Multiscale reconstruction of time series

Details Multiscale reconstruction of time series Multiscale reconstruction of time series

2006-08-07

arxiv.org/abs/physics/0608069v1

Physics

Data Analysis, Statistics and Probability

4 pages, 3 figures

Scientific paper

10.1016/j.physleta.2006.08.024

A new method is proposed which allows a reconstruction of time series based on higher order multiscale statistics given by a hierarchical process. This method is able to model the time series not only on a specific scale but for a range of scales. It is possible to generate complete new time series, or to model the next steps for a given sequence of data. The method itself is based on the joint probability density which can be extracted directly from given data, thus no estimation of parameters is necessary. The results of this approach are shown for a real world dataset, namely for turbulence. The unconditional and conditional probability densities of the original and reconstructed time series are compared and the ability to reproduce both is demonstrated. Therefore in the case of Markov properties the method proposed here is able to generate artificial time series with correct n-point statistics.

Affiliated with

Also associated with

No associations

Rating

Multiscale reconstruction of time series does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Multiscale reconstruction of time series, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Multiscale reconstruction of time series will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-601362