Algebraic time series forecasting and segmentation models

Kristina  Lukoševičiūtė; Rita  Palivonaitė

doi:10.15388/LMR.B.2015.06

Articles

Kristina Lukoševičiūtė

Kaunas University of Technology

Rita Palivonaitė

Kaunas University of Technology

Published 2015-12-20

https://doi.org/10.15388/LMR.B.2015.06

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Keywords

Hankel matrix
time series forecasting
time series segmentation
algebraic sequence

How to Cite

Lukoševičiūtė, K. and Palivonaitė, R. (2015) “Algebraic time series forecasting and segmentation models”, Lietuvos matematikos rinkinys, 56(B), pp. 29–34. doi:10.15388/LMR.B.2015.06.

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Abstract

An algebraic segmentation method based on algebraic predictor with internal smoothing is proposed. The concept of the rank of the sequence is proposed for the detection of a base fragment of the sequence. Numerical experiments with a real-world financial time series illustrate the segmentation method.

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