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.

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23 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 ...
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0answers
43 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 ...
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0answers
32 views

Total of only positive (or negative) values in TimeSeries

I've a TimeSeries like the following one: ...
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24 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 ...
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23 views

How do I create a TimeSeries from a TimeSeriesWindow?

I have noticed that FinancialData seems to take an amount of time to run that isn't linear with the amount of data being retrieve. For example, on my machine to retrieve all data on 10 stocks from ...
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0answers
58 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 ...
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26 views

PredictionLimits not working for time series

I'm doing an ARIMA forecast with daily data (but that is formatted as year-month-day-hour-minute-second, although hour, minute, and second are always zero) and I'm trying to get the prediction ...
7
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1answer
171 views

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: ...
2
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1answer
137 views

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 ...
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0answers
38 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 ...
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24 views

Can I use PartialCorrelationFunction on multivariate data?

I am doing a bit of work on multivariate time series and I need to calculate the partial autocorrelation function of a matrix. I will provide some details bellow and show an example of how I simulate ...
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1answer
183 views

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 ...
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2answers
130 views

Finding all intersection point between two time series

I've the following time series in smoothedData: ...
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1answer
32 views

How to set date axis of the DateListPlot to follow the order of the data

I'm trying to show plots of weekly data from multiple periods each spanning June - April. The actual starting dates vary so the dates don't actually coincide but would like to stack them to compare ...
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1answer
83 views

Strategies to mimic Dataset features in a TimeSeries?

QUESTION: Seeking TimeSeries advice for simulating Dataset subsets using named columns (e.g., timeseries[[All, {"SBP", "DSP", "HR"}]]. DETAIL: While writing biometric ...
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1answer
38 views

What effect does the addition of [“Options”] have in the following use of TimeSeries?

In an example found at Use Time Series Processing for Financial Analysis the time series prices = sp500["PathComponent", "Adj Close"] is ...
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1answer
61 views

Exporting Stock Financial Data into Excel

I would like to pull 3 attributes (Open, Close, Volume) for a variety of stock symbols. I would like to pull the stock data within a specific range and export it to an excel spreadsheet. I would also ...
5
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1answer
62 views

How do I make a TimeSeriesDrop[] function, similar to TimeSeriesInsert[]?

From the documentation, TimeSeriesInsert[ts, {"January 1st, 2013", 900}] is clean and easy. How to I make a ...
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0answers
53 views

Solve a system of slope-intercept, ODE, and PDE with spatial and time variable

I am new to Mathematica and I need to solve a system of coupled ODE and PDE with two variables (space and time) and one of the parameters is only dependent on the space. The set of partial ...
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1answer
93 views

How to calculate fractional differences of a timeseries?

I have a timeseries I am looking to transform with fractional differences per the following description: The idea being to retain the essence of stationarity of, say, a log transformed integer series ...
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0answers
54 views

TimeSeries: notation datavalue

When I use TimeSeries, The DateObject is changed in a longer notation. For example: ...
2
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1answer
51 views

How to Have Smaller Intervals in TimeSeries

I have a wolfram demonstration project with the following code: ...
2
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1answer
42 views

How to Show Velocity and Time Measurements in Manipulate (Wolfram Demonstrations)

I am working with a Wolfram Demonstration that uses the Manipulate function (which I am not yet familiar with). The code is ...
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0answers
15 views

How do you tell TimeSeriesModelFit to ignore some lags?

TimeSeriesModelFit[data, {"ARMA", {p,q}}], for example, specifies an ARMA((1,2,...,p),(1,2,...,q)) model. But what if you don't want to include all ...
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0answers
30 views

time series - minimum differencing order needed to remove the trend [closed]

I was wondering how can I find What is the minimum differencing order needed to remove the trend in a time series? I have a a times series and a TimeSeriesModelFit, which is SARIMA model. I want to ...
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0answers
33 views

Time Series Model Fit-95% confidence interval

how to find a 95% interval for a certain value in Time Series Model Fit? I know we I have the mode, I can get the prediction value for it. but I'm not sure how to find the 95% interval for that exact ...
4
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1answer
97 views

How to solve for multiple (cascading) recurrence relations

I am working with recurrence relations with a simple base: \begin{equation} Y_i = aY_{i-1} + (1-a)X_i \quad \mbox{and if $Y_0=0$ then} \quad Y_n = (1-a)\sum_{i=1}^n a^{i-1} X_i \tag{1} \end{equation} ...
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0answers
24 views

Stationarity Check of TimeSeries

I'm currently writing my masters and urgently need your help. Can you help me to classify if this timeseries is stationary or not? the plot tells me that it is not stationary. The Augumented Dickey ...
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0answers
32 views

Multivariate AR process model fit

Is there a function in Mathematica that allows me to fit a VAR model with 4 variables? Let's say I have the following simulated data: ...
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1answer
80 views

How do I correctly iterate using Outer when an argument / slot is a nested list?

I have the following complex nested iteration situation. I begin with a list, data, that comprises 16 TemporalData objects Each TemporalData object contains 2 ...
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1answer
153 views

Is there a way to get WeatherData consistently?

I can get weather station location: WMOStations = ResourceObject["WMO Meteorological Stations"]; and select for the US: ...
3
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3answers
199 views

How can I interpolate time-series data?

I fetch financial data like this: data = FinancialData["SBUX", "Close", {{2013, 1, 1}, {2013, 8, 1}, "Week"}, "Value"]; ...
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2answers
107 views

Efficient sinc interpolation of a list

I'm looking for an efficient way to construct a sinc interpolation i.e. an interpolating function of a list of numbers in the form of a Fourier series with a chosen maximum frequency. The input list ...
1
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1answer
161 views

Fourier transform of a time series

I have this question: Create a time series of the function $\sin(7*\sin(140*t))$ with a sampling rate of $1000Hz$ for a time duration of $2.5s$. Fourier transform this time series and identify the ...
1
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1answer
175 views

Smoothing an irregular TimeSeries and calculate it's Derivative

I've a data set consisting of two columns, the first column is a date and the second is a numeric cumulative amount. I tried to create a time series, resample it and smooth but I couldn't manage to ...
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0answers
48 views

How to run Facebook Prophet in Mathematica?

I would like to use the Facebook Prophet API for timeseries forecasting in Mathematica. I'm trying to make a function prophetM which takes a list of date, and integer pairs (or a Timeseries object), ...
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0answers
91 views

From graph to time series

Let's consider the time series: ...
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0answers
49 views

How would you perform a simple operation on two adjacent elements of a list?

I have an arbitrary list of elements: list = {a, b, c, d, e, f} How would I produce: ...
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1answer
83 views

TimeSeriesForecast and BusinessDay

Question: I want to do a timeforecast for the next 30 days, but only the business days (weekends excluded). My dataset look likes: ...
4
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1answer
72 views

Can one force TimeSeries to add instead of average values with identical timestamps?

I have a list of time-value pairs of the form {{t1,v1},{t2,v2},{t3,v3},...} that I'd like to turn into a TimeSeries object. The ...
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1answer
229 views

How to estimates the cross power spectral density (CPSD) of two timeseries?

So, I have two sets of data that I would like to calculate the cross-spectrum for and see the phase difference between them. u1 and u2 datasets: https://www.dropbox.com/s/shbvtsf92jg5fif/u1?dl=0\ ...
5
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1answer
81 views

How can the missing time series values be filled?

Though there appears to be a similar question, it does not sate this use-case... I present below the MWE: I have a date-list, here it is just a linear series of numbers, but the real use-case is that ...
0
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1answer
38 views

Plotting different processes of a simulated VAR[2]

I have simulated a VAR process with this simData = RandomFunction[ARProcess[a, Sigma], {1, 20001}]; Where the coefficients for a VAR[2] process: ...
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1answer
78 views

Generate clusters based off clusters in previous time step?

Here's the set-up: I'm generating data based on a process, but the important thing is that eventually the data diverges and starts forming branches. This is a close up of some of the behavior: The ...
4
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1answer
67 views

DateListPlot with Tooltip for a TimeSeries?

I would like to use Tooltip on a TimeSeries from within DateListPlot with a human readable ...
1
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1answer
55 views

Is this a bug with TimeSeries and dates? [closed]

I'm having trouble with applying Accumulate to TimeSeries data as below The results of the first call to Accumulate is wrong in length, 4 instead of 5 and value. Is this a bug? It certainly seems so ...
2
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3answers
86 views

How can I incrementally calculate a time series average?

If I have a time series s, and if you'll pardon the pseudo code, such that s = {t_i, v_i} is there an easy way to calculate the series ...
3
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1answer
62 views

Synchronising time series and video display

If I have a video at a known frame rate, and a time series of sensor readings taken at the same time. How can I play back the video and show a relevant section of the time series so the two are in ...
3
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1answer
117 views

Why does the Kernel shut down?

I didn't see this coming: ...
2
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1answer
68 views

Implement a function which import data from the same webpage root

I would like to implement a function to import several dataset from the same website source, where for each dataset it changes just one word on the website address. Here the website: ...

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