Questions tagged [time-series]
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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How can the missing time series values be filled?
Though there appears to be a similar question, it does not sate this use-case...
I present below the MWE:
I have a date-list, here it is just a linear series of numbers, but the real use-case is that ...
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Plotting different processes of a simulated VAR[2]
I have simulated a VAR process with this
simData =
RandomFunction[ARProcess[a, Sigma], {1, 20001}];
Where the coefficients for a VAR[2] process:
...
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2
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1
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Implement a function which import data from the same webpage root
I would like to implement a function to import several dataset from the same website source, where for each dataset it changes just one word on the website address.
Here the website: ...
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1
answer
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DateListPlot with Tooltip for a TimeSeries?
I would like to use Tooltip on a TimeSeries from within DateListPlot with a human readable ...
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1
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Is this a bug with TimeSeries and dates? [closed]
I'm having trouble with applying Accumulate to TimeSeries data as below
The results of the first call to Accumulate is wrong in length, 4 instead of 5 and value. Is this a bug? It certainly seems so ...
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2
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How can I incrementally calculate a time series average?
If I have a time series s, and if you'll pardon the pseudo code, such that
s = {t_i, v_i}
is there an easy way to calculate the series
...
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4
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0
answers
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Separately storing data using DumpSave in the case of Saving RAM?
Recently I am dealing with very large datasets and always ran out of RAM. A solution I found is the answer from Jacob Akkerboom. There he defined function (toHD) ...
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2
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Remove a specific element of a TimeSeries?
If I have a TimeSeries, how do I remove an element if that element is another TimeSeries? Let's say I have:
...
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answer
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How to force Mathematica to output an expression such as Input {2,3,4}-> Output 2*3*4=24
How to force Mathematica to output an expression such as
Input {2,3,4}-> Output 2*3*4=24
as a Times like this one:
Input Times[2,3,4] -> Output 24
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1
answer
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Mathematica slow at estimating vector autoregressive model parameters
I have been trying to obtain VAR model parameters using EstimatedProcess and FindProcessParameters. It seems to take a very long time as soon as I have more than 6 or 7 time series and lag length >2.
...
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1
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0
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TimeSeriesRescale seems to work oddly
I have been attempting to do some date computations with EventSeries, a convenient form for storing economic quantities (like expenses) over time. Following the documentation, I created an list of ...
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How to interpret TimeseriesModelFit parameters? [closed]
I have problems interpreting the parameters that follow using the TimeseriesModelFit command. The time series exists of twelve months and show a positive linear trend. Using TimeseriesModelFit it ...
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1
answer
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White noise at non integer intervals, bug or my mistake?
I'm intending to add white noise to a simple periodic signal
...
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1
answer
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Plot dimension m of n ValueDimensions in TemporalData: with proper temporal values
I have a TemporalData object that has td["ValueDimensions"] =3.
Right now I only have one sample, ...
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0
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1
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Plotting rescaled time series and temporal data
I am trying to use ListLinePlot to plot three "Components" of my TemporalData in Mathematica. The three components differ widely in the range of the data. So, I want to Rescale each component and plot....
CommunityBot
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TimeSeriesAggregate unwanted behavior
Let's take the
lst = {{"2019-09-12 00:01:23",1}, {"2019-09-12 00:01:23", 3}, {"2019-09-12 00:01:24",10}};
Assume I want to count events within 1 second.
One ...
CommunityBot
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2
answers
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Why TimeSeries forecasts the future value poorly?
On a bank account there are many recurring entrance and expenses.
I've managed to import some sample data and to plot it.
I can see that there is a quite clear recurring trend (one wage is coming ...
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Time Series Arithmetic in v10.0
The following code lets FindPeaks find minima in v10.3-12.0:
...
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0
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Working with time series GDP data
I have two questions.
First, how do I get a list of points from CountryData["UnitedStates", {{"GDP"}, {1960, 2018}}] as opposed to a graph.
Second, if I have a ...
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1
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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 ...
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2
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Distance Time Warp (DTW) function implementation in mathematica
The DTW (Distance time warp) is given here http://en.wikipedia.org/wiki/Dynamic_time_warping
There is an implementation of DTW in R as well as MATLAB. However i am unable to find something for DTW in ...
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TimeSeries behavior unwanted [closed]
Was wondering what other options I have when encountering a time series that has two events taking place at the same time.
In particular,
...
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1
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1
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Control/retrieve ordinate position in TimelinePlot
I want to make a family tree. My approach is to use the birth year to structure the tree in abscissa. The issue is the ordinate positions of the according person. It may change when the family tree is ...
- 395k
4
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1
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Structural Breaks in a Time Series Model
The Chow test is a test of whether the true coefficients in two linear regressions on different data sets are equal.
In econometrics, Chow test is most commonly used in time series analysis to test ...
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How do I create & train a neural net to predict a stock closing price at T+5min using OHLC and other data?
I'm trying to create a neural network and train it to test predictability of short term stock price movements.
I've collated a 1-min open, high, low, closing and volume dataset for a particular stock....
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2
answers
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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 ...
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TimeSeries has no option for TimeZone over-ride. What is the most efficient workaround?
I am importing TimeSeries data from an external CSV file. Those CSV date/time values are implicitly expressed as UTC. But TimeSeries imports them using \$TimeZone. And although TimeSeriesShift ...
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4
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Threading data on TimeSeries
Say I have two TimeSeries:
x = TimeSeries[{2, 4, 1, 10}, {{1, 2, 4, 5}}]
y = TimeSeries[{6, 2, 6, 3, 9}, {{1, 2, 3, 4, 5}}]
x has a value at times: 1,2,4,5
y ...
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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 ...
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How to superimpose a curve fit on top of a TimeSeries plot?
This is a remarkably simple question for which I was not able to find an answer in the documentation.
For concreteness, suppose that we have some time series data, such as this (example taken ...
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Recurrent neural network in 11.1 explicit examples?
I heard that RNN was implemented in Mathematica as of 11.1. Trying to search online, I find some general information about neural networks in Mathematica, or a list of related functions. My trouble is ...
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How to download and combine S&P 500 stock prices?
Updated: 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.
...
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Decomposition of a time series into sinusoids
I've noticed this interesting study on metatrader 4; see the picture below:
Where the financial timeseries is "decomposed" (deconvolved?) into a series of periodic sinusoidal functions. In the ...
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TimeSeriesShift issue with TimeZone
I have to work with such a TimeZone to deal with daylight saving time.
...
5
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2
answers
312
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Averaging a time series of amounts by week
I have a set of data with a list of dates (all Sundays in this case) and associated amounts. Most of these are every week, but some correspond to multiple weeks added together. I would like to average ...
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votes
1
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What is a proper way to represent multidimensional data in TemporalData?
A TemporalData object can host multiple paths or it can admit a ValueDimensions option value greater than unity.
In the former ...
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1
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Could not export TimeSeries to CSV [closed]
I have tried the following code to export a TimeSeries to a CSV.
This is using code from a similar post "Export TimeSeries[] to CSV or Excel".
...
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1
answer
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How can I remove a stochastic trend from a time series
I am having some troubles with removing a stochastic trend from a time series.
I am carrying out a study on the US debt to GDP ratio. I noted that there's a smooth stochastic trend in the series.
...
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2
votes
0
answers
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TimeSeriesInsert for regular series with equal increment breaks regularity
My goal is to combine two time series with common properties and preserve those properties.
Say, we have two monthly series:
...
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1
answer
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Change an observation in a TimeSeries
What is the proper way to change one observation in a TimeSeries object?
Let's say there a time series:
...
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4
votes
1
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Seasonal weather data
I have some twenty years of weather data with daily average temperature. I would like to make a histogram with aggregated monthly average for the whole period. I tried to do something like this https:/...
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votes
3
answers
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Deleting noisy data from a plot (manually) and export the best remaining data
I have the following temperature time-series. As you can see it contains very very noisy points in some periods (Fig.A). I tried to approach the best data(the black one in the center) based on the ...
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2
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2
answers
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How can I make a surface of revolution from the given "TimeSeries"?
I read this article and I tried to make a simple analog
...
4
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0
answers
639
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Neural Network Time Series Input
All,
I am attempting to replicate the work done using Long Short Term Momory Artificial Neural Networks proposed in this thesis by following this (great) example. I have a given dataset for which I ...
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Obtain Family and Order of a TimeSeriesModel
Example from the docs:
data = RandomFunction[ARMAProcess[{.1}, {.2}, 1], {1, 10^4}];
mod = TimeSeriesModelFit[data]
How can I extract from it the ...
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votes
1
answer
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What's wrong with this MovingMap structure?
This page from Mathematica 10 example:
https://www.wolfram.com/mathematica/new-in-10/expanded-time-series-processes/model-the-conditional-value-at-risk-with-an-archpr.html
Has a problem with this ...
- 395k
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3
answers
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List Manipulation - TemporalData on Uneven List
I would like ask you a question about using TemporalData on an uneven list. For example, suppose I have following lists:
...
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2
votes
1
answer
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How to show date format (yyyy/mm/dd) in ListPointPlot3D?
I have data1, whose first column is, in fact, the date (i.e. number of days from 1900/1/1). I then create a 3D plot as below:-
...
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