# Tagged Questions

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

199 views

### How can I model the volatility, using a GARCH(1,1), of a time series of returns (and plot it) using Mathematica?

I know that if I use this code: tsm = TimeSeriesModelFit[ret, {"GARCH", {1, 1}}]; I can get the parameters using this: ...
77 views

### Why does TimeSeriesShift is just adding a fixed number of days?

I'd like to shift all contents of a TimeSeries object by one month. By shifting Feb. 1st I would expect to receive Mar. 1st. However it's not the case for Mathematica: ...
368 views

### Time Series Analysis - How does it Difference?

In languages other than Mathematica (especially R) if you want to do any time series analysis, you must always difference the series according to some feature of the series in order to satisfy at ...
242 views

### Fitting higher order ARIMA models hangs, never completes

I'm working with some data that is 12 month seasonal. However, when I try to fit it to an ARIMA(12,1,3) for instance, my PC's CPU cranks up to 100% and the job never finishes. Here's some sample code. ...
207 views

### Why are TimeSeries objects reported with head “TemporalData”?

Related Problem: What does it mean to be an object in Mathematica? I am quite surprised to find that ts = TimeSeries[ {1,2,3,4}, {{1,2,3,4}}]; Head @ ts ...
239 views

### Time Series fit in Mathematica

Newbie in Time Series question: I need to do a very simple (I think) regression of a time serie of the type: $Y_{t}$ = $\sum_{j=1}^{p}b_{j}Y_{t-j}$ + $\sum_{j=1}^{q}c_{j}X_{t-j}$ and I can't figure ...
101 views

### WeatherData and TimeSeriesModelFit

with city = CityData[{"Bremerhaven", "Bremen", "Germany"}]; and ...
550 views

I want to download historical S&P 500 stock prices and combined them into one big file, having only one column of date referencing all stocks. Here is what I have do so far. ...
153 views

### RandomFunction and Histograms

RandomFunction[QueueingProcess[3, 5], {0, 15}] Histogram[data, Automatic, "PDF"] gives a very nice way to see the histogram based on the specified process. ...
523 views

### Partitioning time series

I have a time series dataset I'm trying to plot by Year: ...
145 views

### TimeSeries for non-temporal data

Mathematica introduced TemporalData in Mathematica 9. Mathematica 10 added several fantastic new TimeSeries manipulation tools --...
265 views

### How to combine TimeSeries of different dimensionality into TemporalData object?

I was wondering if it is possible to combine multiple TimeSeries data objects of values that have different dimensionality into one ...
138 views

### LogLikelihood function with Multivariate State Space Models

I load the packadge TimeSeries. Depending on the running Mathematica release, one should preliminary remove some built-in function with the same name, e.g.KalmanFilter, I used the following commands: ...
249 views

### Calculate the power spectral density of a Markov chain

I would like to calculate the symbolic power spectral density of a two state Markov process with a symbolic transition matrix characterised by two parameters. I have tried the code below, but it ...
230 views

### Implementation of the Vector Autoregressive Model

I need to code/write a Vector Autoregressive Model VAR(p) as a function of the parameters. There is no estimation, nor Data involved, this is a "population" exercise: Assume X and Y are univariate, ...
194 views

### Can TemporalData be used as a container for TimeSeries and TimeSeries Metadata

When I create two TimeSeries with some MetaInformation I can combine them into one ...
239 views

### Problem with SARIMA Time Series Model

I'm in the process of becoming familiar with some on the version 10 new functionality. I have two data sets, datasetA and datasetC, of time series data that I would like to make forecasts on. Here is ...
152 views

### Making time-index dependent state-space models - where has the Kalman filter gone?

How does one now implement a discrete set of state space models? I had used KalmanFilter in the old TimeSeries application, but was keen on trying to do all this ...
456 views

### How to slice TimeSeries data?

When retrieving curated data, v10 now returns TimeSeries objects. For example, ...
128 views

### Slow work of TimeSeriesWindow

I have financial data (list of time-values pairs). There are more than 13000 elements. ...
156 views

### TimeSeriesForecast Forecasts

I am trying to make sure I understand how TimeSeriesForecast works. I apologize in advance for the basic nature of this question. I am using Mathematica 10. I ...
286 views

### Plotting Time Series with call to Wolfram Alpha

I am trying to plot stocks showing some of the local maxima. As an exercise I first tried to load Apple's stock data from Wolfram Alpha with the following code: ...
207 views

### Plotting multiple curves with multiple axes (>2) on the same plot [on hold]

I'm attempting to generate a graph that depicts mulitple time series, measured in different units (but with a common time scale) on the same graph. This is a generalization of the familiar 1-plot/...
722 views

### Estimate parameters of the state space model

I'm using Mathematica 9 and its Control Systems functionality. I've searched the references extensively but seem not to be able to find any examples of state space model parameters estimation. All ...
453 views

### How to Merge Date and Time?

Given the following time series data where row is date and column is time intervals. ...
170 views

### Setting label in DendrogramPlot

I want to create a dendrogram with the labels being a visual representation of the data. Something like this: How can I do that in Mathematica? My attempt so far hasn't been very successful. The ...
715 views

### Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
231 views

### Time series (stochastic process) estimating parameters using characteristic function

I have a time series of assets ${A_1, A_2, ..., A_n}$, which is described by a sophisticated distribution having the following characteristic function: $\phi(u; t;\theta)$, where $\theta$ is a vector ...
172 views

### What is the equivalent of MATLAB's “timealign” function?

What is the equivalent of MATLAB's "timealign" function? Given two sequences (lists of values) and offsets, timealign will insert 0's into sequences to align them so they have the same number of ...
131 views

### Memory usage of timeseries - lists of {Integer32, Real32}

A list of {Integer32, Real32} items in Mathematica seems to use 12-times as much memory than the C equivalent array of structs. ...
179 views

### johansen test error in code

Cross-posted at the Wolfram community forum I have found this code on a forum, apparently it worked in a previous version of mathematica. Now when I run it, it keeps running for ages. I am not able ...
162 views

### Getting output in the same way as most Stat packages

I have been looking at several of the timeseries functions in mathematica, however running a process like ARDL, ARMA, GARCH or ARCH you would be able to get a ANOVA table, with its coefficients and p ...
499 views

### Autoregressive distributed lag model

Could someone point me in the direction of creating an autoregressive distributed lag model in mathematica?