Genetic Algorithm Search for Predictive Patterns in Multidimensional Time Series

Based on an algorithm for pattern matching in character strings, we implement a pattern matching machine that searches for occurrences of patterns in multidimensional time series. Before the search process takes place, time series are encoded in user-designed alphabets. The patterns, on the other hand, are formulated as regular expressions that are composed of letters from these alphabets and operators. Furthermore, we develop a genetic algorithm to breed patterns that maximize a user-defined fitness function. In an application to financial data, we show that patterns bred to predict high exchange rates volatility in training samples retain statistically significant predictive power in validation samples.

The impact of a PCR assay for candidemia on antifungal drug prescribing in critical care: an interrupted time series pilot study.

Objective To evaluate the feasibility of conducting a definitive study to assess the impact of introducing a rapid PCR-based test for candidemia on antifungal drug prescribing. Method Prospective, single centre, interrupted time series study consisting of three periods of six months' duration. The assay was available during the second period, during which the PCR assay was available for routine use by physicians Monday–Friday with guaranteed 24-h turnaround time. For each period total antifungal drug use, expressed as treatment-days, was recorded and an adjustment was made to exclude estimated use for proven candidemia. Also, during the intervention period, antifungal prescribing decisions for up to 72 h after each PCR result became available were recorded as either concordant or discordant with that result. Results While overall antifungal use remained relatively stable throughout, after adjustment for candidemia, there was a 38% reduction in use following introduction of the PCR test; however, this was nonsignificant at the 95% level. During the intervention period overall concordance between the PCR result and prescribing decisions was 84%. Conclusions The PCR assay for candidemia was requested, prescribing decisions were generally concordant with the results produced and there was an apparent decrease in antifungal prescription, although this was sustained even after withdrawal of the intervention; these findings should be more thoroughly evaluated in a larger trial.

Nonlinear time series prediction based on a power-law noise model

In this paper we investigate the influence of a power-law noise model, also called noise, on the performance of a feed-forward neural network used to predict time series. We introduce an optimization procedure that optimizes the parameters the neural networks by maximizing the likelihood function based on the power-law model. We show that our optimization procedure minimizes the mean squared leading to an optimal prediction. Further, we present numerical results applying method to time series from the logistic map and the annual number of sunspots demonstrate that a power-law noise model gives better results than a Gaussian model.

Temporal extension of Laplacian Eigenmaps for unsupervised dimensionality reduction of time series

A novel non-linear dimensionality reduction method, called Temporal Laplacian Eigenmaps, is introduced to process efficiently time series data. In this embedded-based approach, temporal information is intrinsic to the objective function, which produces description of low dimensional spaces with time coherence between data points. Since the proposed scheme also includes bidirectional mapping between data and embedded spaces and automatic tuning of key parameters, it offers the same benefits as mapping-based approaches. Experiments on a couple of computer vision applications demonstrate the superiority of the new approach to other dimensionality reduction method in term of accuracy. Moreover, its lower computational cost and generalisation abilities suggest it is scalable to larger datasets. © 2010 IEEE.

Crack detection of steel girders using Brillouin optical time domain analysis

This article presents the results from an experimental program designed to evaluate the performance of a system consisting of a readout unit and a ribbon type Fiber Optic Sensor (FOS) based on Brillouin Optical Time Domain Analysis (BOTDA). The system is intended for the detection of cracks as well as the monitoring of long-term performance for steel bridge girders. The program consisted of introducing a crack at the center of a 3-m-long steel beam and monitoring its progression using static loading tests performed at ambient and sub-zero temperatures. For sensor lengths similar to those used in the field, the resonant frequency shifts per unit increase in crack width were found to decrease from 114 MHz/mm at ambient temperature (~25C) to 65 MHz/mm at -10C. Results also revealed nonlinearity and variability, which can be attributed to an incompatibility between the settings of the laser pump in the readout unit and the sensor length. Significant losses were detected along the bonded segments of the sensor and were attributed to the presence of ripples along the sensor. These undulations worsen with a reduction in temperature and are induced by the bonding procedure as well as the slack provided in the plastic sleeves containing the splices.

Comparison of Wavelet Transform and Time-Domain Analysis of Second Trimester Uterine Artery Doppler Waveforms in Screening for Pre-Eclampsia

The aim of this study was to compare time-domain waveform analysis of second-trimester uterine artery Doppler using the resistance index (RI) with waveform analysis using a mathematical tool known as wavelet transform for the prediction of pre-eclampsia (PE). This was a retrospective, nested case-cohort study of 336 women, 37 of whom subsequently developed PE. Uterine artery Doppler waveforms were analysed using both RI and waveform analysis. The utility of these indices in screening for PE was then evaluated using receiver operating characteristic curves. There were significant differences in uterine artery RI between the PE women and those with normal pregnancy outcome. After wavelet analysis, significant difference in the mean amplitude in wavelet frequency band 4 was noted between the 2 groups. The sensitivity for both Doppler RI and frequency band 4 for the detection of PE at a 10% false-positive rate was 45%. This small study demonstrates the application of wavelet transform analysis of uterine artery Doppler waveforms in screening for PE. Further prospective studies are needed in order to clearly define if this analytical approach to waveform analysis may have the potential to improve the detection of PE by uterine artery Doppler screening.

Bandwidth selection by cross-validation for forecasting long memory financial time series

The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of sample forecasting properties are proposed. These procedures are used for the choice of bandwidth and subsequent model selection. Simulation evidence is presented that demonstrates the advantage of the proposed new methodology.