A Method for Visualizing Multivariate Time Series Data

Visualization and exploratory analysis is an important part of any data analysis and is made more challenging when the data are voluminous and high-dimensional. One such example is environmental monitoring data, which are often collected over time and at multiple locations, resulting in a geographically indexed multivariate time series. Financial data, although not necessarily containing a geographic component, present another source of high-volume multivariate time series data. We present the mvtsplot function which provides a method for visualizing multivariate time series data. We outline the basic design concepts and provide some examples of its usage by applying it to a database of ambient air pollution measurements in the United States and to a hypothetical portfolio of stocks.

IDENTIFICATION OF THE STATE OF A WET SPOUTED BED THROUGH TIME-FREQUENCY ANALYSIS OF PRESSURE FLUCTUATION TIME SERIES

The feasibility of detecting instability in wet spouted beds via pressure fluctuation (PF) time-series analyses was investigated. Experiments were carried out in a cylindrical Plexiglas column of diameter 150 mm with a conical base of internal angle 60 degrees, an inlet orifice diameter of 25 mm and glass beads of diameter 2.4 mm. Transducers at several axial positions measured PF time series with incremental addition of aqueous sucrose solutions of different concentrations. Liquid addition affected the spouted bed dynamics, causing irregular spouting, increased voidage in the annulus, increased fountain height, irregular annulus height, channelling, agglomeration, and adhesion of particles to the column walls. Autocorrelations indicated the appearance of periodicities in the PF signals with increasing sucrose addition. Dominant peaks in power-spectral density developed at low frequencies with changing system dynamics. The results indicate that PF signals furnish relevant information on system dynamics, useful for monitoring and control of spouted bed operations such as particle coating and drying of paste-like materials.

The portuguese pharmaceutial market in the near future - A time series exploration approach

Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação

Analysis of functional magnetic resonance imaging time series by independent component analysis

Independent Component Analysis, Time Series Analysis, Functional Magnetic Resonance Imaging

The Association of H1N1 Pandemic Influenza with Congenital Anomaly Prevalence in Europe: An Ecological Time Series Study.

BACKGROUND: In the context of the European Surveillance of Congenital Anomalies (EUROCAT) surveillance response to the 2009 influenza pandemic, we sought to establish whether there was a detectable increase of congenital anomaly prevalence among pregnancies exposed to influenza seasons in general, and whether any increase was greater during the 2009 pandemic than during other seasons. METHODS: We performed an ecologic time series analysis based on 26,967 pregnancies with nonchromosomal congenital anomaly conceived from January 2007 to March 2011, reported by 15 EUROCAT registries. Analysis was performed for EUROCAT-defined anomaly subgroups, divided by whether there was a prior hypothesis of association with influenza. Influenza season exposure was based on World Health Organization data. Prevalence rate ratios were calculated comparing pregnancies exposed to influenza season during the congenital anomaly-specific critical period for embryo-fetal development to nonexposed pregnancies. RESULTS: There was no evidence for an increased overall prevalence of congenital anomalies among pregnancies exposed to influenza season. We detected an increased prevalence of ventricular septal defect and tricuspid atresia and stenosis during pandemic influenza season 2009, but not during 2007-2011 influenza seasons. For congenital anomalies, where there was no prior hypothesis, the prevalence of tetralogy of Fallot was strongly reduced during influenza seasons. CONCLUSIONS: Our data do not suggest an overall association of pandemic or seasonal influenza with congenital anomaly prevalence. One interpretation is that apparent influenza effects found in previous individual-based studies were confounded by or interacting with other risk factors. The associations of heart anomalies with pandemic influenza could be strain specific.

Change points detection in crime-related time series: an on-line fuzzy approach based on a shape space representation

The extension of traditional data mining methods to time series has been effectively applied to a wide range of domains such as finance, econometrics, biology, security, and medicine. Many existing mining methods deal with the task of change points detection, but very few provide a flexible approach. Querying specific change points with linguistic variables is particularly useful in crime analysis, where intuitive, understandable, and appropriate detection of changes can significantly improve the allocation of resources for timely and concise operations. In this paper, we propose an on-line method for detecting and querying change points in crime-related time series with the use of a meaningful representation and a fuzzy inference system. Change points detection is based on a shape space representation, and linguistic terms describing geometric properties of the change points are used to express queries, offering the advantage of intuitiveness and flexibility. An empirical evaluation is first conducted on a crime data set to confirm the validity of the proposed method and then on a financial data set to test its general applicability. A comparison to a similar change-point detection algorithm and a sensitivity analysis are also conducted. Results show that the method is able to accurately detect change points at very low computational costs. More broadly, the detection of specific change points within time series of virtually any domain is made more intuitive and more understandable, even for experts not related to data mining.

Reconstruction of gusty wind speed time series from autonomous data logger records

The collection of wind speed time series by means of digital data loggers occurs in many domains, including civil engineering, environmental sciences and wind turbine technology. Since averaging intervals are often significantly larger than typical system time scales, the information lost has to be recovered in order to reconstruct the true dynamics of the system. In the present work we present a simple algorithm capable of generating a real-time wind speed time series from data logger records containing the average, maximum, and minimum values of the wind speed in a fixed interval, as well as the standard deviation. The signal is generated from a generalized random Fourier series. The spectrum can be matched to any desired theoretical or measured frequency distribution. Extreme values are specified through a postprocessing step based on the concept of constrained simulation. Applications of the algorithm to 10-min wind speed records logged at a test site at 60 m height above the ground show that the recorded 10-min values can be reproduced by the simulated time series to a high degree of accuracy.

The analysis of economic time series.

"Originally published as Monograph no.6 of the Cowles Commission for Research in Economics."

Seasonal analysis of economic time series /

Mode of access: Internet.

Causality detection on US mutual fund movements using evolutionary subset time-series

In this paper we develop an evolutionary kernel-based time update algorithm to recursively estimate subset discrete lag models (including fullorder models) with a forgetting factor and a constant term, using the exactwindowed case. The algorithm applies to causality detection when the true relationship occurs with a continuous or a random delay. We then demonstrate the use of the proposed evolutionary algorithm to study the monthly mutual fund data, which come from the 'CRSP Survivor-bias free US Mutual Fund Database'. The results show that the NAV is an influential player on the international stage of global bond and stock markets.

Structural change in macroeconomic time series: A complex systems perspective

We demonstrate that the process of generating smooth transitions Call be viewed as a natural result of the filtering operations implied in the generation of discrete-time series observations from the sampling of data from an underlying continuous time process that has undergone a process of structural change. In order to focus discussion, we utilize the problem of estimating the location of abrupt shifts in some simple time series models. This approach will permit its to address salient issues relating to distortions induced by the inherent aggregation associated with discrete-time sampling of continuous time processes experiencing structural change, We also address the issue of how time irreversible structures may be generated within the smooth transition processes. (c) 2005 Elsevier Inc. All rights reserved.

Using intervention time series analyses to assess the effects of imperfectly identifiable natural events: A general method and example

BACKGROUND: Intervention time series analysis (ITSA) is an important method for analysing the effect of sudden events on time series data. ITSA methods are quasi-experimental in nature and the validity of modelling with these methods depends upon assumptions about the timing of the intervention and the response of the process to it. METHOD: This paper describes how to apply ITSA to analyse the impact of unplanned events on time series when the timing of the event is not accurately known, and so the problems of ITSA methods are magnified by uncertainty in the point of onset of the unplanned intervention. RESULTS: The methods are illustrated using the example of the Australian Heroin Shortage of 2001, which provided an opportunity to study the health and social consequences of an abrupt change in heroin availability in an environment of widespread harm reduction measures. CONCLUSION: Application of these methods enables valuable insights about the consequences of unplanned and poorly identified interventions while minimising the risk of spurious results.

Hidden state models for time series

Amongst all the objectives in the study of time series, uncovering the dynamic law of its generation is probably the most important. When the underlying dynamics are not available, time series modelling consists of developing a model which best explains a sequence of observations. In this thesis, we consider hidden space models for analysing and describing time series. We first provide an introduction to the principal concepts of hidden state models and draw an analogy between hidden Markov models and state space models. Central ideas such as hidden state inference or parameter estimation are reviewed in detail. A key part of multivariate time series analysis is identifying the delay between different variables. We present a novel approach for time delay estimating in a non-stationary environment. The technique makes use of hidden Markov models and we demonstrate its application for estimating a crucial parameter in the oil industry. We then focus on hybrid models that we call dynamical local models. These models combine and generalise hidden Markov models and state space models. Probabilistic inference is unfortunately computationally intractable and we show how to make use of variational techniques for approximating the posterior distribution over the hidden state variables. Experimental simulations on synthetic and real-world data demonstrate the application of dynamical local models for segmenting a time series into regimes and providing predictive distributions.

Frequency domain analysis of stationary time series

This thesis provides a necessary and sufficient condition for asymptotic efficiency of a nonparametric estimator of the generalised autocovariance function of a Gaussian stationary random process. The generalised autocovariance function is the inverse Fourier transform of a power transformation of the spectral density, and encompasses the traditional and inverse autocovariance functions. Its nonparametric estimator is based on the inverse discrete Fourier transform of the same power transformation of the pooled periodogram. The general result is then applied to the class of Gaussian stationary ARMA processes and its implications are discussed. We illustrate that for a class of contrast functionals and spectral densities, the minimum contrast estimator of the spectral density satisfies a Yule-Walker system of equations in the generalised autocovariance estimator. Selection of the pooling parameter, which characterizes the nonparametric estimator of the generalised autocovariance, controlling its resolution, is addressed by using a multiplicative periodogram bootstrap to estimate the finite-sample distribution of the estimator. A multivariate extension of recently introduced spectral models for univariate time series is considered, and an algorithm for the coefficients of a power transformation of matrix polynomials is derived, which allows to obtain the Wold coefficients from the matrix coefficients characterizing the generalised matrix cepstral models. This algorithm also allows the definition of the matrix variance profile, providing important quantities for vector time series analysis. A nonparametric estimator based on a transformation of the smoothed periodogram is proposed for estimation of the matrix variance profile.

Time series evaluation of traumatic lesions and airsacculitis at one poultry abattoir in the state of Sao Paulo, Brazil (1996-2005)

Ten year official condemnation records of one officially inspected poultry abattoir in state of Sao Paulo. Brazil, were analyzed. Seasonal and cyclical trends were analyzed in relation to traumatic lesions and airsacculitis. which were the most relevant official condemnation causes Time series analysis of the records, seasonal indexes and moving averages was used to describe the adherence to the mathematical model and to offer preventive management strategies for the slaughter house industry Although cause-effect relationships were not defined, some insight was given into the causal mechanisms that generated the series (C) 2010 Elsevier B V All rights reserved