This article is cited in 19 papers

New approach to the segmentation problem for time series of arbitrary nature

B. S. Darhovsky^a, A. Piryatinska<sup>b

a</sup> Institute of Systems Analysis, Russian Academy of Sciences, Moscow, Russia
^b Department of Mathematics, San Francisco State University, San Francisco, CA 94132, USA

Abstract: We consider the problem of splitting time series of arbitrary nature (stochastic, deterministic, or mixed) into segments generated by the same mechanism. We introduce a new concept of $\in$-complexity of continuous functions and give a characterization of this quantity for Hölder continuous functions. On the basis of the $\in$-complexity parameters, we propose a new technique for the segmentation of time series that does not require any a priori knowledge of how these series were generated.

UDC: 519.246+519.862

Received in April 2014

DOI: 10.1134/S0371968514040049

 English version: Proceedings of the Steklov Institute of Mathematics, 2014, 287:1, 54–67

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