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arXiv · 1002.1940

Measures of Analysis of Time Series (MATS): A MATLAB Toolkit for Computation of Multiple Measures on Time Series Data Bases

Dimitris Kugiumtzis·Alkiviadis Tsimpiris
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Abstract

In many applications, such as physiology and finance, large time series data bases are to be analyzed requiring the computation of linear, nonlinear and other measures. Such measures have been developed and implemented in commercial and freeware softwares rather selectively and independently. The Measures of Analysis of Time Series ({\tt MATS}) {\tt MATLAB} toolkit is designed to handle an arbitrary large set of scalar time series and compute a large variety of measures on them, allowing for the specification of varying measure parameters as well. The variety of options with added facilities for visualization of the results support different settings of time series analysis, such as the detection of dynamics changes in long data records, resampling (surrogate or bootstrap) tests for independence and linearity with various test statistics, and discrimination power of different measures and for different combinations of their parameters. The basic features of {\tt MATS} are presented and the implemented measures are briefly described. The usefulness of {\tt MATS} is illustrated on some empirical examples along with screenshots.

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BibTeXRIS

Dimitris Kugiumtzis, Alkiviadis Tsimpiris. 2010-02-09. Measures of Analysis of Time Series (MATS): A MATLAB Toolkit for Computation of Multiple Measures on Time Series Data Bases. https://arxiv.org/abs/1002.1940

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