THE CLASSIFICATION OF TIME SERIES UNDER THE INFLUENCE OF SCALED NOISE

P. Kroha, K. Kröber

Abstract

In this paper, we propose an improvement of a method for market time series’ classification based on fuzzy and fractal technology. Usually, the older values of time series will be cut off at a specific time point. We investigated the influence of the fractal features on the classification result. We compared a normal time series representation, a representation having a smaller box dimension (achieved by exponential smoothing), and a representation having a greater box dimension (achieved by addind scaled noise). We used different types of noises and scales to improve the classification result. Our application concerns time series of stock prices. The market performance of those approaches is analyzed, discussed, and compared with the system without the scaled noise component.

References

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Paper Citation


in Harvard Style

Kroha P. and Kröber K. (2011). THE CLASSIFICATION OF TIME SERIES UNDER THE INFLUENCE OF SCALED NOISE . In Proceedings of the 6th International Conference on Software and Database Technologies - Volume 2: ICSOFT, ISBN 978-989-8425-77-5, pages 334-340. DOI: 10.5220/0003442903340340


in Bibtex Style

@conference{icsoft11,
author={P. Kroha and K. Kröber},
title={THE CLASSIFICATION OF TIME SERIES UNDER THE INFLUENCE OF SCALED NOISE},
booktitle={Proceedings of the 6th International Conference on Software and Database Technologies - Volume 2: ICSOFT,},
year={2011},
pages={334-340},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003442903340340},
isbn={978-989-8425-77-5},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 6th International Conference on Software and Database Technologies - Volume 2: ICSOFT,
TI - THE CLASSIFICATION OF TIME SERIES UNDER THE INFLUENCE OF SCALED NOISE
SN - 978-989-8425-77-5
AU - Kroha P.
AU - Kröber K.
PY - 2011
SP - 334
EP - 340
DO - 10.5220/0003442903340340