Cargando…

Segmentation of time series in up- and down-trends using the epsilon-tau procedure with application to USD/JPY foreign exchange market data

We propose the epsilon-tau procedure to determine up- and down-trends in a time series, working as a tool for its segmentation. The method denomination reflects the use of a tolerance level ε for the series values and a patience level τ in the time axis to delimit the trends. We first illustrate the...

Descripción completa

Detalles Bibliográficos
Autores principales: Yamashita Rios de Sousa, Arthur Matsuo, Takayasu, Hideki, Takayasu, Misako
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7500655/
https://www.ncbi.nlm.nih.gov/pubmed/32946503
http://dx.doi.org/10.1371/journal.pone.0239494