Time-SeriesDataAnalysis.pptVIP

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Time-SeriesDataAnalysis

Time-Series Data Analysis Statistical Methods Fuzzy Logic in Time-Series Data Analysis Chaos Theory in Time-Series Data Analysis Application of Artificial Neural Networks to Time-Series Data Analysis Goal of Time-Series Data Analysis 1 interpret data discover the pattern of the data ; 2 forecast predict future values . Main features of a time series Trend component --- a long-term change that does not repeat at the time range being considered Seasonal component seasonality --- regular fluctuations in systematic intervals. Noise error ---irregular component Measurement of the Fitness of Forecasting Model Plot:Plot the forecast values against the observed values can show in which region the model fits, and in which does not Mean Error: the average of the error, which is the difference of one-period-ahead forecast, and the current observed value cancel positive and negative errors out Mean Absolute Error: the average of the absolute errors not have the drawback of Mean Error Sum of Squared Error: adding squared error together Mean Squared Error: It is the average of squared error outliers may have greater weight Percentage Error: the relative magnitude of the error to the observed value. PEt 100 Xt –St / Xt Mean Percentage Error:the average of percentage errors Mean Absolute Percentage Error:the average of absolute percentage error Statistical Methods Exponential smoothing ARIMA AutoRegressive Integrated Average Model Statistical Methods- Exponential smoothing Smoothing technique---used to reduce noise, also remove seasonality to make trend component salient Exponential smoothing---a tool for noise filtering and forecasting simple exponential smoothing--- the best model for one-period-ahead forecasting among 25 time series methods Markridakis et la Statistical Methods- Exponential smoothing formula of the exponential smoothing: Xt b + ?t St ? Xt + 1 - ? St-1 Where ?t: error b: constant Xt: observed value at time t St: smoothed value at tim

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