A Novel Algorithm for Jump Point Detection of Time Series Based on V-system
Shen La · Value Engineering · 2013
Frequently, the jump point of time series contains very important messages. So, the detection and location of jump is of great significance for the demonstration analysis. Here, we propose a new jump point detection algorithm based on V-system and its discrete orthogonal translation named DOVT-JDA(Discrete Orthogonal V Translation-Jump Point Detection Algorithm). Then, we carry out numerical simulations for the time series encompasses market microstructure noise and jump. The experiments have shown the viability and effectiveness of the new jump detection algorithm.