New approach to the segmentation problem for time series of arbitrary nature
Boris Semenovich Darkhovsky, Alexandra Piryatinska · Proceedings of the Steklov Institute of Mathematics · 2014
We consider the problem of splitting time series of arbitrary nature (stochastic, deterministic, or mixed) into segments generated by the same mechanism. We introduce a new concept of ∈ -complexity of continuous functions and give a characterization of this quantity for Hölder continuous functions. On the basis of the ∈ -complexity parameters, we propose a new technique for the segmentation of time series that does not require any a priori knowledge of how these series were generated.