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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.

11
votes
3answers
251 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
votes
0answers
64 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
votes
1answer
67 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....
3
votes
1answer
57 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
votes
1answer
76 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
votes
1answer
29 views

TimeSeriesShift issue with TimeZone

I have to work with such a TimeZone to deal with daylight saving time. ...
0
votes
0answers
16 views

How to locate the data behind WordFrequencyData?

I would like to do some historical textual analysis. For example, the following codes with WordFrequencyData and TimeSeries ...
2
votes
1answer
75 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:- ...
1
vote
0answers
48 views

Estimating Lyapunov exponent from a time series problem [duplicate]

I am trying to use this code for estimating L.e.: ...
1
vote
1answer
31 views

Getting values for a common set of dates included in different time series

I am working with four different time series which have the same first and last dates, but a different number of observations. One time series (svq) includes weekend data, the other three don't ...
1
vote
0answers
37 views

KalmanFilter fails

I want to use a Kalman filter to reduce the noise in a time series. The underlying process has no dynamic and therefore can be modeled as an AR(1) process like a random walk. ...
2
votes
1answer
60 views

Nested ordered summation

How can I implement the following sum? Given $n$ and $j<n$: $$\sum_{k_j=1}^{n-1}\sum_{k_{j-1}=1}^{k_j-1}\sum_{k_{j-2}=1}^{k_{j-1}-1}\dots\sum_{k_1=1}^{k_2-1} \phi_{(n-k_j)}[\phi_{(k_j-k_{j-1})}[\...
1
vote
0answers
63 views

What is a good way to store TimeSeries objects?

This is a question about proper ways to save and retrieve TimeSeries. I am processing data from two separate sources and compile around 150 ...
1
vote
2answers
71 views

Compute Percentage Change for TimeSeries

Given a TimeSeries, ts, how can I compute the percentage change from one period to the next? Percentage change is calculated as (x[n] - x[n-1])/x[n-1] * 100.0. I've tried experimenting with ...
1
vote
2answers
100 views

Is this intended behavior of MovingAverage on TimeSeries?

Suppose there is a uniformly spaced time series ts: ts = TimeSeries[{{{2015, 1}, a}, {{2015, 2}, b}, {{2015, 3}, c}, {{2015, 4}, d}, {{2015, 5}, e}}] The task ...
2
votes
3answers
127 views

How to superimpose a curve fit on top of a timeseries plot?

This is a remarkably simple question for which I was not able to find an answer in the documentation. For concreteness, suppose that we have some time series data, such as this (example taken ...
4
votes
1answer
90 views

Max[] is being inconsistent when applied to time series

I am trying to create a list of annual maxima wind speeds. However the code I have come up with works inconsistently. i.e will produce a list for one weather station but will return ...
2
votes
0answers
83 views

Plotting Time Series in the same currency value [closed]

I'm working with Financial Data and I'm using this code: ...
0
votes
1answer
62 views

Import XML link from ECB and extract time series

I would like to extract the time series from a XML link provided by the ECB. Unfortunately, I am not able to extract the data time series. May someone be able to help me please? I start to import the ...
1
vote
2answers
99 views

Inconsistent arithmetic of TimeSeries with non-equally spaced data?

Consider the following non-equally spaced TimeSeries: ...
3
votes
2answers
324 views

Can this Sample Entropy (SampEn) calculation be improved?

I am interested in calculating various entropy measures of time series, and was surprised to find that none of them are included with Mathematica. Sample Entropy (SampEn) is a fairly common technique ...
3
votes
2answers
116 views

Compute expectation value of product of variables having nonzero covariance [closed]

I'm trying to calculate the covariance of a function which depends upon time. This is such that I have a series (as a minimal example): As you'd expect. However, when I try to get a similar output ...
6
votes
1answer
83 views

Getting the date on which an event in a time-series (e.g., the minimum value) occurs

I want to get the time in a time series that a particular event (e.g., the minimum value) occurs. The approach I take below seems clumsy. Is there a better way? ...
1
vote
0answers
69 views

Issue with RandomFunction and TimeSeriesModelFit in V11.2

I have a notebook which was working with V11 and now not working with V11.2. I have wind speed data with a regular timestep of 1hr. Taking a month : ...
2
votes
0answers
101 views

How to extract the conditional variance from a fitted GARCH model?

In R's garchFit (fGarch) I can simply call "@h.t" or "@sigma.t" to get the conditional variance or standard deviation for a fitted GARCH model. Is there a convenient way achieve this with Mathematica'...
2
votes
1answer
83 views

How can I use WienerProcess with TimeSeriesForecast?

I created a TimeSeries from Date-Value-Pairs, which I imported from a .csv-File diffp = Import["path/difficultyp.csv", "Data"]; tsdiff = TimeSeries[diffp]; I ...
4
votes
2answers
541 views

How can I plot multiple time series in 3D? [duplicate]

I'm a biochemist and I have a series of chromatograms, each taken after a different time of reaction (let's say after 10 min, 1 h, 2 h etc.). Now I want to visualize the change in the chromatogram by ...
2
votes
0answers
59 views

product of all elements in subsets of timeseries

apologies in advance if this is obvious, but I'm very new to mathematica and couldn't find the answer in the documentation nor in the forum here... I've got a 2 year time series ts with daily ...
5
votes
2answers
75 views

Expanding window map for time series

Given a TimeSeries object ts, how do I implement ExpandingMap similar to ...
2
votes
1answer
77 views

EstimatedProcess estimate biased?

I'm estimating the ARProcess parameters of a set of 1000 time series generated with an ARProcess and RandomFunction. Each time ...
0
votes
1answer
60 views

Rolling covariance matrix of TemporalData with 3 paths

I know how to use MovingMap with TimeSeries, but MovingMap threads over paths. What if I ...
0
votes
1answer
266 views

Exponential fit for time series

I'm pretty new to time series, but I'm now practising with it in order to obtain an exponential envelope of my experimental data. I start by importing data, I create the time series, I calculate the ...
15
votes
5answers
2k views

Recurrent neural network in 11.1 explicit examples?

I heard that RNN was implemented in Mathematica as of 11.1. Trying to search online, I find some general information about neural networks in Mathematica, or a list of related functions. My trouble is ...
2
votes
1answer
74 views

How to get standard errors of fitted noise variance and constant for random process, e.g., ARProcess from TimeSeriesModelFit

I want to know how to get the standard errors (and hopefully the CovarianceMatrix) for the constant and noise variance parameters of (say) an ...
0
votes
0answers
34 views

Resampling method: `HoldValueFromLeft`, what is this?

I came across the Resampling method: HoldValueFromLeft: As this method is not explained by the official documentation, what is the meaning of it? Also, as a ...
1
vote
0answers
48 views

marking events on time series [closed]

Suppose I have a time series (say, for the sake of argument, the stock time series of AAPL for the last thirty years or so), and I want to mark (with some sort of a highlight, or flag, or whatever) ...
1
vote
3answers
118 views

NA handling in TimeSeries[“Date”] … “0. + NA”

I import data from excel in the following format: data // MatrixForm After converting the data to a time series, the "NA" values are converted to "0. + NA", when ...
3
votes
1answer
81 views

Dealing with jumps when using MovingAverage

The data referred to as testdat in this question is here if you would like to fiddle with it. Here it is as a ListPlot. I am trying to plot the "average" of this data and other data like it (and ...
2
votes
0answers
145 views

Analysis of the periodic data by the maximum entropy method

I am trying to get the frequency spectrum of periodic data. Since the data set is short, the outcome of the frequency peaks are not sharp enough for me to do further analysis. I know the spectrum can ...
1
vote
2answers
48 views

How to round data to the nearest Quarter?

I deleted my previous post since I believe it had unnecessary information and the direction of the question seemed to be straying away from what I wanted. I apologize to anyone that looked into it. ...
2
votes
0answers
66 views

Time series ARIMA with exogenous variables

Anyone know if the ARIMAProcess or TimeSeriesModelFit will handle exogenous variables? The closest question in Mathematica StackExchange is ARMAX in Mathematica but no one has responded to this ...
3
votes
2answers
214 views

DateListPlot of multiple time series with data values and legend appearing as the cursor moves over ploted lines

This is very similar to my previous question. I want to use "DateListPlot" to visualize multiple time series (n) and see data values and legend as I move the cursor ...
1
vote
1answer
89 views

replace missing values in table with timeseries

I've got my data from a SQL-query like: Select[date0 /. SQLDateTime -> DateObject, #[[1]] > DateObject[{2016, 1, 1, 0, 0, 0.`}] &]; A ...
2
votes
1answer
114 views

Suppress extrapolation in `TimeSeriesResample`

Although I'm aware of several workarounds available to handle the extrapolation warnings raised by the interpolation that takes place in some built-in functions (e.g., ...
0
votes
1answer
69 views

AR(2) simulation

I am trying to simulate 10 paths of an AR(2) system with 75 time steps in each path. It is only a system in a loose sense: the variables are connected by nothing more than the correlation in their ...
1
vote
1answer
60 views

Creating time varying 2d coordinates with OrnsteinUhlenbeckProcess

I see that I can create time varying 1d data with e.g. ...
3
votes
1answer
110 views

WarpingCorrespondence and custom DistanceFunction

The Dynamic Time Warping algorithm is implemented in version 11 as WarpingDistance and WarpingCorrespondence. It allows some flexibility in terms of the distance function used -- I'm wondering if it ...
7
votes
4answers
708 views

Functional programming with Associations

Suppose I have an association where keys are dates, and values are returns of some portfolio, and I want to convert the returns to cumulative returns. Now, this can be done as follows: ...
3
votes
0answers
103 views

Estimating VARX(p,q) models in Mathematica

I would like to estimate the parameters of a vector autogressive process VARX(p,q) with n endogenous variables y and m exogenous variables x: $$ y_t = v + B_1 y_{t-1} + ... + B_p y_{t-p} + \theta_0 ...
0
votes
1answer
138 views

How to plot my data in order?

I have data that at every time step adds or takes away from list x and list y. At every time step the ...