E-Book, Englisch, 131 Seiten
Reihe: SpringerBriefs in Physics
Vamos¸ / Cr?aciun Automatic trend estimation
2013
ISBN: 978-94-007-4825-5
Verlag: Springer Netherlands
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 131 Seiten
Reihe: SpringerBriefs in Physics
ISBN: 978-94-007-4825-5
Verlag: Springer Netherlands
Format: PDF
Kopierschutz: 1 - PDF Watermark
Our book introduces a method to evaluate the accuracy of trend estimation algorithms under conditions similar to those encountered in real time series processing. This method is based on Monte Carlo experiments with artificial time series numerically generated by an original algorithm. The second part of the book contains several automatic algorithms for trend estimation and time series partitioning. The source codes of the computer programs implementing these original automatic algorithms are given in the appendix and will be freely available on the web. The book contains clear statement of the conditions and the approximations under which the algorithms work, as well as the proper interpretation of their results. We illustrate the functioning of the analyzed algorithms by processing time series from astrophysics, finance, biophysics, and paleoclimatology. The numerical experiment method extensively used in our book is already in common use in computational and statistical physics.
Vamos is Scientific researcher II at 'Tiberiu Popoviciu' Institute of Numerical Analysis (Romania). His interests are on time series theory and quantitative finance.
Craciun is Scientific researcher III at 'Tiberiu Popoviciu' Institute of Numerical Analysis (Romania). Her interests are on time series theory and quantitative finance.
