Measures of Analysis of Time Series (MATS): A MATLAB Toolkit for Computation of Multiple Measures on Time Series Data Bases
AbstractIn many applications, such as physiology and finance, large time series data bases are to be analyzed requiring the computation of linear, nonlinear and other measures. Such measures have been developed and implemented in commercial and freeware softwares rather selectively and independently. The Measures of Analysis of Time Series (MATS) MATLAB toolkit is designed to handle an arbitrary large set of scalar time series and compute a large variety of measures on them, allowing for the specification of varying measure parameters as well. The variety of options with added facilities for visualization of the results support different settings of time series analysis, such as the detection of dynamics changes in long data records, resampling (surrogate or bootstrap) tests for independence and linearity with various test statistics, and discrimination power of different measures and for different combinations of their parameters. The basic features of MATS are presented and the implemented measures are briefly described. The usefulness of MATS is illustrated on some empirical examples along with screenshots.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Statistical Software.
Volume (Year): 33 ()
Issue (Month): i05 ()
Contact details of provider:
Web page: http://www.jstatsoft.org/
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marc Hallin & Madan L. Puri, 1992.
"Rank tests for time-series analysis: a survey,"
ULB Institutional Repository
2013/2229, ULB -- Universite Libre de Bruxelles.
- Wiston Adrian Risso, 2009. "The informational efficiency: the emerging markets versus the developed markets," Applied Economics Letters, Taylor and Francis Journals, vol. 16(5), pages 485-487.
- Garcia-Ferrer, Antonio & Queralt, Ricardo A., 1998. "Can univariate models forecast turning points in seasonal economic time series?," International Journal of Forecasting, Elsevier, vol. 14(4), pages 433-446, December.
- Kugiumtzis Dimitris, 2008. "Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-26, March.
- Chen, Wei-Shing, 2011. "Use of recurrence plot and recurrence quantification analysis in Taiwan unemployment rate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(7), pages 1332-1342.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.