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https://prod.org.br/article/doi/10.1590/0103-6513.123313
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Detecção de mudança de nível em séries temporais não lineares usando Descritores de Hjorth

Detecting a level change in a nonlinear time series using Hjorth’s Descriptors

Amorim, Gabriela da Fonseca de; Balestrassi, Pedro Paulo; Paiva, Anderson Paulo de; Oliveira-Abans, Mariângela de

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Resumo

O propósito deste artigo é apresentar um método de detecção de mudança de nível na dinâmica de séries temporais não lineares que consiste no uso de um gráfico de Controle Multivariado T2 de Hotelling monitorando a variação de três descritores normalizados: os Descritores de Hjorth de atividade, mobilidade e complexidade. Esta abordagem foi aplicada em diferentes séries temporais não lineares criadas artificialmente e é ilustrada neste artigo por um exemplo detalhado. Também foi feito um estudo de caso com seis séries reais do consumo de energia elétrica no meio industrial, confirmando a eficácia do método.

Palavras-chave

Séries temporais não lineares. Descritores de Hjorth. Gráficos de Controle Multivariado T2 de Hotelling. Mudança de nível.

Abstract

The purpose of this paper is to present a method for detecting the dynamic changes in a nonlinear time series that uses the Hotelling T2 multivariate control chart to monitor the variation in three normalized descriptors: Hjorth’s descriptors of activity, mobility and complexity. This approach was applied to different simulated nonlinear time series and is illustrated in this paper with a detailed example. A case study with six time series of short-term electricity load consumption was also used to confirm the method’s effectiveness.

Keywords

Nonlinear time series. Hjorth’s Descriptors. Hotelling T2 control chart. Level change.

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