Tagged Questions

Questions on sequences where adjacent samples are time-correlated, making the data suitable for modeling the behavior of the sampled system.

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: ...
2k 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.
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 ...
742 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 ...
1k 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 ...
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 ...
745 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 ...
282 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 ...
439 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 ...
199 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 ...
467 views

How to slice TimeSeries data?

When retrieving curated data, v10 now returns TimeSeries objects. For example, ...
639 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 ...
246 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. ...
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 - ...
339 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: ...
212 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 ...
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 ...
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.
2k 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 ...
733 views

Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
405 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 ...
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 ...
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 ...
457 views

How to Merge Date and Time?

Given the following time series data where row is date and column is time intervals. ...
741 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 ...
571 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. ...
211 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 ...
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 ...
102 views

DateListPlot failing on Inflation Adjusted TimeSeries

Ran across this (possible bug) today. Here's historical West Texas Intermediate oil prices: ...
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 ...
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 ...
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). ...
505 views

Autoregressive distributed lag model

Could someone point me in the direction of creating an autoregressive distributed lag model in mathematica?
160 views

Add to matrix missing elements (for list of time series)

This question is an extension of the 43122. Iâ€™ve looked through many interesting post (like this) but (as always) missed the direct matching. So the setting is simple: ...
377 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 ...
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 ...
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 (...
100 views

TimeSeriesForecast for a range

Now I have a tsm, say tsm=TimeSeriesModelFit[data]. Now, while using TimeSeriesForecast to ...
55 views

How to prevent TimeSeries adding TimeObject parameter and TimeZone option to DateObjects?

TimeSeries adds a TimeObject parameter and a TimeZone option to ...
150 views

TimeSeries for non-temporal data

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

MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
352 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 ...
229 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 ...
172 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 ...
392 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 + \...