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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12 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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25 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
95 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
63 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
91 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
39 views

Time Series Arithmetic in v10.0

The following code lets FindPeaks find minima in v10.3-12.0: ...
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38 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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29 views

Covariance of TimeSeries in v10.0-10.3

The following works in v11.2-12.0: ...
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1answer
38 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 ...
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1answer
256 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....
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4answers
271 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 ...
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1answer
139 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
77 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 ...
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1answer
154 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 ...
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26 views

Simulates Timeseries with Table

i need your help again. I would like to calculate EW[k_] with EW[1],EW[2] and EW[3]. My code works only for one calculation from EW (in the code below it is EW[1]) but i would like to calculate the ...
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1answer
85 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 ...
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2answers
114 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
79 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 ...
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1answer
190 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. ...
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1answer
94 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". ...
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0answers
40 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: ...
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1answer
57 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
114 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:/...
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3answers
447 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 ...
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0answers
169 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 ...
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1answer
110 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....
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1answer
70 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 ...
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1answer
94 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 ...
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1answer
46 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
104 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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0answers
57 views

Estimating Lyapunov exponent from a time series problem [duplicate]

I am trying to use this code for estimating L.e.: ...
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1answer
50 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 ...
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0answers
42 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
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1answer
65 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})}[\...
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0answers
93 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 ...
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2answers
283 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 ...
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2answers
114 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 ...
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4answers
226 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 ...
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1answer
97 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 ...
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0answers
101 views

Plotting Time Series in the same currency value [closed]

I'm working with Financial Data and I'm using this code: ...
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1answer
91 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 ...
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2answers
101 views

Inconsistent arithmetic of TimeSeries with non-equally spaced data?

Consider the following non-equally spaced TimeSeries: ...
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2answers
410 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
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2answers
134 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
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1answer
105 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? ...
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0answers
80 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 : ...
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0answers
191 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
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1answer
97 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 ...
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2answers
1k 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 ...
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0answers
72 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 ...