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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5 votes
1 answer
76 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 ...
-2 votes
1 answer
85 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 ...
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0 votes
0 answers
50 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
28 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
0 votes
1 answer
46 views

Adding observation to time series

I download three time series from FRED: ...
  • 209
2 votes
1 answer
137 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 ...
  • 2,723
8 votes
0 answers
99 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 ...
  • 12.6k
2 votes
1 answer
75 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....
0 votes
1 answer
37 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 ...
0 votes
0 answers
51 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
176 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} ...
0 votes
1 answer
60 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 ...
0 votes
2 answers
54 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 ...
2 votes
4 answers
95 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: ...
  • 6,768
0 votes
0 answers
15 views

Simulating SARIMA process using RandomFunction

Recently I've been doing some analysis involving fitting SARIMA models to a variety of time series data and then simulating forecast paths using the built-in RandomFunction procedure. In the reviewing ...
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3 votes
2 answers
112 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 ...
2 votes
1 answer
126 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
50 views

How to set time zone for `DateListLogPlot`?

Sample data: ...
  • 13.6k
0 votes
0 answers
45 views

Fractal Dimension of Lag Plot [duplicate]

Imagine I have created a lag plot from time series data. How do I get the fractal dimension of such a lag plot assuming the x-axis is x_t and the y-axis is, say x_(t-2), a lag of 2?
1 vote
2 answers
386 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
81 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
128 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): ...
  • 61
4 votes
0 answers
64 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. ...
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1 vote
1 answer
83 views

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 ...
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2 votes
0 answers
41 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 ...
  • 1,548
1 vote
0 answers
101 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 ...
  • 1,548
0 votes
0 answers
38 views

Total of only positive (or negative) values in TimeSeries

I've a TimeSeries like the following one: ...
  • 900
0 votes
0 answers
43 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 ...
  • 187
2 votes
0 answers
67 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 ...
  • 1,955
7 votes
1 answer
184 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: ...
  • 171
2 votes
1 answer
181 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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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 ...
  • 1,024
7 votes
1 answer
280 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 ...
5 votes
2 answers
356 views

Finding all intersection point between two time series

I've the following time series in smoothedData: ...
  • 900
2 votes
1 answer
67 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 ...
1 vote
1 answer
115 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 ...
3 votes
1 answer
41 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 ...
  • 5,340
1 vote
2 answers
185 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 ...
  • 139
5 votes
1 answer
70 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 ...
  • 5,340
2 votes
1 answer
355 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 ...
  • 115
0 votes
0 answers
66 views

TimeSeries: notation datavalue

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

How to Have Smaller Intervals in TimeSeries

I have a wolfram demonstration project with the following code: ...
  • 109
2 votes
1 answer
60 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 ...
  • 109
1 vote
0 answers
33 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 ...
  • 41
1 vote
0 answers
40 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 ...
  • 41
4 votes
1 answer
115 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} ...
1 vote
1 answer
95 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 ...
  • 115
2 votes
1 answer
164 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: ...
  • 633
3 votes
3 answers
401 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"]; ...
  • 41
3 votes
2 answers
187 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 ...

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