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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11
votes
4answers
958 views

Generating an autoregressive time series

Find $X_t = c_1 X_{t-1} + \dots + c_n X_{t-n} + n_t$ for given $c_i$, initial conditions $(X_1, \dots, X_n)$, and distribution for i.i.d. $n_t$. I would like to know if there is a more efficient or ...
4
votes
1answer
77 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 : ...
23
votes
4answers
2k 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: ...
2
votes
1answer
70 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
61 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
105 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
80 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 - ...
7
votes
2answers
205 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 ...
6
votes
1answer
98 views

DateListPlot failing on Inflation Adjusted TimeSeries

Ran across this (possible bug) today. Here's historical West Texas Intermediate oil prices: ...
2
votes
1answer
54 views
2
votes
0answers
45 views

TimeSeriesInsert issue with Quantity expressions

Solved in Mathematica v10.3 This first sample code works as expected: ...
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 ...
5
votes
2answers
470 views

Graphing time-series

I'm currently trying to use data gathered as a function of time (here, the fluorescence of a biological sample), but am new to Mathematica and don't know how to properly specify axis relations (and ...
1
vote
1answer
143 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. ...
6
votes
2answers
873 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 ...
6
votes
1answer
702 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 ...
20
votes
3answers
569 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 ...
7
votes
2answers
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.
5
votes
4answers
146 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
168 views

Merging Financial Time Series

I am trying to merge two or more financial time series. For example, ...
4
votes
3answers
134 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
112 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
97 views

TimeSeriesForecast for a range

Now I have a tsm, say tsm=TimeSeriesModelFit[data]. Now, while using TimeSeriesForecast to ...
1
vote
1answer
130 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 ...
1
vote
0answers
50 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 ...
3
votes
0answers
82 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
58 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
vote
0answers
235 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 ...
2
votes
0answers
73 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
694 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
146 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
vote
0answers
63 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
100 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
votes
2answers
346 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. ...
1
vote
1answer
100 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
341 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
211 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 ...
14
votes
4answers
646 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
143 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
70 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
93 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
236 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
192 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
438 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
155 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
57 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
70 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 ...
2
votes
0answers
185 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
184 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