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基于复杂性理论的任意性质多维时间序列的回顾性变点检测:无模型技术

Retrospective Change-Points Detection for Multidimensional Time Series of Arbitrary Nature: Model-Free Technology Based on the -Complexity Theory.

作者信息

Piryatinska Alexandra, Darkhovsky Boris

机构信息

Department of Mathematics, San Francisco State University, 1600 Holloway Ave., San Francisco, CA 94132, USA.

Institute for Systems Analysis, FRC CSC RAS 9 Pr. 60-Letiya Oktyabrya, 117312 Moscow, Russia.

出版信息

Entropy (Basel). 2021 Dec 2;23(12):1626. doi: 10.3390/e23121626.

DOI:10.3390/e23121626
PMID:34945932
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC8700035/
Abstract

We consider a retrospective change-point detection problem for multidimensional time series of arbitrary nature (in particular, panel data). Change-points are the moments at which the changes in generating mechanism occur. Our method is based on the new theory of ϵ-complexity of individual continuous vector functions and is model-free. We present simulation results confirming the effectiveness of the method.

摘要

我们考虑任意性质的多维时间序列(特别是面板数据)的回顾性变点检测问题。变点是生成机制发生变化的时刻。我们的方法基于单个连续向量函数的ϵ-复杂度新理论,且无需模型。我们给出的模拟结果证实了该方法的有效性。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/767e8ee30f57/entropy-23-01626-g006.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/7c6f127c1d80/entropy-23-01626-g001.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/4cbf640fcf85/entropy-23-01626-g002.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/65e0cd585dfa/entropy-23-01626-g003.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/b74f5f51bd09/entropy-23-01626-g004.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/66feffbc3611/entropy-23-01626-g005.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/767e8ee30f57/entropy-23-01626-g006.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/7c6f127c1d80/entropy-23-01626-g001.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/4cbf640fcf85/entropy-23-01626-g002.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/65e0cd585dfa/entropy-23-01626-g003.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/b74f5f51bd09/entropy-23-01626-g004.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/66feffbc3611/entropy-23-01626-g005.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/24c4/8700035/767e8ee30f57/entropy-23-01626-g006.jpg

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