Algebraic time series forecasting and segmentation models

Algebraic time series forecasting and segmentation models

An algebraic segmentation method based on algebraic predictor with internal smoothing is proposed. The concept of the rank of the sequence is proposed for the detection of a base fragment of the sequence. Numerical experiments with a real-world financial time series illustrate the segmentation metho...

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Veröffentlicht in:Lietuvos matematikos rinkinys 2015-12, Vol.56 (B)
Hauptverfasser: Lukoševičiūtė, Kristina, Palivonaitė, Rita
Format: Artikel
Sprache:eng
Schlagworte:
algebraic sequence
Hankel matrix
time series forecasting
time series segmentation
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Beschreibung
Zusammenfassung:An algebraic segmentation method based on algebraic predictor with internal smoothing is proposed. The concept of the rank of the sequence is proposed for the detection of a base fragment of the sequence. Numerical experiments with a real-world financial time series illustrate the segmentation method.
ISSN:0132-2818
2335-898X
DOI:10.15388/LMR.B.2015.06