Questions tagged [time-series]
Questions on sequences where adjacent samples are time-correlated, making the data suitable for modeling the behavior of the sampled system.
329
questions
4
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3
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Calculating upper culmination of the Moon
I’m completely confused by the new astronomical data system in Mathematica. For every day in some interval, I want to calculate
{azimuth, altitude} of the Moon in ...
- 1,187
1
vote
2
answers
161
views
How to make faster of a code containing more iteration points?
I am trying to evaluate a code of the Power Series Solution method to get the results. Also, the time of evaluation depends on the parameters I am using. When the iteration point is 50, 60, or 80, it ...
2
votes
3
answers
125
views
Accumulate Date Data Over Some Period
Say I have a series of time points, spread randomly throughout the year
...
- 4,252
1
vote
1
answer
86
views
How to improve performance of making an Exponentially Weighted Correlation Matrix?
I would like to make an Exponentially Weighted version of Correlation (similar to https://pandas.pydata.org/pandas-docs/version/0.17.0/generated/pandas.ewmcov.html)....
1
vote
0
answers
46
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How to join common dates on a TemporalData set with TimeSeriesThread (possible Bug)
Bug introduced in version 13.2 or earlier
WRI have forwarded the problem to their developers. Case Number 5029803
I am trying to join TemporalData with many paths ...
1
vote
0
answers
64
views
How to Name a Path in TemporalData?
Preamble:
I am working with stock prices and need to perform calculations on them. And then extract the information for further calculations.
TimeSeries/...
0
votes
0
answers
21
views
`ParallelMap` on `TimeSeries` not working properly, operations on `TimeSeries` extremely slow
I have this data:
CloudObject["https://www.wolframcloud.com/obj/25f4b06e-2c89-4909-841d-83b7888b6ed8"]
which you can get by
...
- 3,733
1
vote
1
answer
163
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Periodogram and frequency
On the x axis of periodogram, one should have either a period or frequency. What frequency is used in Periodogram --- angular or ...
- 3,733
1
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0
answers
76
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Does anyone have any Mathematica code for rainflow counting for fatigue and damage equivalent load anlaysis?
‘Rainflow Counting’ is a method to determine the number of fatigue cycles present in a load-time history. See https://en.wikipedia.org/wiki/Rainflow-counting_algorithm
There is a MatLab function that ...
- 63
3
votes
1
answer
70
views
Plot a Time Series with a count of the number of times a particular date appears
I'm working with some data which includes an extensive list of dates. Some dates will appear multiple times, with each individual entry representing the date on which an event occurred. I would like ...
- 33
2
votes
1
answer
94
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FinancialIndicator does not work in InteractiveTradingChart with list form of stock data
I want to add some FinancialIndicator on InteractiveTradingChart when stock data is written in the form of list, ...
- 405
0
votes
1
answer
56
views
How to get the time series of colored noise obtained by AudioGenerator function?
In the documentation I found a code that plots a Periodogram.
...
- 1
0
votes
0
answers
44
views
Moving average MA(1) coefficient estimation
I am new to mathematica, I have some simulated a moving average, MA(1), data and I want to estimate the coefficients, theta, of it using Maximum likelihood estimation or log likelihood. Can someone ...
- 1
1
vote
0
answers
59
views
I am unable to improve the (MAProcess) time series model
I am a time series novice and have been learning the art/trade from examples while being governed by the NIST handbook (ch.6, sec.4).
My question is regarding:
How to improve the estimated time ...
- 5,311
3
votes
1
answer
131
views
Fastest Way to Create Rectangular Array of TimeSeries Values
A very common problem in finance is how to create a rectangular array of values (price, or returns) for a list of timeseries. The following illustrates one way to do this, but it is very slow: it ...
- 379
0
votes
0
answers
48
views
Force time series to drop the date part and keep only the time one
Mathematica's TimeSeries takes as an input the values and the time.
If I have a TimeObject with timestamps (without the date, ...
- 56
3
votes
1
answer
39
views
Moving Average not returning floats for time series [closed]
I have thousands of rows of time series data in the form below:
...
- 1,156
2
votes
2
answers
93
views
Finding Missing Values in TimeSeries
With TimeSeries it is all too common to end up with something like this:
...
- 379
9
votes
2
answers
284
views
Curve tracing for a given data set
I want to trace the curve for the given data set.
This is my code
...
- 1,524
4
votes
1
answer
221
views
How To Implement Discrete Fractional Differentiation in Mathematica
This question was borne out of my attempt to answer this question. How to calculate fractional differences of a timeseries?
To recreate this in Matheamatica I wrote this code
...
- 631
2
votes
1
answer
72
views
How can I join non-overlapping TimeSeries so that the gap between any two is considered to be Missing data?
I have a set of time series sampled at one second intervals.
For example,
...
- 403
4
votes
1
answer
52
views
Modify range of values in time series
I have downloaded some data:
mydata = FinancialData["SP500", {{2014, 10, 23}, {2016, 10, 22}}]
How can I set the values between two specified dates to ...
- 407
1
vote
1
answer
29
views
Display time series data in a table without weekday and time of the dates
I have downloaded some data:
mydata = FinancialData["SP500", {{2014, 10, 23}, {2016, 10, 22}}]
I would like to see them in a table where the date is ...
- 407
1
vote
2
answers
77
views
Plot shaded area from indicator variable
I have downloaded some data from the Federal Reserve of St Louis:
...
- 407
2
votes
1
answer
89
views
Fourier transform of a wave-profile [closed]
Hi I tried to do a Fourier transform of a series of points from a plot from ma wave-train profile.
The commands are as such
...
- 561
1
vote
2
answers
146
views
Extract the rolling period return from a timeseries
For example, let ts be defined as:
ts= FinancialData["SBUX", "Close", {{2013, 1, 1}, {2013, 12, 1}}]
How can I, for example, from ts a new ...
- 5,422
1
vote
1
answer
54
views
Construction of many logical sentences
Consider the set:
c1 = {h1, h2, h3, h4, h5, h6, s1, s2, s3, s4, s5, s6};
How to build a list of all possible logical sentences based on the set 'c1' and logical ...
- 1,019
4
votes
1
answer
95
views
How to plot n-dimensional TimeSeries data object?
I have a spectrometer which is generating time-series data every 100ms. I'd like to analyze/plot this data in Mathematica, but I'm not certain the best way to do it.
It's in this form:
...
- 490
0
votes
1
answer
73
views
How to cluster data series with different intervals?
I have data, effectively a set of event series, which should cluster well over their overlaps, but have different intervals where the data is available. This can be simplified to overlapping noisy $...
- 18.7k
5
votes
1
answer
132
views
Applying Fourier Shift Theorem using Power Spectrum
I have a power spectrum $P(\omega) = 10/\omega^2$ and I want to simulate a random time-series realization of this process $f(t)$ and a time-shifted copy of that realization $f(t- \tau)$. To do this, I ...
- 51
-2
votes
1
answer
99
views
Finding correlations for certain functions
I want to find correlations for a function $x(t)$ between pairs of times $t_1$ and $t_2$ i.e. to possibly get a functional form or fit for $\langle x(t_1)x(t_2)\rangle$. This function $x(t)$ is ...
- 65
0
votes
0
answers
56
views
Can I use Timeseries of a Data to plot the ARCHProcess?
So,
I have a list
s={Timeseries1,Timeseries2,Timeseris3}
I want to Plot a graph just like :Mathematica
I tried to do this but I didn't understand some parts of the ...
0
votes
1
answer
36
views
fit a time series with a form containing time as a TimeObject
I created a TimeSeries from TimeObjects (i.e.the list timemeting, times of the measurements) and the measured values (anglesarray). I want to fit the data to a function of time. The function contains ...
- 73
0
votes
1
answer
71
views
2
votes
1
answer
176
views
Estimating values from a timeseries picture
I have the following picture (one of several hundred):
I want to basically read out every y-value for every year on the x-axis from this graphic and create a data table from it. For example, I want ...
- 2,945
8
votes
0
answers
131
views
How to customize multipanel BarCharts (e.g., ChartLayout -> "Row")?
Bug introduced in 13.0
In version 13.0.0 support for multipanel plots has been added to 15 visualization functions —among them ...
- 13k
2
votes
1
answer
109
views
How can I show the units on the labels of the ordinate axis, not just numbers?
I have a DateListStepPlot. The abscissa is meaningfully labeled. However, on the ordinate axis, the labels just show numbers. But I want to show their unit too (e.g....
- 2,798
0
votes
1
answer
43
views
How to calculate cumulative density from a dynamical output?
I am running a simulation. I want to calculate the cumulate density of each species "C" and "R" from 0 to 100 [I just need the final number, not a graph]. Here is a sample equation
...
- 251
0
votes
0
answers
80
views
How to access the data object returned from a Wolfram query?
I want to access information regarding the population of the world, over the last 10,000 years, and then visualize it with some annotations.
In particular case, I want to:
grab world population data ...
- 113
6
votes
0
answers
292
views
How To Fit ARMA(1,1)-GARCH(1,1) Model
An ARMA(1,1) model is defined as the following
$X_{t}=\alpha_{0}+\alpha_{1}X_{t-1}+\epsilon_{t}+\beta_{t-1}\epsilon_{t-1}$
where a GARCH(1,1) model is defined as
$\epsilon_{t} = z_{t}\sqrt{a_{0}+a_{1} ...
- 631
0
votes
1
answer
85
views
Specific value of a point on a time trajectory
I have two equations. I want to evaluate the time series at a given point. So here, I want to know for a given set of values Vals what's the value at t = 700. How ...
- 251
0
votes
2
answers
57
views
How to start dynamics at different time points? [closed]
I have a 2D system of equations dR and dC. I compute the time-series trajectory for it as shown below. However, I want to start ...
- 251
3
votes
4
answers
152
views
How to predict future samples from discrete samples of a low frequency signal?
Suppose I have discrete samples of a low frequency signal as in:
For example:
...
- 6,984
3
votes
2
answers
139
views
Anyway to make financial indicators run/compute faster?
For stock data (closeData) going back from 2010 to 2022 it takes roughly .2 seconds for this code to run. That is way too slow for my purposes. Is there anyway I can speed this up using a C compiler ...
- 631
2
votes
1
answer
135
views
(NLM @ Circular TimeSeries model ) == invalid phase confidence intervals
In the realm of TimeSeries of data with Circular Statistics, NonlinearModelFit (NLM) correctly generates reasonable Standard Error & confidence intervals for phase parameters (phaseCIs) with x-...
4
votes
1
answer
67
views
1
vote
2
answers
454
views
Viewing the actual Timeseries data of FinancialData Object
How can i get a list of all the entries in FinancialData["SP500", {{2014, 10, 23}, {2016, 10, 22}}] ? I would like to read the actual entries but examples ...
- 119
0
votes
2
answers
84
views
Time-dependent if-function with multiple conditions
I try to programme the following: If the price is <= -0.2 for 20 periods in a row, taxes should be introduced for the following 60 periods. Currently I am using this if-function:
...
- 1
0
votes
1
answer
394
views
How can I get the power spectrum density and separate low and high frequencies?
Good day everyone,
I'm new in mathematica.
I got these values over time (each value was obtained every 100 milliseconds):
...
- 71
4
votes
0
answers
76
views
Why is EstimatedProcess so slow for a vector ARProcess?
I'm trying to fit some 4 x N data to a vector auto-regressive model. However, EstimatedProcess is very slow for this. For a 4-th order vector AR process, it takes more than 10 seconds (for N approx. ...
- 276