Multiscale trend analysis

DOI10.1142/S0218348X04002604zbMATH Open1302.62201arXivphysics/0305013OpenAlexW2120900316MaRDI QIDQ2937147FDOQ2937147

Authors: Ilya Zaliapin, Andrei Gabrielov, Vladimir Keilis-Borok 

Publication date: 8 January 2015

Published in: Fractals (Search for Journal in Brave)

Abstract: This paper introduces a multiscale analysis based on optimal piecewise linear approximations of time series. An optimality criterion is formulated and on its base a computationally effective algorithm is constructed for decomposition of a time series into a hierarchy of trends (local linear approximations) at different scales. The top of the hierarchy is the global linear approximation over the whole observational interval, the bottom is the original time series. Each internal level of the hierarchy corresponds to a piecewise linear approximation of analyzed series. Possible applications of the introduced Multiscale Trend Analysis (MTA) go far beyond the linear interpolation problem: This paper develops and illustrates methods of self-affine, hierarchical, and correlation analyses of time series.

Full work available at URL: https://arxiv.org/abs/physics/0305013

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zbMATH Keywords

piecewise linear approximationhierarchical scalingmultiscale trend analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25)

Cites Work

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• Complexity

Cited In (2)

• Bayesian multiscale analysis for time series data
• Constructing trends of time series segments

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