# 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.
571 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 ...
650 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 ...
964 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 ...
725 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 ...
269 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 ...
438 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 ...
187 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 ...
429 views

### How to slice TimeSeries data?

When retrieving curated data, v10 now returns TimeSeries objects. For example, ...
621 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 ...
234 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. ...
80 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 - ...
336 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: ...
196 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 ...
207 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.
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 ...
401 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 ...
699 views

### Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
873 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 ...
715 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 ...
208 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 ...
705 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 ...
98 views

### DateListPlot failing on Inflation Adjusted TimeSeries

Ran across this (possible bug) today. Here's historical West Texas Intermediate oil prices: ...
467 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. ...
443 views

### How to Merge Date and Time?

Given the following time series data where row is date and column is time intervals. ...
472 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 ...
478 views

### Autoregressive distributed lag model

Could someone point me in the direction of creating an autoregressive distributed lag model in mathematica?
146 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: ...
344 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 ...
678 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 ...
98 views

### TimeSeriesForecast for a range

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

### TimeSeries for non-temporal data

Mathematica introduced TemporalData in Mathematica 9. Mathematica 10 added several fantastic new TimeSeries manipulation tools ...
134 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 ...
78 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 : ...
107 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 ...
192 views

### MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
342 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 ...
213 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 ...
379 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 + ...
127 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. ...
98 views

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

Imagine I have two TimeSeries objects, ...
223 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, ...
194 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 ...
169 views

### Merging Financial Time Series

I am trying to merge two or more financial time series. For example, ...