Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 6782

Search results for: uncertain time series

6782 Representing Data without Lost Compression Properties in Time Series: A Review

Authors: Nabilah Filzah Mohd Radzuan, Zalinda Othman, Azuraliza Abu Bakar, Abdul Razak Hamdan

Abstract:

Uncertain data is believed to be an important issue in building up a prediction model. The main objective in the time series uncertainty analysis is to formulate uncertain data in order to gain knowledge and fit low dimensional model prior to a prediction task. This paper discusses the performance of a number of techniques in dealing with uncertain data specifically those which solve uncertain data condition by minimizing the loss of compression properties.

Keywords: Compression properties, uncertainty, uncertain time series, mining technique, weather prediction.

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6781 2D Graphical Analysis of Wastewater Influent Capacity Time Series

Authors: Monika Chuchro, Maciej Dwornik

Abstract:

The extraction of meaningful information from image could be an alternative method for time series analysis. In this paper, we propose a graphical analysis of time series grouped into table with adjusted colour scale for numerical values. The advantages of this method are also discussed. The proposed method is easy to understand and is flexible to implement the standard methods of pattern recognition and verification, especially for noisy environmental data.

Keywords: graphical analysis, time series, seasonality, noisy environmental data

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6780 The Relations between the Fractal Properties of the River Networks and the River Flow Time Series

Authors: M. H. Fattahi, H. Jahangiri

Abstract:

All the geophysical phenomena including river networks and flow time series are fractal events inherently and fractal patterns can be investigated through their behaviors. A non-linear system like a river basin can well be analyzed by a non-linear measure such as the fractal analysis. A bilateral study is held on the fractal properties of the river network and the river flow time series. A moving window technique is utilized to scan the fractal properties of them. Results depict both events follow the same strategy regarding to the fractal properties. Both the river network and the time series fractal dimension tend to saturate in a distinct value.

Keywords: river flow time series, fractal, river networks

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6779 Investigation on Performance of Change Point Algorithm in Time Series Dynamical Regimes and Effect of Data Characteristics

Authors: Farhad Asadi, Mohammad Javad Mollakazemi

Abstract:

In this paper, Bayesian online inference in models of data series are constructed by change-points algorithm, which separated the observed time series into independent series and study the change and variation of the regime of the data with related statistical characteristics. variation of statistical characteristics of time series data often represent separated phenomena in the some dynamical system, like a change in state of brain dynamical reflected in EEG signal data measurement or a change in important regime of data in many dynamical system. In this paper, prediction algorithm for studying change point location in some time series data is simulated. It is verified that pattern of proposed distribution of data has important factor on simpler and smother fluctuation of hazard rate parameter and also for better identification of change point locations. Finally, the conditions of how the time series distribution effect on factors in this approach are explained and validated with different time series databases for some dynamical system.

Keywords: Time series, fluctuation in statistical characteristics, optimal learning.

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6778 Robust BIBO Stabilization Analysis for Discrete-time Uncertain System

Authors: Zixin Liu, Shu Lü, Shouming Zhong, Mao Ye

Abstract:

The discrete-time uncertain system with time delay is investigated for bounded input bounded output (BIBO). By constructing an augmented Lyapunov function, three different sufficient conditions are established for BIBO stabilization. These conditions are expressed in the form of linear matrix inequalities (LMIs), whose feasibility can be easily checked by using Matlab LMI Toolbox. Two numerical examples are provided to demonstrate the effectiveness of the derived results.

Keywords: Robust BIBO stabilization, delay-dependent stabilization, discrete-time system, time delay.

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6777 Forecasting Enrollment Model Based on First-Order Fuzzy Time Series

Authors: Melike Şah, Konstantin Y.Degtiarev

Abstract:

This paper proposes a novel improvement of forecasting approach based on using time-invariant fuzzy time series. In contrast to traditional forecasting methods, fuzzy time series can be also applied to problems, in which historical data are linguistic values. It is shown that proposed time-invariant method improves the performance of forecasting process. Further, the effect of using different number of fuzzy sets is tested as well. As with the most of cited papers, historical enrollment of the University of Alabama is used in this study to illustrate the forecasting process. Subsequently, the performance of the proposed method is compared with existing fuzzy time series time-invariant models based on forecasting accuracy. It reveals a certain performance superiority of the proposed method over methods described in the literature.

Keywords: Forecasting, fuzzy time series, linguistic values, student enrollment, time-invariant model.

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6776 Nonstationarity Modeling of Economic and Financial Time Series

Authors: C. Slim

Abstract:

Traditional techniques for analyzing time series are based on the notion of stationarity of phenomena under study, but in reality most economic and financial series do not verify this hypothesis, which implies the implementation of specific tools for the detection of such behavior. In this paper, we study nonstationary non-seasonal time series tests in a non-exhaustive manner. We formalize the problem of nonstationary processes with numerical simulations and take stock of their statistical characteristics. The theoretical aspects of some of the most common unit root tests will be discussed. We detail the specification of the tests, showing the advantages and disadvantages of each. The empirical study focuses on the application of these tests to the exchange rate (USD/TND) and the Consumer Price Index (CPI) in Tunisia, in order to compare the Power of these tests with the characteristics of the series.

Keywords: Stationarity, unit root tests, economic time series.

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6775 Differentiation of Heart Rate Time Series from Electroencephalogram and Noise

Authors: V. I. Thajudin Ahamed, P. Dhanasekaran, Paul Joseph K.

Abstract:

Analysis of heart rate variability (HRV) has become a popular non-invasive tool for assessing the activities of autonomic nervous system. Most of the methods were hired from techniques used for time series analysis. Currently used methods are time domain, frequency domain, geometrical and fractal methods. A new technique, which searches for pattern repeatability in a time series, is proposed for quantifying heart rate (HR) time series. These set of indices, which are termed as pattern repeatability measure and pattern repeatability ratio are able to distinguish HR data clearly from noise and electroencephalogram (EEG). The results of analysis using these measures give an insight into the fundamental difference between the composition of HR time series with respect to EEG and noise.

Keywords: Approximate entropy, heart rate variability, noise, pattern repeatability, and sample entropy.

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6774 Exponential Stability Analysis for Uncertain Neural Networks with Discrete and Distributed Time-Varying Delays

Authors: Miaomiao Yang, Shouming Zhong

Abstract:

This paper studies the problem of exponential stability analysis for uncertain neural networks with discrete and distributed time-varying delays. Together with a suitable augmented Lyapunov Krasovskii function, zero equalities, reciprocally convex approach and a novel sufficient condition to guarantee the exponential stability of the considered system. The several exponential stability criterion proposed in this paper is simpler and effective. Finally,numerical examples are provided to demonstrate the feasibility and effectiveness of our results.

Keywords: Exponential stability, Uncertain Neural networks, LMI approach, Lyapunov-Krasovskii function, Time-varying.

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6773 Time Series Forecasting Using Independent Component Analysis

Authors: Theodor D. Popescu

Abstract:

The paper presents a method for multivariate time series forecasting using Independent Component Analysis (ICA), as a preprocessing tool. The idea of this approach is to do the forecasting in the space of independent components (sources), and then to transform back the results to the original time series space. The forecasting can be done separately and with a different method for each component, depending on its time structure. The paper gives also a review of the main algorithms for independent component analysis in the case of instantaneous mixture models, using second and high-order statistics. The method has been applied in simulation to an artificial multivariate time series with five components, generated from three sources and a mixing matrix, randomly generated.

Keywords: Independent Component Analysis, second order statistics, simulation, time series forecasting

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6772 Delay-dependent Stability Analysis for Uncertain Switched Neutral System

Authors: Lianglin Xiong, Shouming Zhong, Mao Ye

Abstract:

This paper considers the robust exponential stability issues for a class of uncertain switched neutral system which delays switched according to the switching rule. The system under consideration includes both stable and unstable subsystems. The uncertainties considered in this paper are norm bounded, and possibly time varying. Based on multiple Lyapunov functional approach and dwell-time technique, the time-dependent switching rule is designed depend on the so-called average dwell time of stable subsystems as well as the ratio of the total activation time of stable subsystems and unstable subsystems. It is shown that by suitably controlling the switching between the stable and unstable modes, the robust stabilization of the switched uncertain neutral systems can be achieved. Two simulation examples are given to demonstrate the effectiveness of the proposed method.

Keywords: Switched neutral system, exponential stability, multiple Lyapunov functional, dwell time technique, time-dependent switching rule.

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6771 Fuzzy Metric Approach for Fuzzy Time Series Forecasting based on Frequency Density Based Partitioning

Authors: Tahseen Ahmed Jilani, Syed Muhammad Aqil Burney, C. Ardil

Abstract:

In the last 15 years, a number of methods have been proposed for forecasting based on fuzzy time series. Most of the fuzzy time series methods are presented for forecasting of enrollments at the University of Alabama. However, the forecasting accuracy rates of the existing methods are not good enough. In this paper, we compared our proposed new method of fuzzy time series forecasting with existing methods. Our method is based on frequency density based partitioning of the historical enrollment data. The proposed method belongs to the kth order and time-variant methods. The proposed method can get the best forecasting accuracy rate for forecasting enrollments than the existing methods.

Keywords: Fuzzy logical groups, fuzzified enrollments, fuzzysets, fuzzy time series.

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6770 Applying a Noise Reduction Method to Reveal Chaos in the River Flow Time Series

Authors: Mohammad H. Fattahi

Abstract:

Chaotic analysis has been performed on the river flow time series before and after applying the wavelet based de-noising techniques in order to investigate the noise content effects on chaotic nature of flow series. In this study, 38 years of monthly runoff data of three gauging stations were used. Gauging stations were located in Ghar-e-Aghaj river basin, Fars province, Iran. Noise level of time series was estimated with the aid of Gaussian kernel algorithm. This step was found to be crucial in preventing removal of the vital data such as memory, correlation and trend from the time series in addition to the noise during de-noising process.

Keywords: Chaotic behavior, wavelet, noise reduction, river flow.

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6769 Computational Intelligence Hybrid Learning Approach to Time Series Forecasting

Authors: Chunshien Li, Jhao-Wun Hu, Tai-Wei Chiang, Tsunghan Wu

Abstract:

Time series forecasting is an important and widely popular topic in the research of system modeling. This paper describes how to use the hybrid PSO-RLSE neuro-fuzzy learning approach to the problem of time series forecasting. The PSO algorithm is used to update the premise parameters of the proposed prediction system, and the RLSE is used to update the consequence parameters. Thanks to the hybrid learning (HL) approach for the neuro-fuzzy system, the prediction performance is excellent and the speed of learning convergence is much faster than other compared approaches. In the experiments, we use the well-known Mackey-Glass chaos time series. According to the experimental results, the prediction performance and accuracy in time series forecasting by the proposed approach is much better than other compared approaches, as shown in Table IV. Excellent prediction performance by the proposed approach has been observed.

Keywords: forecasting, hybrid learning (HL), Neuro-FuzzySystem (NFS), particle swarm optimization (PSO), recursiveleast-squares estimator (RLSE), time series

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6768 Revealing Nonlinear Couplings between Oscillators from Time Series

Authors: B.P. Bezruchko, D.A. Smirnov

Abstract:

Quantitative characterization of nonlinear directional couplings between stochastic oscillators from data is considered. We suggest coupling characteristics readily interpreted from a physical viewpoint and their estimators. An expression for a statistical significance level is derived analytically that allows reliable coupling detection from a relatively short time series. Performance of the technique is demonstrated in numerical experiments.

Keywords: Nonlinear time series analysis, directional couplings, coupled oscillators.

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6767 Discovery of Time Series Event Patterns based on Time Constraints from Textual Data

Authors: Shigeaki Sakurai, Ken Ueno, Ryohei Orihara

Abstract:

This paper proposes a method that discovers time series event patterns from textual data with time information. The patterns are composed of sequences of events and each event is extracted from the textual data, where an event is characteristic content included in the textual data such as a company name, an action, and an impression of a customer. The method introduces 7 types of time constraints based on the analysis of the textual data. The method also evaluates these constraints when the frequency of a time series event pattern is calculated. We can flexibly define the time constraints for interesting combinations of events and can discover valid time series event patterns which satisfy these conditions. The paper applies the method to daily business reports collected by a sales force automation system and verifies its effectiveness through numerical experiments.

Keywords: Text mining, sequential mining, time constraints, daily business reports.

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6766 Adaptive Dynamic Time Warping for Variable Structure Pattern Recognition

Authors: S. V. Yendiyarov

Abstract:

Pattern discovery from time series is of fundamental importance. Particularly, when information about the structure of a pattern is not complete, an algorithm to discover specific patterns or shapes automatically from the time series data is necessary. The dynamic time warping is a technique that allows local flexibility in aligning time series. Because of this, it is widely used in many fields such as science, medicine, industry, finance and others. However, a major problem of the dynamic time warping is that it is not able to work with structural changes of a pattern. This problem arises when the structure is influenced by noise, which is a common thing in practice for almost every application. This paper addresses this problem by means of developing a novel technique called adaptive dynamic time warping.

Keywords: Pattern recognition, optimal control, quadratic programming, dynamic programming, dynamic time warping, sintering control.

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6765 Robust Stability Criteria for Uncertain Genetic Regulatory Networks with Time-Varying Delays

Authors: Wenqin Wang, Shouming Zhong

Abstract:

This paper presents the robust stability criteria for uncertain genetic regulatory networks with time-varying delays. One key point of the criterion is that the decomposition of the matrix ˜D into ˜D = ˜D1 + ˜D2. This decomposition corresponds to a decomposition of the delayed terms into two groups: the stabilizing ones and the destabilizing ones. This technique enables one to take the stabilizing effect of part of the delayed terms into account. Meanwhile, by choosing an appropriate new Lyapunov functional, a new delay-dependent stability criteria is obtained and formulated in terms of linear matrix inequalities (LMIs). Finally, numerical examples are presented to illustrate the effectiveness of the theoretical results.

Keywords: Genetic regulatory network, Time-varying delay, Uncertain system, Lyapunov-Krasovskii functional

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6764 Multivariate High Order Fuzzy Time Series Forecasting for Car Road Accidents

Authors: Tahseen A. Jilani, S. M. Aqil Burney, C. Ardil

Abstract:

In this paper, we have presented a new multivariate fuzzy time series forecasting method. This method assumes mfactors with one main factor of interest. History of past three years is used for making new forecasts. This new method is applied in forecasting total number of car accidents in Belgium using four secondary factors. We also make comparison of our proposed method with existing methods of fuzzy time series forecasting. Experimentally, it is shown that our proposed method perform better than existing fuzzy time series forecasting methods. Practically, actuaries are interested in analysis of the patterns of causalities in road accidents. Thus using fuzzy time series, actuaries can define fuzzy premium and fuzzy underwriting of car insurance and life insurance for car insurance. National Institute of Statistics, Belgium provides region of risk classification for each road. Thus using this risk classification, we can predict premium rate and underwriting of insurance policy holders.

Keywords: Average forecasting error rate (AFER), Fuzziness offuzzy sets Fuzzy, If-Then rules, Multivariate fuzzy time series.

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6763 Novel Delay-Dependent Stability Criteria for Uncertain Discrete-Time Stochastic Neural Networks with Time-Varying Delays

Authors: Mengzhuo Luo, Shouming Zhong

Abstract:

This paper investigates the problem of exponential stability for a class of uncertain discrete-time stochastic neural network with time-varying delays. By constructing a suitable Lyapunov-Krasovskii functional, combining the stochastic stability theory, the free-weighting matrix method, a delay-dependent exponential stability criteria is obtained in term of LMIs. Compared with some previous results, the new conditions obtain in this paper are less conservative. Finally, two numerical examples are exploited to show the usefulness of the results derived.

Keywords: Delay-dependent stability, Neural networks, Time varying delay, Linear matrix inequality (LMI).

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6762 Detecting the Nonlinearity in Time Series from Continuous Dynamic Systems Based on Delay Vector Variance Method

Authors: Shumin Hou, Yourong Li, Sanxing Zhao

Abstract:

Much time series data is generally from continuous dynamic system. Firstly, this paper studies the detection of the nonlinearity of time series from continuous dynamics systems by applying the Phase-randomized surrogate algorithm. Then, the Delay Vector Variance (DVV) method is introduced into nonlinearity test. The results show that under the different sampling conditions, the opposite detection of nonlinearity is obtained via using traditional test statistics methods, which include the third-order autocovariance and the asymmetry due to time reversal. Whereas the DVV method can perform well on determining nonlinear of Lorenz signal. It indicates that the proposed method can describe the continuous dynamics signal effectively.

Keywords: Nonlinearity, Time series, continuous dynamics system, DVV method

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6761 Comparison of Artificial Neural Network Architectures in the Task of Tourism Time Series Forecast

Authors: João Paulo Teixeira, Paula Odete Fernandes

Abstract:

The authors have been developing several models based on artificial neural networks, linear regression models, Box- Jenkins methodology and ARIMA models to predict the time series of tourism. The time series consist in the “Monthly Number of Guest Nights in the Hotels" of one region. Several comparisons between the different type models have been experimented as well as the features used at the entrance of the models. The Artificial Neural Network (ANN) models have always had their performance at the top of the best models. Usually the feed-forward architecture was used due to their huge application and results. In this paper the author made a comparison between different architectures of the ANNs using simply the same input. Therefore, the traditional feed-forward architecture, the cascade forwards, a recurrent Elman architecture and a radial based architecture were discussed and compared based on the task of predicting the mentioned time series.

Keywords: Artificial Neural Network Architectures, time series forecast, tourism.

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6760 Multi-Context Recurrent Neural Network for Time Series Applications

Authors: B. Q. Huang, Tarik Rashid, M-T. Kechadi

Abstract:

this paper presents a multi-context recurrent network for time series analysis. While simple recurrent network (SRN) are very popular among recurrent neural networks, they still have some shortcomings in terms of learning speed and accuracy that need to be addressed. To solve these problems, we proposed a multi-context recurrent network (MCRN) with three different learning algorithms. The performance of this network is evaluated on some real-world application such as handwriting recognition and energy load forecasting. We study the performance of this network and we compared it to a very well established SRN. The experimental results showed that MCRN is very efficient and very well suited to time series analysis and its applications.

Keywords: Gradient descent method, recurrent neural network, learning algorithms, time series, BP

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6759 Delay-Dependent Stability Analysis for Neutral Type Neural Networks with Uncertain Parameters and Time-Varying Delay

Authors: Qingqing Wang, Shouming Zhong

Abstract:

In this paper, delay-dependent stability analysis for neutral type neural networks with uncertain paramters and time-varying delay is studied. By constructing new Lyapunov-Krasovskii functional and dividing the delay interval into multiple segments, a novel sufficient condition is established to guarantee the globally asymptotically stability of the considered system. Finally, a numerical example is provided to illustrate the usefulness of the proposed main results.

Keywords: Neutral type neural networks, Time-varying delay, Stability, Linear matrix inequality(LMI).

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6758 Finite-Horizon Tracking Control for Repetitive Systems with Uncertain Initial Conditions

Authors: Sung Wook Yun, Yun Jong Choi, Kyong-min Lee, Poogyeon Park*

Abstract:

Repetitive systems stand for a kind of systems that perform a simple task on a fixed pattern repetitively, which are widely spread in industrial fields. Hence, many researchers have been interested in those systems, especially in the field of iterative learning control (ILC). In this paper, we propose a finite-horizon tracking control scheme for linear time-varying repetitive systems with uncertain initial conditions. The scheme is derived both analytically and numerically for state-feedback systems and only numerically for output-feedback systems. Then, it is extended to stable systems with input constraints. All numerical schemes are developed in the forms of linear matrix inequalities (LMIs). A distinguished feature of the proposed scheme from the existing iterative learning control is that the scheme guarantees the tracking performance exactly even under uncertain initial conditions. The simulation results demonstrate the good performance of the proposed scheme.

Keywords: Finite time horizon, linear matrix inequality (LMI), repetitive system, uncertain initial condition.

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6757 A Fuzzy Time Series Forecasting Model for Multi-Variate Forecasting Analysis with Fuzzy C-Means Clustering

Authors: Emrah Bulut, Okan Duru, Shigeru Yoshida

Abstract:

In this study, a fuzzy integrated logical forecasting method (FILF) is extended for multi-variate systems by using a vector autoregressive model. Fuzzy time series forecasting (FTSF) method was recently introduced by Song and Chissom [1]-[2] after that Chen improved the FTSF method. Rather than the existing literature, the proposed model is not only compared with the previous FTS models, but also with the conventional time series methods such as the classical vector autoregressive model. The cluster optimization is based on the C-means clustering method. An empirical study is performed for the prediction of the chartering rates of a group of dry bulk cargo ships. The root mean squared error (RMSE) metric is used for the comparing of results of methods and the proposed method has superiority than both traditional FTS methods and also the classical time series methods.

Keywords: C-means clustering, Fuzzy time series, Multi-variate design

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6756 Formalizing a Procedure for Generating Uncertain Resource Availability Assumptions Based On Real Time Logistic Data Capturing with Auto-ID Systems for Reactive Scheduling

Authors: Lars Laußat, Manfred Helmus, Kamil Szczesny, Markus König

Abstract:

As one result of the project “Reactive Construction Project Scheduling using Real Time Construction Logistic Data and Simulation”, a procedure for using data about uncertain resource availability assumptions in reactive scheduling processes has been developed. Prediction data about resource availability is generated in a formalized way using real-time monitoring data e.g. from auto-ID systems on the construction site and in the supply chains. The paper focusses on the formalization of the procedure for monitoring construction logistic processes, for the detection of disturbance and for generating of new and uncertain scheduling assumptions for the reactive resource constrained simulation procedure that is and will be further described in other papers.

Keywords: Auto-ID, Construction Logistic, Fuzzy, Monitoring, RFID, Scheduling.

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6755 Application of Extreme Learning Machine Method for Time Series Analysis

Authors: Rampal Singh, S. Balasundaram

Abstract:

In this paper, we study the application of Extreme Learning Machine (ELM) algorithm for single layered feedforward neural networks to non-linear chaotic time series problems. In this algorithm the input weights and the hidden layer bias are randomly chosen. The ELM formulation leads to solving a system of linear equations in terms of the unknown weights connecting the hidden layer to the output layer. The solution of this general system of linear equations will be obtained using Moore-Penrose generalized pseudo inverse. For the study of the application of the method we consider the time series generated by the Mackey Glass delay differential equation with different time delays, Santa Fe A and UCR heart beat rate ECG time series. For the choice of sigmoid, sin and hardlim activation functions the optimal values for the memory order and the number of hidden neurons which give the best prediction performance in terms of root mean square error are determined. It is observed that the results obtained are in close agreement with the exact solution of the problems considered which clearly shows that ELM is a very promising alternative method for time series prediction.

Keywords: Chaotic time series, Extreme learning machine, Generalization performance.

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6754 Model-free Prediction based on Tracking Theory and Newton Form of Polynomial

Authors: Guoyuan Qi , Yskandar Hamam, Barend Jacobus van Wyk, Shengzhi Du

Abstract:

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

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6753 Signal Processing Approach to Study Multifractality and Singularity of Solar Wind Speed Time Series

Authors: Tushnik Sarkar, Mofazzal H. Khondekar, Subrata Banerjee

Abstract:

This paper investigates the nature of the fluctuation of the daily average Solar wind speed time series collected over a period of 2492 days, from 1st January, 1997 to 28th October, 2003. The degree of self-similarity and scalability of the Solar Wind Speed signal has been explored to characterise the signal fluctuation. Multi-fractal Detrended Fluctuation Analysis (MFDFA) method has been implemented on the signal which is under investigation to perform this task. Furthermore, the singularity spectra of the signals have been also obtained to gauge the extent of the multifractality of the time series signal.

Keywords: Detrended fluctuation analysis, generalized Hurst exponent, holder exponents, multifractal exponent, multifractal spectrum, singularity spectrum, time series analysis.

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