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Canonical ensemble for time series

version 1.0.2 (3.85 KB) by Riccardo Marcaccioli
The package provides all the files necessary to sample from the canonical ensemble aimed at randomizing a set of time series.

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Updated 14 Jul 2019

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The canonical ensemble here defined provides a way to create an unbiased randomization of a set of N time series each of length P (stored in a NxP matrix W) without missing data (but a similarly ensemble can be defined to include also missing data). The ensemble here defined is aimed at preserving, as averages, the following quantities :
- Total number of positive and negative events of each sampling time and each time series (number of entries greater/less than 0 of each row and column of W)
- Sum of positive and negative values recorded during each sampling and each time series (sum over positive/negative entries of each row and each column of W)
For further details see the article: https://arxiv.org/pdf/1907.04925.pdf

To use the package, given a matrix W in memory, just call [ lm ] = find_lm(W,1) to find the Lagrange Multipliers defining the ensemble. To sample n matrices from the ensemble, once the Lagrange Multipliers are known, use [ S ] = sample_ensamble( W,lm,n ) . Each instance of the ensemble can be seen as a alternative scenario coherent with the constraints imposed on the system.

Cite As

Riccardo Marcaccioli (2021). Canonical ensemble for time series (https://www.mathworks.com/matlabcentral/fileexchange/72000-canonical-ensemble-for-time-series), MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2017a
Compatible with any release
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