中国科学院沈阳自动化研究所机构知识库
Advanced  
SIA OpenIR  > 信息服务与智能控制技术研究室  > 期刊论文
题名: 时间序列异常点及突变点的检测算法
其他题名: Outliers and change-points detection algorithm for time series
作者: 苏卫星 ; 朱云龙 ; 刘芳 ; 胡琨元
作者部门: 信息服务与智能控制技术研究室
关键词: 异常点 ; 突变点 ; 小波变换 ; Lipschitz指数 ; 时间序列
刊名: 计算机研究与发展
ISSN号: 1000-1239
出版日期: 2014
卷号: 51, 期号:4, 页码:781-788
收录类别: EI ; CSCD
产权排序: 1
摘要: 针对传统突变点检测算法具有大延时的问题以及实际数据中同时含有突变点、异常点的实际情况,提出一种基于小波变换有效分数向量的异常点、突变点检测算法。该方法通过引入有效分数向量作为检测统计量,有效避免了传统检测统计量随着数据增多而无限增大的缺点;提出利用小波分析统计量的办法,有效地克服了传统突变点检测算法中存在大延时的缺陷;利用李氏指数及小波变换的关系,实现了在一个检测框架内同时在线检测异常点以及突变点,使得该检测算法更符合突变点及异常点同时存在的实际情况。仿真实验和性能比较结果证明了提出的异常点、突变点检测算法具有一定的有效性和实用性。
英文摘要: Because the conventional change-points detection method exists the shortages on time delay and inapplicability for the time series mingled with outliers in the practical applications, an outlier and change-point detection algorithm for time series, which is based on the wavelet transform of the efficient score vector, is proposed in this paper. The algorithm introduces the efficient score vector to solve the problem of the conventional detection method that statistics often increass infinitely with the number of data added during the process of detection, and proposes a strategy of analyzing the statistics by using wavelet in order to avoid the serious time delay. In order to distinguish the outlier and change-point during the detection process, we propose a detecting framework based on the relationship between Lipschitz exponent and the wavelet coefficients, by which both outlier and change-point can be detected out meanwhile. The advantage of this method is that the detection effect is not subject to the influence of the outlier. It means that the method can deal with the time series containing both outliers and change-points under actual operating conditions and it is more suitable for the real application. Eventually, the effectiveness and practicality of the proposed detection method have been proved through simulation results.
语种: 中文
Citation statistics:
内容类型: 期刊论文
URI标识: http://ir.sia.cn/handle/173321/14747
Appears in Collections:信息服务与智能控制技术研究室_期刊论文

Files in This Item: Download All
File Name/ File Size Content Type Version Access License
时间序列异常点及突变点的检测算法.pdf(418KB)----开放获取View Download
Service
Recommend this item
Sava as my favorate item
Show this item's statistics
Export Endnote File
Google Scholar
Similar articles in Google Scholar
[苏卫星]'s Articles
[朱云龙]'s Articles
[刘芳]'s Articles
CSDL cross search
Similar articles in CSDL Cross Search
[苏卫星]‘s Articles
[朱云龙]‘s Articles
[刘芳]‘s Articles
Related Copyright Policies
Null
Social Bookmarking
Add to CiteULike Add to Connotea Add to Del.icio.us Add to Digg Add to Reddit
文件名: 时间序列异常点及突变点的检测算法.pdf
格式: Adobe PDF
所有评论 (0)
暂无评论
 
评注功能仅针对注册用户开放,请您登录
您对该条目有什么异议,请填写以下表单,管理员会尽快联系您。
内 容:
Email:  *
单位:
验证码:   刷新
您在IR的使用过程中有什么好的想法或者建议可以反馈给我们。
标 题:
 *
内 容:
Email:  *
验证码:   刷新

Items in IR are protected by copyright, with all rights reserved, unless otherwise indicated.

 

 

Valid XHTML 1.0!
Copyright © 2007-2016  中国科学院沈阳自动化研究所 - Feedback
Powered by CSpace