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7
votes
1answer
495 views

Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
0
votes
0answers
196 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 ...
4
votes
1answer
154 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 ...
4
votes
1answer
113 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. ...
0
votes
1answer
162 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 ...
0
votes
1answer
146 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 ...
5
votes
1answer
397 views

Autoregressive distributed lag model

Could someone point me in the direction of creating an autoregressive distributed lag model in mathematica?
0
votes
1answer
255 views

Using Log when working with a time-series

I have a time-series list of stockA, which I call bas. I have taken the natural log of bas by using ...
4
votes
1answer
315 views

AR(1) Process first term

I'm trying to generate a very simple AR(1) Process with Mathematica using the ARProcess[] function. The process must have the following format: $Y_t = \alpha + ...
0
votes
1answer
172 views

Labelling Curves Using ListLogLinearPlot within DynamicModule (So Close)

I currently have a large number of time-series datasets in the form where the name and time-series transposed data, so I have a list of lists of names for datasets and their time-dependant data. The ...
1
vote
2answers
238 views

build and estimate a time series process

I want to generate an EGARCH process. My problem is that I do not see how to create new processes beyond those available. The process itself is : $$\epsilon(t) = \sigma(t) \eta(t)$$ ...
11
votes
1answer
231 views

Time range selector à la InteractiveTradingChart

I have time series data and I would like to interactively select a part of it. This problem is beautifully solved in the lower part of the InteractiveTradingChart command: I would like to be able ...
6
votes
1answer
196 views

Does new MMA9 Time Series support obsolete the old TimeSeries Package?

MMA9 includes a fair number of functions and symbols that seem to overlap with the old TimeSeries package. The new features are documented here and the old material is documented here. Some of the ...
5
votes
2answers
608 views

Fitting data to an ARProcess using FindProcessParameters

I have 50 data points that I would like to represent as an AR(4) process. I'd like to over-plot the behaivor of the estimated process model with that of the original (raw) data before I use the model ...
8
votes
1answer
311 views

Cannot plot Quantity values with DateListPlot

Is there a way to use DateListPlot with Quantity values? I retrieved the following time series data from WolframAlpha: ...
22
votes
4answers
1k views

Time-series decomposition in Mathematica

I'm studying time-series in R with this book, and there is a nice command in R that creates decompositions. Inside Mathematica 9 the command can be executed as: ...
9
votes
1answer
547 views

TemporalData frequency option as in R

I'm studying R, and am very impressed by the simplicity of some commands and in the way R handles temporal data. For example, in R, if you have some one-dimensional temporal data, you can easily ...
14
votes
1answer
1k views

Sales forecast using SARIMAProcess and time-series data

I would like to ask for help in how to use the new Mathematica 9 time series functions to make some sales forecast. For example, for one of our stores, I have this data set with 35 points, from ...
20
votes
3answers
2k views

How can I make a heatmap of a days in year?

I know Mathematica has a ListPlot for time series but does it have a function for visualizing a list of dates as a heat map like this: This idea is from D3, check it out here.
3
votes
1answer
549 views

How can I forecast time series data with cellular automata?

I have a time series data, for example data = FinancialData["JK:ADRO", "July 16 2012"] Can I use CellularAutomaton to ...
5
votes
1answer
1k views

Time-frequency analysis beyond wavelets

What possibilities are there for time-frequency analysis in Mathematica beyond wavelet decomposition? I could not even find a simple STFT.
7
votes
1answer
380 views

LogLikelihood function from the Time Series package is apparently missing

The Time Series package for Mathematica comes with a function called LogLikelihood. It is discussed and used extensively in the documentation (pdf). So does ...
5
votes
2answers
579 views

Stationarity tests

I have the Time Series package and Mathematica 8. In the package, there is the function 'StationaryQ' to test the stationarity of a known model. Is there any function in Mathematica to test the ...
10
votes
1answer
628 views

How to generate a real-time stream of data?

I'm experimenting with Inversion-of-Control (callback) programming patterns, and I would like a way to generate streams of data at specified real-time intervals. I came up with the illustrated way to ...
7
votes
4answers
1k views

Function to calculate and plot sample variogram

I'm trying to create a function that calculates and plots the sample variogram for a time series. It should take two arguments: data, a time series, essentially a list of reals; k, an integer greater ...
4
votes
1answer
724 views

How to create a histogram of annual events, such as cherry blossom time

I have calculated blooming and ripening times for a specific variety of plant, based on actual temperature data from over 40 years. I would like to create two histograms on a single axis; one for ...
0
votes
1answer
198 views

Generate Chaotic Time Series using CellularAutomaton[]

If possible, How could I generate a chaotic Time series using CellularAutomaton[]. I am especially interested in Rule 30. A friend told me it was possible but I ...
10
votes
5answers
417 views

Finding time-series direction reversal of certain magnitude

I'd like to find the points of a time-series that are a certain distance away (in value, not in time) from the previous maximum, which I consider a reversal. For example, for ...