41 search results - page 1 / 9 » Summarizing Time Series: Learning Patterns in 'Volatile' Ser... |
IDEAL
2004
Springer
13 years 9 months ago
2004
Springer
Most financial time series processes are nonstationary and their frequency characteristics are time-dependant. In this paper we present a time series summarization and prediction ...
ICML
2010
IEEE
13 years 5 months ago
2010
IEEE
Predicting the "Value at Risk" of a portfolio of stocks is of great significance in quantitative finance. We introduce a new class models, "dynamical products of ex...
VLDB
2006
ACM
14 years 4 months ago
2006
ACM
Managing large-scale time series databases has attracted significant attention in the database community recently. Related fundamental problems such as dimensionality reduction, tr...
KDD
2007
ACM
14 years 4 months ago
2007
ACM
Time series motifs are approximately repeated patterns found within the data. Such motifs have utility for many data mining algorithms, including rule-discovery, novelty-detection...
CSDA
2007
13 years 4 months ago
2007
In this paper, we perform Bayesian inference and prediction for a GARCH model where the innovations are assumed to follow a mixture of two Gaussian distributions. This GARCH model...