Method and system to identify discrete trends in time series
First Claim
1. A computer system for breaking a time series into a plurality of discontinuous trends, the system comprising:
- an input means for inputting time series data to a computer, the time series comprising a plurality of data elements, at least a portion of which represents a trend which is generally increasing or decreasing;
a memory means for storing the time series data;
a processing means forselecting a plurality of sets of trend determination parameters for the time series, each set of trend determination parameters comprising at least one window size, such that the window size defines a number of adjacent data elements from the time series to be used to generate trends;
selecting a useful group of sets of trend determination parameters for the time series from the plurality of sets of trend determination parameters, 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;
evaluating the trend attributes for each member;
selecting at least one set of trends; and
an output means for outputting the set of trends from the computer.
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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
25 Claims
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1. A computer system for breaking a time series into a plurality of discontinuous trends, the system comprising:
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an input means for inputting time series data to a computer, the time series comprising a plurality of data elements, at least a portion of which represents a trend which is generally increasing or decreasing; a memory means for storing the time series data; a processing means for selecting a plurality of sets of trend determination parameters for the time series, each set of trend determination parameters comprising at least one window size, such that the window size defines a number of adjacent data elements from the time series to be used to generate trends; selecting a useful group of sets of trend determination parameters for the time series from the plurality of sets of trend determination parameters, 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; evaluating the trend attributes for each member; selecting at least one set of trends; and an output means for outputting the set of trends from the computer. - 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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Specification