On predictability of time series

被引：22

作者：

Xu, Paiheng ^{[1
,2
]}

Yin, Likang ^{[1
,2
]}

Yue, Zhongtao ^{[1
,3
,4
]}

Zhou, Tao ^{[1
,3
]}

机构：

[1] Univ Elect Sci & Technol China, Web Sci Ctr, CompleX Lab, Chengdu 611731, Sichuan, Peoples R China

[2] Southwest Univ, Sch Hanhong, Chongqing 400715, Peoples R China

[3] Univ Elect Sci & Technol China, Big Data Res Ctr, Chengdu 611731, Sichuan, Peoples R China

[4] Univ Elect Sci & Technol China, Inst Fundamental & Frontier Sci, Chengdu 611731, Sichuan, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2019年 / 523卷

基金：

中国国家自然科学基金;

关键词：

Predictability; Human mobility; Time series; SEQUENCES; ENTROPY; LIMITS;

D O I：

10.1016/j.physa.2019.02.006

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The method to estimate the predictability of human mobility was proposed in Song et al. (2010), which is extensively followed in exploring the predictability of disparate time series. However, the ambiguous description in the original paper leads to some misunderstandings, including the inconsistent logarithm bases in the entropy estimator and the entropy-predictability-conversion equation, as well as the details in the calculation of the Lempel-Ziv estimator, which further results in remarkably overestimated predictability. This paper demonstrates the degree of overestimation by four different types of theoretically generated time series and an empirical data set, and shows the intrinsic deviation of the Lempel-Ziv estimator for highly random time series. This work provides a clear picture on this issue and thus helps researchers in correctly estimating the predictability of time series. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：345 / 351

页数：7

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