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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1answer
35 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: ...
3
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1answer
43 views

How to 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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0answers
31 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\ ...
4
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1answer
62 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 ...
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1answer
31 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
57 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
43 views

DateListPlot with Tooltip for a TimeSeries?

I would like to use Tooltip on a TimeSeries from within DateListPlot with a human readable ...
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0answers
34 views

How to implement Extrapolation with order 0

I have data in format like below. { {{v1,v2,v3,v4,v5,v6,v7},{t1,t2,t3,t4,t5,t6,t7,t8}}, {{v1,v2,v3},{t1,t2,t3}}, {{v1,v2,v3,v4,v5},{t1,t2,t3,t4,t5}}, ... } With ...
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1answer
49 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 ...
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3answers
69 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 ...
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1answer
38 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
100 views

Why does the Kernel shut down?

I didn't see this coming: ...
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0answers
27 views

Heat map from multiple trajectories

I have x (position) v/s t (time) data for 50 trajectories and I want to create a heat map from this data with Mathematica. The data looks like: {{0,0,...,0},{t1,x11,...,x1k},...,{tn,xn1,...,xnk}}. Let'...
2
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1answer
54 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: ...
8
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2answers
166 views

Remove a specific element of a TimeSeries?

If I have a TimeSeries, how do I remove an element if that element is another TimeSeries? Let's say I have: ...
1
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1answer
38 views

How to force Mathematica to output an expression such as Input {2,3,4}-> Output 2*3*4=24

How to force Mathematica to output an expression such as Input {2,3,4}-> Output 2*3*4=24 as a Times like this one: Input Times[2,3,4] -> Output 24
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0answers
44 views

Missing[“NotAvailable”] Financial data

I'm trying to get the dow jones industrial average financial data using FinancialData["^DJI"] but it returns ...
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0answers
19 views

TimeSeriesRescale seems to work oddly

I have been attempting to do some date computations with EventSeries, a convenient form for storing economic quantities (like expenses) over time. Following the documentation, I created an list of ...
6
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1answer
145 views

Mathematica slow at estimating vector autoregressive model parameters

I have been trying to obtain VAR model parameters using EstimatedProcess and FindProcessParameters. It seems to take a very long time as soon as I have more than 6 or 7 time series and lag length >2. ...
1
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1answer
81 views

How to interpret TimeseriesModelFit parameters? [closed]

I have problems interpreting the parameters that follow using the TimeseriesModelFit command. The time series exists of twelve months and show a positive linear trend. Using TimeseriesModelFit it ...
4
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1answer
74 views

White noise at non integer intervals, bug or my mistake?

I'm intending to add white noise to a simple periodic signal ...
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0answers
25 views

BatchNormalizationLayer instead of data prep

I've trained a neural net to match nx7x5 matrices to nx1 scalars; the n is a number of elements in a sequence. To get a good match I have to do some data prep; basically do a ...
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0answers
41 views

Working with time series GDP data

I have two questions. First, how do I get a list of points from CountryData["UnitedStates", {{"GDP"}, {1960, 2018}}] as opposed to a graph. Second, if I have a ...
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2answers
117 views

Why TimeSeries forecasts the future value poorly?

On a bank account there are many recurring entrance and expenses. I've managed to import some sample data and to plot it. I can see that there is a quite clear recurring trend (one wage is coming ...
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1answer
71 views

TimeSeriesAggregate unwanted behavior

Let's take the lst = {{"2019-09-12 00:01:23",1}, {"2019-09-12 00:01:23", 3}, {"2019-09-12 00:01:24",10}}; Assume I want to count events within 1 second. One ...
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1answer
96 views

TimeSeries behavior unwanted [closed]

Was wondering what other options I have when encountering a time series that has two events taking place at the same time. In particular, ...
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1answer
42 views

Time Series Arithmetic in v10.0

The following code lets FindPeaks find minima in v10.3-12.0: ...
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0answers
42 views

How to add a custom indicator to InteractiveTradingChart or TradingChart?

I'm creating a prediction algorithm for certain stocks and I wanted to plot the result of my predictor against the stock's history. I wanted to create my custom "indicator" to add to a ...
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0answers
40 views

Covariance of TimeSeries in v10.0-10.3

The following works in v11.2-12.0: ...
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1answer
45 views

Control/retrieve ordinate position in TimelinePlot

I want to make a family tree. My approach is to use the birth year to structure the tree in abscissa. The issue is the ordinate positions of the according person. It may change when the family tree is ...
5
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1answer
388 views

How do I create & train a neural net to predict a stock closing price at T+5min using OHLC and other data?

I'm trying to create a neural network and train it to test predictability of short term stock price movements. I've collated a 1-min open, high, low, closing and volume dataset for a particular stock....
5
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4answers
291 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 ...
4
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1answer
211 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 ...
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3answers
87 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
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1answer
174 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 ...
3
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1answer
102 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
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2answers
145 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 ...
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1answer
100 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
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1answer
296 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. ...
3
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1answer
149 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
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0answers
48 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: ...
4
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1answer
77 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
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1answer
125 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:/...
15
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3answers
552 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
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0answers
217 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
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1answer
162 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
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1answer
75 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
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1answer
102 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
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1answer
53 views

TimeSeriesShift issue with TimeZone

I have to work with such a TimeZone to deal with daylight saving time. ...
2
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1answer
135 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:- ...

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