Procjena zavisnosti vremenskih nizova zasnovana na linearnim trendovima

undergraduate thesis

• Title (english): Dependence Estimation in Time Series Based on Linear Trends
• Author: Iva Cvitković
• Mentor: Zvonko Kostanjčar (mentor)
• Committee member: Zvonko Kostanjčar (predsjednik povjerenstva)
• Committee member: Mate Puljiz (član povjerenstva)
• Committee member: Stjepan Begušić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2018-07-13, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Electrical Engineering

Abstract

Zadatak ovog završnog rada bio je razviti novu mjeru zavisnosti financijskih vremenskih nizova na temelju poznavanja metoda procjene trendova, kao i njihovih svojstava. Pomoću već gotovih funkcija za dobivanje linearnog trenda iz vremenskih nizova i programskog alata MATLAB objašnjena je nova mjera zavisnosti vremenskih nizova temeljena upravo na linearnim trendovima. U radu su demonstrirani koraci dobivanja nove mjere kao i rezultati na podacima S&P500 indeksa njujorške burze. Kroz prikaz dobivenih rezultata, podaci koji opisuju novu mjeru uspođeni su s korelacijom, već poznatom mjerom zavisnosti nizova.

Abstract (english)

The task of this work was to develop a new measure of dependancy between time series based on methods for estimating trends and their characteristics. Using given functions for detrending time series in programming tool MATLAB we are introducing a new measure grounded on linear trends. This paper demonstrates stages of obtaining the measure, as well as the results applied on data from New York stock market's S&P500 index. New dataset is compared to well known measure in statistics, correlation.

• Keywords: vremenski nizovi; l1 aproksimacija; linearni trendovi
• Keywords (english): time series; l1 aproximation; linear trends
• Language: croatian
• URN:NBN: urn:nbn:hr:168:119159
• Study programme: Title: Electrical Engineering and Information Technology; Study programme type: university; Study level: undergraduate; Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka elektrotehnike i informacijske tehnologije (sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka elektrotehnike i informacijske tehnologije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2019-03-19 13:37:57