Componentes e pontos de quebra em séries temporais na análise de imagens de sensoriamento remoto

Orientador: Ricardo da Silva TorresDissertação (mestrado) - Universidade Estadual de Campinas, Instituto de ComputaçãoResumo: A detecção e caracterização de mudanças temporais são indicadores cruciais no processo de compreensão da maneira como mecanismos complexos funcionam e evoluem. Técnicas e imagens de sensoriamento remoto têm sido amplamente empregadas nas últimas décadas com objetivo de detectar e investigar mudanças temporais na superfície terrestre. Tal detecção em dados de séries temporais é passível de ser refinada ainda mais isolando-se as componentes aditivas de tendência e sazonalidade do ruído subjacente. Este trabalho investiga, em particular, o método Breaks For Additive Season and Trend (BFAST) para a análise, decomposição e detecção de pontos de quebra em séries temporais associadas a dados de sensoriamento remoto. Os outputs do método são, então, utilizados em três distintas ¿ mas altamente interconectadas ¿ linhas de pesquisa: em uma melhor compreensão de fenômenos climáticos; na correlação com dados de distúrbios antropológicos; e em problemas de classificação usando funções de dissimilaridade descobertas por um framework evolucionário baseado em Programação Genética (GP). Experimentos realizados demonstram que a decomposição e pontos de quebra produziram resultados efetivos quando aplicados aos estudos com dados ecológicos, mas não foram capazes de melhorar os resultados de classificação quando comparados ao uso das séries brutas. As realizações nesses três contextos também culminaram na criação de duas ferramentas de análise de séries temporais com código aberto baseadas na web, sendo que uma delas foi tão bem aceita pela comunidade-alvo, que atualmente encontra-se integrada em uma plataforma privada de computação em nuvemAbstract: Detecting and characterizing temporal changes are crucial indicators in the process of understanding how complex mechanisms work and evolve. The use of remote sensing images and techniques has been broadly employed over the past decades in order to detect and investigate temporal changes on the Earth surface. Such change detection in time series data may be even further refined by isolating the additive long-term (trend) and cyclical (seasonal) components from the underlying noise. This work investigates the particular Breaks For Additive Season and Trend (BFAST) method for the analysis, decomposition, and breakpoint detection of time series associated with remote sensing data. The derived outputs from that method are, then, used in three distinct ¿ but highly interconnected ¿ research venues: in a better comprehension of climatic phenomena; in the correlation to human-induced disturbances data; and in data classification problems using time series dissimilarity functions discovered by a Genetic-Programming-(GP)-based evolutionary framework. Performed experiments show that decomposition and breakpoints produced insightful and effective results when applied to the ecological data studies, but could not further improve the classification results when compared to its raw time series counterpart. The achievements in those three contexts also led to the creation of two open-source web-based time series analysis tools. One of those tools was so well received by the target community, that it is currently integrated into a private cloud computing platformMestradoCiência da ComputaçãoMestre em Ciência da Computação132847/2015-92015/02105-0CNPQFAPES

Lazy Probabilistic Model Checking without Determinisation

The bottleneck in the quantitative analysis of Markov chains and Markov decision processes against specifications given in LTL or as some form of nondeterministic B\"uchi automata is the inclusion of a determinisation step of the automaton under consideration. In this paper, we show that full determinisation can be avoided: subset and breakpoint constructions suffice. We have implemented our approach---both explicit and symbolic versions---in a prototype tool. Our experiments show that our prototype can compete with mature tools like PRISM.Comment: 38 pages. Updated version for introducing the following changes: - general improvement on paper presentation; - extension of the approach to avoid full determinisation; - added proofs for such an extension; - added case studies; - updated old case studies to reflect the added extensio

Yield-Curve Based Probability Forecasts of U.S. Recessions: Stability and Dynamics

Various papers indicate that the yield-curve has superior predictive power for U.S. recessions. However, there is controversial evidence on the stability of the predictive relationship and it has remained unclear how the persistence of the underlying binary recession indicator should be taken into account. We show that a yield-curve based probit model treating the binary recession series as a nonhomogeneous first-order Markov chain sufficiently captures the persistence of the U.S. business cycles and produces recession probability forecasts that outperform those based on a conventional static model. We obtain evidence for instability in the predictive content of the yield-curve that centers on a structural change in the early 1980s. We conclude that the simple dynamic model with parameters estimated using data after the breakpoint is likely to provide useful probability forecasts of U.S. recessions in the future.recession forecast, yield curve, dynamic probit models, parameter stability

Time series segmentation by Cusum, AutoSLEX and AutoPARM methods

Time series segmentation has many applications in several disciplines as neurology, cardiology, speech, geology and others. Many time series in this fields do not behave as stationary and the usual transformations to linearity cannot be used. This paper describes and evaluates different methods for segmenting non-stationary time series. We propose a modification of the algorithm in Lee et al. (2003) which is designed to searching for a unique change in the parameters of a time series, in order to find more than one change using an iterative procedure. We evaluate the performance of three approaches for segmenting time series: AutoSLEX (Ombao et al., 2002), AutoPARM (Davis et al., 2006) and the iterative cusum method mentioned above and referred as ICM. The evaluation of each methodology consists of two steps. First, we compute how many times each procedure fails in segmenting stationary processes properly. Second, we analyze the effect of different change patterns by counting how many times the corresponding methodology correctly segments a piecewise stationary process. ICM method has a better performance than AutoSLEX for piecewise stationary processes. AutoPARM presents a very satisfactory behaviour. The performance of the three methods is illustrated with time series datasets of neurology and speechTime series segmentation, AutoSLEX, AutoPARM, Cusum Methods

Business Cycle Volatility in Germany

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the case of the United States. In consequence, it is difficult to answer the question whether the decline in output volatility in Germany reflects good economic and monetary policy or merely ‘good luck’.Business Cycle; Volatility; Germany

Decomposing multifractal crossovers

Physiological processes-such as, the brain's resting-state electrical activity or hemodynamic fluctuations-exhibit scale-free temporal structuring. However, impacts common in biological systems such as, noise, multiple signal generators, or filtering by transport function, result in multimodal scaling that cannot be reliably assessed by standard analytical tools that assume unimodal scaling. Here, we present two methods to identify breakpoints or crossovers in multimodal multifractal scaling functions. These methods incorporate the robust iterative fitting approach of the focus-based multifractal formalism (FMF). The first approach (moment-wise scaling range adaptivity) allows for a breakpoint-based adaptive treatment that analyzes segregated scale-invariant ranges. The second method (scaling function decomposition method, SFD) is a crossover-based design aimed at decomposing signal constituents from multimodal scaling functions resulting from signal addition or co-sampling, such as, contamination by uncorrelated fractals. We demonstrated that these methods could handle multimodal, mono- or multifractal, and exact or empirical signals alike. Their precision was numerically characterized on ideal signals, and a robust performance was demonstrated on exemplary empirical signals capturing resting-state brain dynamics by near infrared spectroscopy (NIRS), electroencephalography (EEG), and blood oxygen level-dependent functional magnetic resonance imaging (fMRI-BOLD). The NIRS and fMRI-BOLD low-frequency fluctuations were dominated by a multifractal component over an underlying biologically relevant random noise, thus forming a bimodal signal. The crossover between the EEG signal components was found at the boundary between the δ and θ bands, suggesting an independent generator for the multifractal d rhythm. The robust implementation of the SFD method should be regarded as essential in the seamless processing of large volumes of bimodal fMRI-BOLD imaging data for the topology of multifractal metrics free of the masking effect of the underlying random noise. © 2017 Nagy, Mukli, Herman and Eke

A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach

In this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US and the UK. We use the frequency approach, which is based on evolutionary spectral analysis (Priestley, 1965-1996). The graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the two series. Our goal is to estimate first the TVCF of the two series, then to test stability in both the cross-spectra density and in TVCF by detecting various breakpoints in each function.comovement ; spectral analysis ; time-varying coherence function ; structural change