Tag Info

New answers tagged

4

Sjoerd's approach using SARIMAProcess and TimeSeriesModelFit, in particular the last portion with in which you test SARIMA models of differing orders and observe which models are particularly favoured by the AIC, is certainly a valid approach. However, since you asked about periodograms and other spectral methods in your question, I thought I'd give an ...


4

First, paste your two columns of data copied from Google docs in Mathematica: data = ImportString["Day\tTraffic 1/12/2014\t3 2/12/2014\t15 . . . 5/5/2015\t109 6/5/2015\t282", "TSV"] // Rest; Then convert the few 14s and 15s mingled between the 2014s and 2015s to full years, and convert to a TimeSeries: dataTS = MapAt[ ...


2

This is not really a Mathematica question, but here are some thoughts. I doubt you will be able to distinguish between a break in trend and a logarithmic trend. Take the log of the data and see if that has a linear trend instead. There are plenty of ways to test for and find a structural break. Have a look at some basic resources on this. The CUSUM test is ...


4

The calculation of AIC for a particular model varies among software programs and yet none of those are necessarily wrong. The difference among software programs (that do it correctly) is because some leave off constants that don't vary with the data. What counts is that the difference of the AIC values between two different models in the same software ...


2

Based on Edmund's answer I have written a function that will produce cross-correlation sweep. Excellent for sweeps, but not optimised for performance. TSCorrelation[ts1_, ts2_] := Module[ {aligned, r, z, seZ, ZtoR, up, down, error}, aligned = Select[ GatherBy[ Normal@ts1~ Join ~ Normal@ts2, First], Length[#] == 2 &] [[All, {1, 2}, 2]]; ...


6

Module[{data, range}, data = TimeSeries[#, ResamplingMethod -> {"Constant", 0}] &@{{1891, 1}, {1892, 1}, {1897, 1}, {1898, 1}, {1903, 1}, {1904, 1}, {1905, 1}, {1908, 4}, {1909, 6}, {1910, 6}, {1911, 16}, {1912, 33}, {1913, 35}, {1914, 43}, {1915, 39}, {1916, 31}, {1917, 42}, {1918, 52}, {1919, 44}, {1920, 53}, {1921, 33}, ...



Top 50 recent answers are included