolute percentage error. It was found that ANN produced the most accurate forecast when Box-Cox transformation was used as data preprocessing.

Monitoring groundwater-surface water interaction using time-series and time-frequency analysis of transient three-dimensional electrical resistivity changes

USGS Publications Warehouse

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.

Testing for nonlinearity in non-stationary physiological time series.

PubMed

Guarín, Diego; Delgado, Edilson; Orozco, Álvaro

2011-01-01

Testing for nonlinearity is one of the most important preprocessing steps in nonlinear time series analysis. Typically, this is done by means of the linear surrogate data methods. But it is a known fact that the validity of the results heavily depends on the stationarity of the time series. Since most physiological signals are non-stationary, it is easy to falsely detect nonlinearity using the linear surrogate data methods. In this document, we propose a methodology to extend the procedure for generating constrained surrogate time series in order to assess nonlinearity in non-stationary data. The method is based on the band-phase-randomized surrogates, which consists (contrary to the linear surrogate data methods) in randomizing only a portion of the Fourier phases in the high frequency domain. Analysis of simulated time series showed that in comparison to the linear surrogate data method, our method is able to discriminate between linear stationarity, linear non-stationary and nonlinear time series. Applying our methodology to heart rate variability (HRV) records of five healthy patients, we encountered that nonlinear correlations are present in this non-stationary physiological signals.

Multichannel biomedical time series clustering via hierarchical probabilistic latent semantic analysis.

PubMed

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.

Permutation entropy of finite-length white-noise time series.

PubMed

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.

Investigation of Time Series Representations and Similarity Measures for Structural Damage Pattern Recognition

PubMed Central

Swartz, R. Andrew

2013-01-01

This paper investigates the time series representation methods and similarity measures for sensor data feature extraction and structural damage pattern recognition. Both model-based time series representation and dimensionality reduction methods are studied to compare the effectiveness of feature extraction for damage pattern recognition. The evaluation of feature extraction methods is performed by examining the separation of feature vectors among different damage patterns and the pattern recognition success rate. In addition, the impact of similarity measures on the pattern recognition success rate and the metrics for damage localization are also investigated. The test data used in this study are from the System Identification to Monitor Civil Engineering Structures (SIMCES) Z24 Bridge damage detection tests, a rigorous instrumentation campaign that recorded the dynamic performance of a concrete box-girder bridge under progressively increasing damage scenarios. A number of progressive damage test case datasets and damage test data with different damage modalities are used. The simulation results show that both time series representation methods and similarity measures have significant impact on the pattern recognition success rate. PMID:24191136

Detecting trends in forest disturbance and recovery using yearly Landsat time series: 2. TimeSync — Tools for calibration and validation

Treesearch

Warren B. Cohen; Zhiqiang Yang; Robert Kennedy

2010-01-01

Availability of free, high quality Landsat data portends a new era in remote sensing change detection. Using dense (~annual) Landsat time series (LTS), we can now characterize vegetation change over large areas at an annual time step and at the spatial grain of anthropogenic disturbance. Additionally, we expect more accurate detection of subtle disturbances and...

Time series momentum and contrarian effects in the Chinese stock market

NASA Astrophysics Data System (ADS)

Shi, Huai-Long; Zhou, Wei-Xing

2017-10-01

This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the relation between the performance of time series momentum strategies and some firm-specific characteristics. Our findings indicate that there is a time series momentum effect in the short run and a contrarian effect in the long run in the Chinese stock market. The performances of the time series momentum and contrarian strategies are highly dependent on the look-back and holding periods and firm-specific characteristics.

Time-Series Analysis: A Cautionary Tale

NASA Technical Reports Server (NTRS)

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.

Intercomparison of Satellite Derived Gravity Time Series with Inferred Gravity Time Series from TOPEX/POSEIDON Sea Surface Heights and Climatological Model Output

NASA Technical Reports Server (NTRS)

Cox, C.; Au, A.; Klosko, S.; Chao, B.; Smith, David E. (Technical Monitor)

2001-01-01

The upcoming GRACE mission promises to open a window on details of the global mass budget that will have remarkable clarity, but it will not directly answer the question of what the state of the Earth's mass budget is over the critical last quarter of the 20th century. To address that problem we must draw upon existing technologies such as SLR, DORIS, and GPS, and climate modeling runs in order to improve our understanding. Analysis of long-period geopotential changes based on SLR and DORIS tracking has shown that addition of post 1996 satellite tracking data has a significant impact on the recovered zonal rates and long-period tides. Interannual effects such as those causing the post 1996 anomalies must be better characterized before refined estimates of the decadal period changes in the geopotential can be derived from the historical database of satellite tracking. A possible cause of this anomaly is variations in ocean mass distribution, perhaps associated with the recent large El Nino/La Nina. In this study, a low-degree spherical harmonic gravity time series derived from satellite tracking is compared with a TOPEX/POSEIDON-derived sea surface height time series. Corrections for atmospheric mass effects, continental hydrology, snowfall accumulation, and ocean steric model predictions will be considered.

Alternative predictors in chaotic time series

NASA Astrophysics Data System (ADS)

Alves, P. R. L.; Duarte, L. G. S.; da Mota, L. A. C. P.

2017-06-01

In the scheme of reconstruction, non-polynomial predictors improve the forecast from chaotic time series. The algebraic manipulation in the Maple environment is the basis for obtaining of accurate predictors. Beyond the different times of prediction, the optional arguments of the computational routines optimize the running and the analysis of global mappings.

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

PubMed

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

2017-04-01

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

Drunk driving detection based on classification of multivariate time series.

PubMed

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.

Modeling Non-Gaussian Time Series with Nonparametric Bayesian Model.

PubMed

Xu, Zhiguang; MacEachern, Steven; Xu, Xinyi

2015-02-01

We present a class of Bayesian copula models whose major components are the marginal (limiting) distribution of a stationary time series and the internal dynamics of the series. We argue that these are the two features with which an analyst is typically most familiar, and hence that these are natural components with which to work. For the marginal distribution, we use a nonparametric Bayesian prior distribution along with a cdf-inverse cdf transformation to obtain large support. For the internal dynamics, we rely on the traditionally successful techniques of normal-theory time series. Coupling the two components gives us a family of (Gaussian) copula transformed autoregressive models. The models provide coherent adjustments of time scales and are compatible with many extensions, including changes in volatility of the series. We describe basic properties of the models, show their ability to recover non-Gaussian marginal distributions, and use a GARCH modification of the basic model to analyze stock index return series. The models are found to provide better fit and improved short-range and long-range predictions than Gaussian competitors. The models are extensible to a large variety of fields, including continuous time models, spatial models, models for multiple series, models driven by external covariate streams, and non-stationary models.

Evaluation of scaling invariance embedded in short time series.

PubMed

Pan, Xue; Hou, Lei; Stephen, Mutua; Yang, Huijie; Zhu, Chenping

2014-01-01

Scaling invariance of time series has been making great contributions in diverse research fields. But how to evaluate scaling exponent from a real-world series is still an open problem. Finite length of time series may induce unacceptable fluctuation and bias to statistical quantities and consequent invalidation of currently used standard methods. In this paper a new concept called correlation-dependent balanced estimation of diffusion entropy is developed to evaluate scale-invariance in very short time series with length ~10(2). Calculations with specified Hurst exponent values of 0.2,0.3,...,0.9 show that by using the standard central moving average de-trending procedure this method can evaluate the scaling exponents for short time series with ignorable bias (≤0.03) and sharp confidential interval (standard deviation ≤0.05). Considering the stride series from ten volunteers along an approximate oval path of a specified length, we observe that though the averages and deviations of scaling exponents are close, their evolutionary behaviors display rich patterns. It has potential use in analyzing physiological signals, detecting early warning signals, and so on. As an emphasis, the our core contribution is that by means of the proposed method one can estimate precisely shannon entropy from limited records.

Aerosol Climate Time Series in ESA Aerosol_cci

NASA Astrophysics Data System (ADS)

Popp, Thomas; de Leeuw, Gerrit; Pinnock, Simon

2016-04-01

Within the ESA Climate Change Initiative (CCI) Aerosol_cci (2010 - 2017) conducts intensive work to improve algorithms for the retrieval of aerosol information from European sensors. Meanwhile, full mission time series of 2 GCOS-required aerosol parameters are completely validated and released: Aerosol Optical Depth (AOD) from dual view ATSR-2 / AATSR radiometers (3 algorithms, 1995 - 2012), and stratospheric extinction profiles from star occultation GOMOS spectrometer (2002 - 2012). Additionally, a 35-year multi-sensor time series of the qualitative Absorbing Aerosol Index (AAI) together with sensitivity information and an AAI model simulator is available. Complementary aerosol properties requested by GCOS are in a "round robin" phase, where various algorithms are inter-compared: fine mode AOD, mineral dust AOD (from the thermal IASI spectrometer, but also from ATSR instruments and the POLDER sensor), absorption information and aerosol layer height. As a quasi-reference for validation in few selected regions with sparse ground-based observations the multi-pixel GRASP algorithm for the POLDER instrument is used. Validation of first dataset versions (vs. AERONET, MAN) and inter-comparison to other satellite datasets (MODIS, MISR, SeaWIFS) proved the high quality of the available datasets comparable to other satellite retrievals and revealed needs for algorithm improvement (for example for higher AOD values) which were taken into account for a reprocessing. The datasets contain pixel level uncertainty estimates which were also validated and improved in the reprocessing. For the three ATSR algorithms the use of an ensemble method was tested. The paper will summarize and discuss the status of dataset reprocessing and validation. The focus will be on the ATSR, GOMOS and IASI datasets. Pixel level uncertainties validation will be summarized and discussed including unknown components and their potential usefulness and limitations. Opportunities for time series extension

Using SAR satellite data time series for regional glacier mapping

NASA Astrophysics Data System (ADS)

Winsvold, Solveig H.; Kääb, Andreas; Nuth, Christopher; Andreassen, Liss M.; van Pelt, Ward J. J.; Schellenberger, Thomas

2018-03-01

With dense SAR satellite data time series it is possible to map surface and subsurface glacier properties that vary in time. On Sentinel-1A and RADARSAT-2 backscatter time series images over mainland Norway and Svalbard, we outline how to map glaciers using descriptive methods. We present five application scenarios. The first shows potential for tracking transient snow lines with SAR backscatter time series and correlates with both optical satellite images (Sentinel-2A and Landsat 8) and equilibrium line altitudes derived from in situ surface mass balance data. In the second application scenario, time series representation of glacier facies corresponding to SAR glacier zones shows potential for a more accurate delineation of the zones and how they change in time. The third application scenario investigates the firn evolution using dense SAR backscatter time series together with a coupled energy balance and multilayer firn model. We find strong correlation between backscatter signals with both the modeled firn air content and modeled wetness in the firn. In the fourth application scenario, we highlight how winter rain events can be detected in SAR time series, revealing important information about the area extent of internal accumulation. In the last application scenario, averaged summer SAR images were found to have potential in assisting the process of mapping glaciers outlines, especially in the presence of seasonal snow. Altogether we present examples of how to map glaciers and to further understand glaciological processes using the existing and future massive amount of multi-sensor time series data.

Non-linear forecasting in high-frequency financial time series

NASA Astrophysics Data System (ADS)

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.

Pseudo-random bit generator based on lag time series

NASA Astrophysics Data System (ADS)

García-Martínez, M.; Campos-Cantón, E.

2014-12-01

In this paper, we present a pseudo-random bit generator (PRBG) based on two lag time series of the logistic map using positive and negative values in the bifurcation parameter. In order to hidden the map used to build the pseudo-random series we have used a delay in the generation of time series. These new series when they are mapped xn against xn+1 present a cloud of points unrelated to the logistic map. Finally, the pseudo-random sequences have been tested with the suite of NIST giving satisfactory results for use in stream ciphers.

False-nearest-neighbors algorithm and noise-corrupted time series

NASA Astrophysics Data System (ADS)

Rhodes, Carl; Morari, Manfred

1997-05-01

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.

Analyses of GIMMS NDVI Time Series in Kogi State, Nigeria

NASA Astrophysics Data System (ADS)

Palka, Jessica; Wessollek, Christine; Karrasch, Pierre

2017-10-01

The value of remote sensing data is particularly evident where an areal monitoring is needed to provide information on the earth's surface development. The use of temporal high resolution time series data allows for detecting short-term changes. In Kogi State in Nigeria different vegetation types can be found. As the major population in this region is living in rural communities with crop farming the existing vegetation is slowly being altered. The expansion of agricultural land causes loss of natural vegetation, especially in the regions close to the rivers which are suitable for crop production. With regard to these facts, two questions can be dealt with covering different aspects of the development of vegetation in the Kogi state, the determination and evaluation of the general development of the vegetation in the study area (trend estimation) and analyses on a short-term behavior of vegetation conditions, which can provide information about seasonal effects in vegetation development. For this purpose, the GIMMS-NDVI data set, provided by the NOAA, provides information on the normalized difference vegetation index (NDVI) in a geometric resolution of approx. 8 km. The temporal resolution of 15 days allows the already described analyses. For the presented analysis data for the period 1981-2012 (31 years) were used. The implemented workflow mainly applies methods of time series analysis. The results show that in addition to the classical seasonal development, artefacts of different vegetation periods (several NDVI maxima) can be found in the data. The trend component of the time series shows a consistently positive development in the entire study area considering the full investigation period of 31 years. However, the results also show that this development has not been continuous and a simple linear modeling of the NDVI increase is only possible to a limited extent. For this reason, the trend modeling was extended by procedures for detecting structural breaks in

Classification of Time Series Gene Expression in Clinical Studies via Integration of Biological Network

PubMed Central

Qian, Liwei; Zheng, Haoran; Zhou, Hong; Qin, Ruibin; Li, Jinlong

2013-01-01

The increasing availability of time series expression datasets, although promising, raises a number of new computational challenges. Accordingly, the development of suitable classification methods to make reliable and sound predictions is becoming a pressing issue. We propose, here, a new method to classify time series gene expression via integration of biological networks. We evaluated our approach on 2 different datasets and showed that the use of a hidden Markov model/Gaussian mixture models hybrid explores the time-dependence of the expression data, thereby leading to better prediction results. We demonstrated that the biclustering procedure identifies function-related genes as a whole, giving rise to high accordance in prognosis prediction across independent time series datasets. In addition, we showed that integration of biological networks into our method significantly improves prediction performance. Moreover, we compared our approach with several state-of–the-art algorithms and found that our method outperformed previous approaches with regard to various criteria. Finally, our approach achieved better prediction results on early-stage data, implying the potential of our method for practical prediction. PMID:23516469

Scalable Prediction of Energy Consumption using Incremental Time Series Clustering

DOE Office of Scientific and Technical Information (OSTI.GOV)

Simmhan, Yogesh; Noor, Muhammad Usman

2013-10-09

Time series datasets are a canonical form of high velocity Big Data, and often generated by pervasive sensors, such as found in smart infrastructure. Performing predictive analytics on time series data can be computationally complex, and requires approximation techniques. In this paper, we motivate this problem using a real application from the smart grid domain. We propose an incremental clustering technique, along with a novel affinity score for determining cluster similarity, which help reduce the prediction error for cumulative time series within a cluster. We evaluate this technique, along with optimizations, using real datasets from smart meters, totaling ~700,000 datamore » points, and show the efficacy of our techniques in improving the prediction error of time series data within polynomial time.« less

Aerosol Climate Time Series Evaluation In ESA Aerosol_cci

NASA Astrophysics Data System (ADS)

Popp, T.; de Leeuw, G.; Pinnock, S.

2015-12-01

Within the ESA Climate Change Initiative (CCI) Aerosol_cci (2010 - 2017) conducts intensive work to improve algorithms for the retrieval of aerosol information from European sensors. By the end of 2015 full mission time series of 2 GCOS-required aerosol parameters are completely validated and released: Aerosol Optical Depth (AOD) from dual view ATSR-2 / AATSR radiometers (3 algorithms, 1995 - 2012), and stratospheric extinction profiles from star occultation GOMOS spectrometer (2002 - 2012). Additionally, a 35-year multi-sensor time series of the qualitative Absorbing Aerosol Index (AAI) together with sensitivity information and an AAI model simulator is available. Complementary aerosol properties requested by GCOS are in a "round robin" phase, where various algorithms are inter-compared: fine mode AOD, mineral dust AOD (from the thermal IASI spectrometer), absorption information and aerosol layer height. As a quasi-reference for validation in few selected regions with sparse ground-based observations the multi-pixel GRASP algorithm for the POLDER instrument is used. Validation of first dataset versions (vs. AERONET, MAN) and inter-comparison to other satellite datasets (MODIS, MISR, SeaWIFS) proved the high quality of the available datasets comparable to other satellite retrievals and revealed needs for algorithm improvement (for example for higher AOD values) which were taken into account for a reprocessing. The datasets contain pixel level uncertainty estimates which are also validated. The paper will summarize and discuss the results of major reprocessing and validation conducted in 2015. The focus will be on the ATSR, GOMOS and IASI datasets. Pixel level uncertainties validation will be summarized and discussed including unknown components and their potential usefulness and limitations. Opportunities for time series extension with successor instruments of the Sentinel family will be described and the complementarity of the different satellite aerosol products

KALREF—A Kalman filter and time series approach to the International Terrestrial Reference Frame realization

NASA Astrophysics Data System (ADS)

Wu, Xiaoping; Abbondanza, Claudio; Altamimi, Zuheir; Chin, T. Mike; Collilieux, Xavier; Gross, Richard S.; Heflin, Michael B.; Jiang, Yan; Parker, Jay W.

2015-05-01

The current International Terrestrial Reference Frame is based on a piecewise linear site motion model and realized by reference epoch coordinates and velocities for a global set of stations. Although linear motions due to tectonic plates and glacial isostatic adjustment dominate geodetic signals, at today's millimeter precisions, nonlinear motions due to earthquakes, volcanic activities, ice mass losses, sea level rise, hydrological changes, and other processes become significant. Monitoring these (sometimes rapid) changes desires consistent and precise realization of the terrestrial reference frame (TRF) quasi-instantaneously. Here, we use a Kalman filter and smoother approach to combine time series from four space geodetic techniques to realize an experimental TRF through weekly time series of geocentric coordinates. In addition to secular, periodic, and stochastic components for station coordinates, the Kalman filter state variables also include daily Earth orientation parameters and transformation parameters from input data frames to the combined TRF. Local tie measurements among colocated stations are used at their known or nominal epochs of observation, with comotion constraints applied to almost all colocated stations. The filter/smoother approach unifies different geodetic time series in a single geocentric frame. Fragmented and multitechnique tracking records at colocation sites are bridged together to form longer and coherent motion time series. While the time series approach to TRF reflects the reality of a changing Earth more closely than the linear approximation model, the filter/smoother is computationally powerful and flexible to facilitate incorporation of other data types and more advanced characterization of stochastic behavior of geodetic time series.

Earthquake forecasting studies using radon time series data in Taiwan

NASA Astrophysics Data System (ADS)

Walia, Vivek; Kumar, Arvind; Fu, Ching-Chou; Lin, Shih-Jung; Chou, Kuang-Wu; Wen, Kuo-Liang; Chen, Cheng-Hong

2017-04-01

For few decades, growing number of studies have shown usefulness of data in the field of seismogeochemistry interpreted as geochemical precursory signals for impending earthquakes and radon is idendified to be as one of the most reliable geochemical precursor. Radon is recognized as short-term precursor and is being monitored in many countries. This study is aimed at developing an effective earthquake forecasting system by inspecting long term radon time series data. The data is obtained from a network of radon monitoring stations eastblished along different faults of Taiwan. The continuous time series radon data for earthquake studies have been recorded and some significant variations associated with strong earthquakes have been observed. The data is also examined to evaluate earthquake precursory signals against environmental factors. An automated real-time database operating system has been developed recently to improve the data processing for earthquake precursory studies. In addition, the study is aimed at the appraisal and filtrations of these environmental parameters, in order to create a real-time database that helps our earthquake precursory study. In recent years, automatic operating real-time database has been developed using R, an open source programming language, to carry out statistical computation on the data. To integrate our data with our working procedure, we use the popular and famous open source web application solution, AMP (Apache, MySQL, and PHP), creating a website that could effectively show and help us manage the real-time database.

A data mining framework for time series estimation.

PubMed

Hu, Xiao; Xu, Peng; Wu, Shaozhi; Asgari, Shadnaz; Bergsneider, Marvin

2010-04-01

Time series estimation techniques are usually employed in biomedical research to derive variables less accessible from a set of related and more accessible variables. These techniques are traditionally built from systems modeling approaches including simulation, blind decovolution, and state estimation. In this work, we define target time series (TTS) and its related time series (RTS) as the output and input of a time series estimation process, respectively. We then propose a novel data mining framework for time series estimation when TTS and RTS represent different sets of observed variables from the same dynamic system. This is made possible by mining a database of instances of TTS, its simultaneously recorded RTS, and the input/output dynamic models between them. The key mining strategy is to formulate a mapping function for each TTS-RTS pair in the database that translates a feature vector extracted from RTS to the dissimilarity between true TTS and its estimate from the dynamic model associated with the same TTS-RTS pair. At run time, a feature vector is extracted from an inquiry RTS and supplied to the mapping function associated with each TTS-RTS pair to calculate a dissimilarity measure. An optimal TTS-RTS pair is then selected by analyzing these dissimilarity measures. The associated input/output model of the selected TTS-RTS pair is then used to simulate the TTS given the inquiry RTS as an input. An exemplary implementation was built to address a biomedical problem of noninvasive intracranial pressure assessment. The performance of the proposed method was superior to that of a simple training-free approach of finding the optimal TTS-RTS pair by a conventional similarity-based search on RTS features. 2009 Elsevier Inc. All rights reserved.

Using Time-Series Regression to Predict Academic Library Circulations.

ERIC Educational Resources Information Center

Brooks, Terrence A.

1984-01-01

Four methods were used to forecast monthly circulation totals in 15 midwestern academic libraries: dummy time-series regression, lagged time-series regression, simple average (straight-line forecasting), monthly average (naive forecasting). In tests of forecasting accuracy, dummy regression method and monthly mean method exhibited smallest average…

JWST NIRCam Time Series Observations

NASA Technical Reports Server (NTRS)

Greene, Tom; Schlawin, E.

2017-01-01

We explain how to make time-series observations with the Near-Infrared camera (NIRCam) science instrument of the James Webb Space Telescope. Both photometric and spectroscopic observations are described. We present the basic capabilities and performance of NIRCam and show examples of how to set its observing parameters using the Space Telescope Science Institute's Astronomer's Proposal Tool (APT).

Time series analysis of InSAR data: Methods and trends

NASA Astrophysics Data System (ADS)

Osmanoğlu, Batuhan; Sunar, Filiz; Wdowinski, Shimon; Cabral-Cano, Enrique

2016-05-01

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.

CauseMap: fast inference of causality from complex time series.

PubMed

Maher, M Cyrus; Hernandez, Ryan D

2015-01-01

Background. Establishing health-related causal relationships is a central pursuit in biomedical research. Yet, the interdependent non-linearity of biological systems renders causal dynamics laborious and at times impractical to disentangle. This pursuit is further impeded by the dearth of time series that are sufficiently long to observe and understand recurrent patterns of flux. However, as data generation costs plummet and technologies like wearable devices democratize data collection, we anticipate a coming surge in the availability of biomedically-relevant time series data. Given the life-saving potential of these burgeoning resources, it is critical to invest in the development of open source software tools that are capable of drawing meaningful insight from vast amounts of time series data. Results. Here we present CauseMap, the first open source implementation of convergent cross mapping (CCM), a method for establishing causality from long time series data (≳25 observations). Compared to existing time series methods, CCM has the advantage of being model-free and robust to unmeasured confounding that could otherwise induce spurious associations. CCM builds on Takens' Theorem, a well-established result from dynamical systems theory that requires only mild assumptions. This theorem allows us to reconstruct high dimensional system dynamics using a time series of only a single variable. These reconstructions can be thought of as shadows of the true causal system. If reconstructed shadows can predict points from opposing time series, we can infer that the corresponding variables are providing views of the same causal system, and so are causally related. Unlike traditional metrics, this test can establish the directionality of causation, even in the presence of feedback loops. Furthermore, since CCM can extract causal relationships from times series of, e.g., a single individual, it may be a valuable tool to personalized medicine. We implement CCM in Julia, a

Approximate Entropies for Stochastic Time Series and EKG Time Series of Patients with Epilepsy and Pseudoseizures

NASA Astrophysics Data System (ADS)

Vyhnalek, Brian; Zurcher, Ulrich; O'Dwyer, Rebecca; Kaufman, Miron

2009-10-01

A wide range of heart rate irregularities have been reported in small studies of patients with temporal lobe epilepsy [TLE]. We hypothesize that patients with TLE display cardiac dysautonomia in either a subclinical or clinical manner. In a small study, we have retrospectively identified (2003-8) two groups of patients from the epilepsy monitoring unit [EMU] at the Cleveland Clinic. No patients were diagnosed with cardiovascular morbidities. The control group consisted of patients with confirmed pseudoseizures and the experimental group had confirmed right temporal lobe epilepsy through a seizure free outcome after temporal lobectomy. We quantified the heart rate variability using the approximate entropy [ApEn]. We found similar values of the ApEn in all three states of consciousness (awake, sleep, and proceeding seizure onset). In the TLE group, there is some evidence for greater variability in the awake than in either the sleep or proceeding seizure onset. Here we present results for mathematically-generated time series: the heart rate fluctuations ξ follow the γ statistics i.e., p(ξ)=γ-1(k) ξ^k exp(-ξ). This probability function has well-known properties and its Shannon entropy can be expressed in terms of the γ-function. The parameter k allows us to generate a family of heart rate time series with different statistics. The ApEn calculated for the generated time series for different values of k mimic the properties found for the TLE and pseudoseizure group. Our results suggest that the ApEn is an effective tool to probe differences in statistics of heart rate fluctuations.

Effect of noise and filtering on largest Lyapunov exponent of time series associated with human walking.

PubMed

Mehdizadeh, Sina; Sanjari, Mohammad Ali

2017-11-07

This study aimed to determine the effect of added noise, filtering and time series length on the largest Lyapunov exponent (LyE) value calculated for time series obtained from a passive dynamic walker. The simplest passive dynamic walker model comprising of two massless legs connected by a frictionless hinge joint at the hip was adopted to generate walking time series. The generated time series was used to construct a state space with the embedding dimension of 3 and time delay of 100 samples. The LyE was calculated as the exponential rate of divergence of neighboring trajectories of the state space using Rosenstein's algorithm. To determine the effect of noise on LyE values, seven levels of Gaussian white noise (SNR=55-25dB with 5dB steps) were added to the time series. In addition, the filtering was performed using a range of cutoff frequencies from 3Hz to 19Hz with 2Hz steps. The LyE was calculated for both noise-free and noisy time series with different lengths of 6, 50, 100 and 150 strides. Results demonstrated a high percent error in the presence of noise for LyE. Therefore, these observations suggest that Rosenstein's algorithm might not perform well in the presence of added experimental noise. Furthermore, findings indicated that at least 50 walking strides are required to calculate LyE to account for the effect of noise. Finally, observations support that a conservative filtering of the time series with a high cutoff frequency might be more appropriate prior to calculating LyE. Copyright © 2017 Elsevier Ltd. All rights reserved.

Nonlinear time series analysis of electrocardiograms

NASA Astrophysics Data System (ADS)

Bezerianos, A.; Bountis, T.; Papaioannou, G.; Polydoropoulos, P.

1995-03-01

In recent years there has been an increasing number of papers in the literature, applying the methods and techniques of Nonlinear Dynamics to the time series of electrical activity in normal electrocardiograms (ECGs) of various human subjects. Most of these studies are based primarily on correlation dimension estimates, and conclude that the dynamics of the ECG signal is deterministic and occurs on a chaotic attractor, whose dimension can distinguish between healthy and severely malfunctioning cases. In this paper, we first demonstrate that correlation dimension calculations must be used with care, as they do not always yield reliable estimates of the attractor's ``dimension.'' We then carry out a number of additional tests (time differencing, smoothing, principal component analysis, surrogate data analysis, etc.) on the ECGs of three ``normal'' subjects and three ``heavy smokers'' at rest and after mild exercising, whose cardiac rhythms look very similar. Our main conclusion is that no major dynamical differences are evident in these signals. A preliminary estimate of three to four basic variables governing the dynamics (based on correlation dimension calculations) is updated to five to six, when temporal correlations between points are removed. Finally, in almost all cases, the transition between resting and mild exercising seems to imply a small increase in the complexity of cardiac dynamics.

Providing web-based tools for time series access and analysis

NASA Astrophysics Data System (ADS)

Eberle, Jonas; Hüttich, Christian; Schmullius, Christiane

2014-05-01

Time series information is widely used in environmental change analyses and is also an essential information for stakeholders and governmental agencies. However, a challenging issue is the processing of raw data and the execution of time series analysis. In most cases, data has to be found, downloaded, processed and even converted in the correct data format prior to executing time series analysis tools. Data has to be prepared to use it in different existing software packages. Several packages like TIMESAT (Jönnson & Eklundh, 2004) for phenological studies, BFAST (Verbesselt et al., 2010) for breakpoint detection, and GreenBrown (Forkel et al., 2013) for trend calculations are provided as open-source software and can be executed from the command line. This is needed if data pre-processing and time series analysis is being automated. To bring both parts, automated data access and data analysis, together, a web-based system was developed to provide access to satellite based time series data and access to above mentioned analysis tools. Users of the web portal are able to specify a point or a polygon and an available dataset (e.g., Vegetation Indices and Land Surface Temperature datasets from NASA MODIS). The data is then being processed and provided as a time series CSV file. Afterwards the user can select an analysis tool that is being executed on the server. The final data (CSV, plot images, GeoTIFFs) is visualized in the web portal and can be downloaded for further usage. As a first use case, we built up a complimentary web-based system with NASA MODIS products for Germany and parts of Siberia based on the Earth Observation Monitor (www.earth-observation-monitor.net). The aim of this work is to make time series analysis with existing tools as easy as possible that users can focus on the interpretation of the results. References: Jönnson, P. and L. Eklundh (2004). TIMESAT - a program for analysing time-series of satellite sensor data. Computers and Geosciences 30

PRESEE: An MDL/MML Algorithm to Time-Series Stream Segmenting

PubMed Central

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

2013-01-01

Time-series stream is one of the most common data types in data mining field. It is prevalent in fields such as stock market, ecology, and medical care. Segmentation is a key step to accelerate the processing speed of time-series stream mining. Previous algorithms for segmenting mainly focused on the issue of ameliorating precision instead of paying much attention to the efficiency. Moreover, the performance of these algorithms depends heavily on parameters, which are hard for the users to set. In this paper, we propose PRESEE (parameter-free, real-time, and scalable time-series stream segmenting algorithm), which greatly improves the efficiency of time-series stream segmenting. PRESEE is based on both MDL (minimum description length) and MML (minimum message length) methods, which could segment the data automatically. To evaluate the performance of PRESEE, we conduct several experiments on time-series streams of different types and compare it with the state-of-art algorithm. The empirical results show that PRESEE is very efficient for real-time stream datasets by improving segmenting speed nearly ten times. The novelty of this algorithm is further demonstrated by the application of PRESEE in segmenting real-time stream datasets from ChinaFLUX sensor networks data stream. PMID:23956693

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

PubMed

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

2013-01-01

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

Local normalization: Uncovering correlations in non-stationary financial time series

NASA Astrophysics Data System (ADS)

Schäfer, Rudi; Guhr, Thomas

2010-09-01

The measurement of correlations between financial time series is of vital importance for risk management. In this paper we address an estimation error that stems from the non-stationarity of the time series. We put forward a method to rid the time series of local trends and variable volatility, while preserving cross-correlations. We test this method in a Monte Carlo simulation, and apply it to empirical data for the S&P 500 stocks.

Fuzzy time-series based on Fibonacci sequence for stock price forecasting

NASA Astrophysics Data System (ADS)

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

2007-07-01

Time-series models have been utilized to make reasonably accurate predictions in the areas of stock price movements, academic enrollments, weather, etc. For promoting the forecasting performance of fuzzy time-series models, this paper proposes a new model, which incorporates the concept of the Fibonacci sequence, the framework of Song and Chissom's model and the weighted method of Yu's model. This paper employs a 5-year period TSMC (Taiwan Semiconductor Manufacturing Company) stock price data and a 13-year period of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) stock index data as experimental datasets. By comparing our forecasting performances with Chen's (Forecasting enrollments based on fuzzy time-series. Fuzzy Sets Syst. 81 (1996) 311-319), Yu's (Weighted fuzzy time-series models for TAIEX forecasting. Physica A 349 (2004) 609-624) and Huarng's (The application of neural networks to forecast fuzzy time series. Physica A 336 (2006) 481-491) models, we conclude that the proposed model surpasses in accuracy these conventional fuzzy time-series models.

New insights into soil temperature time series modeling: linear or nonlinear?

NASA Astrophysics Data System (ADS)

Bonakdari, Hossein; Moeeni, Hamid; Ebtehaj, Isa; Zeynoddin, Mohammad; Mahoammadian, Abdolmajid; Gharabaghi, Bahram

2018-03-01

Soil temperature (ST) is an important dynamic parameter, whose prediction is a major research topic in various fields including agriculture because ST has a critical role in hydrological processes at the soil surface. In this study, a new linear methodology is proposed based on stochastic methods for modeling daily soil temperature (DST). With this approach, the ST series components are determined to carry out modeling and spectral analysis. The results of this process are compared with two linear methods based on seasonal standardization and seasonal differencing in terms of four DST series. The series used in this study were measured at two stations, Champaign and Springfield, at depths of 10 and 20 cm. The results indicate that in all ST series reviewed, the periodic term is the most robust among all components. According to a comparison of the three methods applied to analyze the various series components, it appears that spectral analysis combined with stochastic methods outperformed the seasonal standardization and seasonal differencing methods. In addition to comparing the proposed methodology with linear methods, the ST modeling results were compared with the two nonlinear methods in two forms: considering hydrological variables (HV) as input variables and DST modeling as a time series. In a previous study at the mentioned sites, Kim and Singh Theor Appl Climatol 118:465-479, (2014) applied the popular Multilayer Perceptron (MLP) neural network and Adaptive Neuro-Fuzzy Inference System (ANFIS) nonlinear methods and considered HV as input variables. The comparison results signify that the relative error projected in estimating DST by the proposed methodology was about 6%, while this value with MLP and ANFIS was over 15%. Moreover, MLP and ANFIS models were employed for DST time series modeling. Due to these models' relatively inferior performance to the proposed methodology, two hybrid models were implemented: the weights and membership function of MLP and

Analyses of Inhomogeneities in Radiosonde Temperature and Humidity Time Series.

NASA Astrophysics Data System (ADS)

Zhai, Panmao; Eskridge, Robert E.

1996-04-01

Twice daily radiosonde data from selected stations in the United States (period 1948 to 1990) and China (period 1958 to 1990) were sorted into time series. These stations have one sounding taken in darkness and the other in sunlight. The analysis shows that the 0000 and 1200 UTC time series are highly correlated. Therefore, the Easterling and Peterson technique was tested on the 0000 and 1200 time series to detect inhomogeneities and to estimate the size of the biases. Discontinuities were detected using the difference series created from the 0000 and 1200 UTC time series. To establish that the detected bias was significant, a t test was performed to confirm that the change occurs in the daytime series but not in the nighttime series.Both U.S. and Chinese radiosonde temperature and humidity data include inhomogeneities caused by changes in radiosonde sensors and observation times. The U.S. humidity data have inhomogeneities that were caused by instrument changes and the censoring of data. The practice of reporting relative humidity as 19% when it is lower than 20% or the temperature is below 40°C is called censoring. This combination of procedural and instrument changes makes the detection of biases and adjustment of the data very difficult. In the Chinese temperatures, them are inhomogeneities related to a change in the radiation correction procedure.Test results demonstrate that a modified Easterling and Peterson method is suitable for use in detecting and adjusting time series radiosonde data.Accurate stations histories are very desirable. Stations histories can confirm that detected inhomogeneities are related to instrument or procedural changes. Adjustments can then he made to the data with some confidence.

Self-organising mixture autoregressive model for non-stationary time series modelling.

PubMed

Ni, He; Yin, Hujun

2008-12-01

Modelling non-stationary time series has been a difficult task for both parametric and nonparametric methods. One promising solution is to combine the flexibility of nonparametric models with the simplicity of parametric models. In this paper, the self-organising mixture autoregressive (SOMAR) network is adopted as a such mixture model. It breaks time series into underlying segments and at the same time fits local linear regressive models to the clusters of segments. In such a way, a global non-stationary time series is represented by a dynamic set of local linear regressive models. Neural gas is used for a more flexible structure of the mixture model. Furthermore, a new similarity measure has been introduced in the self-organising network to better quantify the similarity of time series segments. The network can be used naturally in modelling and forecasting non-stationary time series. Experiments on artificial, benchmark time series (e.g. Mackey-Glass) and real-world data (e.g. numbers of sunspots and Forex rates) are presented and the results show that the proposed SOMAR network is effective and superior to other similar approaches.

Methods for developing time-series climate surfaces to drive topographically distributed energy- and water-balance models

USGS Publications Warehouse

Susong, D.; Marks, D.; Garen, D.

1999-01-01

Topographically distributed energy- and water-balance models can accurately simulate both the development and melting of a seasonal snowcover in the mountain basins. To do this they require time-series climate surfaces of air temperature, humidity, wind speed, precipitation, and solar and thermal radiation. If data are available, these parameters can be adequately estimated at time steps of one to three hours. Unfortunately, climate monitoring in mountain basins is very limited, and the full range of elevations and exposures that affect climate conditions, snow deposition, and melt is seldom sampled. Detailed time-series climate surfaces have been successfully developed using limited data and relatively simple methods. We present a synopsis of the tools and methods used to combine limited data with simple corrections for the topographic controls to generate high temporal resolution time-series images of these climate parameters. Methods used include simulations, elevational gradients, and detrended kriging. The generated climate surfaces are evaluated at points and spatially to determine if they are reasonable approximations of actual conditions. Recommendations are made for the addition of critical parameters and measurement sites into routine monitoring systems in mountain basins.Topographically distributed energy- and water-balance models can accurately simulate both the development and melting of a seasonal snowcover in the mountain basins. To do this they require time-series climate surfaces of air temperature, humidity, wind speed, precipitation, and solar and thermal radiation. If data are available, these parameters can be adequately estimated at time steps of one to three hours. Unfortunately, climate monitoring in mountain basins is very limited, and the full range of elevations and exposures that affect climate conditions, snow deposition, and melt is seldom sampled. Detailed time-series climate surfaces have been successfully developed using limited

Space Object Classification Using Fused Features of Time Series Data

NASA Astrophysics Data System (ADS)

Jia, B.; Pham, K. D.; Blasch, E.; Shen, D.; Wang, Z.; Chen, G.

In this paper, a fused feature vector consisting of raw time series and texture feature information is proposed for space object classification. The time series data includes historical orbit trajectories and asteroid light curves. The texture feature is derived from recurrence plots using Gabor filters for both unsupervised learning and supervised learning algorithms. The simulation results show that the classification algorithms using the fused feature vector achieve better performance than those using raw time series or texture features only.

Indispensable finite time corrections for Fokker-Planck equations from time series data.

PubMed

Ragwitz, M; Kantz, H

2001-12-17

The reconstruction of Fokker-Planck equations from observed time series data suffers strongly from finite sampling rates. We show that previously published results are degraded considerably by such effects. We present correction terms which yield a robust estimation of the diffusion terms, together with a novel method for one-dimensional problems. We apply these methods to time series data of local surface wind velocities, where the dependence of the diffusion constant on the state variable shows a different behavior than previously suggested.

Financial time series: A physics perspective

NASA Astrophysics Data System (ADS)

Gopikrishnan, Parameswaran; Plerou, Vasiliki; Amaral, Luis A. N.; Rosenow, Bernd; Stanley, H. Eugene

2000-06-01

Physicists in the last few years have started applying concepts and methods of statistical physics to understand economic phenomena. The word ``econophysics'' is sometimes used to refer to this work. One reason for this interest is the fact that Economic systems such as financial markets are examples of complex interacting systems for which a huge amount of data exist and it is possible that economic problems viewed from a different perspective might yield new results. This article reviews the results of a few recent phenomenological studies focused on understanding the distinctive statistical properties of financial time series. We discuss three recent results-(i) The probability distribution of stock price fluctuations: Stock price fluctuations occur in all magnitudes, in analogy to earthquakes-from tiny fluctuations to very drastic events, such as market crashes, eg., the crash of October 19th 1987, sometimes referred to as ``Black Monday''. The distribution of price fluctuations decays with a power-law tail well outside the Lévy stable regime and describes fluctuations that differ by as much as 8 orders of magnitude. In addition, this distribution preserves its functional form for fluctuations on time scales that differ by 3 orders of magnitude, from 1 min up to approximately 10 days. (ii) Correlations in financial time series: While price fluctuations themselves have rapidly decaying correlations, the magnitude of fluctuations measured by either the absolute value or the square of the price fluctuations has correlations that decay as a power-law and persist for several months. (iii) Correlations among different companies: The third result bears on the application of random matrix theory to understand the correlations among price fluctuations of any two different stocks. From a study of the eigenvalue statistics of the cross-correlation matrix constructed from price fluctuations of the leading 1000 stocks, we find that the largest 5-10% of the eigenvalues and

Nonlinear time-series-based adaptive control applications

NASA Technical Reports Server (NTRS)

Mohler, R. R.; Rajkumar, V.; Zakrzewski, R. R.

1991-01-01

A control design methodology based on a nonlinear time-series reference model is presented. It is indicated by highly nonlinear simulations that such designs successfully stabilize troublesome aircraft maneuvers undergoing large changes in angle of attack as well as large electric power transients due to line faults. In both applications, the nonlinear controller was significantly better than the corresponding linear adaptive controller. For the electric power network, a flexible AC transmission system with series capacitor power feedback control is studied. A bilinear autoregressive moving average reference model is identified from system data, and the feedback control is manipulated according to a desired reference state. The control is optimized according to a predictive one-step quadratic performance index. A similar algorithm is derived for control of rapid changes in aircraft angle of attack over a normally unstable flight regime. In the latter case, however, a generalization of a bilinear time-series model reference includes quadratic and cubic terms in angle of attack.

The Prediction of Teacher Turnover Employing Time Series Analysis.

ERIC Educational Resources Information Center

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…

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

PubMed

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

2016-01-01

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

Detection of "noisy" chaos in a time series

NASA Technical Reports Server (NTRS)

Chon, K. H.; Kanters, J. K.; Cohen, R. J.; Holstein-Rathlou, N. H.

1997-01-01

Time series from biological system often displays fluctuations in the measured variables. Much effort has been directed at determining whether this variability reflects deterministic chaos, or whether it is merely "noise". The output from most biological systems is probably the result of both the internal dynamics of the systems, and the input to the system from the surroundings. This implies that the system should be viewed as a mixed system with both stochastic and deterministic components. We present a method that appears to be useful in deciding whether determinism is present in a time series, and if this determinism has chaotic attributes. The method relies on fitting a nonlinear autoregressive model to the time series followed by an estimation of the characteristic exponents of the model over the observed probability distribution of states for the system. The method is tested by computer simulations, and applied to heart rate variability data.

The Value of Interrupted Time-Series Experiments for Community Intervention Research

PubMed Central

Biglan, Anthony; Ary, Dennis; Wagenaar, Alexander C.

2015-01-01

Greater use of interrupted time-series experiments is advocated for community intervention research. Time-series designs enable the development of knowledge about the effects of community interventions and policies in circumstances in which randomized controlled trials are too expensive, premature, or simply impractical. The multiple baseline time-series design typically involves two or more communities that are repeatedly assessed, with the intervention introduced into one community at a time. It is particularly well suited to initial evaluations of community interventions and the refinement of those interventions. This paper describes the main features of multiple baseline designs and related repeated-measures time-series experiments, discusses the threats to internal validity in multiple baseline designs, and outlines techniques for statistical analyses of time-series data. Examples are given of the use of multiple baseline designs in evaluating community interventions and policy changes. PMID:11507793

Detection of early postseismic deformation from high-rate GNSS time series

NASA Astrophysics Data System (ADS)

Twardzik, C.; Vergnolle, M.; Avallone, A.; Sladen, A.

2017-12-01

Postseismic processes after an earthquake contribute to the redistribution of stresses in addition to that induced by the coseismic rupture. With the exception of very few studies (e.g., Miyazaki and Larson, 2008), most postseismic analyses only start one or two days following the mainshock. This leaves a critical part of postseismic phase unexplored, from a few minutes up to a few hours after the earthquake. In this study, we use kinematic precise point positioning (K-PPP) to analyze continuous GNSS data in order to obtain 30s position time series. These time series provide information on the surface displacements a soon as the dynamic response of the earthquake is over. Our first analysis focuses on the 2016 Pedernales, Ecuador, earthquake (Mw7.8). Using spectral analysis, we show that the typical logarithmic postseismic displacement trend can be detected as early as one to six hours after the earthquake depending on the station location and the level of noise. This analysis also allows to estimate the bias on the coseismic offsets usually based on daily pre- and post- earthquake positions. We use the early postseismic time series to test whether rate-and-state friction laws, traditionally used to explain postseismic processes days after the earthquake, still hold right after the mainshock. This study is being extended to two other subduction earthquakes: the 2010 Maule, Chile, earthquake (Mw8.8) and the 2015 Illapel, Chile, earthquake (Mw8.2).

Recurrent Neural Networks for Multivariate Time Series with Missing Values.

PubMed

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.

Inference of scale-free networks from gene expression time series.

PubMed

Daisuke, Tominaga; Horton, Paul

2006-04-01

Quantitative time-series observation of gene expression is becoming possible, for example by cell array technology. However, there are no practical methods with which to infer network structures using only observed time-series data. As most computational models of biological networks for continuous time-series data have a high degree of freedom, it is almost impossible to infer the correct structures. On the other hand, it has been reported that some kinds of biological networks, such as gene networks and metabolic pathways, may have scale-free properties. We hypothesize that the architecture of inferred biological network models can be restricted to scale-free networks. We developed an inference algorithm for biological networks using only time-series data by introducing such a restriction. We adopt the S-system as the network model, and a distributed genetic algorithm to optimize models to fit its simulated results to observed time series data. We have tested our algorithm on a case study (simulated data). We compared optimization under no restriction, which allows for a fully connected network, and under the restriction that the total number of links must equal that expected from a scale free network. The restriction reduced both false positive and false negative estimation of the links and also the differences between model simulation and the given time-series data.

Epileptic seizure classification of EEG time-series using rational discrete short-time fourier transform.

PubMed

Samiee, Kaveh; Kovács, Petér; Gabbouj, Moncef

2015-02-01

A system for epileptic seizure detection in electroencephalography (EEG) is described in this paper. One of the challenges is to distinguish rhythmic discharges from nonstationary patterns occurring during seizures. The proposed approach is based on an adaptive and localized time-frequency representation of EEG signals by means of rational functions. The corresponding rational discrete short-time Fourier transform (DSTFT) is a novel feature extraction technique for epileptic EEG data. A multilayer perceptron classifier is fed by the coefficients of the rational DSTFT in order to separate seizure epochs from seizure-free epochs. The effectiveness of the proposed method is compared with several state-of-art feature extraction algorithms used in offline epileptic seizure detection. The results of the comparative evaluations show that the proposed method outperforms competing techniques in terms of classification accuracy. In addition, it provides a compact representation of EEG time-series.

Characterising experimental time series using local intrinsic dimension

NASA Astrophysics Data System (ADS)

Buzug, Thorsten M.; von Stamm, Jens; Pfister, Gerd

1995-02-01

Experimental strange attractors are analysed with the averaged local intrinsic dimension proposed by A. Passamante et al. [Phys. Rev. A 39 (1989) 3640] which is based on singular value decomposition of local trajectory matrices. The results are compared to the values of Kaplan-Yorke and the correlation dimension. The attractors, reconstructed with Takens' delay time coordinates from scalar velocity time series, are measured in the hydrodynamic Taylor-Couette system. A period doubling route towards chaos obtained from a very short Taylor-Couette cylinder yields a sequence of experimental time series where the local intrinsic dimension is applied.

Time series inversion of spectra from ground-based radiometers

NASA Astrophysics Data System (ADS)

Christensen, O. M.; Eriksson, P.

2013-07-01

Retrieving time series of atmospheric constituents from ground-based spectrometers often requires different temporal averaging depending on the altitude region in focus. This can lead to several datasets existing for one instrument, which complicates validation and comparisons between instruments. This paper puts forth a possible solution by incorporating the temporal domain into the maximum a posteriori (MAP) retrieval algorithm. The state vector is increased to include measurements spanning a time period, and the temporal correlations between the true atmospheric states are explicitly specified in the a priori uncertainty matrix. This allows the MAP method to effectively select the best temporal smoothing for each altitude, removing the need for several datasets to cover different altitudes. The method is compared to traditional averaging of spectra using a simulated retrieval of water vapour in the mesosphere. The simulations show that the method offers a significant advantage compared to the traditional method, extending the sensitivity an additional 10 km upwards without reducing the temporal resolution at lower altitudes. The method is also tested on the Onsala Space Observatory (OSO) water vapour microwave radiometer confirming the advantages found in the simulation. Additionally, it is shown how the method can interpolate data in time and provide diagnostic values to evaluate the interpolated data.

Time series inversion of spectra from ground-based radiometers

NASA Astrophysics Data System (ADS)

Christensen, O. M.; Eriksson, P.

2013-02-01

Retrieving time series of atmospheric constituents from ground-based spectrometers often requires different temporal averaging depending on the altitude region in focus. This can lead to several datasets existing for one instrument which complicates validation and comparisons between instruments. This paper puts forth a possible solution by incorporating the temporal domain into the maximum a posteriori (MAP) retrieval algorithm. The state vector is increased to include measurements spanning a time period, and the temporal correlations between the true atmospheric states are explicitly specified in the a priori uncertainty matrix. This allows the MAP method to effectively select the best temporal smoothing for each altitude, removing the need for several datasets to cover different altitudes. The method is compared to traditional averaging of spectra using a simulated retrieval of water vapour in the mesosphere. The simulations show that the method offers a significant advantage compared to the traditional method, extending the sensitivity an additional 10 km upwards without reducing the temporal resolution at lower altitudes. The method is also tested on the OSO water vapour microwave radiometer confirming the advantages found in the simulation. Additionally, it is shown how the method can interpolate data in time and provide diagnostic values to evaluate the interpolated data.

Time series analysis of temporal networks

NASA Astrophysics Data System (ADS)

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

Visual analytics techniques for large multi-attribute time series data

NASA Astrophysics Data System (ADS)

Hao, Ming C.; Dayal, Umeshwar; Keim, Daniel A.

2008-01-01

Time series data commonly occur when variables are monitored over time. Many real-world applications involve the comparison of long time series across multiple variables (multi-attributes). Often business people want to compare this year's monthly sales with last year's sales to make decisions. Data warehouse administrators (DBAs) want to know their daily data loading job performance. DBAs need to detect the outliers early enough to act upon them. In this paper, two new visual analytic techniques are introduced: The color cell-based Visual Time Series Line Charts and Maps highlight significant changes over time in a long time series data and the new Visual Content Query facilitates finding the contents and histories of interesting patterns and anomalies, which leads to root cause identification. We have applied both methods to two real-world applications to mine enterprise data warehouse and customer credit card fraud data to illustrate the wide applicability and usefulness of these techniques.

Dynamical Analysis and Visualization of Tornadoes Time Series

PubMed Central

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. PMID:25790281

Dynamical analysis and visualization of tornadoes time series.

PubMed

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.

"Observation Obscurer" - Time Series Viewer, Editor and Processor

NASA Astrophysics Data System (ADS)

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).

Modelling road accidents: An approach using structural time series

NASA Astrophysics Data System (ADS)

Junus, Noor Wahida Md; Ismail, Mohd Tahir

2014-09-01

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

Unified functional network and nonlinear time series analysis for complex systems science: The pyunicorn package

NASA Astrophysics Data System (ADS)

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].

Multiscale Poincaré plots for visualizing the structure of heartbeat time series.

PubMed

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.

Time series patterns and language support in DBMS

NASA Astrophysics Data System (ADS)

Telnarova, Zdenka

2017-07-01

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

Improved Analysis of Time Series with Temporally Correlated Errors: An Algorithm that Reduces the Computation Time.

NASA Astrophysics Data System (ADS)

Langbein, J. O.

2016-12-01

Most time series of geophysical phenomena are contaminated with temporally correlated errors that limit the precision of any derived parameters. Ignoring temporal correlations will result in biased and unrealistic estimates of velocity and its error estimated from geodetic position measurements. Obtaining better estimates of uncertainties is limited by several factors, including selection of the correct model for the background noise and the computational requirements to estimate the parameters of the selected noise model when there are numerous observations. Here, I address the second problem of computational efficiency using maximum likelihood estimates (MLE). Most geophysical time series have background noise processes that can be represented as a combination of white and power-law noise, 1/fn , with frequency, f. Time domain techniques involving construction and inversion of large data covariance matrices are employed. Bos et al. [2012] demonstrate one technique that substantially increases the efficiency of the MLE methods, but it provides only an approximate solution for power-law indices greater than 1.0. That restriction can be removed by simply forming a data-filter that adds noise processes rather than combining them in quadrature. Consequently, the inversion of the data covariance matrix is simplified and it provides robust results for a wide range of power-law indices. With the new formulation, the efficiency is typically improved by about a factor of 8 over previous MLE algorithms [Langbein, 2004]. The new algorithm can be downloaded at http://earthquake.usgs.gov/research/software/#est_noise. The main program provides a number of basic functions that can be used to model the time-dependent part of time series and a variety of models that describe the temporal covariance of the data. In addition, the program is packaged with a few companion programs and scripts that can help with data analysis and with interpretation of the noise modeling.

Analysis of Zenith Tropospheric Delay above Europe based on long time series derived from the EPN data

NASA Astrophysics Data System (ADS)

Baldysz, Zofia; Nykiel, Grzegorz; Figurski, Mariusz; Szafranek, Karolina; Kroszczynski, Krzysztof; Araszkiewicz, Andrzej

2015-04-01

In recent years, the GNSS system began to play an increasingly important role in the research related to the climate monitoring. Based on the GPS system, which has the longest operational capability in comparison with other systems, and a common computational strategy applied to all observations, long and homogeneous ZTD (Zenith Tropospheric Delay) time series were derived. This paper presents results of analysis of 16-year ZTD time series obtained from the EPN (EUREF Permanent Network) reprocessing performed by the Military University of Technology. To maintain the uniformity of data, analyzed period of time (1998-2013) is exactly the same for all stations - observations carried out before 1998 were removed from time series and observations processed using different strategy were recalculated according to the MUT LAC approach. For all 16-year time series (59 stations) Lomb-Scargle periodograms were created to obtain information about the oscillations in ZTD time series. Due to strong annual oscillations which disturb the character of oscillations with smaller amplitude and thus hinder their investigation, Lomb-Scargle periodograms for time series with the deleted annual oscillations were created in order to verify presence of semi-annual, ter-annual and quarto-annual oscillations. Linear trend and seasonal components were estimated using LSE (Least Square Estimation) and Mann-Kendall trend test were used to confirm the presence of linear trend designated by LSE method. In order to verify the effect of the length of time series on the estimated size of the linear trend, comparison between two different length of ZTD time series was performed. To carry out a comparative analysis, 30 stations which have been operating since 1996 were selected. For these stations two periods of time were analyzed: shortened 16-year (1998-2013) and full 18-year (1996-2013). For some stations an additional two years of observations have significant impact on changing the size of linear

Estimation of Parameters from Discrete Random Nonstationary Time Series

NASA Astrophysics Data System (ADS)

Takayasu, H.; Nakamura, T.

For the analysis of nonstationary stochastic time series we introduce a formulation to estimate the underlying time-dependent parameters. This method is designed for random events with small numbers that are out of the applicability range of the normal distribution. The method is demonstrated for numerical data generated by a known system, and applied to time series of traffic accidents, batting average of a baseball player and sales volume of home electronics.

Documentation of a spreadsheet for time-series analysis and drawdown estimation

USGS Publications Warehouse

Halford, Keith J.

2006-01-01

Drawdowns during aquifer tests can be obscured by barometric pressure changes, earth tides, regional pumping, and recharge events in the water-level record. These stresses can create water-level fluctuations that should be removed from observed water levels prior to estimating drawdowns. Simple models have been developed for estimating unpumped water levels during aquifer tests that are referred to as synthetic water levels. These models sum multiple time series such as barometric pressure, tidal potential, and background water levels to simulate non-pumping water levels. The amplitude and phase of each time series are adjusted so that synthetic water levels match measured water levels during periods unaffected by an aquifer test. Differences between synthetic and measured water levels are minimized with a sum-of-squares objective function. Root-mean-square errors during fitting and prediction periods were compared multiple times at four geographically diverse sites. Prediction error equaled fitting error when fitting periods were greater than or equal to four times prediction periods. The proposed drawdown estimation approach has been implemented in a spreadsheet application. Measured time series are independent so that collection frequencies can differ and sampling times can be asynchronous. Time series can be viewed selectively and magnified easily. Fitting and prediction periods can be defined graphically or entered directly. Synthetic water levels for each observation well are created with earth tides, measured time series, moving averages of time series, and differences between measured and moving averages of time series. Selected series and fitting parameters for synthetic water levels are stored and drawdowns are estimated for prediction periods. Drawdowns can be viewed independently and adjusted visually if an anomaly skews initial drawdowns away from 0. The number of observations in a drawdown time series can be reduced by averaging across user

Time series, correlation matrices and random matrix models

DOE Office of Scientific and Technical Information (OSTI.GOV)

Vinayak; Seligman, Thomas H.

2014-01-08

In this set of five lectures the authors have presented techniques to analyze open classical and quantum systems using correlation matrices. For diverse reasons we shall see that random matrices play an important role to describe a null hypothesis or a minimum information hypothesis for the description of a quantum system or subsystem. In the former case various forms of correlation matrices of time series associated with the classical observables of some system. The fact that such series are necessarily finite, inevitably introduces noise and this finite time influence lead to a random or stochastic component in these time series.more » By consequence random correlation matrices have a random component, and corresponding ensembles are used. In the latter we use random matrices to describe high temperature environment or uncontrolled perturbations, ensembles of differing chaotic systems etc. The common theme of the lectures is thus the importance of random matrix theory in a wide range of fields in and around physics.« less

Indicator saturation: a novel approach to detect multiple breaks in geodetic time series.

NASA Astrophysics Data System (ADS)

Jackson, L. P.; Pretis, F.; Williams, S. D. P.

2016-12-01

Geodetic time series can record long term trends, quasi-periodic signals at a variety of time scales from days to decades, and sudden breaks due to natural or anthropogenic causes. The causes of breaks range from instrument replacement to earthquakes to unknown (i.e. no attributable cause). Furthermore, breaks can be permanent or short-lived and range at least two orders of magnitude in size (mm to 100's mm). To account for this range of possible signal-characteristics requires a flexible time series method that can distinguish between true and false breaks, outliers and time-varying trends. One such method, Indicator Saturation (IS) comes from the field of econometrics where analysing stochastic signals in these terms is a common problem. The IS approach differs from alternative break detection methods by considering every point in the time series as a break until it is demonstrated statistically that it is not. A linear model is constructed with a break function at every point in time, and all but statistically significant breaks are removed through a general-to-specific model selection algorithm for more variables than observations. The IS method is flexible because it allows multiple breaks of different forms (e.g. impulses, shifts in the mean, and changing trends) to be detected, while simultaneously modelling any underlying variation driven by additional covariates. We apply the IS method to identify breaks in a suite of synthetic GPS time series used for the Detection of Offsets in GPS Experiments (DOGEX). We optimise the method to maximise the ratio of true-positive to false-positive detections, which improves estimates of errors in the long term rates of land motion currently required by the GPS community.

A univariate model of river water nitrate time series

NASA Astrophysics Data System (ADS)

Worrall, F.; Burt, T. P.

1999-01-01

Four time series were taken from three catchments in the North and South of England. The sites chosen included two in predominantly agricultural catchments, one at the tidal limit and one downstream of a sewage treatment works. A time series model was constructed for each of these series as a means of decomposing the elements controlling river water nitrate concentrations and to assess whether this approach could provide a simple management tool for protecting water abstractions. Autoregressive (AR) modelling of the detrended and deseasoned time series showed a "memory effect". This memory effect expressed itself as an increase in the winter-summer difference in nitrate levels that was dependent upon the nitrate concentration 12 or 6 months previously. Autoregressive moving average (ARMA) modelling showed that one of the series contained seasonal, non-stationary elements that appeared as an increasing trend in the winter-summer difference. The ARMA model was used to predict nitrate levels and predictions were tested against data held back from the model construction process - predictions gave average percentage errors of less than 10%. Empirical modelling can therefore provide a simple, efficient method for constructing management models for downstream water abstraction.

Calculation of power spectrums from digital time series with missing data points

NASA Technical Reports Server (NTRS)

Murray, C. W., Jr.

1980-01-01

Two algorithms are developed for calculating power spectrums from the autocorrelation function when there are missing data points in the time series. Both methods use an average sampling interval to compute lagged products. One method, the correlation function power spectrum, takes the discrete Fourier transform of the lagged products directly to obtain the spectrum, while the other, the modified Blackman-Tukey power spectrum, takes the Fourier transform of the mean lagged products. Both techniques require fewer calculations than other procedures since only 50% to 80% of the maximum lags need be calculated. The algorithms are compared with the Fourier transform power spectrum and two least squares procedures (all for an arbitrary data spacing). Examples are given showing recovery of frequency components from simulated periodic data where portions of the time series are missing and random noise has been added to both the time points and to values of the function. In addition the methods are compared using real data. All procedures performed equally well in detecting periodicities in the data.

A Bias and Variance Analysis for Multistep-Ahead Time Series Forecasting.

PubMed

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.

FALSE DETERMINATIONS OF CHAOS IN SHORT NOISY TIME SERIES. (R828745)

EPA Science Inventory

A method (NEMG) proposed in 1992 for diagnosing chaos in noisy time series with 50 or fewer observations entails fitting the time series with an empirical function which predicts an observation in the series from previous observations, and then estimating the rate of divergenc...

Comparison of missing value imputation methods in time series: the case of Turkish meteorological data

NASA Astrophysics Data System (ADS)

Yozgatligil, Ceylan; Aslan, Sipan; Iyigun, Cem; Batmaz, Inci

2013-04-01

This study aims to compare several imputation methods to complete the missing values of spatio-temporal meteorological time series. To this end, six imputation methods are assessed with respect to various criteria including accuracy, robustness, precision, and efficiency for artificially created missing data in monthly total precipitation and mean temperature series obtained from the Turkish State Meteorological Service. Of these methods, simple arithmetic average, normal ratio (NR), and NR weighted with correlations comprise the simple ones, whereas multilayer perceptron type neural network and multiple imputation strategy adopted by Monte Carlo Markov Chain based on expectation-maximization (EM-MCMC) are computationally intensive ones. In addition, we propose a modification on the EM-MCMC method. Besides using a conventional accuracy measure based on squared errors, we also suggest the correlation dimension (CD) technique of nonlinear dynamic time series analysis which takes spatio-temporal dependencies into account for evaluating imputation performances. Depending on the detailed graphical and quantitative analysis, it can be said that although computational methods, particularly EM-MCMC method, are computationally inefficient, they seem favorable for imputation of meteorological time series with respect to different missingness periods considering both measures and both series studied. To conclude, using the EM-MCMC algorithm for imputing missing values before conducting any statistical analyses of meteorological data will definitely decrease the amount of uncertainty and give more robust results. Moreover, the CD measure can be suggested for the performance evaluation of missing data imputation particularly with computational methods since it gives more precise results in meteorological time series.

PERIODOGRAMS FOR MULTIBAND ASTRONOMICAL TIME SERIES

DOE Office of Scientific and Technical Information (OSTI.GOV)

VanderPlas, Jacob T.; Ivezic, Željko

This paper introduces the multiband periodogram, a general extension of the well-known Lomb–Scargle approach for detecting periodic signals in time-domain data. In addition to advantages of the Lomb–Scargle method such as treatment of non-uniform sampling and heteroscedastic errors, the multiband periodogram significantly improves period finding for randomly sampled multiband light curves (e.g., Pan-STARRS, DES, and LSST). The light curves in each band are modeled as arbitrary truncated Fourier series, with the period and phase shared across all bands. The key aspect is the use of Tikhonov regularization which drives most of the variability into the so-called base model common tomore » all bands, while fits for individual bands describe residuals relative to the base model and typically require lower-order Fourier series. This decrease in the effective model complexity is the main reason for improved performance. After a pedagogical development of the formalism of least-squares spectral analysis, which motivates the essential features of the multiband model, we use simulated light curves and randomly subsampled SDSS Stripe 82 data to demonstrate the superiority of this method compared to other methods from the literature and find that this method will be able to efficiently determine the correct period in the majority of LSST’s bright RR Lyrae stars with as little as six months of LSST data, a vast improvement over the years of data reported to be required by previous studies. A Python implementation of this method, along with code to fully reproduce the results reported here, is available on GitHub.« less

Symplectic geometry spectrum regression for prediction of noisy time series

NASA Astrophysics Data System (ADS)

Xie, Hong-Bo; Dokos, Socrates; Sivakumar, Bellie; Mengersen, Kerrie

2016-05-01

We present the symplectic geometry spectrum regression (SGSR) technique as well as a regularized method based on SGSR for prediction of nonlinear time series. The main tool of analysis is the symplectic geometry spectrum analysis, which decomposes a time series into the sum of a small number of independent and interpretable components. The key to successful regularization is to damp higher order symplectic geometry spectrum components. The effectiveness of SGSR and its superiority over local approximation using ordinary least squares are demonstrated through prediction of two noisy synthetic chaotic time series (Lorenz and Rössler series), and then tested for prediction of three real-world data sets (Mississippi River flow data and electromyographic and mechanomyographic signal recorded from human body).

Spectral analysis for GNSS coordinate time series using chirp Fourier transform

NASA Astrophysics Data System (ADS)

Feng, Shengtao; Bo, Wanju; Ma, Qingzun; Wang, Zifan

2017-12-01

Spectral analysis for global navigation satellite system (GNSS) coordinate time series provides a principal tool to understand the intrinsic mechanism that affects tectonic movements. Spectral analysis methods such as the fast Fourier transform, Lomb-Scargle spectrum, evolutionary power spectrum, wavelet power spectrum, etc. are used to find periodic characteristics in time series. Among spectral analysis methods, the chirp Fourier transform (CFT) with less stringent requirements is tested with synthetic and actual GNSS coordinate time series, which proves the accuracy and efficiency of the method. With the length of series only limited to even numbers, CFT provides a convenient tool for windowed spectral analysis. The results of ideal synthetic data prove CFT accurate and efficient, while the results of actual data show that CFT is usable to derive periodic information from GNSS coordinate time series.

Time-series analysis of delta13C from tree rings. I. Time trends and autocorrelation.

PubMed

Monserud, R A; Marshall, J D

2001-09-01

Univariate time-series analyses were conducted on stable carbon isotope ratios obtained from tree-ring cellulose. We looked for the presence and structure of autocorrelation. Significant autocorrelation violates the statistical independence assumption and biases hypothesis tests. Its presence would indicate the existence of lagged physiological effects that persist for longer than the current year. We analyzed data from 28 trees (60-85 years old; mean = 73 years) of western white pine (Pinus monticola Dougl.), ponderosa pine (Pinus ponderosa Laws.), and Douglas-fir (Pseudotsuga menziesii (Mirb.) Franco var. glauca) growing in northern Idaho. Material was obtained by the stem analysis method from rings laid down in the upper portion of the crown throughout each tree's life. The sampling protocol minimized variation caused by changing light regimes within each tree. Autoregressive moving average (ARMA) models were used to describe the autocorrelation structure over time. Three time series were analyzed for each tree: the stable carbon isotope ratio (delta(13)C); discrimination (delta); and the difference between ambient and internal CO(2) concentrations (c(a) - c(i)). The effect of converting from ring cellulose to whole-leaf tissue did not affect the analysis because it was almost completely removed by the detrending that precedes time-series analysis. A simple linear or quadratic model adequately described the time trend. The residuals from the trend had a constant mean and variance, thus ensuring stationarity, a requirement for autocorrelation analysis. The trend over time for c(a) - c(i) was particularly strong (R(2) = 0.29-0.84). Autoregressive moving average analyses of the residuals from these trends indicated that two-thirds of the individual tree series contained significant autocorrelation, whereas the remaining third were random (white noise) over time. We were unable to distinguish between individuals with and without significant autocorrelation

Ozone Time Series From GOMOS and SAGE II Measurements

NASA Astrophysics Data System (ADS)

Kyrola, E. T.; Laine, M.; Tukiainen, S.; Sofieva, V.; Zawodny, J. M.; Thomason, L. W.

2011-12-01

Satellite measurements are essential for monitoring changes in the global stratospheric ozone distribution. Both the natural variation and anthropogenic change are strongly dependent on altitude. Stratospheric ozone has been measured from space with good vertical resolution since 1985 by the SAGE II solar occultation instrument. The advantage of the occultation measurement principle is the self-calibration, which is essential to ensuring stable time series. SAGE II measurements in 1985-2005 have been a valuable data set in investigations of trends in the vertical distribution of ozone. This time series can now be extended by the GOMOS measurements started in 2002. GOMOS is a stellar occultation instrument and offers, therefore, a natural continuation of SAGE II measurements. In this paper we study how well GOMOS and SAGE II measurements agree with each other in the period 2002-2005 when both instruments were measuring. We detail how the different spatial and temporal sampling of these two instruments affect the conformity of measurements. We study also how the retrieval specifics like absorption cross sections and assumed aerosol modeling affect the results. Various combined time series are constructed using different estimators and latitude-time grids. We also show preliminary results from a novel time series analysis based on Markov chain Monte Carlo approach.

Sequential Monte Carlo for inference of latent ARMA time-series with innovations correlated in time

NASA Astrophysics Data System (ADS)

Urteaga, Iñigo; Bugallo, Mónica F.; Djurić, Petar M.

2017-12-01

We consider the problem of sequential inference of latent time-series with innovations correlated in time and observed via nonlinear functions. We accommodate time-varying phenomena with diverse properties by means of a flexible mathematical representation of the data. We characterize statistically such time-series by a Bayesian analysis of their densities. The density that describes the transition of the state from time t to the next time instant t+1 is used for implementation of novel sequential Monte Carlo (SMC) methods. We present a set of SMC methods for inference of latent ARMA time-series with innovations correlated in time for different assumptions in knowledge of parameters. The methods operate in a unified and consistent manner for data with diverse memory properties. We show the validity of the proposed approach by comprehensive simulations of the challenging stochastic volatility model.

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

NASA Astrophysics Data System (ADS)

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

Consistent Long-Time Series of GPS Satellite Antenna Phase Center Corrections

NASA Astrophysics Data System (ADS)

Steigenberger, P.; Schmid, R.; Rothacher, M.

2004-12-01

The current IGS processing strategy disregards satellite antenna phase center variations (pcvs) depending on the nadir angle and applies block-specific phase center offsets only. However, the transition from relative to absolute receiver antenna corrections presently under discussion necessitates the consideration of satellite antenna pcvs. Moreover, studies of several groups have shown that the offsets are not homogeneous within a satellite block. Manufacturer specifications seem to confirm this assumption. In order to get best possible antenna corrections, consistent ten-year time series (1994-2004) of satellite-specific pcvs and offsets were generated. This challenging effort became possible as part of the reprocessing of a global GPS network currently performed by the Technical Universities of Munich and Dresden. The data of about 160 stations since the official start of the IGS in 1994 have been reprocessed, as today's GPS time series are mostly inhomogeneous and inconsistent due to continuous improvements in the processing strategies and modeling of global GPS solutions. An analysis of the signals contained in the time series of the phase center offsets demonstrates amplitudes on the decimeter level, at least one order of magnitude worse than the desired accuracy. The periods partly arise from the GPS orbit configuration, as the orientation of the orbit planes with regard to the inertial system repeats after about 350 days due to the rotation of the ascending nodes. In addition, the rms values of the X- and Y-offsets show a high correlation with the angle between the orbit plane and the direction to the sun. The time series of the pcvs mainly point at the correlation with the global terrestrial scale. Solutions with relative and absolute phase center corrections, with block- and satellite-specific satellite antenna corrections demonstrate the effect of this parameter group on other global GPS parameters such as the terrestrial scale, station velocities, the

Analysis of Seasonal Signal in GPS Short-Baseline Time Series

NASA Astrophysics Data System (ADS)

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 (< 2 km) time series, if they exist, are mainly related to site-specific effects, such as thermal expansion of the monument (TEM). However, only part of the seasonal signal can be explained by known factors due to the limited data span, the GPS processing strategy and/or the adoption of an imperfect TEM model. In this 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 < 1 m and identical monuments. The daily solutions show that there are apparent annual signals with annual amplitude of 1 mm (maximum amplitude of 1.86 ± 0.17 mm) on almost all of the components, which are consistent with the results from previous studies. Semi-annual signal with a maximum amplitude of 0.97 ± 0.25 mm is also present. The analysis of time-correlated noise indicates that instead of flicker (FL) or random walk (RW) noise, band-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

Adaptive Sampling of Time Series During Remote Exploration

NASA Technical Reports Server (NTRS)

Thompson, David R.

2012-01-01

are stationary, e.g., the covariance relationships are time-invariant. In such cases, information gain is independent of previously collected data, and the optimal solution can always be computed in advance. Information-optimal sampling of a stationary GP time series thus reduces to even spacing, and such models are not appropriate for tracking localized anomalies. Additionally, GP model inference can be computationally expensive.

Generalized Riemann hypothesis and stochastic time series

NASA Astrophysics Data System (ADS)

Mussardo, Giuseppe; LeClair, André

2018-06-01

Using the Dirichlet theorem on the equidistribution of residue classes modulo q and the Lemke Oliver–Soundararajan conjecture on the distribution of pairs of residues on consecutive primes, we show that the domain of convergence of the infinite product of Dirichlet L-functions of non-principal characters can be extended from down to , without encountering any zeros before reaching this critical line. The possibility of doing so can be traced back to a universal diffusive random walk behavior of a series C N over the primes which underlies the convergence of the infinite product of the Dirichlet functions. The series C N presents several aspects in common with stochastic time series and its control requires to address a problem similar to the single Brownian trajectory problem in statistical mechanics. In the case of the Dirichlet functions of non principal characters, we show that this problem can be solved in terms of a self-averaging procedure based on an ensemble of block variables computed on extended intervals of primes. Those intervals, called inertial intervals, ensure the ergodicity and stationarity of the time series underlying the quantity C N . The infinity of primes also ensures the absence of rare events which would have been responsible for a different scaling behavior than the universal law of the random walks.

Biogeochemistry from Gliders at the Hawaii Ocean Times-Series

NASA Astrophysics Data System (ADS)

Nicholson, D. P.; Barone, B.; Karl, D. M.

2016-02-01

At the Hawaii Ocean Time-series (HOT) autonomous, underwater gliders equipped with biogeochemical sensors observe the oceans for months at a time, sampling spatiotemporal scales missed by the ship-based programs. Over the last decade, glider data augmented by a foundation of time-series observations have shed light on biogeochemical dynamics occuring spatially at meso- and submesoscales and temporally on scales from diel to annual. We present insights gained from the synergy between glider observations, time-series measurements and remote sensing in the subtropical North Pacific. We focus on diel variability observed in dissolved oxygen and bio-optics and approaches to autonomously quantify net community production and gross primary production (GPP) as developed during the 2012 Hawaii Ocean Experiment - DYnamics of Light And Nutrients (HOE-DYLAN). Glider-based GPP measurements were extended to explore the relationship between GPP and mesoscale context over multiple years of Seaglider deployments.

Complex dynamic in ecological time series

Treesearch

Peter Turchin; Andrew D. Taylor

1992-01-01

Although the possibility of complex dynamical behaviors-limit cycles, quasiperiodic oscillations, and aperiodic chaos-has been recognized theoretically, most ecologists are skeptical of their importance in nature. In this paper we develop a methodology for reconstructing endogenous (or deterministic) dynamics from ecological time series. Our method consists of fitting...

Capturing Context-Related Change in Emotional Dynamics via Fixed Moderated Time Series Analysis.

PubMed

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.

Use of Time-Series, ARIMA Designs to Assess Program Efficacy.

ERIC Educational Resources Information Center

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…

OceanSITES: Sustained Ocean Time Series Observations in the Global Ocean.

NASA Astrophysics Data System (ADS)

Weller, R. A.; Gallage, C.; Send, U.; Lampitt, R. S.; Lukas, R.

2016-02-01

Time series observations at critical or representative locations are an essential element of a global ocean observing system that is unique and complements other approaches to sustained observing. OceanSITES is an international group of oceanographers associated with such time series sites. OceanSITES exists to promote the continuation and extension of ocean time series sites around the globe. It also exists to plan and oversee the global array of sites in order to address the needs of research, climate change detection, operational applications, and policy makers. OceanSITES is a voluntary group that sits as an Action Group of the JCOMM-OPS Data Buoy Cooperation Panel, where JCOMM-OPS is the operational ocean observing oversight group of the Joint Commission on Oceanography and Marine Meteorology of the International Oceanographic Commission and the World Meteorological Organization. The way forward includes working to complete the global array, moving toward multidisciplinary instrumentation on a subset of the sites, and increasing utilization of the time series data, which are freely available from two Global Data Assembly Centers, one at the National Data Buoy Center and one at Coriolis at IFREMER. One recnet OceanSITES initiative and several results from OceanSITES time series sites are presented. The recent initiative was the assembly of a pool of temperature/conductivity recorders fro provision to OceanSITES sites in order to provide deep ocean temperature and salinity time series. Examples from specific sites include: a 15-year record of surface meteorology and air-sea fluxes from off northern Chile that shows evidence of long-term trends in surface forcing; change in upper ocean salinity and stratification in association with regional change in the hydrological cycle can be seen at the Hawaii time series site; results from monitoring Atlantic meridional transport; and results from a European multidisciplinary time series site.

A hybrid-domain approach for modeling climate data time series

NASA Astrophysics Data System (ADS)

Wen, Qiuzi H.; Wang, Xiaolan L.; Wong, Augustine

2011-09-01

In order to model climate data time series that often contain periodic variations, trends, and sudden changes in mean (mean shifts, mostly artificial), this study proposes a hybrid-domain (HD) algorithm, which incorporates a time domain test and a newly developed frequency domain test through an iterative procedure that is analogue to the well known backfitting algorithm. A two-phase competition procedure is developed to address the confounding issue between modeling periodic variations and mean shifts. A variety of distinctive features of climate data time series, including trends, periodic variations, mean shifts, and a dependent noise structure, can be modeled in tandem using the HD algorithm. This is particularly important for homogenization of climate data from a low density observing network in which reference series are not available to help preserve climatic trends and long-term periodic variations, preventing them from being mistaken as artificial shifts. The HD algorithm is also powerful in estimating trend and periodicity in a homogeneous data time series (i.e., in the absence of any mean shift). The performance of the HD algorithm (in terms of false alarm rate and hit rate in detecting shifts/cycles, and estimation accuracy) is assessed via a simulation study. Its power is further illustrated through its application to a few climate data time series.

Joint Inversion of Borehole Strainmeter and GPS Time Series for Slip and Stress Distribution during Cascadian ETS

NASA Astrophysics Data System (ADS)

Benz, N.; Bartlow, N. M.

2017-12-01

The addition of borehole strainmeter (BSM) to cGPS time series inversions can yield more precise slip distributions at the subduction interface during episodic tremor and slip (ETS) events in the Cascadia subduction zone. Traditionally very noisy BSM data has not been easy to incorporate until recently, but developments in processing noise, re-orientation of strain components, removal of tidal, hydrologic, and atmospheric signals have made this additional source of data viable (Roeloffs, 2010). The major advantage with BSMs is their sensitivity to spatial derivatives in slip, which is valuable for investigating the ETS nucleation process and stress changes on the plate interface due to ETS. Taking advantage of this, we simultaneously invert PBO GPS and cleaned BSM time series with the Network Inversion Filter (Segall and Matthews, 1997) for slip distribution and slip rate during selected Cascadia ETS events. Stress distributions are also calculated for the plate interface using these inversion results to estimate the amount of stress change during an ETS event. These calculations are performed with and without the utilization of BSM time series, highlighting the role of BSM data in constraining slip and stress.

Nonlinear Analysis of Surface EMG Time Series

NASA Astrophysics Data System (ADS)

Zurcher, Ulrich; Kaufman, Miron; Sung, Paul

2004-04-01

Applications of nonlinear analysis of surface electromyography time series of patients with and without low back pain are presented. Limitations of the standard methods based on the power spectrum are discussed.

An algorithm of Saxena-Easo on fuzzy time series forecasting

NASA Astrophysics Data System (ADS)

Ramadhani, L. C.; Anggraeni, D.; Kamsyakawuni, A.; Hadi, A. F.

2018-04-01

This paper presents a forecast model of Saxena-Easo fuzzy time series prediction to study the prediction of Indonesia inflation rate in 1970-2016. We use MATLAB software to compute this method. The algorithm of Saxena-Easo fuzzy time series doesn’t need stationarity like conventional forecasting method, capable of dealing with the value of time series which are linguistic and has the advantage of reducing the calculation, time and simplifying the calculation process. Generally it’s focus on percentage change as the universe discourse, interval partition and defuzzification. The result indicate that between the actual data and the forecast data are close enough with Root Mean Square Error (RMSE) = 1.5289.

The European Standard Series and its additions: are they of any use in 2013?

PubMed

Castelain, Michel; Assier, Haudrey; Baeck, Marie; Bara, Corina; Barbaud, Annick; Castelain, Florence; Felix, Brigitte; Ferrie Le Bouedec, Marie Christine; Frick, Christian; Girardin, Pascal; Jacobs, Marie Claude; Jelen, Gilbert; Lartigaud, Isabelle; Raison-Peyron, Nadia; Tennstedt, Dominique; Tetard, Florence; Vigan, Martine; Waton, Julie

2014-01-01

This study has two purposes:--to know whether the European standard series is still the key reference when it comes to contact dermatitis, i.e., are its components still the most frequently involved allergens in contact dermatitis nowadays?--to assess the results of the European standard series among French and Belgian dermatologists/allergists as, so far, most of them have failed to provide statistical data within the European community of allergists/dermatologists. 18 participants from 2 dermatology and allergy centres in Belgium and 11 centres in France collected their results from 3,073 patients tested in 2011. They assessed the relevance of some tests as well as that of the standard series and additional series to establish an etiological diagnosis of contact dermatitis. These results, together with the history of the European standard series, have shown that some allergens are obsolete and that others should be included in a new standard series for which we are making a few suggestions.

Classification of time-series images using deep convolutional neural networks

NASA Astrophysics Data System (ADS)

Hatami, Nima; Gavet, Yann; Debayle, Johan

2018-04-01

Convolutional Neural Networks (CNN) has achieved a great success in image recognition task by automatically learning a hierarchical feature representation from raw data. While the majority of Time-Series Classification (TSC) literature is focused on 1D signals, this paper uses Recurrence Plots (RP) to transform time-series into 2D texture images and then take advantage of the deep CNN classifier. Image representation of time-series introduces different feature types that are not available for 1D signals, and therefore TSC can be treated as texture image recognition task. CNN model also allows learning different levels of representations together with a classifier, jointly and automatically. Therefore, using RP and CNN in a unified framework is expected to boost the recognition rate of TSC. Experimental results on the UCR time-series classification archive demonstrate competitive accuracy of the proposed approach, compared not only to the existing deep architectures, but also to the state-of-the art TSC algorithms.

Multiscale Symbolic Phase Transfer Entropy in Financial Time Series Classification

NASA Astrophysics Data System (ADS)

Zhang, Ningning; Lin, Aijing; Shang, Pengjian

We address the challenge of classifying financial time series via a newly proposed multiscale symbolic phase transfer entropy (MSPTE). Using MSPTE method, we succeed to quantify the strength and direction of information flow between financial systems and classify financial time series, which are the stock indices from Europe, America and China during the period from 2006 to 2016 and the stocks of banking, aviation industry and pharmacy during the period from 2007 to 2016, simultaneously. The MSPTE analysis shows that the value of symbolic phase transfer entropy (SPTE) among stocks decreases with the increasing scale factor. It is demonstrated that MSPTE method can well divide stocks into groups by areas and industries. In addition, it can be concluded that the MSPTE analysis quantify the similarity among the stock markets. The symbolic phase transfer entropy (SPTE) between the two stocks from the same area is far less than the SPTE between stocks from different areas. The results also indicate that four stocks from America and Europe have relatively high degree of similarity and the stocks of banking and pharmaceutical industry have higher similarity for CA. It is worth mentioning that the pharmaceutical industry has weaker particular market mechanism than banking and aviation industry.

Classification of time series patterns from complex dynamic systems

DOE Office of Scientific and Technical Information (OSTI.GOV)

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,more » 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.« less

Sensitivity analysis of machine-learning models of hydrologic time series

NASA Astrophysics Data System (ADS)

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.

Koopman Operator Framework for Time Series Modeling and Analysis

NASA Astrophysics Data System (ADS)

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.

Testing for intracycle determinism in pseudoperiodic time series.

PubMed

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.

Blind source separation problem in GPS time series

NASA Astrophysics Data System (ADS)

Gualandi, A.; Serpelloni, E.; Belardinelli, M. E.

2016-04-01

A critical point in the analysis of ground displacement time series, as those recorded by space geodetic techniques, is the development of data-driven methods that allow the different sources of deformation to be discerned and characterized in the space and time domains. Multivariate statistic includes several approaches that can be considered as a part of data-driven methods. A widely used technique is the principal component analysis (PCA), which allows us to reduce the dimensionality of the data space while maintaining most of the variance of the dataset explained. However, PCA does not perform well in finding the solution to the so-called blind source separation (BSS) problem, i.e., in recovering and separating the original sources that generate the observed data. This is mainly due to the fact that PCA minimizes the misfit calculated using an L2 norm (χ 2), looking for a new Euclidean space where the projected data are uncorrelated. The independent component analysis (ICA) is a popular technique adopted to approach the BSS problem. However, the independence condition is not easy to impose, and it is often necessary to introduce some approximations. To work around this problem, we test the use of a modified variational Bayesian ICA (vbICA) method to recover the multiple sources of ground deformation even in the presence of missing data. The vbICA method models the probability density function (pdf) of each source signal using a mix of Gaussian distributions, allowing for more flexibility in the description of the pdf of the sources with respect to standard ICA, and giving a more reliable estimate of them. Here we present its application to synthetic global positioning system (GPS) position time series, generated by simulating deformation near an active fault, including inter-seismic, co-seismic, and post-seismic signals, plus seasonal signals and noise, and an additional time-dependent volcanic source. We evaluate the ability of the PCA and ICA decomposition

Integrated method for chaotic time series analysis

DOEpatents

Hively, Lee M.; Ng, Esmond G.

1998-01-01

Methods and apparatus for automatically detecting differences between similar but different states in a nonlinear process monitor nonlinear data. Steps include: acquiring the data; digitizing the data; obtaining nonlinear measures of the data via chaotic time series analysis; obtaining time serial trends in the nonlinear measures; and determining by comparison whether differences between similar but different states are indicated.

A KST framework for correlation network construction from time series signals

NASA Astrophysics Data System (ADS)

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.

Multivariate stochastic analysis for Monthly hydrological time series at Cuyahoga River Basin

NASA Astrophysics Data System (ADS)

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

Forecasting daily meteorological time series using ARIMA and regression models

NASA Astrophysics Data System (ADS)

Murat, Małgorzata; Malinowska, Iwona; Gos, Magdalena; Krzyszczak, Jaromir

2018-04-01

The daily air temperature and precipitation time series recorded between January 1, 1980 and December 31, 2010 in four European sites (Jokioinen, Dikopshof, Lleida and Lublin) from different climatic zones were modeled and forecasted. In our forecasting we used the methods of the Box-Jenkins and Holt- Winters seasonal auto regressive integrated moving-average, the autoregressive integrated moving-average with external regressors in the form of Fourier terms and the time series regression, including trend and seasonality components methodology with R software. It was demonstrated that obtained models are able to capture the dynamics of the time series data and to produce sensible forecasts.

Time Series Analysis of SOLSTICE Measurements

NASA Astrophysics Data System (ADS)

Wen, G.; Cahalan, R. F.

2003-12-01

Solar radiation is the major energy source for the Earth's biosphere and atmospheric and ocean circulations. Variations of solar irradiance have been a major concern of scientists both in solar physics and atmospheric sciences. A number of missions have been carried out to monitor changes in total solar irradiance (TSI) [see Fröhlich and Lean, 1998 for review] and spectral solar irradiance (SSI) [e.g., SOLSTICE on UARS and VIRGO on SOHO]. Observations over a long time period reveal the connection between variations in solar irradiance and surface magnetic fields of the Sun [Lean1997]. This connection provides a guide to scientists in modeling solar irradiances [e.g., Fontenla et al., 1999; Krivova et al., 2003]. Solar spectral observations have now been made over a relatively long time period, allowing statistical analysis. This paper focuses on predictability of solar spectral irradiance using observed SSI from SOLSTICE . Analysis of predictability is based on nonlinear dynamics using an artificial neural network in a reconstructed phase space [Abarbanel et al., 1993]. In the analysis, we first examine the average mutual information of the observed time series and a delayed time series. The time delay that gives local minimum of mutual information is chosen as the time-delay for phase space reconstruction [Fraser and Swinney, 1986]. The embedding dimension of the reconstructed phase space is determined using the false neighbors and false strands method [Kennel and Abarbanel, 2002]. Subsequently, we use a multi-layer feed-forward network with back propagation scheme [e.g., Haykin, 1994] to model the time series. The predictability of solar irradiance as a function of wavelength is considered. References Abarbanel, H. D. I., R. Brown, J. J. Sidorowich, and L. Sh. Tsimring, Rev. Mod. Phys. 65, 1331, 1993. Fraser, A. M. and H. L. Swinney, Phys. Rev. 33A, 1134, 1986. Fontenla, J., O. R. White, P. Fox, E. H. Avrett and R. L. Kurucz, The Astrophysical Journal, 518, 480

Compounding approach for univariate time series with nonstationary variances

NASA Astrophysics Data System (ADS)

Schäfer, Rudi; Barkhofen, Sonja; Guhr, Thomas; Stöckmann, Hans-Jürgen; Kuhl, Ulrich

2015-12-01

A defining feature of nonstationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for long time horizons, however, averages over the time-dependent variances. To model the long-term statistical behavior, we compound the local distribution with the distribution of its parameters. Here, we consider two concrete, but diverse, examples of such nonstationary systems: the turbulent air flow of a fan and a time series of foreign exchange rates. Our main focus is to empirically determine the appropriate parameter distribution for the compounding approach. To this end, we extract the relevant time scales by decomposing the time signals into windows and determine the distribution function of the thus obtained local variances.

Compounding approach for univariate time series with nonstationary variances.

PubMed

Schäfer, Rudi; Barkhofen, Sonja; Guhr, Thomas; Stöckmann, Hans-Jürgen; Kuhl, Ulrich

2015-12-01

A defining feature of nonstationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, due to the central limit theorem. The sample statistics for long time horizons, however, averages over the time-dependent variances. To model the long-term statistical behavior, we compound the local distribution with the distribution of its parameters. Here, we consider two concrete, but diverse, examples of such nonstationary systems: the turbulent air flow of a fan and a time series of foreign exchange rates. Our main focus is to empirically determine the appropriate parameter distribution for the compounding approach. To this end, we extract the relevant time scales by decomposing the time signals into windows and determine the distribution function of the thus obtained local variances.

What Time-Series Designs May Have to Offer Educational Researchers.

ERIC Educational Resources Information Center

Kratochwill, Thomas R.; Levin, Joel R.

1978-01-01

The promise of time-series designs for educational research and evaluation is reviewed. Ten time-series designs are presented and discussed in the context of threats to internal and external validity. The advantages and disadvantages of various visual and statistical data-analysis techniques are presented. A bibliography is appended. (Author/RD)

Time Series Modelling of Syphilis Incidence in China from 2005 to 2012.

PubMed

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.

Mobile Visualization and Analysis Tools for Spatial Time-Series Data

NASA Astrophysics Data System (ADS)

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

2013-12-01

The Siberian Earth System Science Cluster (SIB-ESS-C) provides access and analysis services for spatial time-series data build on products from the Moderate Resolution Imaging Spectroradiometer (MODIS) and climate data from meteorological stations. Until now a webportal for data access, visualization and analysis with standard-compliant web services was developed for SIB-ESS-C. As a further enhancement a mobile app was developed to provide an easy access to these time-series data for field campaigns. The app sends the current position from the GPS receiver and a specific dataset (like land surface temperature or vegetation indices) - selected by the user - to our SIB-ESS-C web service and gets the requested time-series data for the identified pixel back in real-time. The data is then being plotted directly in the app. Furthermore the user has possibilities to analyze the time-series data for breaking points and other phenological values. These processings are executed on demand of the user on our SIB-ESS-C web server and results are transfered to the app. Any processing can also be done at the SIB-ESS-C webportal. The aim of this work is to make spatial time-series data and analysis functions available for end users without the need of data processing. In this presentation the author gives an overview on this new mobile app, the functionalities, the technical infrastructure as well as technological issues (how the app was developed, our made experiences).

Monitoring of tissue ablation using time series of ultrasound RF data.

PubMed

Imani, Farhad; Wu, Mark Z; Lasso, Andras; Burdette, Everett C; Daoud, Mohammad; Fitchinger, Gabor; Abolmaesumi, Purang; Mousavi, Parvin

2011-01-01

This paper is the first report on the monitoring of tissue ablation using ultrasound RF echo time series. We calcuate frequency and time domain features of time series of RF echoes from stationary tissue and transducer, and correlate them with ablated and non-ablated tissue properties. We combine these features in a nonlinear classification framework and demonstrate up to 99% classification accuracy in distinguishing ablated and non-ablated regions of tissue, in areas as small as 12mm2 in size. We also demonstrate significant improvement of ablated tissue classification using RF time series compared to the conventional approach of using single RF scan lines. The results of this study suggest RF echo time series as a promising approach for monitoring ablation, and capturing the changes in the tissue microstructure as a result of heat-induced necrosis.

Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series

PubMed Central

Shao, Ying-Hui; Gu, Gao-Feng; Jiang, Zhi-Qiang; Zhou, Wei-Xing; Sornette, Didier

2012-01-01

Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies when using different generators of LRC time series. Here, we compare the performances of four estimators [Fluctuation Analysis (FA), Detrended Fluctuation Analysis (DFA), Backward Detrending Moving Average (BDMA), and Centred Detrending Moving Average (CDMA)]. We use three different generators [Fractional Gaussian Noises, and two ways of generating Fractional Brownian Motions]. We find that CDMA has the best performance and DFA is only slightly worse in some situations, while FA performs the worst. In addition, CDMA and DFA are less sensitive to the scaling range than FA. Hence, CDMA and DFA remain “The Methods of Choice” in determining the Hurst index of time series. PMID:23150785

Normalization methods in time series of platelet function assays

PubMed Central

Van Poucke, Sven; Zhang, Zhongheng; Roest, Mark; Vukicevic, Milan; Beran, Maud; Lauwereins, Bart; Zheng, Ming-Hua; Henskens, Yvonne; Lancé, Marcus; Marcus, Abraham

2016-01-01

Abstract Platelet function can be quantitatively assessed by specific assays such as light-transmission aggregometry, multiple-electrode aggregometry measuring the response to adenosine diphosphate (ADP), arachidonic acid, collagen, and thrombin-receptor activating peptide and viscoelastic tests such as rotational thromboelastometry (ROTEM). The task of extracting meaningful statistical and clinical information from high-dimensional data spaces in temporal multivariate clinical data represented in multivariate time series is complex. Building insightful visualizations for multivariate time series demands adequate usage of normalization techniques. In this article, various methods for data normalization (z-transformation, range transformation, proportion transformation, and interquartile range) are presented and visualized discussing the most suited approach for platelet function data series. Normalization was calculated per assay (test) for all time points and per time point for all tests. Interquartile range, range transformation, and z-transformation demonstrated the correlation as calculated by the Spearman correlation test, when normalized per assay (test) for all time points. When normalizing per time point for all tests, no correlation could be abstracted from the charts as was the case when using all data as 1 dataset for normalization. PMID:27428217

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

PubMed Central

2011-01-01

Background Comparing biological time series data across different conditions, or different specimens, is a common but still challenging task. Algorithms aligning two time series represent a valuable tool for such comparisons. While many powerful computation tools for time series alignment have been developed, they do not provide significance estimates for time shift measurements. Results Here, we present an extended version of the original DTW algorithm that allows us to determine the significance of time shift estimates in time series alignments, the DTW-Significance (DTW-S) algorithm. The DTW-S combines important properties of the original algorithm and other published time series alignment tools: DTW-S calculates the optimal alignment for each time point of each gene, it uses interpolated time points for time shift estimation, and it does not require alignment of the time-series end points. As a new feature, we implement a simulation procedure based on parameters estimated from real time series data, on a series-by-series basis, allowing us to determine the false positive rate (FPR) and the significance of the estimated time shift values. We assess the performance of our method using simulation data and real expression time series from two published primate brain expression datasets. Our results show that this method can provide accurate and robust time shift estimates for each time point on a gene-by-gene basis. Using these estimates, we are able to uncover novel features of the biological processes underlying human brain development and maturation. Conclusions The DTW-S provides a convenient tool for calculating accurate and robust time shift estimates at each time point for each gene, based on time series data. The estimates can be used to uncover novel biological features of the system being studied. The DTW-S is freely available as an R package TimeShift at http://www.picb.ac.cn/Comparative/data.html. PMID:21851598

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

PubMed

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

2011-08-18

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

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

PubMed

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

Automated Bayesian model development for frequency detection in biological time series

PubMed Central

2011-01-01

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 the requirement for uniformly

hctsa: A Computational Framework for Automated Time-Series Phenotyping Using Massive Feature Extraction.

PubMed

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.

Small Sample Properties of Bayesian Multivariate Autoregressive Time Series Models

ERIC Educational Resources Information Center

Price, Larry R.

2012-01-01

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

Building Change Detection in Very High Resolution Satellite Stereo Image Time Series

NASA Astrophysics Data System (ADS)

Tian, J.; Qin, R.; Cerra, D.; Reinartz, P.

2016-06-01

There is an increasing demand for robust methods on urban sprawl monitoring. The steadily increasing number of high resolution and multi-view sensors allows producing datasets with high temporal and spatial resolution; however, less effort has been dedicated to employ very high resolution (VHR) satellite image time series (SITS) to monitor the changes in buildings with higher accuracy. In addition, these VHR data are often acquired from different sensors. The objective of this research is to propose a robust time-series data analysis method for VHR stereo imagery. Firstly, the spatial-temporal information of the stereo imagery and the Digital Surface Models (DSMs) generated from them are combined, and building probability maps (BPM) are calculated for all acquisition dates. In the second step, an object-based change analysis is performed based on the derivative features of the BPM sets. The change consistence between object-level and pixel-level are checked to remove any outlier pixels. Results are assessed on six pairs of VHR satellite images acquired within a time span of 7 years. The evaluation results have proved the efficiency of the proposed method.

Hybrid perturbation methods based on statistical time series models

NASA Astrophysics Data System (ADS)

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

2016-04-01

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

Characteristics of the transmission of autoregressive sub-patterns in financial time series

NASA Astrophysics Data System (ADS)

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

2014-09-01

There are many types of autoregressive patterns in financial time series, and they form a transmission process. Here, we define autoregressive patterns quantitatively through an econometrical regression model. We present a computational algorithm that sets the autoregressive patterns as nodes and transmissions between patterns as edges, and then converts the transmission process of autoregressive patterns in a time series into a network. We utilised daily Shanghai (securities) composite index time series to study the transmission characteristics of autoregressive patterns. We found statistically significant evidence that the financial market is not random and that there are similar characteristics between parts and whole time series. A few types of autoregressive sub-patterns and transmission patterns drive the oscillations of the financial market. A clustering effect on fluctuations appears in the transmission process, and certain non-major autoregressive sub-patterns have high media capabilities in the financial time series. Different stock indexes exhibit similar characteristics in the transmission of fluctuation information. This work not only proposes a distinctive perspective for analysing financial time series but also provides important information for investors.

Characteristics of the transmission of autoregressive sub-patterns in financial time series

PubMed Central

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

2014-01-01

There are many types of autoregressive patterns in financial time series, and they form a transmission process. Here, we define autoregressive patterns quantitatively through an econometrical regression model. We present a computational algorithm that sets the autoregressive patterns as nodes and transmissions between patterns as edges, and then converts the transmission process of autoregressive patterns in a time series into a network. We utilised daily Shanghai (securities) composite index time series to study the transmission characteristics of autoregressive patterns. We found statistically significant evidence that the financial market is not random and that there are similar characteristics between parts and whole time series. A few types of autoregressive sub-patterns and transmission patterns drive the oscillations of the financial market. A clustering effect on fluctuations appears in the transmission process, and certain non-major autoregressive sub-patterns have high media capabilities in the financial time series. Different stock indexes exhibit similar characteristics in the transmission of fluctuation information. This work not only proposes a distinctive perspective for analysing financial time series but also provides important information for investors. PMID:25189200

A Review of Some Aspects of Robust Inference for Time Series.

DTIC Science & Technology

1984-09-01

REVIEW OF SOME ASPECTSOF ROBUST INFERNCE FOR TIME SERIES by Ad . Dougla Main TE "iAL REPOW No. 63 Septermber 1984 Department of Statistics University of ...clear. One cannot hope to have a good method for dealing with outliers in time series by using only an instantaneous nonlinear transformation of the data...AI.49 716 A REVIEWd OF SOME ASPECTS OF ROBUST INFERENCE FOR TIME 1/1 SERIES(U) WASHINGTON UNIV SEATTLE DEPT OF STATISTICS R D MARTIN SEP 84 TR-53

Refined composite multiscale weighted-permutation entropy of financial time series

NASA Astrophysics Data System (ADS)

Zhang, Yongping; Shang, Pengjian

2018-04-01

For quantifying the complexity of nonlinear systems, multiscale weighted-permutation entropy (MWPE) has recently been proposed. MWPE has incorporated amplitude information and been applied to account for the multiple inherent dynamics of time series. However, MWPE may be unreliable, because its estimated values show large fluctuation for slight variation of the data locations, and a significant distinction only for the different length of time series. Therefore, we propose the refined composite multiscale weighted-permutation entropy (RCMWPE). By comparing the RCMWPE results with other methods' results on both synthetic data and financial time series, RCMWPE method shows not only the advantages inherited from MWPE but also lower sensitivity to the data locations, more stable and much less dependent on the length of time series. Moreover, we present and discuss the results of RCMWPE method on the daily price return series from Asian and European stock markets. There are significant differences between Asian markets and European markets, and the entropy values of Hang Seng Index (HSI) are close to but higher than those of European markets. The reliability of the proposed RCMWPE method has been supported by simulations on generated and real data. It could be applied to a variety of fields to quantify the complexity of the systems over multiple scales more accurately.

A Space Affine Matching Approach to fMRI Time Series Analysis.

PubMed

Chen, Liang; Zhang, Weishi; Liu, Hongbo; Feng, Shigang; Chen, C L Philip; Wang, Huili

2016-07-01

For fMRI time series analysis, an important challenge is to overcome the potential delay between hemodynamic response signal and cognitive stimuli signal, namely the same frequency but different phase (SFDP) problem. In this paper, a novel space affine matching feature is presented by introducing the time domain and frequency domain features. The time domain feature is used to discern different stimuli, while the frequency domain feature to eliminate the delay. And then we propose a space affine matching (SAM) algorithm to match fMRI time series by our affine feature, in which a normal vector is estimated using gradient descent to explore the time series matching optimally. The experimental results illustrate that the SAM algorithm is insensitive to the delay between the hemodynamic response signal and the cognitive stimuli signal. Our approach significantly outperforms GLM method while there exists the delay. The approach can help us solve the SFDP problem in fMRI time series matching and thus of great promise to reveal brain dynamics.

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

NASA Astrophysics Data System (ADS)

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.

Integrated method for chaotic time series analysis

DOEpatents

Hively, L.M.; Ng, E.G.

1998-09-29

Methods and apparatus for automatically detecting differences between similar but different states in a nonlinear process monitor nonlinear data are disclosed. Steps include: acquiring the data; digitizing the data; obtaining nonlinear measures of the data via chaotic time series analysis; obtaining time serial trends in the nonlinear measures; and determining by comparison whether differences between similar but different states are indicated. 8 figs.

Time irreversibility of financial time series based on higher moments and multiscale Kullback-Leibler divergence

NASA Astrophysics Data System (ADS)

Li, Jinyang; Shang, Pengjian

2018-07-01

Irreversibility is an important property of time series. In this paper, we propose the higher moments and multiscale Kullback-Leibler divergence to analyze time series irreversibility. The higher moments Kullback-Leibler divergence (HMKLD) can amplify irreversibility and make the irreversibility variation more obvious. Therefore, many time series whose irreversibility is hard to be found are also able to show the variations. We employ simulated data and financial stock data to test and verify this method, and find that HMKLD of stock data is growing in the form of fluctuations. As for multiscale Kullback-Leibler divergence (MKLD), it is very complex in the dynamic system, so that exploring the law of simulation and stock system is difficult. In conventional multiscale entropy method, the coarse-graining process is non-overlapping, however we apply a different coarse-graining process and obtain a surprising discovery. The result shows when the scales are 4 and 5, their entropy is nearly similar, which demonstrates MKLD is efficient to display characteristics of time series irreversibility.

Cross-sample entropy of foreign exchange time series

NASA Astrophysics Data System (ADS)

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

2010-11-01

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

Clustering Multivariate Time Series Using Hidden Markov Models

PubMed Central

Ghassempour, Shima; Girosi, Federico; Maeder, Anthony

2014-01-01

In this paper we describe an algorithm for clustering multivariate time series with variables taking both categorical and continuous values. Time series of this type are frequent in health care, where they represent the health trajectories of individuals. The problem is challenging because categorical variables make it difficult to define a meaningful distance between trajectories. We propose an approach based on Hidden Markov Models (HMMs), where we first map each trajectory into an HMM, then define a suitable distance between HMMs and finally proceed to cluster the HMMs with a method based on a distance matrix. We test our approach on a simulated, but realistic, data set of 1,255 trajectories of individuals of age 45 and over, on a synthetic validation set with known clustering structure, and on a smaller set of 268 trajectories extracted from the longitudinal Health and Retirement Survey. The proposed method can be implemented quite simply using standard packages in R and Matlab and may be a good candidate for solving the difficult problem of clustering multivariate time series with categorical variables using tools that do not require advanced statistic knowledge, and therefore are accessible to a wide range of researchers. PMID:24662996

Multiscale multifractal detrended cross-correlation analysis of financial time series

NASA Astrophysics Data System (ADS)

Shi, Wenbin; Shang, Pengjian; Wang, Jing; Lin, Aijing

2014-06-01

In this paper, we introduce a method called multiscale multifractal detrended cross-correlation analysis (MM-DCCA). The method allows us to extend the description of the cross-correlation properties between two time series. MM-DCCA may provide new ways of measuring the nonlinearity of two signals, and it helps to present much richer information than multifractal detrended cross-correlation analysis (MF-DCCA) by sweeping all the range of scale at which the multifractal structures of complex system are discussed. Moreover, to illustrate the advantages of this approach we make use of the MM-DCCA to analyze the cross-correlation properties between financial time series. We show that this new method can be adapted to investigate stock markets under investigation. It can provide a more faithful and more interpretable description of the dynamic mechanism between financial time series than traditional MF-DCCA. We also propose to reduce the scale ranges to analyze short time series, and some inherent properties which remain hidden when a wide range is used may exhibit perfectly in this way.

TimesVector: a vectorized clustering approach to the analysis of time series transcriptome data from multiple phenotypes.

PubMed

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

The potential of using Landsat time-series to extract tropical dry forest phenology

NASA Astrophysics Data System (ADS)

Zhu, X.; Helmer, E.

2016-12-01

Vegetation phenology is the timing of seasonal developmental stages in plant life cycles. Due to the persistent cloud cover in tropical regions, current studies often use satellite data with high frequency, such as AVHRR and MODIS, to detect vegetation phenology. However, the spatial resolution of these data is from 250 m to 1 km, which does not have enough spatial details and it is difficult to relate to field observations. To produce maps of phenology at a finer spatial resolution, this study explores the feasibility of using Landsat images to detect tropical forest phenology through reconstructing a high-quality, seasonal time-series of images, and tested it in Mona Island, Puerto Rico. First, an automatic method was applied to detect cloud and cloud shadow, and a spatial interpolator was use to retrieve pixels covered by clouds, shadows, and SLC-off gaps. Second, enhanced vegetation index time-series derived from the reconstructed Landsat images were used to detect 11 phenology variables. Detected phenology is consistent with field investigations, and its spatial pattern is consistent with the rainfall distribution on this island. In addition, we may expect that phenology should correlate with forest biophysical attributes, so 47 plots with field measurement of biophysical attributes were used to indirectly validate the phenology product. Results show that phenology variables can explain a lot of variations in biophysical attributes. This study suggests that Landsat time-series has great potential to detect phenology in tropical areas.

Minimum entropy density method for the time series analysis

NASA Astrophysics Data System (ADS)

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.

Time series analysis of the developed financial markets' integration using visibility graphs

NASA Astrophysics Data System (ADS)

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.

Mount Etna InSAR Time Series Animation

NASA Image and Video Library

2012-02-06

This animation depicts a time-series of ground deformation at Mount Etna Volcano between 1992 and 2001. The deformation results from changes in the volume of a shallow chamber centered approximately 5 km 3 miles below sea level.

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

PubMed

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.

Reconstructing multi-mode networks from multivariate time series

NASA Astrophysics Data System (ADS)

Gao, Zhong-Ke; Yang, Yu-Xuan; Dang, Wei-Dong; Cai, Qing; Wang, Zhen; Marwan, Norbert; Boccaletti, Stefano; Kurths, Jürgen

2017-09-01

Unveiling the dynamics hidden in multivariate time series is a task of the utmost importance in a broad variety of areas in physics. We here propose a method that leads to the construction of a novel functional network, a multi-mode weighted graph combined with an empirical mode decomposition, and to the realization of multi-information fusion of multivariate time series. The method is illustrated in a couple of successful applications (a multi-phase flow and an epileptic electro-encephalogram), which demonstrate its powerfulness in revealing the dynamical behaviors underlying the transitions of different flow patterns, and enabling to differentiate brain states of seizure and non-seizure.