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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0
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1answer
30 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 ...
1
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0answers
177 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 ...
1
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0answers
49 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 ...
7
votes
2answers
554 views

Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
2
votes
1answer
115 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 ...
1
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0answers
45 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
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1answer
78 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?
2
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0answers
29 views
2
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2answers
264 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. ...
0
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0answers
59 views

Investigating the correlation between this 2 set of data

The picture below shows the growth of the traffic and the total number of published articles on that website. Which functions can I use to investigate if there is a correlation between them? Both ...
1
vote
1answer
73 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
215 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 ...
4
votes
2answers
159 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 ...
13
votes
4answers
331 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
1answer
117 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, ...
1
vote
1answer
57 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: ...
0
votes
0answers
62 views

Time series package in mathematica 9

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 ...
2
votes
1answer
187 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 ...
4
votes
1answer
163 views

MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
10
votes
5answers
418 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 ...
3
votes
1answer
109 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
45 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 ...
2
votes
0answers
58 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 ...
3
votes
0answers
71 views
2
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0answers
135 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: ...
1
vote
1answer
130 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
1
vote
1answer
54 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: ...
8
votes
2answers
189 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. ...
5
votes
1answer
242 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 ...
8
votes
1answer
160 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 ...
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0answers
62 views
2
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1answer
162 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 ...
2
votes
1answer
76 views

WeatherData and TimeSeriesModelFit

with city = CityData[{"Bremerhaven", "Bremen", "Germany"}]; and ...
5
votes
0answers
318 views

How to download and combine S&P 500 stock prices

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. ...
3
votes
2answers
139 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. ...
3
votes
3answers
366 views

Partitioning time series

I have a time series dataset I'm trying to plot by Year: ...
5
votes
0answers
115 views

TimeSeries for non-temporal data

Mathematica introduced TemporalData in Mathematica 9. Mathematica 10 added several fantastic new TimeSeries manipulation tools ...
1
vote
1answer
175 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 ...
5
votes
0answers
567 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 ...
3
votes
0answers
119 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: ...
10
votes
1answer
172 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 ...
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: ...
1
vote
1answer
218 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: ...
3
votes
0answers
162 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, ...
3
votes
1answer
193 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 ...
1
vote
2answers
241 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 : $$\epsilon(t) = \sigma(t) \eta(t)$$ ...
3
votes
0answers
133 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 ...
8
votes
1answer
293 views

How to slice TimeSeries data?

When retrieving curated data, v10 now returns TimeSeries objects. For example, ...
3
votes
2answers
119 views

Slow work of TimeSeriesWindow

I have financial data (list of time-values pairs). There are more than 13000 elements. ...
1
vote
0answers
138 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 ...