# Tagged Questions

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117 views

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. ...
106 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. ...
112 views

### Partitioning time series

I have a time series dataset I'm trying to plot by Year: ...
67 views

### TimeSeries for non-temporal data

Mathematica introduced TemporalData in Mathematica 9. Mathematica 10 added several fantastic new TimeSeries manipulation tools ...
73 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 ...
83 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: ...
81 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 below, but it doesn't ...
89 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, ...
141 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 ...
111 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 ...
109 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 ...
195 views

### How to slice TimeSeries data?

When retrieving curated data, v10 now returns TimeSeries objects. For example, ...
104 views

### Slow work of TimeSeriesWindow

I have financial data (list of time-values pairs). There are more than 13000 elements. ...
98 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 ...
133 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: ...
77 views

### Plotting multiple curves with multiple axes (>2) on the same plot

I'm attempting to generate a graph that depicts mulitple time series, measured in different units (but with a common time scale) on the same graph. This is a generalization of the familiar ...
71 views

### Undo differences in a time series

I have estimated and ARMA process in Mathematica using data which I have had to take the 2nd difference of to remove the trend. I have managed to fit a model to the detrended data but cannot work out ...
458 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 ...
381 views

### How to Merge Date and Time?

Given the following time series data where row is date and column is time intervals. ...
103 views

### Setting label in DendrogramPlot

I want to create a dendrogram with the labels being a visual representation of the data. Something like this: How can I do that in Mathematica? My attempt so far hasn't been very successful. The ...
330 views

### Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
158 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 ...
142 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 ...
104 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. ...
141 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 ...
125 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 ...
306 views

### Autoregressive distributed lag model

Could someone point me in the direction of creating an autoregressive distributed lag model in mathematica?
204 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 ...
263 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 + ...
148 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 ...
216 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 : $$\epsilon(t) = \sigma(t) \eta(t)$$ ...
202 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 ...
187 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 ...
504 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 ...
280 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: ...
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: ...
440 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 ...
867 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 ...
1k 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.
435 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 ...
844 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.
352 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 ...
514 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 ...
551 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 ...
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 ...