SpringerBriefs in Physics

Automatic trend estimation

Authors: Vamos¸, C˘alin, Cr˘aciun, Maria

  • The reader will be able to reproduce the original automatic algorithms for trend estimation and time series partitioning
  • Teaches the essential characteristics of the polynomial fitting and moving averaging algorithms in the case of arbitrary non-monotonic trends
  • With examples of real time series from astrophysics, finance, biophysics, and paleoclimatology as encountered in practice
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eBook $34.99
price for USA (gross)
  • ISBN 978-94-007-4825-5
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  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.95
price for USA
  • ISBN 978-94-007-4824-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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About this book

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.

About the authors

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.

Table of contents (7 chapters)

Buy this book

eBook $34.99
price for USA (gross)
  • ISBN 978-94-007-4825-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.95
price for USA
  • ISBN 978-94-007-4824-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Automatic trend estimation
Authors
Series Title
SpringerBriefs in Physics
Copyright
2013
Publisher
Springer Netherlands
Copyright Holder
The Author(s)
eBook ISBN
978-94-007-4825-5
DOI
10.1007/978-94-007-4825-5
Softcover ISBN
978-94-007-4824-8
Series ISSN
2191-5423
Edition Number
1
Number of Pages
X, 131
Number of Illustrations and Tables
77 b/w illustrations
Topics