A study of time series: anomaly detection and trend prediction.

Abstract

Leung Tat Wing.Thesis (M.Phil.)--Chinese University of Hong Kong, 2006.Includes bibliographical references (leaves 94-98).Abstracts in English and Chinese.Abstract --- p.iAcknowledgement --- p.ivChapter 1 --- Introduction --- p.1Chapter 1.1 --- Unusual Pattern Discovery --- p.3Chapter 1.2 --- Trend Prediction --- p.4Chapter 1.3 --- Thesis Organization --- p.5Chapter 2 --- Unusual Pattern Discovery --- p.6Chapter 2.1 --- Introduction --- p.6Chapter 2.2 --- Related Work --- p.7Chapter 2.2.1 --- Time Series Discords --- p.7Chapter 2.2.2 --- Brute Force Algorithm --- p.8Chapter 2.2.3 --- Keogh et al.'s Algorithm --- p.10Chapter 2.2.4 --- Performance Analysis --- p.14Chapter 2.3 --- Proposed Approach --- p.18Chapter 2.3.1 --- Haar Transform --- p.20Chapter 2.3.2 --- Discretization --- p.22Chapter 2.3.3 --- Augmented Trie --- p.24Chapter 2.3.4 --- Approximating the Magic Outer Loop --- p.27Chapter 2.3.5 --- Approximating the Magic Inner Loop --- p.28Chapter 2.3.6 --- Experimental Result --- p.28Chapter 2.4 --- More on discord length --- p.42Chapter 2.4.1 --- Modified Haar Transform --- p.42Chapter 2.4.2 --- Fast Haar Transform Algorithm --- p.43Chapter 2.4.3 --- Relation between discord length and discord location --- p.45Chapter 2.5 --- Further Optimization --- p.47Chapter 2.5.1 --- Improved Inner Loop Heuristic --- p.50Chapter 2.5.2 --- Experimental Result --- p.52Chapter 2.6 --- Top K discords --- p.53Chapter 2.6.1 --- Utility of top K discords --- p.53Chapter 2.6.2 --- Algorithm --- p.58Chapter 2.6.3 --- Experimental Result --- p.62Chapter 2.7 --- Conclusion --- p.64Chapter 3 --- Trend Prediction --- p.69Chapter 3.1 --- Introduction --- p.69Chapter 3.2 --- Technical Analysis --- p.70Chapter 3.2.1 --- Relative Strength Index --- p.70Chapter 3.2.2 --- Chart Analysis --- p.70Chapter 3.2.3 --- Dow Theory --- p.71Chapter 3.2.4 --- Moving Average --- p.72Chapter 3.3 --- Proposed Algorithm --- p.79Chapter 3.3.1 --- Piecewise Linear Representation --- p.80Chapter 3.3.2 --- Prediction Tree --- p.82Chapter 3.3.3 --- Trend Prediction --- p.84Chapter 3.4 --- Experimental Results --- p.86Chapter 3.4.1 --- Experimental setup --- p.86Chapter 3.4.2 --- Experiment on accuracy --- p.87Chapter 3.4.3 --- Experiment on performance --- p.88Chapter 3.5 --- Conclusion --- p.90Chapter 4 --- Conclusion --- p.92Bibliography --- p.9