This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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56
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Type:
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Topic Contributed
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Date/Time:
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Sunday, August 1, 2010 : 4:00 PM to 5:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract - #306718 |
Title:
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Thick-Pen Transformation for Time Series
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Author(s):
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Piotr Fryzlewicz*+ and Hee-Seok Oh
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Companies:
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London School of Economics and Seoul National University
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Address:
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Department of Statistics, London, International, WC2A 2AE, United Kingdom
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Keywords:
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nonstationary time series ;
multiscale statistics ;
testing for nonstationarity ;
scale-space ;
time series visualisation
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Abstract:
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Traditional visualisation of time series data consists of plotting the time series values against time and "connecting the dots". We propose an alternative, multiscale visualisation technique, motivated by the scale-space approach in computer vision. In brief, our method also "connects the dots", but uses a range of pens of varying thicknesses for this purpose. The resulting multiscale map, termed the Thick-Pen Transform (TPT) corresponds to viewing the time series from a range of distances. We formally prove that the TPT is a discriminatory statistic for two Gaussian time series with distinct correlation structures. Further, we show interesting possible applications of the TPT to measuring cross-dependence in multivariate time series, and to testing for stationarity.
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Authors who are presenting talks have a * after their name.
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