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updated 19 days ago

Lyapunov exponent estimation from a time series. by Alan Wolf

A Matlab version of the Lyapunov exponent estimation algorithm of Wolf et al. -- Physica 16D, 1985. (chaos, lyapunov, nonlinear dynamics)

basgen(fname, tau, ndim, ires, datcnt, maxbox)

fet(db, dt, evolve, dismin, dismax, thmax)

makeplot(db, out, evolve, loc)

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updated 24 days ago

Interactive Peak Fitter (Version 11) by Tom O'Haver

Keyboard operated peak fitting function for time-series signals. (chemistry, curve fitting, physics)

DemoPeakfitBootstrap

ExpBroaden(y,t)

IPFDemo11Gauss

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updated 1 month ago

Chaos test by Ahmed Ben Saïda

A test for chaotic dynamics of a noisy time series based on the Lyapunov exponent. (chaos, lyapunov exponent, bifurcation)

chaostest.m

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updated 1 month ago

Peak Fitter by Tom O'Haver

Command-line peak fitter for time-series signals. Version 5.7, September, 2014 (chemistry, curve fitting, decomposition)

[FitResults,LowestError,baseline,BestStart,xi,yi,BootResu...

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updated 3 months ago

fpetitjean/DBA by Francois

DBA: Averaging time series consistently with Dynamic Time Warping (dynamic time warping, time series, averaging)

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updated 3 months ago

TimeseriesFromPSD.m by Michael

Create timeseries from a given double-sided PSD (timeseries from psd, spectral density, white noise)

TimeseriesFromPSD(Sxx, fs, T)

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updated 3 months ago

code.zip by Joseph Santarcangelo

demo version of my code for the paper: “Arousal Content Representation of Sports Videos Using Dynami (hmm, time series)

Generate_Test_Data(L,TRANS,MeanTarget,coefficients,State_...

Hidden_Markov_Regression_fun(Polynomial_Coefficients,Vite...

ViterbiRegion(Transition_Matrix,Initial_Probability,O,Mea...

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updated 4 months ago

2-dimensional DCST.zip by Luigi Riba

2 dimensional discrete cosine Stockwell transform, (DCST2) (dcst, dost, stockwell transform)

dcst2(input_signal)

idcst2(dctdost_coefficients)

dcst2_tutorial.m

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updated 4 months ago

2-dimensional DOST.zip by Luigi Riba

2 dimensional Stockwell transform, (S-transform), (DOST2) (dost, stockwell transform, time series)

dost2(input_signal)

idost2(dost_coefficients)

dost2_tutorial.m

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updated 4 months ago

1-dimensional DOST.zip by Luigi Riba

Stockwell transform, S-transform, DOST-transform (stockwell transform, dost, timefrequency analysi...)

dost(time_series)

idost(dost_coefficients)

rearrange_dost(dost_coefficients)

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updated 4 months ago

TSK Forecasting by Dmitrii Levin

A fuzzy neural network for forecasting time series (fuzzy logic, neural networks, time series)

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updated 4 months ago

Adaptive smoothing and differentiation of a time series by Carlos J. Dias

Same as adsmoothdiff but with second derivative (time series, smoothing, differentiation)

ynew=adsmoothdiff2(dados,xnew,sdx,isdx,q,nmin)

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updated 4 months ago

Time Series Indexing by W. Owen Brimijoin

Outputs means of a time series given a vector of labels and time stamps (time series, array, matrices)

timeseries_indexer(labels,timestamps,win,data)

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updated 4 months ago

nanfillts by Oleg Komarov

Fill consecutive NaNs with last available value (time series, fill, nan)

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updated 4 months ago

Time Series Viewer by Michelle Hirsch

Interactive tool for plotting time series. (data exploration, telemetry, time series)

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updated 5 months ago

MovingOperator by Emilien

Apply any function on the specified time period (weekly, monthly, yearly) (financial, time series, periodicity)

MovingOperator(DatesNum, TimeSerie,frequency,fhandle)

returnsforPeriod(returns)

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updated 5 months ago

Akaike Causality - Noise Contribution Ratio and Generalized Partial Directed Coherence by Kinfoon Wong

This function plots the Noise Contribution Ratio and the Generalized Partial Directed Coherence. (time series, multivariate data, causality)

plotAkaikeCausality(timeSeriesData,Fs)

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updated 6 months ago

The Henon Map by Lazaros Moysis

The Henon map discrete time dynamical system. (henon map, chaotic behavior, nonlinear)

Henon_map.m

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updated 6 months ago

reshape_daily by Chad Greene

Reshape daily time series between 1D and calendar-like 3D matrices. (time series, daily, climate)

reshape_daily

reshape_daily(s,t)

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updated 6 months ago

System Identification of an ARARX model by Sam Nazari

System Identification using GLS and PEM of the parameters of an ARARX model. (system identification, time series)

SysIDP3.m

P3SysID

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updated 6 months ago

validation.m by ZIYI

Data validation (time series, plot)

validation.m

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updated 6 months ago

Double Pendulum Simulation by James Adams

Simulates the motion of a Double Pendulum (double pendulum, phase portrait, time series)

DoublePendulum_JA

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updated 7 months ago

Lotka-Volterra Predator Prey Model by James Adams

Plots a phase portrait and time series of the Lotka-Volterra model (predator, prey, runge kutta)

LotkaVolterra_JA

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updated 7 months ago

Simple Pendulum Simulation by James Adams

Simulates the motion of a simple pendulum. (pendulum, phase portrait, time series)

SimplePendulum_JA.m

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updated 8 months ago

Weighted Support Vector Machines by Petros Xanthopoulos

imbalanced classification of abnormal control trend patterns with SVM (machine learning, data, time series)

GenDataMulti(w,n,m,t1,t2,t3,t4,t5,t6,t7,mod)

GenerateData(w,t,abtype,a,b,mod)

[meanACC, meanROC]=wsvmmodelmulti(data,w,n,m,mod)

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updated 8 months ago

Dynamic Time Warping (DTW) by Quan Wang

This package implements Dynamic Time Warping (DTW). (signal processing, machine learning, time series)

d=dtw(s,t,w)

demo_dtw.m

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updated 9 months ago

deseason by Chad Greene

Remove the seasonal signal from a daily time series of data. (time series)

deseason(t,y)

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updated 10 months ago

Predictive model calibration by Michael Weidman

A script exploring 3 useful concepts in predictive models (monte carlo, bootstrap, bootstrapping)

plotCalibrations(pctThresholds, calib1, calib5, calib10, ...

plotForecasts(simPrices, simStartDate, actualPrices)

CalibrationScript.m

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updated 11 months ago

MATLAB for R Users in Computational Finance by Ameya Deoras

Learn how to use MATLAB and R together to tackle your computational needs (r, rstudio, time series)

Backtest Moving Average RSI Combo Strategy

Optimizing Market Risk using Copula Simulation

blsapp()

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updated 11 months ago

Working with Time-Series Data in MATLAB by Abhaya

These are the example files for the webinar: "Working with Time-Series Data in MATLAB". (data exploration, interpolation, data import)

createfigure(X1, Y1)

ausmap.m

format_data.m

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updated 12 months ago

CALENDAR_VAR by Enrique M. Quilis

Generation of calendar regressors for time series modeling (time series, seasonal adjustment)

days_var.m

desvec(Zv,M)

easter_var.m

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updated 1 year ago

OLS with Newey-West and Hansen-Hodrick SE by Sandra

Computes OLS and reports Robust SE, NW AND HH corrected standard errors. (econometrics, serial correlation, overlapping data)

olshac(y,X,L,H)

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updated 1 year ago

MAX WIDTH by Cesar Manuel Diez Chirinos

CALCULATING MAX WIDTH FROM A SERIES (time series, width time series, maxim width time seri...)

widthA(d)

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updated 1 year ago

Find values in a vector or function by Adrian Lara-Quintanilla

For a function y=f(x), this script looks for all the "x" values for a desired value of "y" (y0). (mathematics, data exploration, time series)

varargout=findvalues(vector,yvalue)

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updated almost 2 years ago

Finding pairs in (not equidistant) time series by Peter Csordas

Seeks for nearest (lower or upper) neighbors of x(i) in y - where x and y are time vectors (nearest neighbor, signal processing, time series)

[y2 idx]=nearest(x,y,type,varargin)

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updated almost 2 years ago

TEMPORAL DISAGGREGATION LIBRARY by Enrique M. Quilis

Temporal disaggregation of economic time series (statistics, econometrics, time series)

[]=mtd_plot(res)

[]=td_plot(res)

[]=tduni_plot(res)

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updated almost 2 years ago

Anomaly Detection by michael kim

Given m points in R^n (as a matrix), find the outliers via dimensionality reduction and resampling. (kolmogorov smirnov, statistics, machine learning)

kse_test(x)

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updated 2 years ago

MATLAB Implementation of Harmonic ANalysis of Time Series (HANTS) by Mohammad Abouali

Harmonic ANalysis of Time Series (HANTS) (harmonic analysis, time series, compression)

[Data]=ReconstructImage(amp,phi,nb)

[amp,phi,yr]=HANTS(ni,nb,nf,y,ts,HiLo,low,high,fet,dod,de...

[yOut, amp, phi]=ApplyHants(y,nb,nf,fet,dod,HiLo,low,high...

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updated 2 years ago

bag-of-words representation for biomedical time series classificaiton by Jin

a simple yet effective bag-of-words representation for biomedical time series, such as EEG and ECG. (bag of words, eeg, ecg)

do_form_codebook(config_file)

do_representation(config_file)

do_vq(config_file)

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updated 2 years ago

Minimum embedding dimension by mirwais

Finds minimum embedding dimension with false nearest neighbours method. (time series, phase space reconstru..., minimum embedding dim...)

knn_deneme(x,tao,mmax,rtol,atol)

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updated 2 years ago

Minimum embedding dimension by mirwais

Provides both phase space reconstruction and finding minimum embedding dimension with Cao's method. (cao, minimum embedding dim..., phase space reconstru...)

cao_deneme(x,tao,mmax)

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updated 2 years ago

Autocovariance by Jacques Burrus

Computes the autocovariance of two columns vectors consistently with the var and cov functions. (time series, variance, covariance)

autocov(X,Y)

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updated 2 years ago

Outlier Detection and Removal [hampel] by Michael Lindholm Nielsen

Detect and replace outliers with appropriate local values in a non-linear time series. (hampel filter, outliers, time series)

hampel(X, Y, DX, T, varargin)

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updated 2 years ago

sMath by Steinar Elgsæter

Add, subtract, multiply or divide two time series which can be sampled differently. (time series, add, subtract)

sMath.m

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updated 2 years ago

The Waveform Suite for MATLAB by Celso Reyes

Allows seismic data retrieval from varied sources and simplified creation of sophisticated programs (data import, earth science, seismology)

uispecgram(varargin)

datasource(whichsource, varargin)

filterobject(anything, cutoff, poles)

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updated 2 years ago

Weighted Data Binning [wbin] by Michael Lindholm Nielsen

Weighted data binning. (weighted data binning, data binning, time series)

wbin(X, Y, E, DX)

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updated 3 years ago

Zero Crossing Rate by Jose R Zapata

Calculates the Zero Crossing Rate for a array of values, work for vector and matrix (zero crossing rate, signal processing, time series)

ZCR(x)

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updated 3 years ago

Myplotyy by Friedhelm Steinhilber

Myplotyy plots different data sets with a common x-axis but using individual y-axes in one figure. (time series, plotting, plotyy)

myplotyy(M,varargin)

myplotyy_example.m

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updated 3 years ago

Cointegration and Pairs Trading with Econometrics Toolbox by Stuart Kozola

Demo files from the webinar of same title. (cointegration, trading, pairs trading)

Demo 1: Cointegration

Intraday Pairs trading

README.M

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updated 3 years ago

TS MATLAB by Juan Bógalo Román

TS is an interface in Matlab for TRAMO-SEATS (statistics, time series, arima models)

ts.m

tsml.m

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