Method and system to identify discrete trends in time series
First Claim
1. A system, for use in an information processing apparatus, for breaking a time series into a plurality of discontinuous trends, the system comprising:
- input means for inputting time series data, the time series comprising a plurality of data elements;
processing means for generating a plurality of sets of trend determination parameters for the time series;
selecting a useful group of sets from the plurality of sets of trend determination parameters for the time series, such that the useful group of sets includes at least one member;
processing the time series with each member of the useful group of sets of trend determination parameters to generate a set of trends and trend attributes for each member; and
output means for outputting the trends for each member.
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Abstract
A signal processing system and method for breaking a time series into piece-wise discrete trends and determining whether new data represents the continuation of a trend. The method identifies and utilizes at least one set of trend determination parameters, which have favorable trend fit characteristics relative to other possible sets of parameters. In a semi-automated embodiment, the error and trend length characteristics are cross-plotted for multiple sets of possible parameters, and one or more of the parameter sets is selected from the graph. In an automated embodiment, an objective function is formulated from the characteristics, and an optimization technique is applied to identify one or more good parameter sets.
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Citations
26 Claims
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1. A system, for use in an information processing apparatus, for breaking a time series into a plurality of discontinuous trends, the system comprising:
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input means for inputting time series data, the time series comprising a plurality of data elements;
processing means for generating a plurality of sets of trend determination parameters for the time series;
selecting a useful group of sets from the plurality of sets of trend determination parameters for the time series, such that the useful group of sets includes at least one member;
processing the time series with each member of the useful group of sets of trend determination parameters to generate a set of trends and trend attributes for each member; and
output means for outputting the trends for each member. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25)
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26. A system for use in an information processing apparatus for breaking a time series into a plurality of discontinuous trends and determining if a new data element represents a continuation of the latest trend the system comprising:
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input means for inputting time series data, the time series comprising a plurality of data elements;
processing means for generating a plurality of sets of trend determination parameters for the time series by specifying a range of values for each of a plurality of trend determination parameters, and generating the sets of trend determination parameters by selecting unique combinations of trend determination parameter values, such that the values are within the range of values for each of the plurality of trend determination parameters;
selecting a useful group of sets from the plurality of sets of trend determination parameters for the time series, such that the useful group of sets includes at least one member by, for each trend determination parameter set;
applying the trend determination parameters to at least a portion of the time series data elements, thereby generating at least one trend and at least one trend attribute parameter, identifying the dynamic trend and at least one dynamic trend attribute parameter, calculating at least one indication of trend results between the time series and the trend set, and storing at least one indication of trend results on the computer, selecting at least one set of trend determination parameters based on at least one indication of trend results for each of the sets;
processing the time series with each member of the useful group of sets of trend determination parameters to generate a set of trends and trend attributes for each member by applying the trend determination parameters to at least a portion of the time series data elements, thereby generating at least one trend and at least one trend attribute parameter, assigning each of the data elements to at least one trend by generating a first trend with at least a portion of the data elements;
identifying the first trend as the current trend;
evaluating each subsequent data element to determine whether the data element is a continuation of the current trend, and assigning the data element to the current trend if it is a continuation of the current trend, and assigning the data element to a new trend if it is not a continuation of the current trend, and identifying the new trend as the current trend; and
determining at least one trend attribute for each trend, and identifying the dynamic trend and at least one dynamic trend attribute parameter;
evaluating at least one new data element for the time series by determining for each member whether the new data element represents a continuation of a dynamic trend;
deciding, based on the composite results of the members, whether the data element represents a continuation of a dynamic trend; and
output means for outputting the trends for each member.
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Specification