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.
319
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13
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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, ...
- 371
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1
answer
27
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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
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0
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32
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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 ...
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47
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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 ...
- 5,291
2
votes
1
answer
89
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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 ...
- 307
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40
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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
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1
answer
39
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Moving Average not returning floats for time series [closed]
I have thousands of rows of time series data in the form below:
...
- 1,076
2
votes
2
answers
61
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Finding Missing Values in TimeSeries
With TimeSeries it is all too common to end up with something like this:
...
- 307
9
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2
answers
239
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Curve tracing for a given data set
I want to trace the curve for the given data set.
This is my code
...
- 1,094
4
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1
answer
136
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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
...
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2
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1
answer
54
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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
33
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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 ...
- 321
1
vote
1
answer
22
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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 ...
- 321
1
vote
2
answers
70
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Plot shaded area from indicator variable
I have downloaded some data from the Federal Reserve of St Louis:
...
- 321
2
votes
1
answer
74
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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
...
- 989
1
vote
2
answers
137
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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 ...
- 5,382
1
vote
1
answer
53
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 ...
- 1,009
4
votes
1
answer
87
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:
...
- 344
0
votes
1
answer
71
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 $...
- 18.3k
5
votes
1
answer
96
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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
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votes
1
answer
87
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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
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0
answers
54
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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
32
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 ...
- 61
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1
answer
59
views
2
votes
1
answer
144
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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 ...
- 2,763
8
votes
0
answers
116
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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 ...
- 12.7k
2
votes
1
answer
89
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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....
- 2,778
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1
answer
41
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
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0
answers
56
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
206
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} ...
- 621
0
votes
1
answer
76
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
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votes
2
answers
56
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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
119
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:
...
- 6,914
3
votes
2
answers
127
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 ...
- 621
2
votes
1
answer
128
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(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
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1
answer
57
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1
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2
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413
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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
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votes
2
answers
83
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
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1
answer
210
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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):
...
- 61
4
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answers
71
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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
1
vote
1
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87
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FinancialData don't give the right result
Could you perhaps explain me the following behaviour?
My code is:
sp500 = FinancialData["^SPX", {2007, 1, 1}, Method -> "Legacy"]
This gives ...
- 215
2
votes
0
answers
49
views
ARMAX with `TimeSeriesModelFit`
Is there a way to implement Friedman's ARMAX model, where X is a predictor matrix. This is basically a linear model with with ...
- 1,558
1
vote
0
answers
143
views
Plot Dataset, convert to time series
How do I plot an imported dataset? In pandas one can use pd.DataFrame.plot(), which includes multiple column plotting too.
How ...
- 1,558
0
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0
answers
49
views
Total of only positive (or negative) values in TimeSeries
I've a TimeSeries like the following one:
...
- 930
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0
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48
views
How to combine non-overlapping TimeSeries
I have a list of TimeSeries which don't overlap. I want to combine them into a single TimeSeries. They are all the same type of data from the same source (FinancialData). I read somewhere that Union ...
- 197
2
votes
0
answers
68
views
TimeSeriesWindow with InfiniteFuture returns last observation beyond starting date
I use Wolfram Mathematica 12.1 and want to subset a TimeSeries, but noticed that TimeSeriesWindow returns last observation even for range that does not intersect with the original TimeSeries.
Here is ...
- 1,975
7
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1
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185
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TimeSeriesShift seems broken -- is there a stable workaround?
Issue 1: Certain dates shift into the same date, leading to duplicated keys, rendering the time series unusable:
...
- 171
3
votes
1
answer
204
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Estimating Stock Beta Using the Kalman Filter
This is a basic question about using the KalmanFilter function. Lets say I have the following:
I want to use the KalmanFilter function (or other related Kalman Filter functions in Mathematica) to ...
- 307
1
vote
0
answers
47
views
Should this Dataset be Transposed for best Neural-Net Performance?
I've been working with this Kaggle dataset and intend to use it to make some time-series predictions from it. I've preprocessed it to the point where now I need to start making some decisions about ...
- 1,076
7
votes
1
answer
308
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Plotting Timeseries without gaps or interpolation
I have a time series sampled at 5-minute frequency for a financial instrument that trades from 08:30 to 15:15 CT. No trading takes place outside those hours.
I want to plot the series with the x-axis ...
- 1,254