Automatic trend estimation - Couverture souple

Vamos¸, C˘alin; Cr˘aciun, Maria

Couverture souple

ISBN 10 : 9400748248 ISBN 13 : 9789400748248

Editeur : Springer, 2012

Synopsis

Our book introduces a method to evaluate the accuracy of trend estimation algorithms under conditions similar to those encountered in real time series processing. This method is based on Monte Carlo experiments with artificial time series numerically generated by an original algorithm. The second part of the book contains several automatic algorithms for trend estimation and time series partitioning. The source codes of the computer programs implementing these original automatic algorithms are given in the appendix and will be freely available on the web. The book contains clear statement of the conditions and the approximations under which the algorithms work, as well as the proper interpretation of their results. We illustrate the functioning of the analyzed algorithms by processing time series from astrophysics, finance, biophysics, and paleoclimatology. The numerical experiment method extensively used in our book is already in common use in computational and statistical physics.

A propos du livre

À propos de l?auteur

Vamos is Scientific researcher II at "Tiberiu Popoviciu" Institute of Numerical Analysis (Romania). His interests are on time series theory and quantitative finance.

Craciun is Scientific researcher III at "Tiberiu Popoviciu" Institute of Numerical Analysis (Romania). Her interests are on time series theory and quantitative finance.

Détails de l'édition

• Éditeur: Springer
• Date d'édition: 2012
• Langue: anglais
• ISBN 10: 9400748248
• ISBN 13: 9789400748248
• Reliure: Broché
• Nombre de pages: 144
• Coordonnées du fabricant: non disponible
• Personne responsable: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Allemagne