# Tagged Questions

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

It is possible to do simple math between TemporalSeries objects. For example ...
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.
150 views

### TimeSeries for non-temporal data

Mathematica introduced TemporalData in Mathematica 9. Mathematica 10 added several fantastic new TimeSeries manipulation tools --...
104 views

### Is there a convenient way to sum TimeSeries objects in Mathematica?

Imagine I have two TimeSeries objects, ...
235 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, ...
89 views

### Split time series by periods of activity

I have a collection of time series that involve periods of activity and inactivity. ...
47 views

### TimeSeriesInsert issue with Quantity expressions

Solved in Mathematica v10.3 This first sample code works as expected: ...
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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 ...
138 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: ...
154 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 ...
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### 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 ...
202 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: ...
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### 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 ...
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) ...
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 ...
71 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) ...
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 ...
156 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 ...
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 ...