Power Coefficient - a non-parametric indicator for measuring the time series dynamics

摘要

Time series resume various shapes and exhibit varying dynamics when presented as graphs. Partially, this dynamic is measured via the Hurst exponent and a related metric called the fractal dimension. Both metrics are not sufficiently sensitive to discriminate variations in time series dynamics. To address this need, a non parametric indicator, called the Power Coefficient (the PC coefficient) is suggested. The coefficient was calculated for a number of artificially generated and the real life time series to identify how selective it is. The results indicate that, although it is sensitive to the length of the time series, it is far superior to the existing metrics.