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On the thick-pen transformation for time series

Fryzlewicz, Piotr and Oh, Hee-Seok (2010) On the thick-pen transformation for time series. Oberwolfach Reports, 7 (1). pp. 179-216. ISSN 1660-8933

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raditional visualisation of time series data consists of plotting the time series values against time and \connecting the dots". We propose an alternative, multi- scale visualisation technique, motivated by the scale-space approach in computer vision. In brief, our method also \connects the dots", but uses a range of pens of varying thicknesses for this purpose. The resulting multiscale map, termed the Thick-Pen Transform (TPT) corresponds to viewing the time series from a range of distances. We hope that the resulting set of plots will provide interesting and useful information about the structure of the time series, not only in a heuristic, but also in a formal probabilistic sense.

Item Type: Article
Official URL:
Additional Information: © 2010 The Authors. Paper from MFO mini-workshop: semiparametric modelling of multivariate economic time series with changing dynamics
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Date Deposited: 20 Dec 2010 12:01

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