Automatic algorithm for monotone trend removal

Călin Vamoş
Phys. Rev. E 75, 036705 – Published 16 March 2007

Abstract

The available numerical algorithms for trend removal require a direct subjective intervention in choosing critical parameters. In this paper an algorithm is presented, which needs no initial subjective assumptions. Monotone trends are approximated by piecewise linear curves obtained by dividing into subintervals the signal values interval, not the time interval. The slope of each linear segment of the estimated trend is proportional to the average one-step displacement of the signal values included into the corresponding subinterval. The evaluation of the trend removal is performed on statistical ensembles of artificial time series with the random component given by realizations of autoregressive of order one stochastic processes or by fractional Brownian motions. The accuracy of the algorithm is compared with that of two well-tested methods: polynomial fitting and a nonparametric method based on moving average. For stationary noise the results of the algorithm are slightly better, but for nonstationary noise the preliminary results indicate that the polynomial fitting has the best accuracy. As a verification on a real time series, the time periods with monotone variation of global average temperature over the last 1800years are established. The removal of a nonmonotone trend is also briefly discussed.

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  • Received 6 October 2005

DOI:https://doi.org/10.1103/PhysRevE.75.036705

©2007 American Physical Society

Authors & Affiliations

Călin Vamoş

  • “T. Popoviciu” Institute of Numerical Analysis, Romanian Academy, P.O. Box 68, 400110 Cluj-Napoca, Romania

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Vol. 75, Iss. 3 — March 2007

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