Search results for: Time Series Analysis
13875 Fractal - Wavelet Based Techniques for Improving the Artificial Neural Network Models
Authors: Reza Bazargan Lari, Mohammad H. Fattahi
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Natural resources management including water resources requires reliable estimations of time variant environmental parameters. Small improvements in the estimation of environmental parameters would result in grate effects on managing decisions. Noise reduction using wavelet techniques is an effective approach for preprocessing of practical data sets. Predictability enhancement of the river flow time series are assessed using fractal approaches before and after applying wavelet based preprocessing. Time series correlation and persistency, the minimum sufficient length for training the predicting model and the maximum valid length of predictions were also investigated through a fractal assessment.
Keywords: Wavelet, de-noising, predictability, time series fractal analysis, valid length, ANN.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 206313874 Comparison of Detrending Methods in Spectral Analysis of Heart Rate Variability
Authors: Liping Li, Changchun Liu, Ke Li, Chengyu Liu
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Non-stationary trend in R-R interval series is considered as a main factor that could highly influence the evaluation of spectral analysis. It is suggested to remove trends in order to obtain reliable results. In this study, three detrending methods, the smoothness prior approach, the wavelet and the empirical mode decomposition, were compared on artificial R-R interval series with four types of simulated trends. The Lomb-Scargle periodogram was used for spectral analysis of R-R interval series. Results indicated that the wavelet method showed a better overall performance than the other two methods, and more time-saving, too. Therefore it was selected for spectral analysis of real R-R interval series of thirty-seven healthy subjects. Significant decreases (19.94±5.87% in the low frequency band and 18.97±5.78% in the ratio (p<0.001)) were found. Thus the wavelet method is recommended as an optimal choice for use.Keywords: empirical mode decomposition, heart rate variability, signal detrending, smoothness priors, wavelet
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 207013873 Unscented Grid Filtering and Smoothing for Nonlinear Time Series Analysis
Authors: Nikolay Nikolaev, Evgueni Smirnov
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This paper develops an unscented grid-based filter and a smoother for accurate nonlinear modeling and analysis of time series. The filter uses unscented deterministic sampling during both the time and measurement updating phases, to approximate directly the distributions of the latent state variable. A complementary grid smoother is also made to enable computing of the likelihood. This helps us to formulate an expectation maximisation algorithm for maximum likelihood estimation of the state noise and the observation noise. Empirical investigations show that the proposed unscented grid filter/smoother compares favourably to other similar filters on nonlinear estimation tasks. Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 133113872 Time Series Modelling and Prediction of River Runoff: Case Study of Karkheh River, Iran
Authors: Karim Hamidi Machekposhti, Hossein Sedghi, Abdolrasoul Telvari, Hossein Babazadeh
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Rainfall and runoff phenomenon is a chaotic and complex outcome of nature which requires sophisticated modelling and simulation methods for explanation and use. Time Series modelling allows runoff data analysis and can be used as forecasting tool. In the paper attempt is made to model river runoff data and predict the future behavioural pattern of river based on annual past observations of annual river runoff. The river runoff analysis and predict are done using ARIMA model. For evaluating the efficiency of prediction to hydrological events such as rainfall, runoff and etc., we use the statistical formulae applicable. The good agreement between predicted and observation river runoff coefficient of determination (R2) display that the ARIMA (4,1,1) is the suitable model for predicting Karkheh River runoff at Iran.
Keywords: Time series modelling, ARIMA model, River runoff, Karkheh River, CLS method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 79913871 Model-free Prediction based on Tracking Theory and Newton Form of Polynomial
Authors: Guoyuan Qi , Yskandar Hamam, Barend Jacobus van Wyk, Shengzhi Du
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The majority of existing predictors for time series are model-dependent and therefore require some prior knowledge for the identification of complex systems, usually involving system identification, extensive training, or online adaptation in the case of time-varying systems. Additionally, since a time series is usually generated by complex processes such as the stock market or other chaotic systems, identification, modeling or the online updating of parameters can be problematic. In this paper a model-free predictor (MFP) for a time series produced by an unknown nonlinear system or process is derived using tracking theory. An identical derivation of the MFP using the property of the Newton form of the interpolating polynomial is also presented. The MFP is able to accurately predict future values of a time series, is stable, has few tuning parameters and is desirable for engineering applications due to its simplicity, fast prediction speed and extremely low computational load. The performance of the proposed MFP is demonstrated using the prediction of the Dow Jones Industrial Average stock index.Keywords: Forecast, model-free predictor, prediction, time series
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 178413870 Forecasting the Volatility of Geophysical Time Series with Stochastic Volatility Models
Authors: Maria C. Mariani, Md Al Masum Bhuiyan, Osei K. Tweneboah, Hector G. Huizar
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This work is devoted to the study of modeling geophysical time series. A stochastic technique with time-varying parameters is used to forecast the volatility of data arising in geophysics. In this study, the volatility is defined as a logarithmic first-order autoregressive process. We observe that the inclusion of log-volatility into the time-varying parameter estimation significantly improves forecasting which is facilitated via maximum likelihood estimation. This allows us to conclude that the estimation algorithm for the corresponding one-step-ahead suggested volatility (with ±2 standard prediction errors) is very feasible since it possesses good convergence properties.Keywords: Augmented Dickey Fuller Test, geophysical time series, maximum likelihood estimation, stochastic volatility model.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 86113869 An Improved Prediction Model of Ozone Concentration Time Series Based On Chaotic Approach
Authors: N. Z. A. Hamid, M. S. M. Noorani
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This study is focused on the development of prediction models of the Ozone concentration time series. Prediction model is built based on chaotic approach. Firstly, the chaotic nature of the time series is detected by means of phase space plot and the Cao method. Then, the prediction model is built and the local linear approximation method is used for the forecasting purposes. Traditional prediction of autoregressive linear model is also built. Moreover, an improvement in local linear approximation method is also performed. Prediction models are applied to the hourly Ozone time series observed at the benchmark station in Malaysia. Comparison of all models through the calculation of mean absolute error, root mean squared error and correlation coefficient shows that the one with improved prediction method is the best. Thus, chaotic approach is a good approach to be used to develop a prediction model for the Ozone concentration time series.
Keywords: Chaotic approach, phase space, Cao method, local linear approximation method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 178413868 The Application of an Ensemble of Boosted Elman Networks to Time Series Prediction: A Benchmark Study
Authors: Chee Peng Lim, Wei Yee Goh
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In this paper, the application of multiple Elman neural networks to time series data regression problems is studied. An ensemble of Elman networks is formed by boosting to enhance the performance of the individual networks. A modified version of the AdaBoost algorithm is employed to integrate the predictions from multiple networks. Two benchmark time series data sets, i.e., the Sunspot and Box-Jenkins gas furnace problems, are used to assess the effectiveness of the proposed system. The simulation results reveal that an ensemble of boosted Elman networks can achieve a higher degree of generalization as well as performance than that of the individual networks. The results are compared with those from other learning systems, and implications of the performance are discussed.
Keywords: AdaBoost, Elman network, neural network ensemble, time series regression.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 169113867 The Analogue of a Property of Pisot Numbers in Fields of Formal Power Series
Authors: Wiem Gadri
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This study delves into the intriguing properties of Pisot and Salem numbers within the framework of formal Laurent series over finite fields, a domain where these numbers’ spectral characteristics, Λm(β) and lm(β), have yet to be fully explored. Utilizing a methodological approach that combines algebraic number theory with the analysis of power series, we extend the foundational work of Erdos, Joo, and Komornik to this setting. Our research uncovers bounds for lm(β), revealing how these depend on the degree of the minimal polynomial of β and thus offering a characterization of Pisot and Salem formal power series. The findings significantly contribute to our understanding of these numbers, highlighting their distribution and properties in the context of formal power series. This investigation not only bridges number theory with formal power series analysis but also sets the stage for further interdisciplinary research in these areas.
Keywords: Pisot numbers, Salem numbers, Formal power series, Minimal polynomial degree.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15113866 Retrospective Reconstruction of Time Series Data for Integrated Waste Management
Authors: A. Buruzs, M. F. Hatwágner, A. Torma, L. T. Kóczy
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The development, operation and maintenance of Integrated Waste Management Systems (IWMS) affects essentially the sustainable concern of every region. The features of such systems have great influence on all of the components of sustainability. In order to reach the optimal way of processes, a comprehensive mapping of the variables affecting the future efficiency of the system is needed such as analysis of the interconnections among the components and modeling of their interactions. The planning of a IWMS is based fundamentally on technical and economical opportunities and the legal framework. Modeling the sustainability and operation effectiveness of a certain IWMS is not in the scope of the present research. The complexity of the systems and the large number of the variables require the utilization of a complex approach to model the outcomes and future risks. This complex method should be able to evaluate the logical framework of the factors composing the system and the interconnections between them. The authors of this paper studied the usability of the Fuzzy Cognitive Map (FCM) approach modeling the future operation of IWMS’s. The approach requires two input data set. One is the connection matrix containing all the factors affecting the system in focus with all the interconnections. The other input data set is the time series, a retrospective reconstruction of the weights and roles of the factors. This paper introduces a novel method to develop time series by content analysis.
Keywords: Content analysis, factors, integrated waste management system, time series.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 201813865 Implementation of Neural Network Based Electricity Load Forecasting
Authors: Myint Myint Yi, Khin Sandar Linn, Marlar Kyaw
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This paper proposed a novel model for short term load forecast (STLF) in the electricity market. The prior electricity demand data are treated as time series. The model is composed of several neural networks whose data are processed using a wavelet technique. The model is created in the form of a simulation program written with MATLAB. The load data are treated as time series data. They are decomposed into several wavelet coefficient series using the wavelet transform technique known as Non-decimated Wavelet Transform (NWT). The reason for using this technique is the belief in the possibility of extracting hidden patterns from the time series data. The wavelet coefficient series are used to train the neural networks (NNs) and used as the inputs to the NNs for electricity load prediction. The Scale Conjugate Gradient (SCG) algorithm is used as the learning algorithm for the NNs. To get the final forecast data, the outputs from the NNs are recombined using the same wavelet technique. The model was evaluated with the electricity load data of Electronic Engineering Department in Mandalay Technological University in Myanmar. The simulation results showed that the model was capable of producing a reasonable forecasting accuracy in STLF.Keywords: Neural network, Load forecast, Time series, wavelettransform.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 249513864 A New Quantile Based Fuzzy Time Series Forecasting Model
Authors: Tahseen A. Jilani, Aqil S. Burney, C. Ardil
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Time series models have been used to make predictions of academic enrollments, weather, road accident, casualties and stock prices, etc. Based on the concepts of quartile regression models, we have developed a simple time variant quantile based fuzzy time series forecasting method. The proposed method bases the forecast using prediction of future trend of the data. In place of actual quantiles of the data at each point, we have converted the statistical concept into fuzzy concept by using fuzzy quantiles using fuzzy membership function ensemble. We have given a fuzzy metric to use the trend forecast and calculate the future value. The proposed model is applied for TAIFEX forecasting. It is shown that proposed method work best as compared to other models when compared with respect to model complexity and forecasting accuracy.
Keywords: Quantile Regression, Fuzzy time series, fuzzy logicalrelationship groups, heuristic trend prediction.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 199913863 Application of Stochastic Models to Annual Extreme Streamflow Data
Authors: Karim Hamidi Machekposhti, Hossein Sedghi
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This study was designed to find the best stochastic model (using of time series analysis) for annual extreme streamflow (peak and maximum streamflow) of Karkheh River at Iran. The Auto-regressive Integrated Moving Average (ARIMA) model used to simulate these series and forecast those in future. For the analysis, annual extreme streamflow data of Jelogir Majin station (above of Karkheh dam reservoir) for the years 1958–2005 were used. A visual inspection of the time plot gives a little increasing trend; therefore, series is not stationary. The stationarity observed in Auto-Correlation Function (ACF) and Partial Auto-Correlation Function (PACF) plots of annual extreme streamflow was removed using first order differencing (d=1) in order to the development of the ARIMA model. Interestingly, the ARIMA(4,1,1) model developed was found to be most suitable for simulating annual extreme streamflow for Karkheh River. The model was found to be appropriate to forecast ten years of annual extreme streamflow and assist decision makers to establish priorities for water demand. The Statistical Analysis System (SAS) and Statistical Package for the Social Sciences (SPSS) codes were used to determinate of the best model for this series.Keywords: Stochastic models, ARIMA, extreme streamflow, Karkheh River.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 72313862 Statistical Reliability Based Modeling of Series and Parallel Operating Systems using Extreme Value Theory
Authors: Mohamad Mahdavi, Mojtaba Mahdavi
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This paper tries to represent a new method for computing the reliability of a system which is arranged in series or parallel model. In this method we estimate life distribution function of whole structure using the asymptotic Extreme Value (EV) distribution of Type I, or Gumbel theory. We use EV distribution in minimal mode, for estimate the life distribution function of series structure and maximal mode for parallel system. All parameters also are estimated by Moments method. Reliability function and failure (hazard) rate and p-th percentile point of each function are determined. Other important indexes such as Mean Time to Failure (MTTF), Mean Time to repair (MTTR), for non-repairable and renewal systems in both of series and parallel structure will be computed.Keywords: Reliability, extreme value, parallel, series, lifedistribution
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 209013861 A New Technique for Solar Activity Forecasting Using Recurrent Elman Networks
Authors: Salvatore Marra, Francesco C. Morabito
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In this paper we present an efficient approach for the prediction of two sunspot-related time series, namely the Yearly Sunspot Number and the IR5 Index, that are commonly used for monitoring solar activity. The method is based on exploiting partially recurrent Elman networks and it can be divided into three main steps: the first one consists in a “de-rectification" of the time series under study in order to obtain a new time series whose appearance, similar to a sum of sinusoids, can be modelled by our neural networks much better than the original dataset. After that, we normalize the derectified data so that they have zero mean and unity standard deviation and, finally, train an Elman network with only one input, a recurrent hidden layer and one output using a back-propagation algorithm with variable learning rate and momentum. The achieved results have shown the efficiency of this approach that, although very simple, can perform better than most of the existing solar activity forecasting methods.
Keywords: Elman neural networks, sunspot, solar activity, time series prediction.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 185713860 Efficient Spectral Analysis of Quasi Stationary Time Series
Authors: Khalid M. Aamir, Mohammad A. Maud
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Power Spectral Density (PSD) of quasi-stationary processes can be efficiently estimated using the short time Fourier series (STFT). In this paper, an algorithm has been proposed that computes the PSD of quasi-stationary process efficiently using offline autoregressive model order estimation algorithm, recursive parameter estimation technique and modified sliding window discrete Fourier Transform algorithm. The main difference in this algorithm and STFT is that the sliding window (SW) and window for spectral estimation (WSA) are separately defined. WSA is updated and its PSD is computed only when change in statistics is detected in the SW. The computational complexity of the proposed algorithm is found to be lesser than that for standard STFT technique.
Keywords: Power Spectral Density (PSD), quasi-stationarytime series, short time Fourier Transform, Sliding window DFT.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 196913859 Power Series Solution to Sliding Velocity in Three-Dimensional Multibody Systems with Impact and Friction
Authors: Hesham A. Elkaranshawy, Amr M. Abdelrazek, Hosam M. Ezzat
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The system of ordinary nonlinear differential equations describing sliding velocity during impact with friction for a three-dimensional rigid-multibody system is developed. No analytical solutions have been obtained before for this highly nonlinear system. Hence, a power series solution is proposed. Since the validity of this solution is limited to its convergence zone, a suitable time step is chosen and at the end of it a new series solution is constructed. For a case study, the trajectory of the sliding velocity using the proposed method is built using 6 time steps, which coincides with a Runge- Kutta solution using 38 time steps.Keywords: Impact with friction, nonlinear ordinary differential equations, power series solutions, rough collision.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 191713858 Fast Short-Term Electrical Load Forecasting under High Meteorological Variability with a Multiple Equation Time Series Approach
Authors: Charline David, Alexandre Blondin Massé, Arnaud Zinflou
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We present a multiple equation time series approach for the short-term load forecasting applied to the electrical power load consumption for the whole Quebec province, in Canada. More precisely, we take into account three meteorological variables — temperature, cloudiness and wind speed —, and we use meteorological measurements taken at different locations on the territory. Our final model shows an average MAPE score of 1.79% over an 8-years dataset.
Keywords: Short-term load forecasting, special days, time series, multiple equations, parallelization, clustering.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 29013857 A Comparison of Grey Model and Fuzzy Predictive Model for Time Series
Authors: A. I. Dounis, P. Tiropanis, D. Tseles, G. Nikolaou, G. P. Syrcos
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The prediction of meteorological parameters at a meteorological station is an interesting and open problem. A firstorder linear dynamic model GM(1,1) is the main component of the grey system theory. The grey model requires only a few previous data points in order to make a real-time forecast. In this paper, we consider the daily average ambient temperature as a time series and the grey model GM(1,1) applied to local prediction (short-term prediction) of the temperature. In the same case study we use a fuzzy predictive model for global prediction. We conclude the paper with a comparison between local and global prediction schemes.Keywords: Fuzzy predictive model, grey model, local andglobal prediction, meteorological forecasting, time series.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 215613856 Analysis of Temperature Change under Global Warming Impact using Empirical Mode Decomposition
Authors: Md. Khademul Islam Molla, Akimasa Sumi, M. Sayedur Rahman
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The empirical mode decomposition (EMD) represents any time series into a finite set of basis functions. The bases are termed as intrinsic mode functions (IMFs) which are mutually orthogonal containing minimum amount of cross-information. The EMD successively extracts the IMFs with the highest local frequencies in a recursive way, which yields effectively a set low-pass filters based entirely on the properties exhibited by the data. In this paper, EMD is applied to explore the properties of the multi-year air temperature and to observe its effects on climate change under global warming. This method decomposes the original time-series into intrinsic time scale. It is capable of analyzing nonlinear, non-stationary climatic time series that cause problems to many linear statistical methods and their users. The analysis results show that the mode of EMD presents seasonal variability. The most of the IMFs have normal distribution and the energy density distribution of the IMFs satisfies Chi-square distribution. The IMFs are more effective in isolating physical processes of various time-scales and also statistically significant. The analysis results also show that the EMD method provides a good job to find many characteristics on inter annual climate. The results suggest that climate fluctuations of every single element such as temperature are the results of variations in the global atmospheric circulation.
Keywords: Empirical mode decomposition, instantaneous frequency, Hilbert spectrum, Chi-square distribution, anthropogenic impact.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 214913855 An IM-COH Algorithm Neural Network Optimization with Cuckoo Search Algorithm for Time Series Samples
Authors: Wullapa Wongsinlatam
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Back propagation algorithm (BP) is a widely used technique in artificial neural network and has been used as a tool for solving the time series problems, such as decreasing training time, maximizing the ability to fall into local minima, and optimizing sensitivity of the initial weights and bias. This paper proposes an improvement of a BP technique which is called IM-COH algorithm (IM-COH). By combining IM-COH algorithm with cuckoo search algorithm (CS), the result is cuckoo search improved control output hidden layer algorithm (CS-IM-COH). This new algorithm has a better ability in optimizing sensitivity of the initial weights and bias than the original BP algorithm. In this research, the algorithm of CS-IM-COH is compared with the original BP, the IM-COH, and the original BP with CS (CS-BP). Furthermore, the selected benchmarks, four time series samples, are shown in this research for illustration. The research shows that the CS-IM-COH algorithm give the best forecasting results compared with the selected samples.Keywords: Artificial neural networks, back propagation algorithm, time series, local minima problem, metaheuristic optimization.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 109413854 Time Series Regression with Meta-Clusters
Authors: Monika Chuchro
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This paper presents a preliminary attempt to apply classification of time series using meta-clusters in order to improve the quality of regression models. In this case, clustering was performed as a method to obtain subgroups of time series data with normal distribution from the inflow into wastewater treatment plant data, composed of several groups differing by mean value. Two simple algorithms, K-mean and EM, were chosen as a clustering method. The Rand index was used to measure the similarity. After simple meta-clustering, a regression model was performed for each subgroups. The final model was a sum of the subgroups models. The quality of the obtained model was compared with the regression model made using the same explanatory variables, but with no clustering of data. Results were compared using determination coefficient (R2), measure of prediction accuracy- mean absolute percentage error (MAPE) and comparison on a linear chart. Preliminary results allow us to foresee the potential of the presented technique.
Keywords: Clustering, Data analysis, Data mining, Predictive models.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 195113853 Unscented Transformation for Estimating the Lyapunov Exponents of Chaotic Time Series Corrupted by Random Noise
Authors: K. Kamalanand, P. Mannar Jawahar
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Many systems in the natural world exhibit chaos or non-linear behavior, the complexity of which is so great that they appear to be random. Identification of chaos in experimental data is essential for characterizing the system and for analyzing the predictability of the data under analysis. The Lyapunov exponents provide a quantitative measure of the sensitivity to initial conditions and are the most useful dynamical diagnostic for chaotic systems. However, it is difficult to accurately estimate the Lyapunov exponents of chaotic signals which are corrupted by a random noise. In this work, a method for estimation of Lyapunov exponents from noisy time series using unscented transformation is proposed. The proposed methodology was validated using time series obtained from known chaotic maps. In this paper, the objective of the work, the proposed methodology and validation results are discussed in detail.
Keywords: Lyapunov exponents, unscented transformation, chaos theory, neural networks.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 199013852 Prediction of Research Topics Using Ensemble of Best Predictors from Similar Dataset
Authors: Indra Budi, Rizal Fathoni Aji, Agus Widodo
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Prediction of future research topics by using time series analysis either statistical or machine learning has been conducted previously by several researchers. Several methods have been proposed to combine the forecasting results into single forecast. These methods use fixed combination of individual forecast to get the final forecast result. In this paper, quite different approach is employed to select the forecasting methods, in which every point to forecast is calculated by using the best methods used by similar validation dataset. The dataset used in the experiment is time series derived from research report in Garuda, which is an online sites belongs to the Ministry of Education in Indonesia, over the past 20 years. The experimental result demonstrates that the proposed method may perform better compared to the fix combination of predictors. In addition, based on the prediction result, we can forecast emerging research topics for the next few years.
Keywords: Combination, emerging topics, ensemble, forecasting, machine learning, prediction, research topics, similarity measure, time series.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 212713851 Chaos Theory and Application in Foreign Exchange Rates vs. IRR (Iranian Rial)
Authors: M. A. Torkamani, S. Mahmoodzadeh, S. Pourroostaei, C. Lucas
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Daily production of information and importance of the sequence of produced data in forecasting future performance of market causes analysis of data behavior to become a problem of analyzing time series. But time series that are very complicated, usually are random and as a result their changes considered being unpredictable. While these series might be products of a deterministic dynamical and nonlinear process (chaotic) and as a result be predictable. Point of Chaotic theory view, complicated systems have only chaotically face and as a result they seem to be unregulated and random, but it is possible that they abide by a specified math formula. In this article, with regard to test of strange attractor and biggest Lyapunov exponent probability of chaos on several foreign exchange rates vs. IRR (Iranian Rial) has been investigated. Results show that data in this market have complex chaotic behavior with big degree of freedom.
Keywords: Chaos, Exchange Rate, Nonlinear Models.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 247813850 A Novel Method for the Characterization of Synchronization and Coupling in Multichannel EEG and ECoG
Authors: Manfred Hartmann, Andreas Graef, Hannes Perko, Christoph Baumgartner, Tilmann Kluge
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In this paper we introduce a novel method for the characterization of synchronziation and coupling effects in multivariate time series that can be used for the analysis of EEG or ECoG signals recorded during epileptic seizures. The method allows to visualize the spatio-temporal evolution of synchronization and coupling effects that are characteristic for epileptic seizures. Similar to other methods proposed for this purpose our method is based on a regression analysis. However, a more general definition of the regression together with an effective channel selection procedure allows to use the method even for time series that are highly correlated, which is commonly the case in EEG/ECoG recordings with large numbers of electrodes. The method was experimentally tested on ECoG recordings of epileptic seizures from patients with temporal lobe epilepsies. A comparision with the results from a independent visual inspection by clinical experts showed an excellent agreement with the patterns obtained with the proposed method.Keywords: EEG, epilepsy, regression analysis, seizurepropagation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 143413849 Neuro-Fuzzy Network Based On Extended Kalman Filtering for Financial Time Series
Authors: Chokri Slim
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The neural network's performance can be measured by efficiency and accuracy. The major disadvantages of neural network approach are that the generalization capability of neural networks is often significantly low, and it may take a very long time to tune the weights in the net to generate an accurate model for a highly complex and nonlinear systems. This paper presents a novel Neuro-fuzzy architecture based on Extended Kalman filter. To test the performance and applicability of the proposed neuro-fuzzy model, simulation study of nonlinear complex dynamic system is carried out. The proposed method can be applied to an on-line incremental adaptive learning for the prediction of financial time series. A benchmark case studie is used to demonstrate that the proposed model is a superior neuro-fuzzy modeling technique.
Keywords: Neuro-fuzzy, Extended Kalman filter, nonlinear systems, financial time series.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 201313848 Noise Performance of Millimeter-wave Silicon Based Mixed Tunneling Avalanche Transit Time(MITATT) Diode
Authors: Aritra Acharyya, Moumita Mukherjee, J. P. Banerjee
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A generalized method for small-signal simulation of avalanche noise in Mixed Tunneling Avalanche Transit Time (MITATT) device is presented in this paper where the effect of series resistance is taken into account. The method is applied to a millimeter-wave Double Drift Region (DDR) MITATT device based on Silicon to obtain noise spectral density and noise measure as a function of frequency for different values of series resistance. It is found that noise measure of the device at the operating frequency (122 GHz) with input power density of 1010 Watt/m2 is about 35 dB for hypothetical parasitic series resistance of zero ohm (estimated junction temperature = 500 K). Results show that the noise measure increases as the value of parasitic resistance increases.Keywords: Noise Analysis, Silicon MITATT, Admittancecharacteristics, Noise spectral density.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 160713847 Fuzzy Time Series Forecasting Using Percentage Change as the Universe of Discourse
Authors: Meredith Stevenson, John E. Porter
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Since the pioneering work of Zadeh, fuzzy set theory has been applied to a myriad of areas. Song and Chissom introduced the concept of fuzzy time series and applied some methods to the enrollments of the University of Alabama. In recent years, a number of techniques have been proposed for forecasting based on fuzzy set theory methods. These methods have either used enrollment numbers or differences of enrollments as the universe of discourse. We propose using the year to year percentage change as the universe of discourse. In this communication, the approach of Jilani, Burney, and Ardil is modified by using the year to year percentage change as the universe of discourse. We use enrollment figures for the University of Alabama to illustrate our proposed method. The proposed method results in better forecasting accuracy than existing models.
Keywords: Fuzzy forecasting, fuzzy time series, fuzzified enrollments, time-invariant model
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 250713846 Artificial Neural Network Model for a Low Cost Failure Sensor: Performance Assessment in Pipeline Distribution
Authors: Asar Khan, Peter D. Widdop, Andrew J. Day, Aliaster S. Wood, Steve, R. Mounce, John Machell
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This paper describes an automated event detection and location system for water distribution pipelines which is based upon low-cost sensor technology and signature analysis by an Artificial Neural Network (ANN). The development of a low cost failure sensor which measures the opacity or cloudiness of the local water flow has been designed, developed and validated, and an ANN based system is then described which uses time series data produced by sensors to construct an empirical model for time series prediction and classification of events. These two components have been installed, tested and verified in an experimental site in a UK water distribution system. Verification of the system has been achieved from a series of simulated burst trials which have provided real data sets. It is concluded that the system has potential in water distribution network management.Keywords: Detection, leakage, neural networks, sensors, water distribution networks
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1746