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.

5
votes
4answers
236 views

Threading data on TimeSeries

Say I have two TimeSeries: x = TimeSeries[{2, 4, 1, 10}, {{1, 2, 4, 5}}] y = TimeSeries[{6, 2, 6, 3, 9}, {{1, 2, 3, 4, 5}}] x has a value at times: 1,2,4,5 y ...
3
votes
1answer
85 views

Structural Breaks in a Time Series Model

The Chow test is a test of whether the true coefficients in two linear regressions on different data sets are equal. In econometrics, Chow test is most commonly used in time series analysis to test ...
1
vote
3answers
69 views

TimeSeries has no option for TimeZone over-ride. What is the most efficient workaround?

I am importing TimeSeries data from an external CSV file. Those CSV date/time values are implicitly expressed as UTC. But TimeSeries imports them using \$TimeZone. And although TimeSeriesShift ...
4
votes
1answer
131 views

Decomposition of a time series into sinusoids

I've noticed this interesting study on metatrader 4; see the picture below: Where the financial timeseries is "decomposed" (deconvolved?) into a series of periodic sinusoidal functions. In the ...
0
votes
0answers
24 views

Simulates Timeseries with Table

i need your help again. I would like to calculate EW[k_] with EW[1],EW[2] and EW[3]. My code works only for one calculation from EW (in the code below it is EW[1]) but i would like to calculate the ...
3
votes
1answer
74 views

What is a proper way to represent multidimensional data in TemporalData?

A TemporalData object can host multiple paths or it can admit a ValueDimensions option value greater than unity. In the former ...
4
votes
2answers
100 views

Averaging a time series of amounts by week

I have a set of data with a list of dates (all Sundays in this case) and associated amounts. Most of these are every week, but some correspond to multiple weeks added together. I would like to average ...
-1
votes
1answer
73 views

How can I calculate the time-series of a vector?

I need to calculate a time-series of the vector $\|\theta(t)\|=2.2^{-t}\|v(t)\|$ where $t$ for 10 time-steps. I was thinking of expressing the vector as a list of functions, and then the functions ...
0
votes
1answer
140 views

How can I remove a stochastic trend from a time series

I am having some troubles with removing a stochastic trend from a time series. I am carrying out a study on the US debt to GDP ratio. I noted that there's a smooth stochastic trend in the series. ...
2
votes
1answer
65 views

Could not export TimeSeries to CSV [closed]

I have tried the following code to export a TimeSeries to a CSV. This is using code from a similar post "Export TimeSeries[] to CSV or Excel". ...
2
votes
0answers
36 views

TimeSeriesInsert for regular series with equal increment breaks regularity

My goal is to combine two time series with common properties and preserve those properties. Say, we have two monthly series: ...
2
votes
1answer
45 views

Change an observation in a TimeSeries

What is the proper way to change one observation in a TimeSeries object? Let's say there a time series: ...
4
votes
1answer
104 views

Seasonal weather data

I have some twenty years of weather data with daily average temperature. I would like to make a histogram with aggregated monthly average for the whole period. I tried to do something like this https:/...
13
votes
3answers
354 views

Deleting noisy data from a plot (manually) and export the best remaining data

I have the following temperature time-series. As you can see it contains very very noisy points in some periods (Fig.A). I tried to approach the best data(the black one in the center) based on the ...
2
votes
0answers
118 views

Neural Network Time Series Input

All, I am attempting to replicate the work done using Long Short Term Momory Artificial Neural Networks proposed in this thesis by following this (great) example. I have a given dataset for which I ...
0
votes
1answer
87 views

Plotting rescaled time series and temporal data

I am trying to use ListLinePlot to plot three "Components" of my TemporalData in Mathematica. The three components differ widely in the range of the data. So, I want to Rescale each component and plot....
4
votes
1answer
67 views

Obtain Family and Order of a TimeSeriesModel

Example from the docs: data = RandomFunction[ARMAProcess[{.1}, {.2}, 1], {1, 10^4}]; mod = TimeSeriesModelFit[data] How can I extract from it the ...
2
votes
1answer
89 views

What's wrong with this MovingMap structure?

This page from Mathematica 10 example: https://www.wolfram.com/mathematica/new-in-10/expanded-time-series-processes/model-the-conditional-value-at-risk-with-an-archpr.html Has a problem with this ...
3
votes
1answer
42 views

TimeSeriesShift issue with TimeZone

I have to work with such a TimeZone to deal with daylight saving time. ...
0
votes
0answers
19 views

How to locate the data behind WordFrequencyData?

I would like to do some historical textual analysis. For example, the following codes with WordFrequencyData and TimeSeries ...
2
votes
1answer
95 views

How to show date format (yyyy/mm/dd) in ListPointPlot3D?

I have data1, whose first column is, in fact, the date (i.e. number of days from 1900/1/1). I then create a 3D plot as below:- ...
1
vote
0answers
50 views

Estimating Lyapunov exponent from a time series problem [duplicate]

I am trying to use this code for estimating L.e.: ...
1
vote
1answer
45 views

Getting values for a common set of dates included in different time series

I am working with four different time series which have the same first and last dates, but a different number of observations. One time series (svq) includes weekend data, the other three don't ...
1
vote
0answers
40 views

KalmanFilter fails

I want to use a Kalman filter to reduce the noise in a time series. The underlying process has no dynamic and therefore can be modeled as an AR(1) process like a random walk. ...
2
votes
1answer
64 views

Nested ordered summation

How can I implement the following sum? Given $n$ and $j<n$: $$\sum_{k_j=1}^{n-1}\sum_{k_{j-1}=1}^{k_j-1}\sum_{k_{j-2}=1}^{k_{j-1}-1}\dots\sum_{k_1=1}^{k_2-1} \phi_{(n-k_j)}[\phi_{(k_j-k_{j-1})}[\...
1
vote
0answers
79 views

What is a good way to store TimeSeries objects?

This is a question about proper ways to save and retrieve TimeSeries. I am processing data from two separate sources and compile around 150 ...
1
vote
2answers
183 views

Compute Percentage Change for TimeSeries

Given a TimeSeries, ts, how can I compute the percentage change from one period to the next? Percentage change is calculated as (x[n] - x[n-1])/x[n-1] * 100.0. I've tried experimenting with ...
1
vote
2answers
110 views

Is this intended behavior of MovingAverage on TimeSeries?

Suppose there is a uniformly spaced time series ts: ts = TimeSeries[{{{2015, 1}, a}, {{2015, 2}, b}, {{2015, 3}, c}, {{2015, 4}, d}, {{2015, 5}, e}}] The task ...
2
votes
4answers
204 views

How to superimpose a curve fit on top of a TimeSeries plot?

This is a remarkably simple question for which I was not able to find an answer in the documentation. For concreteness, suppose that we have some time series data, such as this (example taken ...
4
votes
1answer
96 views

Max[] is being inconsistent when applied to time series

I am trying to create a list of annual maxima wind speeds. However the code I have come up with works inconsistently. i.e will produce a list for one weather station but will return ...
2
votes
0answers
97 views

Plotting Time Series in the same currency value [closed]

I'm working with Financial Data and I'm using this code: ...
0
votes
1answer
79 views

Import XML link from ECB and extract time series

I would like to extract the time series from a XML link provided by the ECB. Unfortunately, I am not able to extract the data time series. May someone be able to help me please? I start to import the ...
1
vote
2answers
100 views

Inconsistent arithmetic of TimeSeries with non-equally spaced data?

Consider the following non-equally spaced TimeSeries: ...
3
votes
2answers
357 views

Can this Sample Entropy (SampEn) calculation be improved?

I am interested in calculating various entropy measures of time series, and was surprised to find that none of them are included with Mathematica. Sample Entropy (SampEn) is a fairly common technique ...
3
votes
2answers
127 views

Compute expectation value of product of variables having nonzero covariance [closed]

I'm trying to calculate the covariance of a function which depends upon time. This is such that I have a series (as a minimal example): As you'd expect. However, when I try to get a similar output ...
6
votes
1answer
96 views

Getting the date on which an event in a time-series (e.g., the minimum value) occurs

I want to get the time in a time series that a particular event (e.g., the minimum value) occurs. The approach I take below seems clumsy. Is there a better way? ...
1
vote
0answers
77 views

Issue with RandomFunction and TimeSeriesModelFit in V11.2

I have a notebook which was working with V11 and now not working with V11.2. I have wind speed data with a regular timestep of 1hr. Taking a month : ...
2
votes
0answers
160 views

How to extract the conditional variance from a fitted GARCH model?

In R's garchFit (fGarch) I can simply call "@h.t" or "@sigma.t" to get the conditional variance or standard deviation for a fitted GARCH model. Is there a convenient way achieve this with Mathematica'...
2
votes
1answer
91 views

How can I use WienerProcess with TimeSeriesForecast?

I created a TimeSeries from Date-Value-Pairs, which I imported from a .csv-File diffp = Import["path/difficultyp.csv", "Data"]; tsdiff = TimeSeries[diffp]; I ...
4
votes
2answers
843 views

How can I plot multiple time series in 3D? [duplicate]

I'm a biochemist and I have a series of chromatograms, each taken after a different time of reaction (let's say after 10 min, 1 h, 2 h etc.). Now I want to visualize the change in the chromatogram by ...
2
votes
0answers
70 views

product of all elements in subsets of timeseries

apologies in advance if this is obvious, but I'm very new to mathematica and couldn't find the answer in the documentation nor in the forum here... I've got a 2 year time series ts with daily ...
5
votes
2answers
98 views

Expanding window map for time series

Given a TimeSeries object ts, how do I implement ExpandingMap similar to ...
2
votes
1answer
83 views

EstimatedProcess estimate biased?

I'm estimating the ARProcess parameters of a set of 1000 time series generated with an ARProcess and RandomFunction. Each time ...
0
votes
1answer
66 views

Rolling covariance matrix of TemporalData with 3 paths

I know how to use MovingMap with TimeSeries, but MovingMap threads over paths. What if I ...
0
votes
1answer
296 views

Exponential fit for time series

I'm pretty new to time series, but I'm now practising with it in order to obtain an exponential envelope of my experimental data. I start by importing data, I create the time series, I calculate the ...
17
votes
5answers
2k views

Recurrent neural network in 11.1 explicit examples?

I heard that RNN was implemented in Mathematica as of 11.1. Trying to search online, I find some general information about neural networks in Mathematica, or a list of related functions. My trouble is ...
2
votes
1answer
78 views

How to get standard errors of fitted noise variance and constant for random process, e.g., ARProcess from TimeSeriesModelFit

I want to know how to get the standard errors (and hopefully the CovarianceMatrix) for the constant and noise variance parameters of (say) an ...
0
votes
0answers
37 views

Resampling method: `HoldValueFromLeft`, what is this?

I came across the Resampling method: HoldValueFromLeft: As this method is not explained by the official documentation, what is the meaning of it? Also, as a ...
1
vote
0answers
48 views

marking events on time series [closed]

Suppose I have a time series (say, for the sake of argument, the stock time series of AAPL for the last thirty years or so), and I want to mark (with some sort of a highlight, or flag, or whatever) ...
1
vote
3answers
128 views

NA handling in TimeSeries[“Date”] … “0. + NA”

I import data from excel in the following format: data // MatrixForm After converting the data to a time series, the "NA" values are converted to "0. + NA", when ...