scholarly journals A new measure between sets of probability distributions with applications to erratic financial behavior

2021 ◽  
Vol 2021 (12) ◽  
pp. 123404
Author(s):  
Nick James ◽  
Max Menzies
Keyword(s):  
Time Series ◽  
Structural Breaks ◽  
Probability Distributions ◽  
Detection Algorithm ◽  
Change Point Detection ◽  
Financial Behavior ◽  
Quantitative Evidence ◽  
Behavior Profiles ◽  
Erratic Behavior ◽  
New Framework

Abstract This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual elements. Combining this with a Bayesian change point detection algorithm, we produce a new measure of similarity between time series with respect to their structural breaks. First, we demonstrate the algorithm’s effectiveness on a collection of piecewise autoregressive processes. Next, we apply this to financial data to study the erratic behavior profiles of 19 countries and 11 sectors over the past 20 years. Our measure provides quantitative evidence that there is greater collective similarity among sectors’ erratic behavior profiles than those of countries, which we observe upon individual inspection of these time series. Our measure could be used as a new framework or complementary tool for investors seeking to make asset allocation decisions for financial portfolios.

scholarly journals Online detection of offsets in GPS time series

2020 ◽  
Author(s):  
Giuseppe Nunnari ◽  
Flavio Cannavó
Keyword(s):  
Time Series ◽  
Change Point ◽  
Detection Algorithm ◽  
Change Point Detection ◽  
Mount Etna ◽  
False Alarms ◽  
Trade Off ◽  
Point Detection ◽  
Gps Time Series ◽  
Eruptive Fissures

Abstract This paper deals with the online offset detection in GPS time series recorded in volcanic areas. The interest for this problem lies in the fact that an offset can indicate the opening of eruptive fissures. A Change Point Detection algorithm is applied to carry out, in an online framework, the offset detection. Experimental results show that the algorithm is able to recognize the offset generated by the Mount Etna eruption, occurred on December 24, 2018, with a delay of about 4 samples, corresponding to 40 min, compared to the best offline detection. Furthermore, analysis of the trade-off between success and false alarms is carried out and discussed.

scholarly journals Examining GDP Growth and Its Volatility: An Episodic Approach

Entropy ◽  
2021 ◽  
Vol 23 (7) ◽  
pp. 890
Author(s):  
Jakub Bartak ◽  
Łukasz Jabłoński ◽  
Agnieszka Jastrzębska
Keyword(s):  
Economic Growth ◽  
Genetic Algorithm ◽  
Time Series ◽  
Human Capital ◽  
Growth Rates ◽  
Structural Breaks ◽  
Negative Relationship ◽  
Gdp Per Capita ◽  
Gdp Growth ◽  
Per Capita

In this paper, we study economic growth and its volatility from an episodic perspective. We first demonstrate the ability of the genetic algorithm to detect shifts in the volatility and levels of a given time series. Having shown that it works well, we then use it to detect structural breaks that segment the GDP per capita time series into episodes characterized by different means and volatility of growth rates. We further investigate whether a volatile economy is likely to grow more slowly and analyze the determinants of high/low growth with high/low volatility patterns. The main results indicate a negative relationship between volatility and growth. Moreover, the results suggest that international trade simultaneously promotes growth and increases volatility, human capital promotes growth and stability, and financial development reduces volatility and negatively correlates with growth.

scholarly journals Change Point Enhanced Anomaly Detection for IoT Time Series Data

Water ◽  
2021 ◽  
Vol 13 (12) ◽  
pp. 1633
Author(s):  
Elena-Simona Apostol ◽  
Ciprian-Octavian Truică ◽  
Florin Pop ◽  
Christian Esposito
Keyword(s):  
Time Series ◽  
Anomaly Detection ◽  
Change Point ◽  
Time Series Data ◽  
Multivariate Time Series ◽  
Change Point Detection ◽  
Change Points ◽  
Series Data ◽  
Prediction And Forecasting ◽  
Point Detection

Due to the exponential growth of the Internet of Things networks and the massive amount of time series data collected from these networks, it is essential to apply efficient methods for Big Data analysis in order to extract meaningful information and statistics. Anomaly detection is an important part of time series analysis, improving the quality of further analysis, such as prediction and forecasting. Thus, detecting sudden change points with normal behavior and using them to discriminate between abnormal behavior, i.e., outliers, is a crucial step used to minimize the false positive rate and to build accurate machine learning models for prediction and forecasting. In this paper, we propose a rule-based decision system that enhances anomaly detection in multivariate time series using change point detection. Our architecture uses a pipeline that automatically manages to detect real anomalies and remove the false positives introduced by change points. We employ both traditional and deep learning unsupervised algorithms, in total, five anomaly detection and five change point detection algorithms. Additionally, we propose a new confidence metric based on the support for a time series point to be an anomaly and the support for the same point to be a change point. In our experiments, we use a large real-world dataset containing multivariate time series about water consumption collected from smart meters. As an evaluation metric, we use Mean Absolute Error (MAE). The low MAE values show that the algorithms accurately determine anomalies and change points. The experimental results strengthen our assumption that anomaly detection can be improved by determining and removing change points as well as validates the correctness of our proposed rules in real-world scenarios. Furthermore, the proposed rule-based decision support systems enable users to make informed decisions regarding the status of the water distribution network and perform effectively predictive and proactive maintenance.

scholarly journals Breakdown coefficients and scaling properties of rain fields

1998 ◽  
Vol 5 (2) ◽  
pp. 93-104 ◽  
Author(s):  
D. Harris ◽  
M. Menabde ◽  
A. Seed ◽  
G. Austin
Keyword(s):  
Time Series ◽  
Parameter Estimation ◽  
Power Law ◽  
Scale Parameter ◽  
Probability Distributions ◽  
Scaling Analysis ◽  
Scaling Properties ◽  
Power Law Exponent ◽  
Scale Similarity ◽  
Parameter Estimation Techniques

Abstract. The theory of scale similarity and breakdown coefficients is applied here to intermittent rainfall data consisting of time series and spatial rain fields. The probability distributions (pdf) of the logarithm of the breakdown coefficients are the principal descriptor used. Rain fields are distinguished as being either multiscaling or multiaffine depending on whether the pdfs of breakdown coefficients are scale similar or scale dependent, respectively. Parameter  estimation techniques are developed which are applicable to both multiscaling and multiaffine fields. The scale parameter (width), σ, of the pdfs of the log-breakdown coefficients is a measure of the intermittency of a field. For multiaffine fields, this scale parameter is found to increase with scale in a power-law fashion consistent with a bounded-cascade picture of rainfall modelling. The resulting power-law exponent, H, is indicative of the smoothness of the field. Some details of breakdown coefficient analysis are addressed and a theoretical link between this analysis and moment scaling analysis is also presented. Breakdown coefficient properties of cascades are also investigated in the context of parameter estimation for modelling purposes.

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