Automatic trend estimation (SpringerBriefs in Physics) - Softcover

Vamos¸, C˘alin; Cr˘aciun, Maria

 
9789400748248: Automatic trend estimation (SpringerBriefs in Physics)
Softcover
ISBN 10: 9400748248 ISBN 13: 9789400748248
Verlag: Springer, 2012

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

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.

Von der hinteren Coverseite

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.

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Verlag
Springer
Erscheinungsdatum
2012
Sprache
Englisch
ISBN 10 
9400748248
ISBN 13 
9789400748248
Einband
Tapa blanda
Anzahl der Seiten
144
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
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ISBN 10:  9400748264 ISBN 13:  9789400748262
Verlag: Springer, 2012
Softcover