pyhctsa.operations.extreme_events.moving_threshold¶

pyhctsa.operations.extreme_events.moving_threshold(y, a=1.0, b=0.1)¶

Moving threshold model for extreme events in a time series.

Inspired by an idea contained in Altmann et al. (2006) [1].

This algorithm uses the occurrence of extreme events to modify a hypothetical ‘barrier’ that classifies new points as ‘extreme’ or not. The barrier begins at sigma (standard deviation), and if the absolute value of the next data point is greater than the barrier, the barrier is increased by a proportion ‘a’, otherwise the position of the barrier is decreased by a proportion ‘b’.

References

Parameters:¶

y : array-like¶

The input time series (should be z-scored)

a : float, optional (default is 1.0)¶

The barrier jump parameter - how much to increase barrier after extreme event

b : float, optional (default is 0.1)¶

The barrier decay proportion (0-1) - how much to decrease barrier otherwise

Returns:¶

Dictionary containing barrier and kick statistics.

Return type:¶

dict