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20
votes
4answers
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: ...
20
votes
3answers
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.
14
votes
1answer
962 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 ...
11
votes
1answer
221 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 ...
10
votes
5answers
413 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 ...
10
votes
4answers
224 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 ...
10
votes
1answer
605 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 ...
10
votes
1answer
160 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 ...
9
votes
1answer
520 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 ...
8
votes
1answer
247 views

How to slice TimeSeries data?

When retrieving curated data, v10 now returns TimeSeries objects. For example, ...
8
votes
1answer
300 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: ...
7
votes
2answers
142 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. ...
7
votes
4answers
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 ...
7
votes
1answer
373 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 ...
7
votes
1answer
445 views

Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
7
votes
1answer
136 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 ...
6
votes
1answer
195 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 ...
5
votes
4answers
399 views

How to Merge Date and Time?

Given the following time series data where row is date and column is time intervals. ...
5
votes
2answers
561 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
182 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 ...
5
votes
2answers
571 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 ...
5
votes
1answer
966 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
0answers
237 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. ...
5
votes
0answers
100 views

TimeSeries for non-temporal data

Mathematica introduced TemporalData in Mathematica 9. Mathematica 10 added several fantastic new TimeSeries manipulation tools ...
5
votes
0answers
511 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 ...
4
votes
1answer
373 views

Autoregressive distributed lag model

Could someone point me in the direction of creating an autoregressive distributed lag model in mathematica?
4
votes
1answer
692 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 ...
4
votes
1answer
144 views

MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
4
votes
2answers
91 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 ...
4
votes
1answer
147 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 ...
4
votes
1answer
296 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 + ...
4
votes
1answer
110 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. ...
3
votes
3answers
331 views

Partitioning time series

I have a time series dataset I'm trying to plot by Year: ...
3
votes
2answers
117 views

Slow work of TimeSeriesWindow

I have financial data (list of time-values pairs). There are more than 13000 elements. ...
3
votes
1answer
113 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 ...
3
votes
1answer
89 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: ...
3
votes
2answers
128 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. ...
3
votes
1answer
164 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 ...
3
votes
1answer
514 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 ...
3
votes
0answers
104 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: ...
3
votes
0answers
131 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, ...
3
votes
0answers
122 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 ...
2
votes
1answer
74 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
141 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 ...
2
votes
1answer
136 views

Time Series fit in Mathematica

Newbie in Time Series question: I need to do a very simple (I think) regression of a time serie of the type: $Y_{t}$ = $\sum_{j=1}^{p}b_{j}Y_{t-j}$ + $\sum_{j=1}^{q}c_{j}X_{t-j}$ and I can't figure ...
2
votes
1answer
66 views

WeatherData and TimeSeriesModelFit

with city = CityData[{"Bremerhaven", "Bremen", "Germany"}]; and ...
2
votes
0answers
36 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
56 views

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

Imagine I have two TimeSeries objects, ...
2
votes
0answers
110 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 ...
1
vote
1answer
47 views

Why does TimeSeriesShift is just adding a fixed number of days?

I'd like to shift all contents of a TimeSeries object by one month. By shifting Feb. 1st I would expect to receive Mar. 1st. However it's not the case for Mathematica: ...