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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Adding observation to time series

I download three time series from FRED: ...
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2 votes
1 answer
121 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 ...
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8 votes
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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 ...
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2 votes
1 answer
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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....
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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 ...
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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 ...
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6 votes
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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} ...
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1 answer
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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 ...
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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 ...
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2 votes
4 answers
90 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: ...
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12 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
110 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 ...
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2 votes
1 answer
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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-...
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1 answer
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How to set time zone for `DateListLogPlot`?

Sample data: ...
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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?
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1 vote
2 answers
368 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 ...
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2 answers
79 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: ...
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1 answer
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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): ...
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4 votes
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63 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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Transforming a time-series Dataset

I am trying to perform some analysis on a Dataset instance but my 28K queries involve a Select[#MAC==mac&] over the whole ...
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1 vote
1 answer
82 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
39 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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1 vote
0 answers
73 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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37 views

Total of only positive (or negative) values in TimeSeries

I've a TimeSeries like the following one: ...
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38 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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  • 187
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33 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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  • 187
2 votes
0 answers
66 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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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 ...
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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: ...
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  • 171
2 votes
1 answer
166 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
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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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6 votes
1 answer
259 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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4 votes
2 answers
278 views

Finding all intersection point between two time series

I've the following time series in smoothedData: ...
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2 votes
1 answer
45 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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1 vote
1 answer
102 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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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 ...
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0 votes
2 answers
125 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 ...
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5 votes
1 answer
68 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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0 votes
0 answers
57 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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2 votes
1 answer
269 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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0 votes
0 answers
61 views

TimeSeries: notation datavalue

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

How to Have Smaller Intervals in TimeSeries

I have a wolfram demonstration project with the following code: ...
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  • 109
2 votes
1 answer
56 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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1 vote
0 answers
31 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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1 vote
0 answers
38 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 ...
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4 votes
1 answer
112 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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1 vote
1 answer
89 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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2 votes
1 answer
162 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: ...
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  • 633
3 votes
3 answers
321 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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  • 41
2 votes
2 answers
157 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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