Approximations of time series (Q420174)

Summary: A method is proposed to approximate the main features or patterns including interventions that may occur in a time series. Collision data from the Ontario Ministry of Transportation illustrate the approach using monthly collision counts from police reports over a 10-year period from 1990 to 1999. The domain of the time series is partitioned into non-overlapping subdomains. The major condition on the approximation requires that the series and the approximation have the same average value over each subdomain. To obtain a smooth approximation, based on the second difference of the series, a few iterations are necessary since an iteration over one subdomain is affected by the previous iterations over the adjacent subdomains.