Questions on sequences where adjacent samples are time-correlated, making the data suitable for modeling the behavior of the sampled system.

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5
votes
1answer
69 views

How to specify RegularlySampledQ TimeSeries with EndOfMonth date unit MinimumTimeIncrement?

"EndOfMonth" is date unit that can be used with date functions. When specifying a TimeSeries object with date increments you ...
5
votes
1answer
51 views

How to prevent TimeSeries adding TimeObject parameter and TimeZone option to DateObjects?

TimeSeries adds a TimeObject parameter and a TimeZone option to ...
5
votes
4answers
224 views

Plotting multiple lists together with their avarages in a single plot

I have as example multiple lists of x data (in mm) http://pastebin.com/7xwgGDsd which I want to plot against time (in sec). ...
7
votes
2answers
95 views

TimeSeries interpolation with time gap awareness

Is there an option for ResamplingMethod (or any other practical way) for specifying different behaviours of the interpolation, depending on, for instance, closest dates (on the ...
0
votes
1answer
65 views

Intercept in the ARProcess

In the ARProcess help file I don't understand whether an intercept is included or not. How would I add one? I am using version 9 of Mathematica.
1
vote
0answers
55 views

Detrending a time-series by means of Discrete Wavelet Transform

I plot a time-series for observation as you can see in the plot: I tried to detrend the time series by 3 different approaches which are: 1) differences, 2) detrended fluctuation analysis, and 3) ...
2
votes
2answers
49 views

Randomized Control of Time Series Data

I am trying to randomize the order of a time series data set. I generated my data as: ts5 = RandomFunction[FractionalBrownianMotionProcess[.5], {0, 999, 1}] ...
1
vote
1answer
58 views

freezing in TimeSeriesForecast[]

I have been running TimeSeriesForecast[] over a large number of TimeSeriesModels, and finding that it freezes for some models for some datasets for reasons for reasons I can not figure out. See the ...
3
votes
1answer
70 views

Extended AutoCorrelation Function

Is there a function in Mathematica capable of computing the sample Extended AutoCorrelation Function (EACF)? I know that there's a package in R that does this. I was trying to avoid to having to ...
2
votes
1answer
67 views

ListPlot of auto-correlation function pushes data 1 lag

I'm trying to plot a graph of a sample autocorrelation function at different lags. The code I'm using is ...
4
votes
1answer
93 views

Detrending a TimeSeries

I am trying to de-trend a time series that I know has some seasonality. So I thought I would try to use TimeSeries and DateObject functionality to do it. Here's what I have so far : ...
2
votes
1answer
84 views

Help with Time-Seried dataset

I can't seem to figure out the best way for directly inputting interpolated values into a dataset. I turn to your expertise for guidance. So, I have a multi-year time-series dataset. Column 1 is time ...
-1
votes
2answers
65 views

Matching timestamped data

I bet this question is a gimme for most of you guys, but I'm having a bit o' trouble figuring it out. Thanks ahead of time for your input and help. Soooo, I have two datasets where column 1 is a ...
4
votes
2answers
121 views

References on time series analysis

I am interested in time series analysis. I used to evaluate my data by means of Excel. However, I found that Mathematica is a powerful tool that can process different kinds of mathematical operations ...
8
votes
1answer
85 views

EventSeries v. TimeSeries

I have what technically should be an event series, spike times of a neuron. Here's a subset of the spiking data - ...
2
votes
1answer
60 views

How to split time series?

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7
votes
2answers
230 views

Extracting and displaying data from GW150914 hdf5 files

Has anyone looked at the LIGO data using Mathematica or know how to do this? I'm not familiar with the hdf5 format but I've been able to import the data, consisting primarily of 131,072 floating ...
0
votes
0answers
26 views

Finding a specific position within a TimeSeries Forecast [duplicate]

Say I have a timeseriesforecast on a series of data, result in $10, 30, 50, 100, 400, 700, \ldots$ I want the programme to output the serial number (position in the forecast-series) of the first ...
1
vote
1answer
160 views

How can I implement a moving standard deviation for a time series?

I imported the following dataset and converted it into a time series. ...
20
votes
3answers
596 views

Detecting components in timeseries

I'm looking at this sequence of values: I'd like to detect the points where the center of the time-series shifts (around x=1000 and x=2000). Many of the transforms and smoothing methods I have ...
6
votes
1answer
100 views

DateListPlot failing on Inflation Adjusted TimeSeries

Ran across this (possible bug) today. Here's historical West Texas Intermediate oil prices: ...
5
votes
4answers
159 views

Add to matrix missing elements (for list of time series)

This question is an extension of the 43122. I’ve looked through many interesting post (like this) but (as always) missed the direct matching. So the setting is simple: ...
3
votes
2answers
178 views

Merging Financial Time Series

I am trying to merge two or more financial time series. For example, ...
4
votes
3answers
137 views

How do I plot EventSeries?

The documentation that I can find suggests that I should be able to plot an EventSeries with DateListPlot. But this doesn't work ...
3
votes
1answer
113 views

Why is TimeSeriesForecast linear?

When I use FinancialData with TimeSeriesForecast, the resulting graph is always linear and thus not very accurate. ...
5
votes
1answer
100 views

TimeSeriesForecast for a range

Now I have a tsm, say tsm=TimeSeriesModelFit[data]. Now, while using TimeSeriesForecast to ...
1
vote
0answers
52 views

Autocorrelation in Tail Events

I have a single time series of financial data (stock index returns) and would like to study the autocorrelation among (log-)returns that are classified as "extreme", for example via exceedance of a ...
1
vote
1answer
141 views

Resampling Data using Temporal Data

I am having a problem using TemporalData. I am simulating a two state system, and every time the system goes into a new state (which happens randomly), then I put ...
3
votes
0answers
86 views

Split time series by periods of activity

I have a collection of time series that involve periods of activity and inactivity. ...
0
votes
1answer
61 views

Using Manipulate function on time series data [closed]

I have a list of data {{date,real},{date,real},...,{date,real}} and I want to use the Manipulate function on the data. How do ...
2
votes
0answers
74 views

Help for Garch-Process

I have questions about the Garch-Process. For example I simulate a Garch-Process: list=RandomFunction[GARCHProcess[2, {.1}, {.2}], {0, 500}] And I estimate my ...
1
vote
0answers
68 views

Discrete Fourier Transform baseline subtraction

I am trying to remove sinusoidal variability from a set of evenly-spaced intensity vs. time data. These data contain periodic events that are separated by a normalized (but sinusoidally variable) ...
3
votes
1answer
109 views

Extracting a time series from a sound object

After importing a sound file, how can I generate a time series (preferably as an $n\times 1$ matrix) which gives the intensity at equal time intervals?
3
votes
0answers
47 views

TimeSeriesInsert issue with Quantity expressions

Solved in Mathematica v10.3 This first sample code works as expected: ...
1
vote
1answer
104 views

Traffic growth forecast: showing the change of linear regression

The following picture shows a changement in the trend of data. (The data used are available here). Is there any tool that can show this change of trend? Until now I managed to show even more ...
4
votes
1answer
348 views

TimeSeriesModelFit incorrect?

I am trying to determine the optimal model for time series data (1592 observations). When I run TimeSeriesModelFit, Mathematica selects $AR(1)$ model, the estimated ...
2
votes
1answer
147 views

Unexpected results from GARCH Processes

I'm playing a bit with Time Series and I've been trying to estimate Garch Processes from different time series. Are TimeSeriesModelFit and ...
2
votes
1answer
150 views

Barchart recognize time series data?

I can't seem to get Barchart to recognize TimeSeries data. For example, my data is: {{1891, 1}, {1892, 1}, {1897, 1}, {1898, 1}, {1903, 1}, {1904, 1}, {1905, 1}, {1908, 4}, {1909, 6}, {1910, ...
2
votes
1answer
72 views

`ResamplingMethod -> None` in `TimeSeries` does NOT take any effect in v10.1

Possible bug in v10.1 ResamplingMethod -> None in TimeSeries does NOT take any effect in v10.1. Try: ...
-1
votes
1answer
120 views

Time series package in Mathematica 9 [closed]

Is the time series package already installed in Mathematica 9? I have already installed Mathematica. Do I need to install the time series package? If so, from where? or should i go for Mathematica ...
14
votes
4answers
714 views

Cross-Correlation with TimeSeries

How to find hidden relationship between two TimeSeries data sets? I normally compute the Cross-Correlation function, but I cannot find an easy way of doing this on the TimeSeries objects in ...
2
votes
2answers
368 views

Using Periodogram to investigate the seasonality of the data

After asking how to get rid of the seasonality of this set of data, I'd like to ask how to investigate the seasonality in data using Mathematica. Which tool would you use to study seasonality? I.e. ...
4
votes
2answers
228 views

Deseasonalize the data of traffic growth for the past data

In another question (Using TimeSeriesForecast for forecasting the traffic growth) I asked to use the TimeSeriesForecast on this set of data the answer provided the plot with and without the ...
4
votes
1answer
194 views

MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
2
votes
1answer
253 views

Using TimeSeriesForecast for forecasting the traffic growth

Have a look to the real traffic growth data (link) of a this website. I was thinking to use Mathematica to do a TimeSeriesForecast and plot the forecast. Can you ...
3
votes
1answer
159 views

TimeSeries - Values & Dates

How can I display a TimeSeries object in a Table or Grid so that I could see the Dates and corresponding Values next to each other? I wrote the following code: ...
0
votes
1answer
59 views

Fit process parameters to a transformed AR(1) process

I would like to fit the parameters of an exponented AR(1) process using Mathematica's EstimatedProcess, however, the function does not seem to evaluate to anything. First of all I create the ...
3
votes
0answers
72 views

Is there an equivalent to MovingMap[] for functions that work on more than one TimeSeries?

I have a family of functions that require two TimeSeries (A and B). As a trivial example, imagine a function called beta[tsA_,tsB_] that determines the slope of the linear regression line for the ...
4
votes
0answers
103 views

Is there a convenient way to sum TimeSeries objects in Mathematica?

Imagine I have two TimeSeries objects, ...
1
vote
1answer
196 views

How do you graph the confidence intervals that results from a GARCH over a time series?

Please, does someone know how to draw a confidence intervals (from the results of a GARCH (1,1)) in a way similar to these: *Asume an ARMA(1,1) fit the time series. Thank you very much