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

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.

GPS Position Time Series @ JPL

NASA Technical Reports Server (NTRS)

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

2013-01-01

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

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

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

PubMed

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

2013-06-06

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

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

PubMed Central

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

2013-01-01

The process of collecting and organizing sets of observations represents a common theme throughout the history of science. However, despite the ubiquity of scientists measuring, recording and analysing the dynamics of different processes, an extensive organization of scientific time-series data and analysis methods has never been performed. Addressing this, annotated collections of over 35 000 real-world and model-generated time series, and over 9000 time-series analysis algorithms are analysed in this work. We introduce reduced representations of both time series, in terms of their properties measured by diverse scientific methods, and of time-series analysis methods, in terms of their behaviour on empirical time series, and use them to organize these interdisciplinary resources. This new approach to comparing across diverse scientific data and methods allows us to organize time-series datasets automatically according to their properties, retrieve alternatives to particular analysis methods developed in other scientific disciplines and automate the selection of useful methods for time-series classification and regression tasks. The broad scientific utility of these tools is demonstrated on datasets of electroencephalograms, self-affine time series, heartbeat intervals, speech signals and others, in each case contributing novel analysis techniques to the existing literature. Highly comparative techniques that compare across an interdisciplinary literature can thus be used to guide more focused research in time-series analysis for applications across the scientific disciplines. PMID:23554344

Variance fluctuations in nonstationary time series: a comparative study of music genres

NASA Astrophysics Data System (ADS)

Jennings, Heather D.; Ivanov, Plamen Ch.; De Martins, Allan M.; da Silva, P. C.; Viswanathan, G. M.

2004-05-01

An important problem in physics concerns the analysis of audio time series generated by transduced acoustic phenomena. Here, we develop a new method to quantify the scaling properties of the local variance of nonstationary time series. We apply this technique to analyze audio signals obtained from selected genres of music. We find quantitative differences in the correlation properties of high art music, popular music, and dance music. We discuss the relevance of these objective findings in relation to the subjective experience of music.

Cyberpark 2000: Protected Areas Management Pilot Project. Satellite time series vegetation monitoring

NASA Astrophysics Data System (ADS)

Monteleone, M.; Lanorte, A.; Lasaponara, R.

2009-04-01

Cyberpark 2000 is a project funded by the UE Regional Operating Program of the Apulia Region (2000-2006). The main objective of the Cyberpark 2000 project is to develop a new assessment model for the management and monitoring of protected areas in Foggia Province (Apulia Region) based on Information and Communication Technologies. The results herein described are placed inside the research activities finalized to develop an environmental monitoring system knowledge based on the use of satellite time series. This study include: - A- satellite time series of high spatial resolution data for supporting the analysis of fire static risk factors through land use mapping and spectral/quantitative characterization of vegetation fuels; - B- satellite time series of MODIS for supporting fire dynamic risk evaluation of study area - Integrated fire detection by using thermal imaging cameras placed on panoramic view-points; - C - integrated high spatial and high temporal satellite time series for supporting studies in change detection factors or anomalies in vegetation covers; - D - satellite time-series for monitoring: (i) post fire vegetation recovery and (ii) spatio/temporal vegetation dynamics in unburned and burned vegetation covers.

SaaS Platform for Time Series Data Handling

NASA Astrophysics Data System (ADS)

Oplachko, Ekaterina; Rykunov, Stanislav; Ustinin, Mikhail

2018-02-01

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

From Networks to Time Series

NASA Astrophysics Data System (ADS)

Shimada, Yutaka; Ikeguchi, Tohru; Shigehara, Takaomi

2012-10-01

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

Duality between Time Series and Networks

PubMed Central

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

2011-01-01

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

Multiparametric evaluation of hindlimb ischemia using time-series indocyanine green fluorescence imaging.

PubMed

Guang, Huizhi; Cai, Chuangjian; Zuo, Simin; Cai, Wenjuan; Zhang, Jiulou; Luo, Jianwen

2017-03-01

Peripheral arterial disease (PAD) can further cause lower limb ischemia. Quantitative evaluation of the vascular perfusion in the ischemic limb contributes to diagnosis of PAD and preclinical development of new drug. In vivo time-series indocyanine green (ICG) fluorescence imaging can noninvasively monitor blood flow and has a deep tissue penetration. The perfusion rate estimated from the time-series ICG images is not enough for the evaluation of hindlimb ischemia. The information relevant to the vascular density is also important, because angiogenesis is an essential mechanism for post-ischemic recovery. In this paper, a multiparametric evaluation method is proposed for simultaneous estimation of multiple vascular perfusion parameters, including not only the perfusion rate but also the vascular perfusion density and the time-varying ICG concentration in veins. The target method is based on a mathematical model of ICG pharmacokinetics in the mouse hindlimb. The regression analysis performed on the time-series ICG images obtained from a dynamic reflectance fluorescence imaging system. The results demonstrate that the estimated multiple parameters are effective to quantitatively evaluate the vascular perfusion and distinguish hypo-perfused tissues from well-perfused tissues in the mouse hindlimb. The proposed multiparametric evaluation method could be useful for PAD diagnosis. The estimated perfusion rate and vascular perfusion density maps (left) and the time-varying ICG concentration in veins of the ankle region (right) of the normal and ischemic hindlimbs. © 2017 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim.

Multiple Indicator Stationary Time Series Models.

ERIC Educational Resources Information Center

Sivo, Stephen A.

2001-01-01

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

Quantification and clustering of phenotypic screening data using time-series analysis for chemotherapy of schistosomiasis.

PubMed

Lee, Hyokyeong; Moody-Davis, Asher; Saha, Utsab; Suzuki, Brian M; Asarnow, Daniel; Chen, Steven; Arkin, Michelle; Caffrey, Conor R; Singh, Rahul

2012-01-01

Neglected tropical diseases, especially those caused by helminths, constitute some of the most common infections of the world's poorest people. Development of techniques for automated, high-throughput drug screening against these diseases, especially in whole-organism settings, constitutes one of the great challenges of modern drug discovery. We present a method for enabling high-throughput phenotypic drug screening against diseases caused by helminths with a focus on schistosomiasis. The proposed method allows for a quantitative analysis of the systemic impact of a drug molecule on the pathogen as exhibited by the complex continuum of its phenotypic responses. This method consists of two key parts: first, biological image analysis is employed to automatically monitor and quantify shape-, appearance-, and motion-based phenotypes of the parasites. Next, we represent these phenotypes as time-series and show how to compare, cluster, and quantitatively reason about them using techniques of time-series analysis. We present results on a number of algorithmic issues pertinent to the time-series representation of phenotypes. These include results on appropriate representation of phenotypic time-series, analysis of different time-series similarity measures for comparing phenotypic responses over time, and techniques for clustering such responses by similarity. Finally, we show how these algorithmic techniques can be used for quantifying the complex continuum of phenotypic responses of parasites. An important corollary is the ability of our method to recognize and rigorously group parasites based on the variability of their phenotypic response to different drugs. The methods and results presented in this paper enable automatic and quantitative scoring of high-throughput phenotypic screens focused on helmintic diseases. Furthermore, these methods allow us to analyze and stratify parasites based on their phenotypic response to drugs. Together, these advancements represent a

Quantification and clustering of phenotypic screening data using time-series analysis for chemotherapy of schistosomiasis

PubMed Central

2012-01-01

Background Neglected tropical diseases, especially those caused by helminths, constitute some of the most common infections of the world's poorest people. Development of techniques for automated, high-throughput drug screening against these diseases, especially in whole-organism settings, constitutes one of the great challenges of modern drug discovery. Method We present a method for enabling high-throughput phenotypic drug screening against diseases caused by helminths with a focus on schistosomiasis. The proposed method allows for a quantitative analysis of the systemic impact of a drug molecule on the pathogen as exhibited by the complex continuum of its phenotypic responses. This method consists of two key parts: first, biological image analysis is employed to automatically monitor and quantify shape-, appearance-, and motion-based phenotypes of the parasites. Next, we represent these phenotypes as time-series and show how to compare, cluster, and quantitatively reason about them using techniques of time-series analysis. Results We present results on a number of algorithmic issues pertinent to the time-series representation of phenotypes. These include results on appropriate representation of phenotypic time-series, analysis of different time-series similarity measures for comparing phenotypic responses over time, and techniques for clustering such responses by similarity. Finally, we show how these algorithmic techniques can be used for quantifying the complex continuum of phenotypic responses of parasites. An important corollary is the ability of our method to recognize and rigorously group parasites based on the variability of their phenotypic response to different drugs. Conclusions The methods and results presented in this paper enable automatic and quantitative scoring of high-throughput phenotypic screens focused on helmintic diseases. Furthermore, these methods allow us to analyze and stratify parasites based on their phenotypic response to drugs

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

PubMed

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

2014-01-01

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

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.

Energy-Based Wavelet De-Noising of Hydrologic Time Series

PubMed Central

Sang, Yan-Fang; Liu, Changming; Wang, Zhonggen; Wen, Jun; Shang, Lunyu

2014-01-01

De-noising is a substantial issue in hydrologic time series analysis, but it is a difficult task due to the defect of methods. In this paper an energy-based wavelet de-noising method was proposed. It is to remove noise by comparing energy distribution of series with the background energy distribution, which is established from Monte-Carlo test. Differing from wavelet threshold de-noising (WTD) method with the basis of wavelet coefficient thresholding, the proposed method is based on energy distribution of series. It can distinguish noise from deterministic components in series, and uncertainty of de-noising result can be quantitatively estimated using proper confidence interval, but WTD method cannot do this. Analysis of both synthetic and observed series verified the comparable power of the proposed method and WTD, but de-noising process by the former is more easily operable. The results also indicate the influences of three key factors (wavelet choice, decomposition level choice and noise content) on wavelet de-noising. Wavelet should be carefully chosen when using the proposed method. The suitable decomposition level for wavelet de-noising should correspond to series' deterministic sub-signal which has the smallest temporal scale. If too much noise is included in a series, accurate de-noising result cannot be obtained by the proposed method or WTD, but the series would show pure random but not autocorrelation characters, so de-noising is no longer needed. PMID:25360533

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.

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

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.

Quantitative evaluation of cross correlation between two finite-length time series with applications to single-molecule FRET.

PubMed

Hanson, Jeffery A; Yang, Haw

2008-11-06

The statistical properties of the cross correlation between two time series has been studied. An analytical expression for the cross correlation function's variance has been derived. On the basis of these results, a statistically robust method has been proposed to detect the existence and determine the direction of cross correlation between two time series. The proposed method has been characterized by computer simulations. Applications to single-molecule fluorescence spectroscopy are discussed. The results may also find immediate applications in fluorescence correlation spectroscopy (FCS) and its variants.

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.

Normalizing the causality between time series.

PubMed

Liang, X San

2015-08-01

Recently, a rigorous yet concise formula was derived to evaluate information flow, and hence the causality in a quantitative sense, between time series. To assess the importance of a resulting causality, it needs to be normalized. The normalization is achieved through distinguishing a Lyapunov exponent-like, one-dimensional phase-space stretching rate and a noise-to-signal ratio from the rate of information flow in the balance of the marginal entropy evolution of the flow recipient. It is verified with autoregressive models and applied to a real financial analysis problem. An unusually strong one-way causality is identified from IBM (International Business Machines Corporation) to GE (General Electric Company) in their early era, revealing to us an old story, which has almost faded into oblivion, about "Seven Dwarfs" competing with a giant for the mainframe computer market.

Normalizing the causality between time series

NASA Astrophysics Data System (ADS)

Liang, X. San

2015-08-01

Recently, a rigorous yet concise formula was derived to evaluate information flow, and hence the causality in a quantitative sense, between time series. To assess the importance of a resulting causality, it needs to be normalized. The normalization is achieved through distinguishing a Lyapunov exponent-like, one-dimensional phase-space stretching rate and a noise-to-signal ratio from the rate of information flow in the balance of the marginal entropy evolution of the flow recipient. It is verified with autoregressive models and applied to a real financial analysis problem. An unusually strong one-way causality is identified from IBM (International Business Machines Corporation) to GE (General Electric Company) in their early era, revealing to us an old story, which has almost faded into oblivion, about "Seven Dwarfs" competing with a giant for the mainframe computer market.

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.

Multi-complexity ensemble measures for gait time series analysis: application to diagnostics, monitoring and biometrics.

PubMed

Gavrishchaka, Valeriy; Senyukova, Olga; Davis, Kristina

2015-01-01

Previously, we have proposed to use complementary complexity measures discovered by boosting-like ensemble learning for the enhancement of quantitative indicators dealing with necessarily short physiological time series. We have confirmed robustness of such multi-complexity measures for heart rate variability analysis with the emphasis on detection of emerging and intermittent cardiac abnormalities. Recently, we presented preliminary results suggesting that such ensemble-based approach could be also effective in discovering universal meta-indicators for early detection and convenient monitoring of neurological abnormalities using gait time series. Here, we argue and demonstrate that these multi-complexity ensemble measures for gait time series analysis could have significantly wider application scope ranging from diagnostics and early detection of physiological regime change to gait-based biometrics applications.

Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series

NASA Astrophysics Data System (ADS)

Pal, Mayukha; Madhusudana Rao, P.; Manimaran, P.

2014-12-01

We apply the recently developed multifractal detrended cross-correlation analysis method to investigate the cross-correlation behavior and fractal nature between two non-stationary time series. We analyze the daily return price of gold, West Texas Intermediate and Brent crude oil, foreign exchange rate data, over a period of 18 years. The cross correlation has been measured from the Hurst scaling exponents and the singularity spectrum quantitatively. From the results, the existence of multifractal cross-correlation between all of these time series is found. We also found that the cross correlation between gold and oil prices possess uncorrelated behavior and the remaining bivariate time series possess persistent behavior. It was observed for five bivariate series that the cross-correlation exponents are less than the calculated average generalized Hurst exponents (GHE) for q<0 and greater than GHE when q>0 and for one bivariate series the cross-correlation exponent is greater than GHE for all q values.

Improved vertical displacements induced by a refined thermal expansion model and its quantitative analysis in GPS height time series

NASA Astrophysics Data System (ADS)

Wang, Kaihua; Chen, Hua; Jiang, Weiping; Li, Zhao; Ma, Yifang; Deng, Liansheng

2018-04-01

There are apparent seasonal variations in GPS height time series, and thermal expansion is considered to be one of the potential geophysical contributors. The displacements introduced by thermal expansion are usually derived without considering the annex height and underground part of the monument (e.g. located on roof or top of the buildings), which may bias the geophysical explanation of the seasonal oscillation. In this paper, the improved vertical displacements are derived by a refined thermal expansion model where the annex height and underground depth of the monument are taken into account, and then 560 IGS stations are adopted to validate the modeled thermal expansion (MTE) displacements. In order to evaluate the impact of thermal expansion on GPS heights, the MTE displacements of 80 IGS stations with less data discontinuities are selected to compare with their observed GPS vertical (OGV) displacements with the modeled surface loading (MSL) displacements removed in advance. Quantitative analysis results show the maximum annual and semiannual amplitudes of the MTE are 6.65 mm (NOVJ) and 0.51 mm (IISC), respectively, and the maximum peak-to-peak oscillation of the MTE displacements can be 19.4 mm. The average annual amplitude reductions are 0.75 mm and 1.05 mm respectively after removing the MTE and MSL displacements from the OGV, indicating the seasonal oscillation induced by thermal expansion is equivalent to >75% of the impact of surface loadings. However, there are rarely significant reductions for the semiannual amplitude. Given the result in this study that thermal expansion can explain 17.3% of the annual amplitude in GPS heights on average, it must be precisely modeled both in GPS precise data processing and GPS time series analysis, especially for those stations located in the middle and high latitudes with larger annual temperature oscillation, or stations with higher monument.

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.

Matching incomplete time series with dynamic time warping: an algorithm and an application to post-stroke rehabilitation.

PubMed

Tormene, Paolo; Giorgino, Toni; Quaglini, Silvana; Stefanelli, Mario

2009-01-01

The purpose of this study was to assess the performance of a real-time ("open-end") version of the dynamic time warping (DTW) algorithm for the recognition of motor exercises. Given a possibly incomplete input stream of data and a reference time series, the open-end DTW algorithm computes both the size of the prefix of reference which is best matched by the input, and the dissimilarity between the matched portions. The algorithm was used to provide real-time feedback to neurological patients undergoing motor rehabilitation. We acquired a dataset of multivariate time series from a sensorized long-sleeve shirt which contains 29 strain sensors distributed on the upper limb. Seven typical rehabilitation exercises were recorded in several variations, both correctly and incorrectly executed, and at various speeds, totaling a data set of 840 time series. Nearest-neighbour classifiers were built according to the outputs of open-end DTW alignments and their global counterparts on exercise pairs. The classifiers were also tested on well-known public datasets from heterogeneous domains. Nonparametric tests show that (1) on full time series the two algorithms achieve the same classification accuracy (p-value =0.32); (2) on partial time series, classifiers based on open-end DTW have a far higher accuracy (kappa=0.898 versus kappa=0.447;p<10(-5)); and (3) the prediction of the matched fraction follows closely the ground truth (root mean square <10%). The results hold for the motor rehabilitation and the other datasets tested, as well. The open-end variant of the DTW algorithm is suitable for the classification of truncated quantitative time series, even in the presence of noise. Early recognition and accurate class prediction can be achieved, provided that enough variance is available over the time span of the reference. Therefore, the proposed technique expands the use of DTW to a wider range of applications, such as real-time biofeedback systems.

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.

A comment on measuring the Hurst exponent of financial time series

NASA Astrophysics Data System (ADS)

Couillard, Michel; Davison, Matt

2005-03-01

A fundamental hypothesis of quantitative finance is that stock price variations are independent and can be modeled using Brownian motion. In recent years, it was proposed to use rescaled range analysis and its characteristic value, the Hurst exponent, to test for independence in financial time series. Theoretically, independent time series should be characterized by a Hurst exponent of 1/2. However, finite Brownian motion data sets will always give a value of the Hurst exponent larger than 1/2 and without an appropriate statistical test such a value can mistakenly be interpreted as evidence of long term memory. We obtain a more precise statistical significance test for the Hurst exponent and apply it to real financial data sets. Our empirical analysis shows no long-term memory in some financial returns, suggesting that Brownian motion cannot be rejected as a model for price dynamics.

Lyapunov exponents from CHUA's circuit time series using artificial neural networks

NASA Technical Reports Server (NTRS)

Gonzalez, J. Jesus; Espinosa, Ismael E.; Fuentes, Alberto M.

1995-01-01

In this paper we present the general problem of identifying if a nonlinear dynamic system has a chaotic behavior. If the answer is positive the system will be sensitive to small perturbations in the initial conditions which will imply that there is a chaotic attractor in its state space. A particular problem would be that of identifying a chaotic oscillator. We present an example of three well known different chaotic oscillators where we have knowledge of the equations that govern the dynamical systems and from there we can obtain the corresponding time series. In a similar example we assume that we only know the time series and, finally, in another example we have to take measurements in the Chua's circuit to obtain sample points of the time series. With the knowledge about the time series the phase plane portraits are plotted and from them, by visual inspection, it is concluded whether or not the system is chaotic. This method has the problem of uncertainty and subjectivity and for that reason a different approach is needed. A quantitative approach is the computation of the Lyapunov exponents. We describe several methods for obtaining them and apply a little known method of artificial neural networks to the different examples mentioned above. We end the paper discussing the importance of the Lyapunov exponents in the interpretation of the dynamic behavior of biological neurons and biological neural networks.

Inverse sequential procedures for the monitoring of time series

NASA Technical Reports Server (NTRS)

Radok, Uwe; Brown, Timothy J.

1995-01-01

When one or more new values are added to a developing time series, they change its descriptive parameters (mean, variance, trend, coherence). A 'change index (CI)' is developed as a quantitative indicator that the changed parameters remain compatible with the existing 'base' data. CI formulate are derived, in terms of normalized likelihood ratios, for small samples from Poisson, Gaussian, and Chi-Square distributions, and for regression coefficients measuring linear or exponential trends. A substantial parameter change creates a rapid or abrupt CI decrease which persists when the length of the bases is changed. Except for a special Gaussian case, the CI has no simple explicit regions for tests of hypotheses. However, its design ensures that the series sampled need not conform strictly to the distribution form assumed for the parameter estimates. The use of the CI is illustrated with both constructed and observed data samples, processed with a Fortran code 'Sequitor'.

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.

A Deep Machine Learning Method for Classifying Cyclic Time Series of Biological Signals Using Time-Growing Neural Network.

PubMed

Gharehbaghi, Arash; Linden, Maria

2017-10-12

This paper presents a novel method for learning the cyclic contents of stochastic time series: the deep time-growing neural network (DTGNN). The DTGNN combines supervised and unsupervised methods in different levels of learning for an enhanced performance. It is employed by a multiscale learning structure to classify cyclic time series (CTS), in which the dynamic contents of the time series are preserved in an efficient manner. This paper suggests a systematic procedure for finding the design parameter of the classification method for a one-versus-multiple class application. A novel validation method is also suggested for evaluating the structural risk, both in a quantitative and a qualitative manner. The effect of the DTGNN on the performance of the classifier is statistically validated through the repeated random subsampling using different sets of CTS, from different medical applications. The validation involves four medical databases, comprised of 108 recordings of the electroencephalogram signal, 90 recordings of the electromyogram signal, 130 recordings of the heart sound signal, and 50 recordings of the respiratory sound signal. Results of the statistical validations show that the DTGNN significantly improves the performance of the classification and also exhibits an optimal structural risk.

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

Visibility graph analysis of heart rate time series and bio-marker of congestive heart failure

NASA Astrophysics Data System (ADS)

Bhaduri, Anirban; Bhaduri, Susmita; Ghosh, Dipak

2017-09-01

Study of RR interval time series for Congestive Heart Failure had been an area of study with different methods including non-linear methods. In this article the cardiac dynamics of heart beat are explored in the light of complex network analysis, viz. visibility graph method. Heart beat (RR Interval) time series data taken from Physionet database [46, 47] belonging to two groups of subjects, diseased (congestive heart failure) (29 in number) and normal (54 in number) are analyzed with the technique. The overall results show that a quantitative parameter can significantly differentiate between the diseased subjects and the normal subjects as well as different stages of the disease. Further, the data when split into periods of around 1 hour each and analyzed separately, also shows the same consistent differences. This quantitative parameter obtained using the visibility graph analysis thereby can be used as a potential bio-marker as well as a subsequent alarm generation mechanism for predicting the onset of Congestive Heart Failure.

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.

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

NASA Technical Reports Server (NTRS)

Michaels, Anthony F.; Knap, Anthony H.

1992-01-01

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

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...

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.

Fractal dynamics of heartbeat time series of young persons with metabolic syndrome

NASA Astrophysics Data System (ADS)

Muñoz-Diosdado, A.; Alonso-Martínez, A.; Ramírez-Hernández, L.; Martínez-Hernández, G.

2012-10-01

Many physiological systems have been in recent years quantitatively characterized using fractal analysis. We applied it to study heart variability of young subjects with metabolic syndrome (MS); we examined the RR time series (time between two R waves in ECG) with the detrended fluctuation analysis (DFA) method, the Higuchi's fractal dimension method and the multifractal analysis to detect the possible presence of heart problems. The results show that although the young persons have MS, the majority do not present alterations in the heart dynamics. However, there were cases where the fractal parameter values differed significantly from the healthy people values.

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

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).

Multifractal behavior of an air pollutant time series and the relevance to the predictability.

PubMed

Dong, Qingli; Wang, Yong; Li, Peizhi

2017-03-01

Compared with the traditional method of detrended fluctuation analysis, which is used to characterize fractal scaling properties and long-range correlations, this research provides new insight into the multifractality and predictability of a nonstationary air pollutant time series using the methods of spectral analysis and multifractal detrended fluctuation analysis. First, the existence of a significant power-law behavior and long-range correlations for such series are verified. Then, by employing shuffling and surrogating procedures and estimating the scaling exponents, the major source of multifractality in these pollutant series is found to be the fat-tailed probability density function. Long-range correlations also partly contribute to the multifractal features. The relationship between the predictability of the pollutant time series and their multifractal nature is then investigated with extended analyses from the quantitative perspective, and it is found that the contribution of the multifractal strength of long-range correlations to the overall multifractal strength can affect the predictability of a pollutant series in a specific region to some extent. The findings of this comprehensive study can help to better understand the mechanisms governing the dynamics of air pollutant series and aid in performing better meteorological assessment and management. Copyright © 2016 Elsevier Ltd. All rights reserved.

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.

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

PubMed

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

2018-04-01

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

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.

Monitoring forest dynamics with multi-scale and time series imagery.

PubMed

Huang, Chunbo; Zhou, Zhixiang; Wang, Di; Dian, Yuanyong

2016-05-01

To learn the forest dynamics and evaluate the ecosystem services of forest effectively, a timely acquisition of spatial and quantitative information of forestland is very necessary. Here, a new method was proposed for mapping forest cover changes by combining multi-scale satellite remote-sensing imagery with time series data. Using time series Normalized Difference Vegetation Index products derived from the Moderate Resolution Imaging Spectroradiometer images (MODIS-NDVI) and Landsat Thematic Mapper/Enhanced Thematic Mapper Plus (TM/ETM+) images as data source, a hierarchy stepwise analysis from coarse scale to fine scale was developed for detecting the forest change area. At the coarse scale, MODIS-NDVI data with 1-km resolution were used to detect the changes in land cover types and a land cover change map was constructed using NDVI values at vegetation growing seasons. At the fine scale, based on the results at the coarse scale, Landsat TM/ETM+ data with 30-m resolution were used to precisely detect the forest change location and forest change trend by analyzing time series forest vegetation indices (IFZ). The method was tested using the data for Hubei Province, China. The MODIS-NDVI data from 2001 to 2012 were used to detect the land cover changes, and the overall accuracy was 94.02 % at the coarse scale. At the fine scale, the available TM/ETM+ images at vegetation growing seasons between 2001 and 2012 were used to locate and verify forest changes in the Three Gorges Reservoir Area, and the overall accuracy was 94.53 %. The accuracy of the two layer hierarchical monitoring results indicated that the multi-scale monitoring method is feasible and reliable.

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.

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

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

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.

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

NASA Astrophysics Data System (ADS)

Kim, Saejoon; Heo, Jun

2017-07-01

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

Time series 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.

Empirical mode decomposition and long-range correlation analysis of sunspot time series

NASA Astrophysics Data System (ADS)

Zhou, Yu; Leung, Yee

2010-12-01

Sunspots, which are the best known and most variable features of the solar surface, affect our planet in many ways. The number of sunspots during a period of time is highly variable and arouses strong research interest. When multifractal detrended fluctuation analysis (MF-DFA) is employed to study the fractal properties and long-range correlation of the sunspot series, some spurious crossover points might appear because of the periodic and quasi-periodic trends in the series. However many cycles of solar activities can be reflected by the sunspot time series. The 11-year cycle is perhaps the most famous cycle of the sunspot activity. These cycles pose problems for the investigation of the scaling behavior of sunspot time series. Using different methods to handle the 11-year cycle generally creates totally different results. Using MF-DFA, Movahed and co-workers employed Fourier truncation to deal with the 11-year cycle and found that the series is long-range anti-correlated with a Hurst exponent, H, of about 0.12. However, Hu and co-workers proposed an adaptive detrending method for the MF-DFA and discovered long-range correlation characterized by H≈0.74. In an attempt to get to the bottom of the problem in the present paper, empirical mode decomposition (EMD), a data-driven adaptive method, is applied to first extract the components with different dominant frequencies. MF-DFA is then employed to study the long-range correlation of the sunspot time series under the influence of these components. On removing the effects of these periods, the natural long-range correlation of the sunspot time series can be revealed. With the removal of the 11-year cycle, a crossover point located at around 60 months is discovered to be a reasonable point separating two different time scale ranges, H≈0.72 and H≈1.49. And on removing all cycles longer than 11 years, we have H≈0.69 and H≈0.28. The three cycle-removing methods—Fourier truncation, adaptive detrending and the

Time-series analysis of the transcriptome and proteome of Escherichia coli upon glucose repression.

PubMed

Borirak, Orawan; Rolfe, Matthew D; de Koning, Leo J; Hoefsloot, Huub C J; Bekker, Martijn; Dekker, Henk L; Roseboom, Winfried; Green, Jeffrey; de Koster, Chris G; Hellingwerf, Klaas J

2015-10-01

Time-series transcript- and protein-profiles were measured upon initiation of carbon catabolite repression in Escherichia coli, in order to investigate the extent of post-transcriptional control in this prototypical response. A glucose-limited chemostat culture was used as the CCR-free reference condition. Stopping the pump and simultaneously adding a pulse of glucose, that saturated the cells for at least 1h, was used to initiate the glucose response. Samples were collected and subjected to quantitative time-series analysis of both the transcriptome (using microarray analysis) and the proteome (through a combination of 15N-metabolic labeling and mass spectrometry). Changes in the transcriptome and corresponding proteome were analyzed using statistical procedures designed specifically for time-series data. By comparison of the two sets of data, a total of 96 genes were identified that are post-transcriptionally regulated. This gene list provides candidates for future in-depth investigation of the molecular mechanisms involved in post-transcriptional regulation during carbon catabolite repression in E. coli, like the involvement of small RNAs. Copyright © 2015 The Authors. Published by Elsevier B.V. All rights reserved.

Nonlinear parametric model for Granger causality of time series

NASA Astrophysics Data System (ADS)

Marinazzo, Daniele; Pellicoro, Mario; Stramaglia, Sebastiano

2006-06-01

The notion of Granger causality between two time series examines if the prediction of one series could be improved by incorporating information of the other. In particular, if the prediction error of the first time series is reduced by including measurements from the second time series, then the second time series is said to have a causal influence on the first one. We propose a radial basis function approach to nonlinear Granger causality. The proposed model is not constrained to be additive in variables from the two time series and can approximate any function of these variables, still being suitable to evaluate causality. Usefulness of this measure of causality is shown in two applications. In the first application, a physiological one, we consider time series of heart rate and blood pressure in congestive heart failure patients and patients affected by sepsis: we find that sepsis patients, unlike congestive heart failure patients, show symmetric causal relationships between the two time series. In the second application, we consider the feedback loop in a model of excitatory and inhibitory neurons: we find that in this system causality measures the combined influence of couplings and membrane time constants.

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.

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.

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.

Scale and time dependence of serial correlations in word-length time series of written texts

NASA Astrophysics Data System (ADS)

Rodriguez, E.; Aguilar-Cornejo, M.; Femat, R.; Alvarez-Ramirez, J.

2014-11-01

This work considered the quantitative analysis of large written texts. To this end, the text was converted into a time series by taking the sequence of word lengths. The detrended fluctuation analysis (DFA) was used for characterizing long-range serial correlations of the time series. To this end, the DFA was implemented within a rolling window framework for estimating the variations of correlations, quantified in terms of the scaling exponent, strength along the text. Also, a filtering derivative was used to compute the dependence of the scaling exponent relative to the scale. The analysis was applied to three famous English-written literary narrations; namely, Alice in Wonderland (by Lewis Carrol), Dracula (by Bram Stoker) and Sense and Sensibility (by Jane Austen). The results showed that high correlations appear for scales of about 50-200 words, suggesting that at these scales the text contains the stronger coherence. The scaling exponent was not constant along the text, showing important variations with apparent cyclical behavior. An interesting coincidence between the scaling exponent variations and changes in narrative units (e.g., chapters) was found. This suggests that the scaling exponent obtained from the DFA is able to detect changes in narration structure as expressed by the usage of words of different lengths.

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.

Falcon: Visual analysis of large, irregularly sampled, and multivariate time series data in additive manufacturing

DOE PAGES

Steed, Chad A.; Halsey, William; Dehoff, Ryan; ...

2017-02-16

Flexible visual analysis of long, high-resolution, and irregularly sampled time series data from multiple sensor streams is a challenge in several domains. In the field of additive manufacturing, this capability is critical for realizing the full potential of large-scale 3D printers. Here, we propose a visual analytics approach that helps additive manufacturing researchers acquire a deep understanding of patterns in log and imagery data collected by 3D printers. Our specific goals include discovering patterns related to defects and system performance issues, optimizing build configurations to avoid defects, and increasing production efficiency. We introduce Falcon, a new visual analytics system thatmore » allows users to interactively explore large, time-oriented data sets from multiple linked perspectives. Falcon provides overviews, detailed views, and unique segmented time series visualizations, all with adjustable scale options. To illustrate the effectiveness of Falcon at providing thorough and efficient knowledge discovery, we present a practical case study involving experts in additive manufacturing and data from a large-scale 3D printer. The techniques described are applicable to the analysis of any quantitative time series, though the focus of this paper is on additive manufacturing.« less

Falcon: Visual analysis of large, irregularly sampled, and multivariate time series data in additive manufacturing

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

Steed, Chad A.; Halsey, William; Dehoff, Ryan

Flexible visual analysis of long, high-resolution, and irregularly sampled time series data from multiple sensor streams is a challenge in several domains. In the field of additive manufacturing, this capability is critical for realizing the full potential of large-scale 3D printers. Here, we propose a visual analytics approach that helps additive manufacturing researchers acquire a deep understanding of patterns in log and imagery data collected by 3D printers. Our specific goals include discovering patterns related to defects and system performance issues, optimizing build configurations to avoid defects, and increasing production efficiency. We introduce Falcon, a new visual analytics system thatmore » allows users to interactively explore large, time-oriented data sets from multiple linked perspectives. Falcon provides overviews, detailed views, and unique segmented time series visualizations, all with adjustable scale options. To illustrate the effectiveness of Falcon at providing thorough and efficient knowledge discovery, we present a practical case study involving experts in additive manufacturing and data from a large-scale 3D printer. The techniques described are applicable to the analysis of any quantitative time series, though the focus of this paper is on additive manufacturing.« less

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.

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.

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.

Quantitative estimation of time-variable earthquake hazard by using fuzzy set theory

NASA Astrophysics Data System (ADS)

Deyi, Feng; Ichikawa, M.

1989-11-01

In this paper, the various methods of fuzzy set theory, called fuzzy mathematics, have been applied to the quantitative estimation of the time-variable earthquake hazard. The results obtained consist of the following. (1) Quantitative estimation of the earthquake hazard on the basis of seismicity data. By using some methods of fuzzy mathematics, seismicity patterns before large earthquakes can be studied more clearly and more quantitatively, highly active periods in a given region and quiet periods of seismic activity before large earthquakes can be recognized, similarities in temporal variation of seismic activity and seismic gaps can be examined and, on the other hand, the time-variable earthquake hazard can be assessed directly on the basis of a series of statistical indices of seismicity. Two methods of fuzzy clustering analysis, the method of fuzzy similarity, and the direct method of fuzzy pattern recognition, have been studied is particular. One method of fuzzy clustering analysis is based on fuzzy netting, and another is based on the fuzzy equivalent relation. (2) Quantitative estimation of the earthquake hazard on the basis of observational data for different precursors. The direct method of fuzzy pattern recognition has been applied to research on earthquake precursors of different kinds. On the basis of the temporal and spatial characteristics of recognized precursors, earthquake hazards in different terms can be estimated. This paper mainly deals with medium-short-term precursors observed in Japan and China.

Wavelength Selection Method Based on Differential Evolution for Precise Quantitative Analysis Using Terahertz Time-Domain Spectroscopy.

PubMed

Li, Zhi; Chen, Weidong; Lian, Feiyu; Ge, Hongyi; Guan, Aihong

2017-12-01

Quantitative analysis of component mixtures is an important application of terahertz time-domain spectroscopy (THz-TDS) and has attracted broad interest in recent research. Although the accuracy of quantitative analysis using THz-TDS is affected by a host of factors, wavelength selection from the sample's THz absorption spectrum is the most crucial component. The raw spectrum consists of signals from the sample and scattering and other random disturbances that can critically influence the quantitative accuracy. For precise quantitative analysis using THz-TDS, the signal from the sample needs to be retained while the scattering and other noise sources are eliminated. In this paper, a novel wavelength selection method based on differential evolution (DE) is investigated. By performing quantitative experiments on a series of binary amino acid mixtures using THz-TDS, we demonstrate the efficacy of the DE-based wavelength selection method, which yields an error rate below 5%.

A quantitative image cytometry technique for time series or population analyses of signaling networks.

PubMed

Ozaki, Yu-ichi; Uda, Shinsuke; Saito, Takeshi H; Chung, Jaehoon; Kubota, Hiroyuki; Kuroda, Shinya

2010-04-01

Modeling of cellular functions on the basis of experimental observation is increasingly common in the field of cellular signaling. However, such modeling requires a large amount of quantitative data of signaling events with high spatio-temporal resolution. A novel technique which allows us to obtain such data is needed for systems biology of cellular signaling. We developed a fully automatable assay technique, termed quantitative image cytometry (QIC), which integrates a quantitative immunostaining technique and a high precision image-processing algorithm for cell identification. With the aid of an automated sample preparation system, this device can quantify protein expression, phosphorylation and localization with subcellular resolution at one-minute intervals. The signaling activities quantified by the assay system showed good correlation with, as well as comparable reproducibility to, western blot analysis. Taking advantage of the high spatio-temporal resolution, we investigated the signaling dynamics of the ERK pathway in PC12 cells. The QIC technique appears as a highly quantitative and versatile technique, which can be a convenient replacement for the most conventional techniques including western blot, flow cytometry and live cell imaging. Thus, the QIC technique can be a powerful tool for investigating the systems biology of cellular signaling.

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

Optofluidic time-stretch quantitative phase microscopy.

PubMed

Guo, Baoshan; Lei, Cheng; Wu, Yi; Kobayashi, Hirofumi; Ito, Takuro; Yalikun, Yaxiaer; Lee, Sangwook; Isozaki, Akihiro; Li, Ming; Jiang, Yiyue; Yasumoto, Atsushi; Di Carlo, Dino; Tanaka, Yo; Yatomi, Yutaka; Ozeki, Yasuyuki; Goda, Keisuke

2018-03-01

Innovations in optical microscopy have opened new windows onto scientific research, industrial quality control, and medical practice over the last few decades. One of such innovations is optofluidic time-stretch quantitative phase microscopy - an emerging method for high-throughput quantitative phase imaging that builds on the interference between temporally stretched signal and reference pulses by using dispersive properties of light in both spatial and temporal domains in an interferometric configuration on a microfluidic platform. It achieves the continuous acquisition of both intensity and phase images with a high throughput of more than 10,000 particles or cells per second by overcoming speed limitations that exist in conventional quantitative phase imaging methods. Applications enabled by such capabilities are versatile and include characterization of cancer cells and microalgal cultures. In this paper, we review the principles and applications of optofluidic time-stretch quantitative phase microscopy and discuss its future perspective. Copyright © 2017 Elsevier Inc. All rights reserved.

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.

Recurrent Neural Network Applications for Astronomical Time Series

NASA Astrophysics Data System (ADS)

Protopapas, Pavlos

2017-06-01

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

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.

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.

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.

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.

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").

A time-series method for automated measurement of changes in mitotic and interphase duration from time-lapse movies.

PubMed

Sigoillot, Frederic D; Huckins, Jeremy F; Li, Fuhai; Zhou, Xiaobo; Wong, Stephen T C; King, Randall W

2011-01-01

Automated time-lapse microscopy can visualize proliferation of large numbers of individual cells, enabling accurate measurement of the frequency of cell division and the duration of interphase and mitosis. However, extraction of quantitative information by manual inspection of time-lapse movies is too time-consuming to be useful for analysis of large experiments. Here we present an automated time-series approach that can measure changes in the duration of mitosis and interphase in individual cells expressing fluorescent histone 2B. The approach requires analysis of only 2 features, nuclear area and average intensity. Compared to supervised learning approaches, this method reduces processing time and does not require generation of training data sets. We demonstrate that this method is as sensitive as manual analysis in identifying small changes in interphase or mitotic duration induced by drug or siRNA treatment. This approach should facilitate automated analysis of high-throughput time-lapse data sets to identify small molecules or gene products that influence timing of cell division.

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.

The mass spectral density in quantitative time-of-flight mass spectrometry of polymers

NASA Astrophysics Data System (ADS)

Tate, Ranjeet S.; Ebeling, Dan; Smith, Lloyd M.

2001-03-01

Time-of-flight mass spectrometry (TOF-MS) is being increasingly used for the study of polymers, for example to obtain the distribution of molecular masses for polymer samples. Serious efforts have also been underway to use TOF-MS for DNA sequencing. In TOF-MS the data is obtained in the form of a time-series that represents the distribution in arrival times of ions of various m/z ratios. This time-series data is then converted to a "mass-spectrum" via a coordinate transformation from the arrival time (t) to the corresponding mass-to-charge ratio (m/z = const. t^2). In this transformation, it is important to keep in mind that spectra are distributions, or densities of weight +1, and thus do not transform as functions. To obtain the mass-spectral density, it is necessary to include a multiplicative factor of √m/z. Common commercial instruments do not take this factor into account. Dropping this factor has no effect on qualitative analysis (detection) or local quantitative measurements, since S/N or signal-to-baseline ratios are unaffected for peaks with small dispersions. However, there are serious consequences for general quantitative analyses. In DNA sequencing applications, loss of signal intensity is in part attributed to multiple charging; however, since the √m/z factor is not taken into account, this conclusion is based on an overestimate (by a factor of √z) of the relative amount of the multiply charged species. In the study of polymers, the normalized dispersion is underestimated by approximately (M_w/Mn -1)/2. In terms of M_w/Mn itself, for example, a M_w/M_n=1.5 calculated without the √m factor corresponds in fact to a M_w/M_n=1.88.

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 method for analyzing temporal patterns of variability of a time series from Poincare plots.

PubMed

Fishman, Mikkel; Jacono, Frank J; Park, Soojin; Jamasebi, Reza; Thungtong, Anurak; Loparo, Kenneth A; Dick, Thomas E

2012-07-01

The Poincaré plot is a popular two-dimensional, time series analysis tool because of its intuitive display of dynamic system behavior. Poincaré plots have been used to visualize heart rate and respiratory pattern variabilities. However, conventional quantitative analysis relies primarily on statistical measurements of the cumulative distribution of points, making it difficult to interpret irregular or complex plots. Moreover, the plots are constructed to reflect highly correlated regions of the time series, reducing the amount of nonlinear information that is presented and thereby hiding potentially relevant features. We propose temporal Poincaré variability (TPV), a novel analysis methodology that uses standard techniques to quantify the temporal distribution of points and to detect nonlinear sources responsible for physiological variability. In addition, the analysis is applied across multiple time delays, yielding a richer insight into system dynamics than the traditional circle return plot. The method is applied to data sets of R-R intervals and to synthetic point process data extracted from the Lorenz time series. The results demonstrate that TPV complements the traditional analysis and can be applied more generally, including Poincaré plots with multiple clusters, and more consistently than the conventional measures and can address questions regarding potential structure underlying the variability of a data set.

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.

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.

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.

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.

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.

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.

NeuroRhythmics: software for analyzing time-series measurements of saltatory movements in neuronal processes.

PubMed

Kerlin, Aaron M; Lindsley, Tara A

2008-08-15

Time-lapse imaging of living neurons both in vivo and in vitro has revealed that the growth of axons and dendrites is highly dynamic and characterized by alternating periods of extension and retraction. These growth dynamics are associated with important features of neuronal development and are differentially affected by experimental treatments, but the underlying cellular mechanisms are poorly understood. NeuroRhythmics was developed to semi-automate specific quantitative tasks involved in analysis of two-dimensional time-series images of processes that exhibit saltatory elongation. This software provides detailed information on periods of growth and nongrowth that it identifies by transitions in elongation (i.e. initiation time, average rate, duration) and information regarding the overall pattern of saltatory growth (i.e. time of pattern onset, frequency of transitions, relative time spent in a state of growth vs. nongrowth). Plots and numeric output are readily imported into other applications. The user has the option to specify criteria for identifying transitions in growth behavior, which extends the potential application of the software to neurons of different types or developmental stage and to other time-series phenomena that exhibit saltatory dynamics. NeuroRhythmics will facilitate mechanistic studies of periodic axonal and dendritic growth in neurons.

High-resolution time series of Pseudomonas aeruginosa gene expression and rhamnolipid secretion through growth curve synchronization.

PubMed

van Ditmarsch, Dave; Xavier, João B

2011-06-17

Online spectrophotometric measurements allow monitoring dynamic biological processes with high-time resolution. Contrastingly, numerous other methods require laborious treatment of samples and can only be carried out offline. Integrating both types of measurement would allow analyzing biological processes more comprehensively. A typical example of this problem is acquiring quantitative data on rhamnolipid secretion by the opportunistic pathogen Pseudomonas aeruginosa. P. aeruginosa cell growth can be measured by optical density (OD600) and gene expression can be measured using reporter fusions with a fluorescent protein, allowing high time resolution monitoring. However, measuring the secreted rhamnolipid biosurfactants requires laborious sample processing, which makes this an offline measurement. Here, we propose a method to integrate growth curve data with endpoint measurements of secreted metabolites that is inspired by a model of exponential cell growth. If serial diluting an inoculum gives reproducible time series shifted in time, then time series of endpoint measurements can be reconstructed using calculated time shifts between dilutions. We illustrate the method using measured rhamnolipid secretion by P. aeruginosa as endpoint measurements and we integrate these measurements with high-resolution growth curves measured by OD600 and expression of rhamnolipid synthesis genes monitored using a reporter fusion. Two-fold serial dilution allowed integrating rhamnolipid measurements at a ~0.4 h-1 frequency with high-time resolved data measured at a 6 h-1 frequency. We show how this simple method can be used in combination with mutants lacking specific genes in the rhamnolipid synthesis or quorum sensing regulation to acquire rich dynamic data on P. aeruginosa virulence regulation. Additionally, the linear relation between the ratio of inocula and the time-shift between curves produces high-precision measurements of maximum specific growth rates, which were

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.

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.

Evaluation of Quantitative Literacy Series: Exploring Data and Exploring Probability. Program Report 87-5.

ERIC Educational Resources Information Center

Day, Roger P.; And Others

A quasi-experimental design with two experimental groups and one control group was used to evaluate the use of two books in the Quantitative Literacy Series, "Exploring Data" and "Exploring Probability." Group X teachers were those who had attended a workshop on the use of the materials and were using the materials during the…

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

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.

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.

Stochastic time series analysis of fetal heart-rate variability

NASA Astrophysics Data System (ADS)

Shariati, M. A.; Dripps, J. H.

1990-06-01

Fetal Heart Rate(FHR) is one of the important features of fetal biophysical activity and its long term monitoring is used for the antepartum(period of pregnancy before labour) assessment of fetal well being. But as yet no successful method has been proposed to quantitatively represent variety of random non-white patterns seen in FHR. Objective of this paper is to address this issue. In this study the Box-Jenkins method of model identification and diagnostic checking was used on phonocardiographic derived FHR(averaged) time series. Models remained exclusively autoregressive(AR). Kalman filtering in conjunction with maximum likelihood estimation technique forms the parametric estimator. Diagnosrics perfonned on the residuals indicated that a second order model may be adequate in capturing type of variability observed in 1 up to 2 mm data windows of FHR. The scheme may be viewed as a means of data reduction of a highly redundant information source. This allows a much more efficient transmission of FHR information from remote locations to places with facilities and expertise for doser analysis. The extracted parameters is aimed to reflect numerically the important FHR features. These are normally picked up visually by experts for their assessments. As a result long term FHR recorded during antepartum period could then be screened quantitatively for detection of patterns considered normal or abnonnal. 1.

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.

Time Series Analysis of Technology Trends based on the Internet Resources

NASA Astrophysics Data System (ADS)

Kobayashi, Shin-Ichi; Shirai, Yasuyuki; Hiyane, Kazuo; Kumeno, Fumihiro; Inujima, Hiroshi; Yamauchi, Noriyoshi

Information technology is increasingly important in recent years for the development of our society. IT has brought many changes to everything in our society with incredible speed. Hence, when we investigate R & D themes or plan business strategies in IT, we must understand overall situation around the target technology area besides technology itself. Especially it is crucial to understand overall situation as time series to know what will happen in the near future in the target area. For this purpose, we developed a method to generate Multiple-phased trend maps automatically based on the Internet content. Furthermore, we introduced quantitative indicators to analyze near future possible changes. According to the evaluation of this method we got successful and interesting results.

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

Interannual Change Detection of Mediterranean Seagrasses Using RapidEye Image Time Series

PubMed Central

Traganos, Dimosthenis; Reinartz, Peter

2018-01-01

Recent research studies have highlighted the decrease in the coverage of Mediterranean seagrasses due to mainly anthropogenic activities. The lack of data on the distribution of these significant aquatic plants complicates the quantification of their decreasing tendency. While Mediterranean seagrasses are declining, satellite remote sensing technology is growing at an unprecedented pace, resulting in a wealth of spaceborne image time series. Here, we exploit recent advances in high spatial resolution sensors and machine learning to study Mediterranean seagrasses. We process a multispectral RapidEye time series between 2011 and 2016 to detect interannual seagrass dynamics in 888 submerged hectares of the Thermaikos Gulf, NW Aegean Sea, Greece (eastern Mediterranean Sea). We assess the extent change of two Mediterranean seagrass species, the dominant Posidonia oceanica and Cymodocea nodosa, following atmospheric and analytical water column correction, as well as machine learning classification, using Random Forests, of the RapidEye time series. Prior corrections are necessary to untangle the initially weak signal of the submerged seagrass habitats from satellite imagery. The central results of this study show that P. oceanica seagrass area has declined by 4.1%, with a trend of −11.2 ha/yr, while C. nodosa seagrass area has increased by 17.7% with a trend of +18 ha/yr throughout the 5-year study period. Trends of change in spatial distribution of seagrasses in the Thermaikos Gulf site are in line with reported trends in the Mediterranean. Our presented methodology could be a time- and cost-effective method toward the quantitative ecological assessment of seagrass dynamics elsewhere in the future. From small meadows to whole coastlines, knowledge of aquatic plant dynamics could resolve decline or growth trends and accurately highlight key units for future restoration, management, and conservation. PMID:29467777

Interannual Change Detection of Mediterranean Seagrasses Using RapidEye Image Time Series.

PubMed

Traganos, Dimosthenis; Reinartz, Peter

2018-01-01

Recent research studies have highlighted the decrease in the coverage of Mediterranean seagrasses due to mainly anthropogenic activities. The lack of data on the distribution of these significant aquatic plants complicates the quantification of their decreasing tendency. While Mediterranean seagrasses are declining, satellite remote sensing technology is growing at an unprecedented pace, resulting in a wealth of spaceborne image time series. Here, we exploit recent advances in high spatial resolution sensors and machine learning to study Mediterranean seagrasses. We process a multispectral RapidEye time series between 2011 and 2016 to detect interannual seagrass dynamics in 888 submerged hectares of the Thermaikos Gulf, NW Aegean Sea, Greece (eastern Mediterranean Sea). We assess the extent change of two Mediterranean seagrass species, the dominant Posidonia oceanica and Cymodocea nodosa , following atmospheric and analytical water column correction, as well as machine learning classification, using Random Forests, of the RapidEye time series. Prior corrections are necessary to untangle the initially weak signal of the submerged seagrass habitats from satellite imagery. The central results of this study show that P. oceanica seagrass area has declined by 4.1%, with a trend of -11.2 ha/yr, while C. nodosa seagrass area has increased by 17.7% with a trend of +18 ha/yr throughout the 5-year study period. Trends of change in spatial distribution of seagrasses in the Thermaikos Gulf site are in line with reported trends in the Mediterranean. Our presented methodology could be a time- and cost-effective method toward the quantitative ecological assessment of seagrass dynamics elsewhere in the future. From small meadows to whole coastlines, knowledge of aquatic plant dynamics could resolve decline or growth trends and accurately highlight key units for future restoration, management, and conservation.

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.

Reliability prediction of ontology-based service compositions using Petri net and time series models.

PubMed

Li, Jia; Xia, Yunni; Luo, Xin

2014-01-01

OWL-S, one of the most important Semantic Web service ontologies proposed to date, provides a core ontological framework and guidelines for describing the properties and capabilities of their web services in an unambiguous, computer interpretable form. Predicting the reliability of composite service processes specified in OWL-S allows service users to decide whether the process meets the quantitative quality requirement. In this study, we consider the runtime quality of services to be fluctuating and introduce a dynamic framework to predict the runtime reliability of services specified in OWL-S, employing the Non-Markovian stochastic Petri net (NMSPN) and the time series model. The framework includes the following steps: obtaining the historical response times series of individual service components; fitting these series with a autoregressive-moving-average-model (ARMA for short) and predicting the future firing rates of service components; mapping the OWL-S process into a NMSPN model; employing the predicted firing rates as the model input of NMSPN and calculating the normal completion probability as the reliability estimate. In the case study, a comparison between the static model and our approach based on experimental data is presented and it is shown that our approach achieves higher prediction accuracy.

Reliability Prediction of Ontology-Based Service Compositions Using Petri Net and Time Series Models

PubMed Central

Li, Jia; Xia, Yunni; Luo, Xin

2014-01-01

OWL-S, one of the most important Semantic Web service ontologies proposed to date, provides a core ontological framework and guidelines for describing the properties and capabilities of their web services in an unambiguous, computer interpretable form. Predicting the reliability of composite service processes specified in OWL-S allows service users to decide whether the process meets the quantitative quality requirement. In this study, we consider the runtime quality of services to be fluctuating and introduce a dynamic framework to predict the runtime reliability of services specified in OWL-S, employing the Non-Markovian stochastic Petri net (NMSPN) and the time series model. The framework includes the following steps: obtaining the historical response times series of individual service components; fitting these series with a autoregressive-moving-average-model (ARMA for short) and predicting the future firing rates of service components; mapping the OWL-S process into a NMSPN model; employing the predicted firing rates as the model input of NMSPN and calculating the normal completion probability as the reliability estimate. In the case study, a comparison between the static model and our approach based on experimental data is presented and it is shown that our approach achieves higher prediction accuracy. PMID:24688429

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.

Online Conditional Outlier Detection in Nonstationary Time Series.

PubMed

Liu, Siqi; Wright, Adam; Hauskrecht, Milos

2017-05-01

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.

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.

Disentangling Time-series Spectra with Gaussian Processes: Applications to Radial Velocity Analysis

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

Czekala, Ian; Mandel, Kaisey S.; Andrews, Sean M.

Measurements of radial velocity variations from the spectroscopic monitoring of stars and their companions are essential for a broad swath of astrophysics; these measurements provide access to the fundamental physical properties that dictate all phases of stellar evolution and facilitate the quantitative study of planetary systems. The conversion of those measurements into both constraints on the orbital architecture and individual component spectra can be a serious challenge, however, especially for extreme flux ratio systems and observations with relatively low sensitivity. Gaussian processes define sampling distributions of flexible, continuous functions that are well-motivated for modeling stellar spectra, enabling proficient searches formore » companion lines in time-series spectra. We introduce a new technique for spectral disentangling, where the posterior distributions of the orbital parameters and intrinsic, rest-frame stellar spectra are explored simultaneously without needing to invoke cross-correlation templates. To demonstrate its potential, this technique is deployed on red-optical time-series spectra of the mid-M-dwarf binary LP661-13. We report orbital parameters with improved precision compared to traditional radial velocity analysis and successfully reconstruct the primary and secondary spectra. We discuss potential applications for other stellar and exoplanet radial velocity techniques and extensions to time-variable spectra. The code used in this analysis is freely available as an open-source Python package.« less

Disentangling Time-series Spectra with Gaussian Processes: Applications to Radial Velocity Analysis

NASA Astrophysics Data System (ADS)

Czekala, Ian; Mandel, Kaisey S.; Andrews, Sean M.; Dittmann, Jason A.; Ghosh, Sujit K.; Montet, Benjamin T.; Newton, Elisabeth R.

2017-05-01

Measurements of radial velocity variations from the spectroscopic monitoring of stars and their companions are essential for a broad swath of astrophysics; these measurements provide access to the fundamental physical properties that dictate all phases of stellar evolution and facilitate the quantitative study of planetary systems. The conversion of those measurements into both constraints on the orbital architecture and individual component spectra can be a serious challenge, however, especially for extreme flux ratio systems and observations with relatively low sensitivity. Gaussian processes define sampling distributions of flexible, continuous functions that are well-motivated for modeling stellar spectra, enabling proficient searches for companion lines in time-series spectra. We introduce a new technique for spectral disentangling, where the posterior distributions of the orbital parameters and intrinsic, rest-frame stellar spectra are explored simultaneously without needing to invoke cross-correlation templates. To demonstrate its potential, this technique is deployed on red-optical time-series spectra of the mid-M-dwarf binary LP661-13. We report orbital parameters with improved precision compared to traditional radial velocity analysis and successfully reconstruct the primary and secondary spectra. We discuss potential applications for other stellar and exoplanet radial velocity techniques and extensions to time-variable spectra. The code used in this analysis is freely available as an open-source Python package.

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…

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.

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

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.

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.

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.

High-throughput real-time quantitative reverse transcription PCR.

PubMed

Bookout, Angie L; Cummins, Carolyn L; Mangelsdorf, David J; Pesola, Jean M; Kramer, Martha F

2006-02-01

Extensive detail on the application of the real-time quantitative polymerase chain reaction (QPCR) for the analysis of gene expression is provided in this unit. The protocols are designed for high-throughput, 384-well-format instruments, such as the Applied Biosystems 7900HT, but may be modified to suit any real-time PCR instrument. QPCR primer and probe design and validation are discussed, and three relative quantitation methods are described: the standard curve method, the efficiency-corrected DeltaCt method, and the comparative cycle time, or DeltaDeltaCt method. In addition, a method is provided for absolute quantification of RNA in unknown samples. RNA standards are subjected to RT-PCR in the same manner as the experimental samples, thus accounting for the reaction efficiencies of both procedures. This protocol describes the production and quantitation of synthetic RNA molecules for real-time and non-real-time RT-PCR applications.

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.

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.

Multiresolution analysis of Bursa Malaysia KLCI time series

NASA Astrophysics Data System (ADS)

Ismail, Mohd Tahir; Dghais, Amel Abdoullah Ahmed

2017-05-01

In general, a time series is simply a sequence of numbers collected at regular intervals over a period. Financial time series data processing is concerned with the theory and practice of processing asset price over time, such as currency, commodity data, and stock market data. The primary aim of this study is to understand the fundamental characteristics of selected financial time series by using the time as well as the frequency domain analysis. After that prediction can be executed for the desired system for in sample forecasting. In this study, multiresolution analysis which the assist of discrete wavelet transforms (DWT) and maximal overlap discrete wavelet transform (MODWT) will be used to pinpoint special characteristics of Bursa Malaysia KLCI (Kuala Lumpur Composite Index) daily closing prices and return values. In addition, further case study discussions include the modeling of Bursa Malaysia KLCI using linear ARIMA with wavelets to address how multiresolution approach improves fitting and forecasting results.

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.

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.

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

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.

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.

miniSEED: The Backbone Data Format for Seismological Time Series

NASA Astrophysics Data System (ADS)

Ahern, T. K.; Benson, R. B.; Trabant, C. M.

2017-12-01

In 1987, the International Federation of Digital Seismograph Networks (FDSN), adopted the Standard for the Exchange of Earthquake Data (SEED) format to be used for data archiving and exchange of seismological time series data. Since that time, the format has evolved to accommodate new capabilities and features. For example, a notable change in 1992 allowed the format, which includes both the comprehensive metadata and the time series samples, to be used in two additional forms: a container for metadata only called "dataless SEED", and 2) a stand-alone structure for time series called "miniSEED". While specifically designed for seismological data and related metadata, this format has proven to be a useful format for a wide variety of geophysical time series data. Many FDSN data centers now store temperature, pressure, infrasound, tilt and other time series measurements in this internationally used format. Since April 2016, members of the FDSN have been in discussions to design a next generation miniSEED format to accommodate current and future needs, to further generalize the format, and to address a number of historical problems or limitations. We believe the correct approach is to simplify the header, allow for arbitrary header additions, expand the current identifiers, and allow for anticipated future identifiers which are currently unknown. We also believe the primary goal of the format is for efficient archiving, selection and exchange of time series data. By focusing on these goals we avoid trying to generalize the format too broadly into specialized areas such as efficient, low-latency delivery, or including unbounded non-time series data. Our presentation will provide an overview of this format and highlight its most valuable characteristics for time series data from any geophysical domain or beyond.

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.

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

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…

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

NASA Astrophysics Data System (ADS)

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

2005-10-01

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

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

LAI, FAPAR and FCOVER products derived from AVHRR long time series: principles and evaluation

NASA Astrophysics Data System (ADS)

Verger, A.; Baret, F.; Weiss, M.; Lacaze, R.; Makhmara, H.; Pacholczyk, P.; Smets, B.; Kandasamy, S.; Vermote, E.

2012-04-01

products. Finally, quality assessment information as well as tentative quantitative uncertainties were proposed. The comparison of the resulting AVHRR LTDR products with actual GEOLAND series derived from VEGETATION demonstrates that they are very consistent, providing continuous time series of global observations of LAI, FAPAR and FCOVER for the last 30-year period, with continuation after 2011.

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.

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.

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.

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

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.

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.

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…

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

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.

Investigation on Law and Economics Based on Complex Network and Time Series Analysis

PubMed Central

Yang, Jian; Qu, Zhao; Chang, Hui

2015-01-01

The research focuses on the cooperative relationship and the strategy tendency among three mutually interactive parties in financing: small enterprises, commercial banks and micro-credit companies. Complex network theory and time series analysis were applied to figure out the quantitative evidence. Moreover, this paper built up a fundamental model describing the particular interaction among them through evolutionary game. Combining the results of data analysis and current situation, it is justifiable to put forward reasonable legislative recommendations for regulations on lending activities among small enterprises, commercial banks and micro-credit companies. The approach in this research provides a framework for constructing mathematical models and applying econometrics and evolutionary game in the issue of corporation financing. PMID:26076460

Investigation on Law and Economics Based on Complex Network and Time Series Analysis.

PubMed

Yang, Jian; Qu, Zhao; Chang, Hui

2015-01-01

The research focuses on the cooperative relationship and the strategy tendency among three mutually interactive parties in financing: small enterprises, commercial banks and micro-credit companies. Complex network theory and time series analysis were applied to figure out the quantitative evidence. Moreover, this paper built up a fundamental model describing the particular interaction among them through evolutionary game. Combining the results of data analysis and current situation, it is justifiable to put forward reasonable legislative recommendations for regulations on lending activities among small enterprises, commercial banks and micro-credit companies. The approach in this research provides a framework for constructing mathematical models and applying econometrics and evolutionary game in the issue of corporation financing.

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 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.

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.

Modeling commodity salam contract between two parties for discrete and continuous time series

NASA Astrophysics Data System (ADS)

Hisham, Azie Farhani Badrol; Jaffar, Maheran Mohd

2017-08-01

In order for Islamic finance to remain competitive as the conventional, there needs a new development of Islamic compliance product such as Islamic derivative that can be used to manage the risk. However, under syariah principles and regulations, all financial instruments must not be conflicting with five syariah elements which are riba (interest paid), rishwah (corruption), gharar (uncertainty or unnecessary risk), maysir (speculation or gambling) and jahl (taking advantage of the counterparty's ignorance). This study has proposed a traditional Islamic contract namely salam that can be built as an Islamic derivative product. Although a lot of studies has been done on discussing and proposing the implementation of salam contract as the Islamic product however they are more into qualitative and law issues. Since there is lack of quantitative study of salam contract being developed, this study introduces mathematical models that can value the appropriate salam price for a commodity salam contract between two parties. In modeling the commodity salam contract, this study has modified the existing conventional derivative model and come out with some adjustments to comply with syariah rules and regulations. The cost of carry model has been chosen as the foundation to develop the commodity salam model between two parties for discrete and continuous time series. However, the conventional time value of money results from the concept of interest that is prohibited in Islam. Therefore, this study has adopted the idea of Islamic time value of money which is known as the positive time preference, in modeling the commodity salam contract between two parties for discrete and continuous 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.

Evaluation of the effects of climate and man intervention on ground waters and their dependent ecosystems using time series analysis

NASA Astrophysics Data System (ADS)

Gemitzi, Alexandra; Stefanopoulos, Kyriakos

2011-06-01

SummaryGroundwaters and their dependent ecosystems are affected both by the meteorological conditions as well as from human interventions, mainly in the form of groundwater abstractions for irrigation needs. This work aims at investigating the quantitative effects of meteorological conditions and man intervention on groundwater resources and their dependent ecosystems. Various seasonal Auto-Regressive Integrated Moving Average (ARIMA) models with external predictor variables were used in order to model the influence of meteorological conditions and man intervention on the groundwater level time series. Initially, a seasonal ARIMA model that simulates the abstraction time series using as external predictor variable temperature ( T) was prepared. Thereafter, seasonal ARIMA models were developed in order to simulate groundwater level time series in 8 monitoring locations, using the appropriate predictor variables determined for each individual case. The spatial component was introduced through the use of Geographical Information Systems (GIS). Application of the proposed methodology took place in the Neon Sidirochorion alluvial aquifer (Northern Greece), for which a 7-year long time series (i.e., 2003-2010) of piezometric and groundwater abstraction data exists. According to the developed ARIMA models, three distinct groups of groundwater level time series exist; the first one proves to be dependent only on the meteorological parameters, the second group demonstrates a mixed dependence both on meteorological conditions and on human intervention, whereas the third group shows a clear influence from man intervention. Moreover, there is evidence that groundwater abstraction has affected an important protected ecosystem.

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

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

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

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.

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...

Quantitative real-time imaging of glutathione

USDA-ARS?s Scientific Manuscript database

Glutathione plays many important roles in biological processes; however, the dynamic changes of glutathione concentrations in living cells remain largely unknown. Here, we report a reversible reaction-based fluorescent probe—designated as RealThiol (RT)—that can quantitatively monitor the real-time ...

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.

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

Automatic Segmentation of Invasive Breast Carcinomas from DCE-MRI using Time Series Analysis

PubMed Central

Jayender, Jagadaeesan; Chikarmane, Sona; Jolesz, Ferenc A.; Gombos, Eva

2013-01-01

Purpose Quantitative segmentation methods based on black-box modeling and pharmacokinetic modeling are highly dependent on imaging pulse sequence, timing of bolus injection, arterial input function, imaging noise and fitting algorithms. To accurately segment invasive ductal carcinomas (IDCs) from dynamic contrast enhanced MRI (DCE-MRI) using time series analysis based on linear dynamic system (LDS) modeling. Methods We modeled the underlying dynamics of the tumor by a LDS and use the system parameters to segment the carcinoma on the DCE-MRI. Twenty-four patients with biopsy-proven IDCs were analyzed. The lesions segmented by the algorithm were compared with an expert radiologist’s segmentation and the output of a commercial software, CADstream. The results are quantified in terms of the accuracy and sensitivity of detecting the lesion and the amount of overlap, measured in terms of the Dice similarity coefficient (DSC). Results The segmentation algorithm detected the tumor with 90% accuracy and 100% sensitivity when compared to the radiologist’s segmentation and 82.1% accuracy and 100% sensitivity when compared to the CADstream output. The overlap of the algorithm output with the radiologist’s segmentation and CADstream output, computed in terms of the DSC was 0.77 and 0.72 respectively. The algorithm also shows robust stability to imaging noise. Simulated imaging noise with zero mean and standard deviation equal to 25% of the base signal intensity was added to the DCE-MRI series. The amount of overlap between the tumor maps generated by the LDS-based algorithm from the noisy and original DCE-MRI was DSC=0.95. Conclusion The time-series analysis based segmentation algorithm provides high accuracy and sensitivity in delineating the regions of enhanced perfusion corresponding to tumor from DCE-MRI. PMID:24115175

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.

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.

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.

Quantitative Assessment of Effect of Preanalytic Cold Ischemic Time on Protein Expression in Breast Cancer Tissues

PubMed Central

2012-01-01

Background Companion diagnostic tests can depend on accurate measurement of protein expression in tissues. Preanalytic variables, especially cold ischemic time (time from tissue removal to fixation in formalin) can affect the measurement and may cause false-negative results. We examined 23 proteins, including four commonly used breast cancer biomarker proteins, to quantify their sensitivity to cold ischemia in breast cancer tissues. Methods A series of 93 breast cancer specimens with known time-to-fixation represented in a tissue microarray and a second series of 25 matched pairs of core needle biopsies and breast cancer resections were used to evaluate changes in antigenicity as a function of cold ischemic time. Estrogen receptor (ER), progesterone receptor (PgR), HER2 or Ki67, and 19 other antigens were tested. Each antigen was measured using the AQUA method of quantitative immunofluorescence on at least one series. All statistical tests were two-sided. Results We found no evidence for loss of antigenicity with time-to-fixation for ER, PgR, HER2, or Ki67 in a 4-hour time window. However, with a bootstrapping analysis, we observed a trend toward loss for ER and PgR, a statistically significant loss of antigenicity for phosphorylated tyrosine (P = .0048), and trends toward loss for other proteins. There was evidence of increased antigenicity in acetylated lysine, AKAP13 (P = .009), and HIF1A (P = .046), which are proteins known to be expressed in conditions of hypoxia. The loss of antigenicity for phosphorylated tyrosine and increase in expression of AKAP13, and HIF1A were confirmed in the biopsy/resection series. Conclusions Key breast cancer biomarkers show no evidence of loss of antigenicity, although this dataset assesses the relatively short time beyond the 1-hour limit in recent guidelines. Other proteins show changes in antigenicity in both directions. Future studies that extend the time range and normalize for heterogeneity will provide more comprehensive

Quantitative assessment of effect of preanalytic cold ischemic time on protein expression in breast cancer tissues.

PubMed

Neumeister, Veronique M; Anagnostou, Valsamo; Siddiqui, Summar; England, Allison Michal; Zarrella, Elizabeth R; Vassilakopoulou, Maria; Parisi, Fabio; Kluger, Yuval; Hicks, David G; Rimm, David L

2012-12-05

Companion diagnostic tests can depend on accurate measurement of protein expression in tissues. Preanalytic variables, especially cold ischemic time (time from tissue removal to fixation in formalin) can affect the measurement and may cause false-negative results. We examined 23 proteins, including four commonly used breast cancer biomarker proteins, to quantify their sensitivity to cold ischemia in breast cancer tissues. A series of 93 breast cancer specimens with known time-to-fixation represented in a tissue microarray and a second series of 25 matched pairs of core needle biopsies and breast cancer resections were used to evaluate changes in antigenicity as a function of cold ischemic time. Estrogen receptor (ER), progesterone receptor (PgR), HER2 or Ki67, and 19 other antigens were tested. Each antigen was measured using the AQUA method of quantitative immunofluorescence on at least one series. All statistical tests were two-sided. We found no evidence for loss of antigenicity with time-to-fixation for ER, PgR, HER2, or Ki67 in a 4-hour time window. However, with a bootstrapping analysis, we observed a trend toward loss for ER and PgR, a statistically significant loss of antigenicity for phosphorylated tyrosine (P = .0048), and trends toward loss for other proteins. There was evidence of increased antigenicity in acetylated lysine, AKAP13 (P = .009), and HIF1A (P = .046), which are proteins known to be expressed in conditions of hypoxia. The loss of antigenicity for phosphorylated tyrosine and increase in expression of AKAP13, and HIF1A were confirmed in the biopsy/resection series. Key breast cancer biomarkers show no evidence of loss of antigenicity, although this dataset assesses the relatively short time beyond the 1-hour limit in recent guidelines. Other proteins show changes in antigenicity in both directions. Future studies that extend the time range and normalize for heterogeneity will provide more comprehensive information on preanalytic variation due

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...

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.

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.

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.

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

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.

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

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.

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.

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.

PENDISC: a simple method for constructing a mathematical model from time-series data of metabolite concentrations.

PubMed

Sriyudthsak, Kansuporn; Iwata, Michio; Hirai, Masami Yokota; Shiraishi, Fumihide

2014-06-01

The availability of large-scale datasets has led to more effort being made to understand characteristics of metabolic reaction networks. However, because the large-scale data are semi-quantitative, and may contain biological variations and/or analytical errors, it remains a challenge to construct a mathematical model with precise parameters using only these data. The present work proposes a simple method, referred to as PENDISC (Parameter Estimation in a N on- DImensionalized S-system with Constraints), to assist the complex process of parameter estimation in the construction of a mathematical model for a given metabolic reaction system. The PENDISC method was evaluated using two simple mathematical models: a linear metabolic pathway model with inhibition and a branched metabolic pathway model with inhibition and activation. The results indicate that a smaller number of data points and rate constant parameters enhances the agreement between calculated values and time-series data of metabolite concentrations, and leads to faster convergence when the same initial estimates are used for the fitting. This method is also shown to be applicable to noisy time-series data and to unmeasurable metabolite concentrations in a network, and to have a potential to handle metabolome data of a relatively large-scale metabolic reaction system. Furthermore, it was applied to aspartate-derived amino acid biosynthesis in Arabidopsis thaliana plant. The result provides confirmation that the mathematical model constructed satisfactorily agrees with the time-series datasets of seven metabolite concentrations.

Deep Learning for Magnetic Resonance Fingerprinting: A New Approach for Predicting Quantitative Parameter Values from Time Series.

PubMed

Hoppe, Elisabeth; Körzdörfer, Gregor; Würfl, Tobias; Wetzl, Jens; Lugauer, Felix; Pfeuffer, Josef; Maier, Andreas

2017-01-01

The purpose of this work is to evaluate methods from deep learning for application to Magnetic Resonance Fingerprinting (MRF). MRF is a recently proposed measurement technique for generating quantitative parameter maps. In MRF a non-steady state signal is generated by a pseudo-random excitation pattern. A comparison of the measured signal in each voxel with the physical model yields quantitative parameter maps. Currently, the comparison is done by matching a dictionary of simulated signals to the acquired signals. To accelerate the computation of quantitative maps we train a Convolutional Neural Network (CNN) on simulated dictionary data. As a proof of principle we show that the neural network implicitly encodes the dictionary and can replace the matching process.

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.

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.

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.

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…

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.

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.

What does the structure of its visibility graph tell us about the nature of the time series?

NASA Astrophysics Data System (ADS)

Franke, Jasper G.; Donner, Reik V.

2017-04-01

Visibility graphs are a recently introduced method to construct complex network representations based upon univariate time series in order to study their dynamical characteristics [1]. In the last years, this approach has been successfully applied to studying a considerable variety of geoscientific research questions and data sets, including non-trivial temporal patterns in complex earthquake catalogs [2] or time-reversibility in climate time series [3]. It has been shown that several characteristic features of the thus constructed networks differ between stochastic and deterministic (possibly chaotic) processes, which is, however, relatively hard to exploit in the case of real-world applications. In this study, we propose studying two new measures related with the network complexity of visibility graphs constructed from time series, one being a special type of network entropy [4] and the other a recently introduced measure of the heterogeneity of the network's degree distribution [5]. For paradigmatic model systems exhibiting bifurcation sequences between regular and chaotic dynamics, both properties clearly trace the transitions between both types of regimes and exhibit marked quantitative differences for regular and chaotic dynamics. Moreover, for dynamical systems with a small amount of additive noise, the considered properties demonstrate gradual changes prior to the bifurcation point. This finding appears closely related to the subsequent loss of stability of the current state known to lead to a critical slowing down as the transition point is approaches. In this spirit, both considered visibility graph characteristics provide alternative tracers of dynamical early warning signals consistent with classical indicators. Our results demonstrate that measures of visibility graph complexity (i) provide a potentially useful means to tracing changes in the dynamical patterns encoded in a univariate time series that originate from increasing autocorrelation and (ii

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.

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.

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

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.

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.

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.

Mutual information estimation for irregularly sampled time series

NASA Astrophysics Data System (ADS)

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

2012-04-01

For the automated, objective and joint analysis of time series, similarity measures are crucial. Used in the analysis of climate records, they allow for a complimentary, unbiased view onto sparse datasets. The irregular sampling of many of these time series, however, makes it necessary to either perform signal reconstruction (e.g. interpolation) or to develop and use adapted measures. Standard linear interpolation comes with an inevitable loss of information and bias effects. We have recently developed a Gaussian kernel-based correlation algorithm with which the interpolation error can be substantially lowered, but this would not work should the functional relationship in a bivariate setting be non-linear. We therefore propose an algorithm to estimate lagged auto and cross mutual information from irregularly sampled time series. We have extended the standard and adaptive binning histogram estimators and use Gaussian distributed weights in the estimation of the (joint) probabilities. To test our method we have simulated linear and nonlinear auto-regressive processes with Gamma-distributed inter-sampling intervals. We have then performed a sensitivity analysis for the estimation of actual coupling length, the lag of coupling and the decorrelation time in the synthetic time series and contrast our results to the performance of a signal reconstruction scheme. Finally we applied our estimator to speleothem records. We compare the estimated memory (or decorrelation time) to that from a least-squares estimator based on fitting an auto-regressive process of order 1. The calculated (cross) mutual information results are compared for the different estimators (standard or adaptive binning) and contrasted with results from signal reconstruction. We find that the kernel-based estimator has a significantly lower root mean square error and less systematic sampling bias than the interpolation-based method. It is possible that these encouraging results could be further improved by

Allan deviation analysis of financial return series

NASA Astrophysics Data System (ADS)

Hernández-Pérez, R.

2012-05-01

We perform a scaling analysis for the return series of different financial assets applying the Allan deviation (ADEV), which is used in the time and frequency metrology to characterize quantitatively the stability of frequency standards since it has demonstrated to be a robust quantity to analyze fluctuations of non-stationary time series for different observation intervals. The data used are opening price daily series for assets from different markets during a time span of around ten years. We found that the ADEV results for the return series at short scales resemble those expected for an uncorrelated series, consistent with the efficient market hypothesis. On the other hand, the ADEV results for absolute return series for short scales (first one or two decades) decrease following approximately a scaling relation up to a point that is different for almost each asset, after which the ADEV deviates from scaling, which suggests that the presence of clustering, long-range dependence and non-stationarity signatures in the series drive the results for large observation intervals.

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

PubMed Central

Zhang, Xingyu; Zhang, Tao; Pei, Jiao; Liu, Yuanyuan; Li, Xiaosong; Medrano-Gracia, Pau

2016-01-01

Background The infection rate of syphilis in China has increased dramatically in recent decades, becoming a serious public health concern. Early prediction of syphilis is therefore of great importance for heath planning and management. Methods In this paper, we analyzed surveillance time series data for primary, secondary, tertiary, congenital and latent syphilis in mainland China from 2005 to 2012. Seasonality and long-term trend were explored with decomposition methods. Autoregressive integrated moving average (ARIMA) was used to fit a univariate time series model of syphilis incidence. A separate multi-variable time series for each syphilis type was also tested using an autoregressive integrated moving average model with exogenous variables (ARIMAX). Results The syphilis incidence rates have increased three-fold from 2005 to 2012. All syphilis time series showed strong seasonality and increasing long-term trend. Both ARIMA and ARIMAX models fitted and estimated syphilis incidence well. All univariate time series showed highest goodness-of-fit results with the ARIMA(0,0,1)×(0,1,1) model. Conclusion Time series analysis was an effective tool for modelling the historical and future incidence of syphilis in China. The ARIMAX model showed superior performance than the ARIMA model for the modelling of syphilis incidence. Time series correlations existed between the models for primary, secondary, tertiary, congenital and latent syphilis. PMID:26901682

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

PubMed

Nakamura, Tomomichi; Tanizawa, Toshihiro; Small, Michael

2016-03-01

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

Financial time series analysis based on information categorization method

NASA Astrophysics Data System (ADS)

Tian, Qiang; Shang, Pengjian; Feng, Guochen

2014-12-01

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

Challenges to validity in single-group interrupted time series analysis.

PubMed

Linden, Ariel

2017-04-01

Single-group interrupted time series analysis (ITSA) is a popular evaluation methodology in which a single unit of observation is studied; the outcome variable is serially ordered as a time series, and the intervention is expected to "interrupt" the level and/or trend of the time series, subsequent to its introduction. The most common threat to validity is history-the possibility that some other event caused the observed effect in the time series. Although history limits the ability to draw causal inferences from single ITSA models, it can be controlled for by using a comparable control group to serve as the counterfactual. Time series data from 2 natural experiments (effect of Florida's 2000 repeal of its motorcycle helmet law on motorcycle fatalities and California's 1988 Proposition 99 to reduce cigarette sales) are used to illustrate how history biases results of single-group ITSA results-as opposed to when that group's results are contrasted to those of a comparable control group. In the first example, an external event occurring at the same time as the helmet repeal appeared to be the cause of a rise in motorcycle deaths, but was only revealed when Florida was contrasted with comparable control states. Conversely, in the second example, a decreasing trend in cigarette sales prior to the intervention raised question about a treatment effect attributed to Proposition 99, but was reinforced when California was contrasted with comparable control states. Results of single-group ITSA should be considered preliminary, and interpreted with caution, until a more robust study design can be implemented. © 2016 John Wiley & Sons, Ltd.

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

PubMed

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

2016-01-01

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

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

PubMed

Deng, Weihui; Wang, Guoyin

2017-07-01

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

Testing for nonlinearity in time series: The method of surrogate data

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

Theiler, J.; Galdrikian, B.; Longtin, A.

1991-01-01

We describe a statistical approach for identifying nonlinearity in time series; in particular, we want to avoid claims of chaos when simpler models (such as linearly correlated noise) can explain the data. The method requires a careful statement of the null hypothesis which characterizes a candidate linear process, the generation of an ensemble of surrogate'' data sets which are similar to the original time series but consistent with the null hypothesis, and the computation of a discriminating statistic for the original and for each of the surrogate data sets. The idea is to test the original time series against themore » null hypothesis by checking whether the discriminating statistic computed for the original time series differs significantly from the statistics computed for each of the surrogate sets. We present algorithms for generating surrogate data under various null hypotheses, and we show the results of numerical experiments on artificial data using correlation dimension, Lyapunov exponent, and forecasting error as discriminating statistics. Finally, we consider a number of experimental time series -- including sunspots, electroencephalogram (EEG) signals, and fluid convection -- and evaluate the statistical significance of the evidence for nonlinear structure in each case. 56 refs., 8 figs.« less

Analysis of Site Position Time Series Derived From Space Geodetic Solutions

NASA Astrophysics Data System (ADS)

Angermann, D.; Meisel, B.; Kruegel, M.; Tesmer, V.; Miller, R.; Drewes, H.

2003-12-01

This presentation deals with the analysis of station coordinate time series obtained from VLBI, SLR, GPS and DORIS solutions. We also present time series for the origin and scale derived from these solutions and discuss their contribution to the realization of the terrestrial reference frame. For these investigations we used SLR and VLBI solutions computed at DGFI with the software systems DOGS (SLR) and OCCAM (VLBI). The GPS and DORIS time series were obtained from weekly station coordinates solutions provided by the IGS, and from the joint DORIS analysis center (IGN-JPL). We analysed the time series with respect to various aspects, such as non-linear motions, periodic signals and systematic differences (biases). A major focus is on a comparison of the results at co-location sites in order to identify technique- and/or solution related problems. This may also help to separate and quantify possible effects, and to understand the origin of still existing discrepancies. Technique-related systematic effects (biases) should be reduced to the highest possible extent, before using the space geodetic solutions for a geophysical interpretation of seasonal signals in site position time series.

Using Time Series Analysis to Predict Cardiac Arrest in a PICU.

PubMed

Kennedy, Curtis E; Aoki, Noriaki; Mariscalco, Michele; Turley, James P

2015-11-01

To build and test cardiac arrest prediction models in a PICU, using time series analysis as input, and to measure changes in prediction accuracy attributable to different classes of time series data. Retrospective cohort study. Thirty-one bed academic PICU that provides care for medical and general surgical (not congenital heart surgery) patients. Patients experiencing a cardiac arrest in the PICU and requiring external cardiac massage for at least 2 minutes. None. One hundred three cases of cardiac arrest and 109 control cases were used to prepare a baseline dataset that consisted of 1,025 variables in four data classes: multivariate, raw time series, clinical calculations, and time series trend analysis. We trained 20 arrest prediction models using a matrix of five feature sets (combinations of data classes) with four modeling algorithms: linear regression, decision tree, neural network, and support vector machine. The reference model (multivariate data with regression algorithm) had an accuracy of 78% and 87% area under the receiver operating characteristic curve. The best model (multivariate + trend analysis data with support vector machine algorithm) had an accuracy of 94% and 98% area under the receiver operating characteristic curve. Cardiac arrest predictions based on a traditional model built with multivariate data and a regression algorithm misclassified cases 3.7 times more frequently than predictions that included time series trend analysis and built with a support vector machine algorithm. Although the final model lacks the specificity necessary for clinical application, we have demonstrated how information from time series data can be used to increase the accuracy of clinical prediction models.

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

Model-based Clustering of Categorical Time Series with Multinomial Logit Classification

NASA Astrophysics Data System (ADS)

Frühwirth-Schnatter, Sylvia; Pamminger, Christoph; Winter-Ebmer, Rudolf; Weber, Andrea

2010-09-01

A common problem in many areas of applied statistics is to identify groups of similar time series in a panel of time series. However, distance-based clustering methods cannot easily be extended to time series data, where an appropriate distance-measure is rather difficult to define, particularly for discrete-valued time series. Markov chain clustering, proposed by Pamminger and Frühwirth-Schnatter [6], is an approach for clustering discrete-valued time series obtained by observing a categorical variable with several states. This model-based clustering method is based on finite mixtures of first-order time-homogeneous Markov chain models. In order to further explain group membership we present an extension to the approach of Pamminger and Frühwirth-Schnatter [6] by formulating a probabilistic model for the latent group indicators within the Bayesian classification rule by using a multinomial logit model. The parameters are estimated for a fixed number of clusters within a Bayesian framework using an Markov chain Monte Carlo (MCMC) sampling scheme representing a (full) Gibbs-type sampler which involves only draws from standard distributions. Finally, an application to a panel of Austrian wage mobility data is presented which leads to an interesting segmentation of the Austrian labour market.

Power estimation using simulations for air pollution time-series studies

PubMed Central

2012-01-01

Background Estimation of power to assess associations of interest can be challenging for time-series studies of the acute health effects of air pollution because there are two dimensions of sample size (time-series length and daily outcome counts), and because these studies often use generalized linear models to control for complex patterns of covariation between pollutants and time trends, meteorology and possibly other pollutants. In general, statistical software packages for power estimation rely on simplifying assumptions that may not adequately capture this complexity. Here we examine the impact of various factors affecting power using simulations, with comparison of power estimates obtained from simulations with those obtained using statistical software. Methods Power was estimated for various analyses within a time-series study of air pollution and emergency department visits using simulations for specified scenarios. Mean daily emergency department visit counts, model parameter value estimates and daily values for air pollution and meteorological variables from actual data (8/1/98 to 7/31/99 in Atlanta) were used to generate simulated daily outcome counts with specified temporal associations with air pollutants and randomly generated error based on a Poisson distribution. Power was estimated by conducting analyses of the association between simulated daily outcome counts and air pollution in 2000 data sets for each scenario. Power estimates from simulations and statistical software (G*Power and PASS) were compared. Results In the simulation results, increasing time-series length and average daily outcome counts both increased power to a similar extent. Our results also illustrate the low power that can result from using outcomes with low daily counts or short time series, and the reduction in power that can accompany use of multipollutant models. Power estimates obtained using standard statistical software were very similar to those from the simulations

Power estimation using simulations for air pollution time-series studies.

PubMed

Winquist, Andrea; Klein, Mitchel; Tolbert, Paige; Sarnat, Stefanie Ebelt

2012-09-20

Estimation of power to assess associations of interest can be challenging for time-series studies of the acute health effects of air pollution because there are two dimensions of sample size (time-series length and daily outcome counts), and because these studies often use generalized linear models to control for complex patterns of covariation between pollutants and time trends, meteorology and possibly other pollutants. In general, statistical software packages for power estimation rely on simplifying assumptions that may not adequately capture this complexity. Here we examine the impact of various factors affecting power using simulations, with comparison of power estimates obtained from simulations with those obtained using statistical software. Power was estimated for various analyses within a time-series study of air pollution and emergency department visits using simulations for specified scenarios. Mean daily emergency department visit counts, model parameter value estimates and daily values for air pollution and meteorological variables from actual data (8/1/98 to 7/31/99 in Atlanta) were used to generate simulated daily outcome counts with specified temporal associations with air pollutants and randomly generated error based on a Poisson distribution. Power was estimated by conducting analyses of the association between simulated daily outcome counts and air pollution in 2000 data sets for each scenario. Power estimates from simulations and statistical software (G*Power and PASS) were compared. In the simulation results, increasing time-series length and average daily outcome counts both increased power to a similar extent. Our results also illustrate the low power that can result from using outcomes with low daily counts or short time series, and the reduction in power that can accompany use of multipollutant models. Power estimates obtained using standard statistical software were very similar to those from the simulations when properly implemented

Time Series Discord Detection in Medical Data using a Parallel Relational Database

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

Woodbridge, Diane; Rintoul, Mark Daniel; Wilson, Andrew T.

Recent advances in sensor technology have made continuous real-time health monitoring available in both hospital and non-hospital settings. Since data collected from high frequency medical sensors includes a huge amount of data, storing and processing continuous medical data is an emerging big data area. Especially detecting anomaly in real time is important for patients’ emergency detection and prevention. A time series discord indicates a subsequence that has the maximum difference to the rest of the time series subsequences, meaning that it has abnormal or unusual data trends. In this study, we implemented two versions of time series discord detection algorithmsmore » on a high performance parallel database management system (DBMS) and applied them to 240 Hz waveform data collected from 9,723 patients. The initial brute force version of the discord detection algorithm takes each possible subsequence and calculates a distance to the nearest non-self match to find the biggest discords in time series. For the heuristic version of the algorithm, a combination of an array and a trie structure was applied to order time series data for enhancing time efficiency. The study results showed efficient data loading, decoding and discord searches in a large amount of data, benefiting from the time series discord detection algorithm and the architectural characteristics of the parallel DBMS including data compression, data pipe-lining, and task scheduling.« less

Evaluation of nonlinearity and validity of nonlinear modeling for complex time series.

PubMed

Suzuki, Tomoya; Ikeguchi, Tohru; Suzuki, Masuo

2007-10-01

Even if an original time series exhibits nonlinearity, it is not always effective to approximate the time series by a nonlinear model because such nonlinear models have high complexity from the viewpoint of information criteria. Therefore, we propose two measures to evaluate both the nonlinearity of a time series and validity of nonlinear modeling applied to it by nonlinear predictability and information criteria. Through numerical simulations, we confirm that the proposed measures effectively detect the nonlinearity of an observed time series and evaluate the validity of the nonlinear model. The measures are also robust against observational noises. We also analyze some real time series: the difference of the number of chickenpox and measles patients, the number of sunspots, five Japanese vowels, and the chaotic laser. We can confirm that the nonlinear model is effective for the Japanese vowel /a/, the difference of the number of measles patients, and the chaotic laser.

Evaluation of nonlinearity and validity of nonlinear modeling for complex time series

NASA Astrophysics Data System (ADS)

Suzuki, Tomoya; Ikeguchi, Tohru; Suzuki, Masuo

2007-10-01

Even if an original time series exhibits nonlinearity, it is not always effective to approximate the time series by a nonlinear model because such nonlinear models have high complexity from the viewpoint of information criteria. Therefore, we propose two measures to evaluate both the nonlinearity of a time series and validity of nonlinear modeling applied to it by nonlinear predictability and information criteria. Through numerical simulations, we confirm that the proposed measures effectively detect the nonlinearity of an observed time series and evaluate the validity of the nonlinear model. The measures are also robust against observational noises. We also analyze some real time series: the difference of the number of chickenpox and measles patients, the number of sunspots, five Japanese vowels, and the chaotic laser. We can confirm that the nonlinear model is effective for the Japanese vowel /a/, the difference of the number of measles patients, and the chaotic laser.

Complexity quantification of cardiac variability time series using improved sample entropy (I-SampEn).

PubMed

Marwaha, Puneeta; Sunkaria, Ramesh Kumar

2016-09-01

The sample entropy (SampEn) has been widely used to quantify the complexity of RR-interval time series. It is a fact that higher complexity, and hence, entropy is associated with the RR-interval time series of healthy subjects. But, SampEn suffers from the disadvantage that it assigns higher entropy to the randomized surrogate time series as well as to certain pathological time series, which is a misleading observation. This wrong estimation of the complexity of a time series may be due to the fact that the existing SampEn technique updates the threshold value as a function of long-term standard deviation (SD) of a time series. However, time series of certain pathologies exhibits substantial variability in beat-to-beat fluctuations. So the SD of the first order difference (short term SD) of the time series should be considered while updating threshold value, to account for period-to-period variations inherited in a time series. In the present work, improved sample entropy (I-SampEn), a new methodology has been proposed in which threshold value is updated by considering the period-to-period variations of a time series. The I-SampEn technique results in assigning higher entropy value to age-matched healthy subjects than patients suffering atrial fibrillation (AF) and diabetes mellitus (DM). Our results are in agreement with the theory of reduction in complexity of RR-interval time series in patients suffering from chronic cardiovascular and non-cardiovascular diseases.

Solar-Terrestrial Signal Record in Tree Ring Width Time Series from Brazil

NASA Astrophysics Data System (ADS)

Rigozo, Nivaor Rodolfo; Lisi, Cláudio Sergio; Filho, Mário Tomazello; Prestes, Alan; Nordemann, Daniel Jean Roger; de Souza Echer, Mariza Pereira; Echer, Ezequiel; da Silva, Heitor Evangelista; Rigozo, Valderez F.

2012-12-01

This work investigates the behavior of the sunspot number and Southern Oscillation Index (SOI) signal recorded in the tree ring time series for three different locations in Brazil: Humaitá in Amazônia State, Porto Ferreira in São Paulo State, and Passo Fundo in Rio Grande do Sul State, using wavelet and cross-wavelet analysis techniques. The wavelet spectra of tree ring time series showed signs of 11 and 22 years, possibly related to the solar activity, and periods of 2-8 years, possibly related to El Niño events. The cross-wavelet spectra for all tree ring time series from Brazil present a significant response to the 11-year solar cycle in the time interval between 1921 to after 1981. These tree ring time series still have a response to the second harmonic of the solar cycle (5.5 years), but in different time intervals. The cross-wavelet maps also showed that the relationship between the SOI x tree ring time series is more intense, for oscillation in the range of 4-8 years.

A Framework and Algorithms for Multivariate Time Series Analytics (MTSA): Learning, Monitoring, and Recommendation

ERIC Educational Resources Information Center

Ngan, Chun-Kit

2013-01-01

Making decisions over multivariate time series is an important topic which has gained significant interest in the past decade. A time series is a sequence of data points which are measured and ordered over uniform time intervals. A multivariate time series is a set of multiple, related time series in a particular domain in which domain experts…

Rényi’s information transfer between financial time series

NASA Astrophysics Data System (ADS)

Jizba, Petr; Kleinert, Hagen; Shefaat, Mohammad

2012-05-01

In this paper, we quantify the statistical coherence between financial time series by means of the Rényi entropy. With the help of Campbell’s coding theorem, we show that the Rényi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly suppressing others. This accentuation is controlled with Rényi’s parameter q. To tackle the issue of the information flow between time series, we formulate the concept of Rényi’s transfer entropy as a measure of information that is transferred only between certain parts of underlying distributions. This is particularly pertinent in financial time series, where the knowledge of marginal events such as spikes or sudden jumps is of a crucial importance. We apply the Rényian information flow to stock market time series from 11 world stock indices as sampled at a daily rate in the time period 02.01.1990-31.12.2009. Corresponding heat maps and net information flows are represented graphically. A detailed discussion of the transfer entropy between the DAX and S&P500 indices based on minute tick data gathered in the period 02.04.2008-11.09.2009 is also provided. Our analysis shows that the bivariate information flow between world markets is strongly asymmetric with a distinct information surplus flowing from the Asia-Pacific region to both European and US markets. An important yet less dramatic excess of information also flows from Europe to the US. This is particularly clearly seen from a careful analysis of Rényi information flow between the DAX and S&P500 indices.

Time-Series Analyses of Transcriptomes and Proteomes Reveal Molecular Networks Underlying Oil Accumulation in Canola.

PubMed

Wan, Huafang; Cui, Yixin; Ding, Yijuan; Mei, Jiaqin; Dong, Hongli; Zhang, Wenxin; Wu, Shiqi; Liang, Ying; Zhang, Chunyu; Li, Jiana; Xiong, Qing; Qian, Wei

2016-01-01

Understanding the regulation of lipid metabolism is vital for genetic engineering of canola ( Brassica napus L.) to increase oil yield or modify oil composition. We conducted time-series analyses of transcriptomes and proteomes to uncover the molecular networks associated with oil accumulation and dynamic changes in these networks in canola. The expression levels of genes and proteins were measured at 2, 4, 6, and 8 weeks after pollination (WAP). Our results show that the biosynthesis of fatty acids is a dominant cellular process from 2 to 6 WAP, while the degradation mainly happens after 6 WAP. We found that genes in almost every node of fatty acid synthesis pathway were significantly up-regulated during oil accumulation. Moreover, significant expression changes of two genes, acetyl-CoA carboxylase and acyl-ACP desaturase, were detected on both transcriptomic and proteomic levels. We confirmed the temporal expression patterns revealed by the transcriptomic analyses using quantitative real-time PCR experiments. The gene set association analysis show that the biosynthesis of fatty acids and unsaturated fatty acids are the most significant biological processes from 2-4 WAP and 4-6 WAP, respectively, which is consistent with the results of time-series analyses. These results not only provide insight into the mechanisms underlying lipid metabolism, but also reveal novel candidate genes that are worth further investigation for their values in the genetic engineering of canola.

An introduction to chaotic and random time series analysis

NASA Technical Reports Server (NTRS)

Scargle, Jeffrey D.

1989-01-01

The origin of chaotic behavior and the relation of chaos to randomness are explained. Two mathematical results are described: (1) a representation theorem guarantees the existence of a specific time-domain model for chaos and addresses the relation between chaotic, random, and strictly deterministic processes; (2) a theorem assures that information on the behavior of a physical system in its complete state space can be extracted from time-series data on a single observable. Focus is placed on an important connection between the dynamical state space and an observable time series. These two results lead to a practical deconvolution technique combining standard random process modeling methods with new embedded techniques.

Measuring Complexity and Predictability of Time Series with Flexible Multiscale Entropy for Sensor Networks

PubMed Central

Zhou, Renjie; Yang, Chen; Wan, Jian; Zhang, Wei; Guan, Bo; Xiong, Naixue

2017-01-01

Measurement of time series complexity and predictability is sometimes the cornerstone for proposing solutions to topology and congestion control problems in sensor networks. As a method of measuring time series complexity and predictability, multiscale entropy (MSE) has been widely applied in many fields. However, sample entropy, which is the fundamental component of MSE, measures the similarity of two subsequences of a time series with either zero or one, but without in-between values, which causes sudden changes of entropy values even if the time series embraces small changes. This problem becomes especially severe when the length of time series is getting short. For solving such the problem, we propose flexible multiscale entropy (FMSE), which introduces a novel similarity function measuring the similarity of two subsequences with full-range values from zero to one, and thus increases the reliability and stability of measuring time series complexity. The proposed method is evaluated on both synthetic and real time series, including white noise, 1/f noise and real vibration signals. The evaluation results demonstrate that FMSE has a significant improvement in reliability and stability of measuring complexity of time series, especially when the length of time series is short, compared to MSE and composite multiscale entropy (CMSE). The proposed method FMSE is capable of improving the performance of time series analysis based topology and traffic congestion control techniques. PMID:28383496

Measuring Complexity and Predictability of Time Series with Flexible Multiscale Entropy for Sensor Networks.

PubMed

Zhou, Renjie; Yang, Chen; Wan, Jian; Zhang, Wei; Guan, Bo; Xiong, Naixue

2017-04-06

Measurement of time series complexity and predictability is sometimes the cornerstone for proposing solutions to topology and congestion control problems in sensor networks. As a method of measuring time series complexity and predictability, multiscale entropy (MSE) has been widely applied in many fields. However, sample entropy, which is the fundamental component of MSE, measures the similarity of two subsequences of a time series with either zero or one, but without in-between values, which causes sudden changes of entropy values even if the time series embraces small changes. This problem becomes especially severe when the length of time series is getting short. For solving such the problem, we propose flexible multiscale entropy (FMSE), which introduces a novel similarity function measuring the similarity of two subsequences with full-range values from zero to one, and thus increases the reliability and stability of measuring time series complexity. The proposed method is evaluated on both synthetic and real time series, including white noise, 1/f noise and real vibration signals. The evaluation results demonstrate that FMSE has a significant improvement in reliability and stability of measuring complexity of time series, especially when the length of time series is short, compared to MSE and composite multiscale entropy (CMSE). The proposed method FMSE is capable of improving the performance of time series analysis based topology and traffic congestion control techniques.

A Multilevel Multiset Time-Series Model for Describing Complex Developmental Processes

PubMed Central

Ma, Xin; Shen, Jianping

2017-01-01

The authors sought to develop an analytical platform where multiple sets of time series can be examined simultaneously. This multivariate platform capable of testing interaction effects among multiple sets of time series can be very useful in empirical research. The authors demonstrated that the multilevel framework can readily accommodate this analytical capacity. Given their intention to use the multilevel multiset time-series model to pursue complicated research purposes, their resulting model is relatively simple to specify, to run, and to interpret. These advantages make the adoption of their model relatively effortless as long as researchers have the basic knowledge and skills in working with multilevel growth modeling. With multiple potential extensions of their model, the establishment of this analytical platform for analysis of multiple sets of time series can inspire researchers to pursue far more advanced research designs to address complex developmental processes in reality. PMID:29881094

A new algorithm for automatic Outlier Detection in GPS Time Series

NASA Astrophysics Data System (ADS)

Cannavo', Flavio; Mattia, Mario; Rossi, Massimo; Palano, Mimmo; Bruno, Valentina

2010-05-01

Nowadays continuous GPS time series are considered a crucial product of GPS permanent networks, useful in many geo-science fields, such as active tectonics, seismology, crustal deformation and volcano monitoring (Altamimi et al. 2002, Elósegui et al. 2006, Aloisi et al. 2009). Although the GPS data elaboration software has increased in reliability, the time series are still affected by different kind of noise, from the intrinsic noise (e.g. thropospheric delay) to the un-modeled noise (e.g. cycle slips, satellite faults, parameters changing). Typically GPS Time Series present characteristic noise that is a linear combination of white noise and correlated colored noise, and this characteristic is fractal in the sense that is evident for every considered time scale or sampling rate. The un-modeled noise sources result in spikes, outliers and steps. These kind of errors can appreciably influence the estimation of velocities of the monitored sites. The outlier detection in generic time series is a widely treated problem in literature (Wei, 2005), while is not fully developed for the specific kind of GPS series. We propose a robust automatic procedure for cleaning the GPS time series from the outliers and, especially for long daily series, steps due to strong seismic or volcanic events or merely instrumentation changing such as antenna and receiver upgrades. The procedure is basically divided in two steps: a first step for the colored noise reduction and a second step for outlier detection through adaptive series segmentation. Both algorithms present novel ideas and are nearly unsupervised. In particular, we propose an algorithm to estimate an autoregressive model for colored noise in GPS time series in order to subtract the effect of non Gaussian noise on the series. This step is useful for the subsequent step (i.e. adaptive segmentation) which requires the hypothesis of Gaussian noise. The proposed algorithms are tested in a benchmark case study and the results

Analysis of Vlbi, Slr and GPS Site Position Time Series

NASA Astrophysics Data System (ADS)

Angermann, D.; Krügel, M.; Meisel, B.; Müller, H.; Tesmer, V.

Conventionally the IERS terrestrial reference frame (ITRF) is realized by the adoption of a set of epoch coordinates and linear velocities for a set of global tracking stations. Due to the remarkable progress of the space geodetic observation techniques (e.g. VLBI, SLR, GPS) the accuracy and consistency of the ITRF increased continuously. The accuracy achieved today is mainly limited by technique-related systematic errors, which are often poorly characterized or quantified. Therefore it is essential to analyze the individual techniques' solutions with respect to systematic differences, models, parameters, datum definition, etc. Main subject of this presentation is the analysis of GPS, SLR and VLBI time series of site positions. The investigations are based on SLR and VLBI solutions computed at DGFI with the software systems DOGS (SLR) and OCCAM (VLBI). The GPS time series are based on weekly IGS station coordinates solutions. We analyze the time series with respect to the issues mentioned above. In particular we characterize the noise in the time series, identify periodic signals, and investigate non-linear effects that complicate the assignment of linear velocities for global tracking sites. One important aspect is the comparison of results obtained by different techniques at colocation sites.

Improving GNSS time series for volcano monitoring: application to Canary Islands (Spain)

NASA Astrophysics Data System (ADS)

García-Cañada, Laura; Sevilla, Miguel J.; Pereda de Pablo, Jorge; Domínguez Cerdeña, Itahiza

2017-04-01

The number of permanent GNSS stations has increased significantly in recent years for different geodetic applications such as volcano monitoring, which require a high precision. Recently we have started to have coordinates time series long enough so that we can apply different analysis and filters that allow us to improve the GNSS coordinates results. Following this idea we have processed data from GNSS permanent stations used by the Spanish Instituto Geográfico Nacional (IGN) for volcano monitoring in Canary Islands to obtained time series by double difference processing method with Bernese v5.0 for the period 2007-2014. We have identified the characteristics of these time series and obtained models to estimate velocities with greater accuracy and more realistic uncertainties. In order to improve the results we have used two kinds of filters to improve the time series. The first, a spatial filter, has been computed using the series of residuals of all stations in the Canary Islands without an anomalous behaviour after removing a linear trend. This allows us to apply this filter to all sets of coordinates of the permanent stations reducing their dispersion. The second filter takes account of the temporal correlation in the coordinate time series for each station individually. A research about the evolution of the velocity depending on the series length has been carried out and it has demonstrated the need for using time series of at least four years. Therefore, in those stations with more than four years of data, we calculated the velocity and the characteristic parameters in order to have time series of residuals. This methodology has been applied to the GNSS data network in El Hierro (Canary Islands) during the 2011-2012 eruption and the subsequent magmatic intrusions (2012-2014). The results show that in the new series it is easier to detect anomalous behaviours in the coordinates, so they are most useful to detect crustal deformations in volcano monitoring.

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.

Toward automatic time-series forecasting using neural networks.

PubMed

Yan, Weizhong

2012-07-01

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

Irreversibility of financial time series: A graph-theoretical approach