Change point estimation under a copula-based Markov chain model for binomial time series

2021 ◽  
Author(s):  
Takeshi Emura ◽  
Ching-Chieh Lai ◽  
Li-Hsien Sun
Keyword(s):  
Time Series ◽  
Markov Chain ◽  
Change Point ◽  
Markov Chain Model ◽  
Point Estimation ◽  
Chain Model ◽  
Change Point Estimation

scholarly journals Change-point detection, segmentation, and related topics

2020 ◽  
Vol 68 ◽  
pp. 97-122
Author(s):  
Jean-Marc Bardet ◽  
Vincent Brault ◽  
Serguei Dachian ◽  
Farida Enikeeva ◽  
Bruno Saussereau
Keyword(s):  
Time Series ◽  
Change Point ◽  
Point Estimation ◽  
Change Point Detection ◽  
Autoregressive Models ◽  
Change Point Estimation ◽  
Adaptive Penalty ◽  
Singularity Point ◽  
Dependency Structures ◽  
Point Detection

Recent contributions to change-point detection, segmentation and inference for non-regular models are presented. Various problems are considered including the multiple change-point estimation with adaptive penalty for time series with different dependency structures, estimation of the singularity point in cusp-type models, inference for thresholded autoregressive models, and cross-segmentation of matrices.

scholarly journals Disaster Forecasting Approach In Indonesia: A Fuzzy Time Series - Markov Chain Model

2019 ◽  
Author(s):  
Rahmad Syah
Keyword(s):  
Time Series ◽  
Markov Chain ◽  
Natural Disasters ◽  
Markov Chain Model ◽  
Volcanic Eruptions ◽  
Fuzzy Time Series ◽  
Chain Model ◽  
The Past ◽  
The Future ◽  
Transport Accidents

The concept of Fuzzy Time Series to predict things that will happen based on the data in the past, while Markov Chain assist in estimating the changes that may occur in the future. With methods are used to predict the incidence of natural disasters in the future. From the research that has been done, it appears the change, an increase of each disaster, like a tornado reaches 3%, floods reaches 16%, landslides reaches 7%, transport accidents reached 25% and volcanic eruptions as high as 50%.

scholarly journals Insight into earthquake sequencing: analysis and interpretation of time-series constructed from the directed graph of the Markov chain model

2015 ◽  
Vol 2 (1) ◽  
pp. 399-424
Author(s):  
M. S. Cavers ◽  
K. Vasudevan
Keyword(s):  
Time Series ◽  
Markov Chain ◽  
Directed Graph ◽  
State Transition ◽  
Transition Probabilities ◽  
Markov Chain Model ◽  
Fano Factor ◽  
Chain Model ◽  
Intrinsic Mode Functions ◽  
Allan Factor

Abstract. Directed graph representation of a Markov chain model to study global earthquake sequencing leads to a time-series of state-to-state transition probabilities that includes the spatio-temporally linked recurrent events in the record-breaking sense. A state refers to a configuration comprised of zones with either the occurrence or non-occurrence of an earthquake in each zone in a pre-determined time interval. Since the time-series is derived from non-linear and non-stationary earthquake sequencing, we use known analysis methods to glean new information. We apply decomposition procedures such as ensemble empirical mode decomposition (EEMD) to study the state-to-state fluctuations in each of the intrinsic mode functions. We subject the intrinsic mode functions, the orthogonal basis set derived from the time-series using the EEMD, to a detailed analysis to draw information-content of the time-series. Also, we investigate the influence of random-noise on the data-driven state-to-state transition probabilities. We consider a second aspect of earthquake sequencing that is closely tied to its time-correlative behavior. Here, we extend the Fano factor and Allan factor analysis to the time-series of state-to state transition frequencies of a Markov chain. Our results support not only the usefulness the intrinsic mode functions in understanding the time-series but also the presence of power-law behaviour exemplified by the Fano factor and the Allan factor.

scholarly journals A FUZZY TIME SERIES-MARKOV CHAIN MODEL TO FORECAST FISH FARMING PRODUCT

Kursor ◽  
2019 ◽  
Vol 9 (4) ◽  
Author(s):  
Bagus Dwi Saputra
Keyword(s):  
Time Series ◽  
Markov Chain ◽  
Time Series Data ◽  
Markov Chain Model ◽  
Fish Farming ◽  
Fuzzy Time Series ◽  
Series Data ◽  
Percentage Error ◽  
Chain Model ◽  
Price Fluctuations

Price is one of the important things that need to concern as defining factor of the profit or loss of product selling as the result of price fluctuations that are very difficult to control. Price fluctuations are caused by many factors including weather, stock availability, demand and others. One of the steps to solve the price fluctuations problem is by making a forecast of fish incoming prices. The purpose of this study is to apply Markov chain’s fuzzy time series to forecast farming fish prices. Markov chain fuzzy time series is one of the prediction methods to predict time series data that has advantages in the implentation of historical data, flexible, and high level of data forecasting accuracy. This study used fish prices at November 2018. The results showed that markov chain fuzzy time series showed very accurate forecasting results with a mean error percentage of absolute percentage error (MAPE) of 1.4% so the accuracy of the Markov chain fuzzy time series method is 98, 6%.

Sign in / Sign up

Export Citation Format

Share Document