Chaos test by Ahmed Ben Saïda

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

chaosfn(Theta, X, L, m, q, ActiveFN)

chaostest.m

MAX WIDTH by Cesar Manuel Diez Chirinos

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

widthA(d)

Interactive Peak Fitter (Version 9.2) by Tom O'Haver

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

ipf(arg1,arg2,arg3,arg4)

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)

Peak Fitter by Tom O'Haver

Command-line peak fitter for time-series signals. Version 3.6: February, 2013. (statistics, signal processing, decomposition)

[FitResults,LowestError,BestStart,xi,yi,BootResults]=peakfi...

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

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)

TEMPORAL DISAGGREGATION LIBRARY by Enrique M. Quilis

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

[]=mtd_plot(res)

[]=td_plot(res)

[]=tduni_plot(res)

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)

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

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

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

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

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

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, ecg, time series)

do_form_codebook(config_file)

do_representation(config_file)

do_vq(config_file)

Minimum embedding dimension by mirwais

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

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

Minimum embedding dimension by mirwais

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

cao_deneme(x,tao,mmax)

Autocovariance by Jacques Burrus

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

autocov(X,Y)

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, probability, time series)

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

sMath by Steinar Elgsæter

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

sMath.m

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)

Weighted Data Binning [wbin] by Michael Lindholm Nielsen

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

wbin(X, Y, E, DX)

Zero Crossing Rate by Jose R Zapata

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

ZCR(x)

Myplotyy by Friedhelm Steinhilber

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

myplotyy(M,varargin)

myplotyy_example.m

Cointegration and Pairs Trading with Econometrics Toolbox by Stuart Kozola

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

Demo 1: Cointegration

Intraday Pairs trading

README.M

TS MATLAB by Juan Bógalo Román

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

[res]=ts(x,nom,year,per,s,opc,varargin)

[res]=tsml(x,nom,year,per,s,opc,pathTramo,pathSeats,executa...

Time Series estimation of Cyclical data process by Moeti Ncube

Procedure for estimation cyclical data (time series, ar1 process, estimation)

cyclicalmodel.m

Parameter Estimation Technique for general datasets by Moeti Ncube

An estimation procedure for many types of data (electricity price spi..., em algorithm, calibration)

[x,y,l]=simulatej(a,b,c,d,g,h,lambda,x0,T)

y1=likelihoodj(y,x,a,b,c,d,g,h,lambda)

y=mx(a,x)

fixDaylightSaving_series.m by Ashley

Fix Daylight Saving Time in time Series (time, convert, daylight saving)

fixDaylightSaving_series(DatesDT,TimeZone)

plotXmatrix.m by Joshua Carmichael

Plots data on separate y-axes (matrix, signal processing, time series)

[dataout,varargout]=plotXmatrix(data,varargin)

xcorAlign.m by Joshua Carmichael

Shifts data by maximum cross correlation (cross correlation, time series, matrix)

[y,varargout]=xcorAlign(x)

normColumns.m by Joshua Carmichael

normalizes matrix columns (normalization, time series, signal processing)

[Wout,varargout]=normColumns(W)

SDamala Toolbox by Angélica María Atehortúa Labrador

Dynamical systems Toolbox, for simulation and analysis dynamical systems deterministic (bifurcation diagram, phase portrait, dynamical systems)

About(varargin)

TC_bifur

[T,Res]=tc_explyapunov(f,to,dt,tf,ystart,ioutp)

Calculate final dates in time series created on general steps by Gerald Augusto Corzo Perez

Four functions for changing from time steps into dates. In general dates management for time series (date management, dates, find dates)

Days=FindDays(InitialDate,FinalDate)

FinalDate=FindFinalDate(InitialDate,Ndays)

InitialDate=FindInitialDate(FinalDate,Ndays)

Time Series Viewer by Scott Hirsch

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

datalabel(state,marker_color);

dddrag

dragtext(hObject);

ARFIMA simulations by Simone Fatichi

Time series simulation with ARFIMA models. (arfima, time series, statistics)

ARFIMA_SIM(N,F,O,d,stdx,er)

Fast array peak finder by George Zipfel

Finds locations of all maxima and corresponding maximum values in a 1D array. (time series, maxima, peak finder)

peak=zipeaks(y)

autocov.m by Phillip M. Feldman

compute sample autocovariance of a time series (vector) (autocovariance, time series, covariance)

autocov(x,maxlag)

acfplot.m by Phillip M. Feldman

compute and plot estimate of the autocorrelation of an input sequence (autocorrelation, correlation, time series)

acfplot(Y, Fs, maxlag, titlestr)

bbcorr: Bootstrap statistics for Pearson's correlation coefficient by Thomas Maag

Double block bootstrap percentile confidence interval for Pearson's r and Fisher's z. (econometrics, regression, statistics)

[R,Rpc,Rsd,Rpt,Z,Zpc,Zsd,Zpt]=bbcorr(X,reps1,reps2,p,bL,sil...

bbcorrdiff: Bootstrap statistics for the difference of correlation coefficients by Thomas Maag

Double block bootstrap confidence interval for the difference of two correlation coefficients. (econometrics, regression, statistics)

bbcorrdiff(X,reps1,reps2,p,bL,silent)

ACMUB: Median Unbiased Estimation of the AR(p) Model by Thomas Maag

Approximately median unbiased estimation of the AR(p) model following Andrews and Chen (1994). (econometrics, statistics, time series)

[bw,b0,aw,a0]=acmub(Y,p,reps,tol1,tol2,model,silent)

Dilates matrix data by Joshua Carmichael

Dilates a time series input and resizes it. (signal processing, wavelets, dsp)

[W]=dilateColumns(data,varargin)

showYs by Pablo Borruel

Shows y-values of time series in 2D plots by clicking on the axes. (data exploration, plot, 2d)

showYs(action,varargin)

HarmonicSeries.m by Carlos Adrian Vargas Aguilera

Space-Time series (1D, 2D, or 3D) as the sum of cosines. (spectral analysis, harmonic, cosine)

harmonicseries(AMP,PER,PHA,LEN,DIR,T,X,Y)

Interactive Peak Fitter, version 2.2 by Tom O'Haver

A peak fitting program for time-series signals. (chemistry, physics, peak fitting)

(2.*n)./(1+n);

4*exp(-e).*(1-exp(-e)); g(1:round(a1))=0;

ExpBroaden(g',timeconstant);

ARMA PARAMETER ESTIMATION by Miguel Angel Lagunas

Estimating the parameter of AR-MA sequences is fundamental. Here we present another method for ARMA (arma, durbin, cepstrum)

[sigma,outn,outd]=arma_last(xinf,np,nq);

maxalign.m by Joshua Carmichael

Aligns a matrix of signals by their maxima (annotation, customization, plotting)

[Wout,varargout]=maxalign(W,varargin)

Comparing Time Series using Semblance Analysis by Gordon Cooper

This program shows the correlation between two datasets as a function of both time and wavelength. (time series, crosscorrelation, wavelets)

s=semblance(t,y1,y2,nscales)

Forced Duffing Oscillator by Housam Binous

Computes Poincaré section of the forced Duffing oscillator (chemistry, physics, poincar)

xdot=duffing(t,x)

MainDuffing.m

Test of non-linearity by Adrian Barnett

A bootstrap test of non-linearity for time series data (time series, bootstrap, nonlinearity)

[XXX,waxis]=third(y,nlag,centre,outmax);

aaft(xV, nsur)

boottime.m

Time Series Library - tslib by Miroslav Balda

The library contains a set of functions for manipulation and processing of 3D-time-series arrays (matrices, mimo systems, time series)

response(G,x,m)

tsarr2mtx(A)

tsarr2sub(A)

InverseFourierTransform.m by Carlos Adrian Vargas Aguilera

Gets the real time series from the complex Fourier transform. (spectral analysis, inverse fourier, time series)

inversefouriertransform(Cx,varargin)

Constrained Dynamic Time Warping Distance Measure by Dave DeBarr

This MEX function computes the constrained dynamic time warping distance between two time series. (dtw, time series, audio processing)