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24 lines
968 B
Markdown
24 lines
968 B
Markdown
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Important papers relating to time-series data
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Time-series data presents specific but very common problems for efficient
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analysis, resulting in the need for columnar data stores and iterative
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one-pass processing.
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The included documents are:
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* [Operators on Inhomogeneous Time Series] (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=208278) - Gilles O. Zumbach and Ulrich A. Müller
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We present a toolbox to compute and extract information from
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inhomogeneous (i.e. unequally spaced) time series. The toolbox
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contains a large set of operators, mapping from the space of
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inhomogeneous time series to itself.
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These operators are computationally efficient (time and memory-wise)
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and suitable for stochastic processes. This makes them attractive for
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processing high-frequency data in finance and other fields. Using a
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basic set of operators, we easily construct more powerful combined
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operators which cover a wide set of typical applications.
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