{"title":"Nonstationary time series change direction forecast method using improved leading indicator","authors":"Hirokazu Yoshida","doi":"10.1002/ecj.12413","DOIUrl":null,"url":null,"abstract":"<p>This paper presents a method for forecasting the change direction of nonstationary time series using the improved leading indicator. The leading indicator is a method developed by Ehlers that translates a time series mathematically in the future direction with respect to the time axis and calculates the leading value of the time series. However, this method has the problem that the leading value can be calculated only in the low frequency region with a normalized frequency of 0.06 or more (normalized period of 17 or more) at the maximum. In order to solve this problem, by the gentle slope the amplitude characteristics in the low frequency region of the leading indicator, it is possible to calculate the leading value in the frequency domain with a normalized frequency of 0.25 or more (normalized period of four or more) at the maximum. By applying the preceding value to the instantaneous periodic time series by the improved sine wave indicator developed by Ehlers, it is possible to forecast the change direction of the non-stationary time series in the short term.</p>","PeriodicalId":50539,"journal":{"name":"Electronics and Communications in Japan","volume":"106 4","pages":""},"PeriodicalIF":0.5000,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Electronics and Communications in Japan","FirstCategoryId":"5","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/ecj.12413","RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ENGINEERING, ELECTRICAL & ELECTRONIC","Score":null,"Total":0}
引用次数: 0
Abstract
This paper presents a method for forecasting the change direction of nonstationary time series using the improved leading indicator. The leading indicator is a method developed by Ehlers that translates a time series mathematically in the future direction with respect to the time axis and calculates the leading value of the time series. However, this method has the problem that the leading value can be calculated only in the low frequency region with a normalized frequency of 0.06 or more (normalized period of 17 or more) at the maximum. In order to solve this problem, by the gentle slope the amplitude characteristics in the low frequency region of the leading indicator, it is possible to calculate the leading value in the frequency domain with a normalized frequency of 0.25 or more (normalized period of four or more) at the maximum. By applying the preceding value to the instantaneous periodic time series by the improved sine wave indicator developed by Ehlers, it is possible to forecast the change direction of the non-stationary time series in the short term.
期刊介绍：
Electronics and Communications in Japan (ECJ) publishes papers translated from the Transactions of the Institute of Electrical Engineers of Japan 12 times per year as an official journal of the Institute of Electrical Engineers of Japan (IEEJ). ECJ aims to provide world-class researches in highly diverse and sophisticated areas of Electrical and Electronic Engineering as well as in related disciplines with emphasis on electronic circuits, controls and communications. ECJ focuses on the following fields:
- Electronic theory and circuits,
- Control theory,
- Communications,
- Cryptography,
- Biomedical fields,
- Surveillance,
- Robotics,
- Sensors and actuators,
- Micromachines,
- Image analysis and signal analysis,
- New materials.
For works related to the science, technology, and applications of electric power, please refer to the sister journal Electrical Engineering in Japan (EEJ).
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
