A novel weight determination method for time series data aggregation

作者：Xu, Paiheng; Zhang, Rong; Deng, Yong^*

来源：Physica A: Statistical Mechanics and Its Applications , 2017, 482: 42-55.

DOI：10.1016/j.physa.2017.04.028

• Visibility theory
• Aggregation
• IOWA operator
• VGA operator
• Time series smoothing

Aggregation in time series is of great importance in time series smoothing, predicting and other time series analysis process, which makes it crucial to address the weights in times series correctly and reasonably. In this paper, a novel method to obtain the weights in time series is proposed, in which we adopt induced ordered weighted aggregation (IOWA) operator and visibility graph averaging (VGA) operator and linearly combine the weights separately generated by the two operator. The IOWA operator is introduced to the weight determination of time series, through which the time decay factor is taken into consideration. The VGA operator is able to generate weights with respect to the degree distribution in the visibility graph constructed from the corresponding time series, which reflects the relative importance of vertices in time series. The proposed method is applied to two practical datasets to illustrate its merits. The aggregation of Construction Cost Index (CCI) demonstrates the ability of proposed method to smooth time series, while the aggregation of The Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) illustrate how proposed Method maintain the variation tendency of original data.

• 出版日期2017-9-15
• 单位西安交通大学; 西南大学