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The shock of Monica Bellucci again! New version of "Alex" will be released
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At that time, attention was focused on the novel method of drawing time series from the opposite direction.
The shocking work "Alex" (2002) directed by the genius Gaspar Noé is a new version reconstructed by the director himself ... → Continue reading
Wikipedia related words
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Time series(Time series,British: time series) Is obtained by observing the temporal change of a certain phenomenon continuously (or discontinuously at regular intervals).valueSeries of(A series of values).For examplestatistics,Signal processingIs a sequence of data measured over time, measured at (usually constant) time intervals.If the intervals are not uniform, it is called a point process.
Time series analysis,Time series analysisIs a method for interpreting such time series, for finding or predicting the theory behind the data sequence (why did it become such a time series?).Time series forecastIs a future based on known past eventsモデルTo predict possible future data points before measurement.For examplestockForecasting future prices from past price changes in.
The following description is also used in time series analysis:
This is a time series indexed by a natural number X Represents.
There are various formats for models of time series data.古典的に有名なClassic famouslinearAs a modelAutoregressive moving average modelThere is (ARMA), this isAutoregressive model(Autoregressive; AR) andmoving averageIt is a combination of models (moving average; MA).In addition, a sum model (integrated; I) was combined.Autoregressive integrated moving average modelThere is (ARIMA).These are linearly dependent on historical data sequences and noise.Non-linear dependence on historical dataカ オ スIt is interesting because it can produce a time series.
State space model
This model isParticle filter(Monte Carlo method) To state OfProbability distributionCan be obtained.関数function と Is not limited, Is from the observed valueLikelihoodIt is necessary to be able to calculate back (probability density or probability mass). , Does not have to be a real vector, anydata structureIs fine.
This is the state Probability distribution (multivariate normal distribution)Kalman filterThe exact solution is required at. ARMA and ARIMA can also be handled by this linear model.
Tools for analyzing time series data include:
- Autocorrelation functionと
- Frequency domainAs an analysis of the series ofFourier transform
- noiseTo removeDigital filterの 使用
- Principal component analysis(Or analysis)
- Artificial neural network
- Chaos analysis
- State space model
An associative array of arbitrary time and numbers can be considered as a time series.The time in that case does not necessarily have to be a fixed interval.For example, the historical information of the market price of stocks and commodity futures is a kind of time series data.
Management analysts make full use of the tools listed here to help them manage.For example, energy traders forecast electricity consumption based on normal weather and short-term weather forecasts.
- ^ Kojien XNUMXth Edition [Time Series]
- ^ Genshiro Kitagawa"Introduction to Time Series Analysis" Iwanami Shoten, 2005, p. 209.ISBN 4000054554.
- ^ Tomoyuki Higuchi, "Basics of Statistical Modeling for Prediction-From Introduction to Bayesian Statistics to Applications," Kodansha, 2011, p. 29.ISBN 4061557955.
- Linear prediction method
- moving average
- Prediction interval
- System identification
- Trend estimation
- R language -A data analysis language with "time series data type" by default.
- Missing link
- Advanced Signal Processing Toolkit --National Instruments Commercial Software for Time Series Analysis