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 meth...

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Bibliographic Details
Main Authors: Kristina Lukoševičiūtė, Rita Palivonaitė
Format: Article
Language:English
Published: Vilnius University Press 2015-12-01
Series:Lietuvos Matematikos Rinkinys
Subjects:
Hankel matrix
time series forecasting
time series segmentation
algebraic sequence
Online Access:https://www.journals.vu.lt/LMR/article/view/17703
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spelling doaj-4ef57718335b43938c77980b7013285a2020-11-25T03:34:09ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2015-12-0156B10.15388/LMR.B.2015.06Algebraic time series forecasting and segmentation modelsKristina Lukoševičiūtė0Rita Palivonaitė1Kauno technologijos universitetasKauno technologijos universitetas 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. https://www.journals.vu.lt/LMR/article/view/17703Hankel matrixtime series forecastingtime series segmentationalgebraic sequence
collection DOAJ
language English
format Article
sources DOAJ
author Kristina Lukoševičiūtė
Rita Palivonaitė
spellingShingle Kristina Lukoševičiūtė
Rita Palivonaitė
Algebraic time series forecasting and segmentation models
Lietuvos Matematikos Rinkinys
Hankel matrix
time series forecasting
time series segmentation
algebraic sequence
author_facet Kristina Lukoševičiūtė
Rita Palivonaitė
author_sort Kristina Lukoševičiūtė
title Algebraic time series forecasting and segmentation models
title_short Algebraic time series forecasting and segmentation models
title_full Algebraic time series forecasting and segmentation models
title_fullStr Algebraic time series forecasting and segmentation models
title_full_unstemmed Algebraic time series forecasting and segmentation models
title_sort algebraic time series forecasting and segmentation models
publisher Vilnius University Press
series Lietuvos Matematikos Rinkinys
issn 0132-2818
2335-898X
publishDate 2015-12-01
description 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.
topic Hankel matrix
time series forecasting
time series segmentation
algebraic sequence
url https://www.journals.vu.lt/LMR/article/view/17703
work_keys_str_mv AT kristinalukoseviciute algebraictimeseriesforecastingandsegmentationmodels
AT ritapalivonaite algebraictimeseriesforecastingandsegmentationmodels
_version_ 1724560287636389888

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