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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2answers
31 views

TimeSeriesAggregate—reformatting the date

Compute Aggregated Statistics for a Time Series The article linked to above provides a sample of aggregating time series data. ...
0
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2answers
31 views

Read timeseries data from CSV

I am new to Mathematica and have v10. I would like to you use the new TimeSeriesAggregate[tsdata, "Quarter", Total] feature to return aggregated descriptive stats. I import a number of columns of ...
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1answer
40 views

representing data for multivariate time series analysis

Please give a simple example of how to represent data for multivariate (vector) time series in Mathematica, so to use TimeSeriesModelFit?
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1answer
85 views

Intercept in the ARProcess

In the ARProcess help file I don't understand whether an intercept is included or not. How would I add one? I am using version 9 of Mathematica.
1
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0answers
36 views

Hidden Markov Model: emissions probabilities dependent on observable parameter

I need to fit an HMM where the emission probabilities (ep) are discrete and dependent on a known variable quantity. E.g.: Imagine a daily time series of binary emissions ("1" or "2"). I suppose an ...
5
votes
1answer
50 views

Given a TemporalData object, can I determine whether it's a TimeSeries or an EventSeries?

If I have a function that accepts TemporalData objects, is there some mechanism whereby it can determine what kind of object it gets (...
0
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1answer
55 views

Power spectrum density calulation with ARProcess

I have a measurement of $x$ coordinates of an oscillating particle at presence of noise taken at constant time steps of 1/60 s. The corresponding data set can be obtained here: http://goo.gl/...
0
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1answer
34 views

Intersection of TimeSeries (reducing a list of TemporalData objects to common dates)

It is possible to do simple math between TemporalSeries objects. For example ...
0
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0answers
57 views

Time series of a point using ImageFeatureTrack

This question regards tracking, however it is more about writing efficiency in mathematica compared to other programming softwares. I get the tracking of a point between two movie frames by: ...
-1
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1answer
123 views

Time series package in Mathematica 9 [closed]

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 ...
5
votes
3answers
714 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 ...
5
votes
1answer
70 views

How to specify RegularlySampledQ TimeSeries with EndOfMonth date unit MinimumTimeIncrement?

"EndOfMonth" is date unit that can be used with date functions. When specifying a TimeSeries object with date increments you ...
5
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1answer
55 views
5
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4answers
237 views

Plotting multiple lists together with their avarages in a single plot

I have as example multiple lists of x data (in mm) http://pastebin.com/7xwgGDsd which I want to plot against time (in sec). ...
7
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2answers
99 views

TimeSeries interpolation with time gap awareness

Is there an option for ResamplingMethod (or any other practical way) for specifying different behaviours of the interpolation, depending on, for instance, closest dates (on the ...
3
votes
1answer
70 views

Extended AutoCorrelation Function

Is there a function in Mathematica capable of computing the sample Extended AutoCorrelation Function (EACF)? I know that there's a package in R that does this. I was trying to avoid to having to ...
6
votes
1answer
571 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. ...
1
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0answers
68 views

Detrending a time-series by means of Discrete Wavelet Transform

I plot a time-series for observation as you can see in the plot: I tried to detrend the time series by 3 different approaches which are: 1) differences, 2) detrended fluctuation analysis, and 3) ...
2
votes
2answers
49 views

Randomized Control of Time Series Data

I am trying to randomize the order of a time series data set. I generated my data as: ts5 = RandomFunction[FractionalBrownianMotionProcess[.5], {0, 999, 1}] ...
1
vote
1answer
58 views

freezing in TimeSeriesForecast[]

I have been running TimeSeriesForecast[] over a large number of TimeSeriesModels, and finding that it freezes for some models for some datasets for reasons for reasons I can not figure out. See the ...
2
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1answer
68 views

ListPlot of auto-correlation function pushes data 1 lag

I'm trying to plot a graph of a sample autocorrelation function at different lags. The code I'm using is ...
11
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4answers
996 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
96 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
84 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 ...
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2answers
65 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
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2answers
125 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
91 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
244 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
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1answer
102 views

DateListPlot failing on Inflation Adjusted TimeSeries

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

TimeSeriesInsert issue with Quantity expressions

Solved in Mathematica v10.3 This first sample code works as expected: ...
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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
490 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
175 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
886 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
728 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
607 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
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4answers
160 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
183 views

Merging Financial Time Series

I am trying to merge two or more financial time series. For example, ...
4
votes
3answers
139 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
114 views

Why is TimeSeriesForecast linear?

When I use FinancialData with TimeSeriesForecast, the resulting graph is always linear and thus not very accurate. ...
5
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1answer
100 views

TimeSeriesForecast for a range

Now I have a tsm, say tsm=TimeSeriesModelFit[data]. Now, while using TimeSeriesForecast to ...
1
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1answer
148 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 ...
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0answers
52 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
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0answers
89 views

Split time series by periods of activity

I have a collection of time series that involve periods of activity and inactivity. ...
0
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1answer
66 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
253 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
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0answers
75 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 ...