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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.

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38 views

Combining model ARIMA and GARCH models

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VishnuPrasad 's user avatar
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0 answers
33 views

How to extract viewership data and what kind of distribution should describe youtube viewership for events in a video?

This is actually a 2-in-one question. I am a big chess fan, and I have been following the FIDE candidates tournament closely. I was watching an older interview where IM Levi Rozman interviews GM Ian ...
ydd's user avatar
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0 votes
1 answer
42 views

Is there a filter for smoothing out data that only changes the last incoming value that isn't MovingAverage?

So I'm studying financial markets and I want to smooth out some data. This can be achieved by using MovingAverage(MA) or ExponentialMovingAverage(EMA) but I'm trying to find something better. There ...
Alberto Sierraalta's user avatar
0 votes
2 answers
46 views

Ensemble averaging with non-identical (time) stamps

I have data which could be interpreted as time series, but with non-identical time stamps. Their format is: ...
neko neko's user avatar
1 vote
0 answers
171 views

How to Model a Parametric Fast Fourier Transform in Mathematica?

I'm using this code which evaluates the FFT of my original signal (which is a time series). Using the Manipulate function of Mathematica it is possible to vary the ...
Giuseppe Vonella's user avatar
0 votes
1 answer
69 views

How to plot time-frequency evolution based on zero crossings?

In a paper that analyzes the data from GW150914, a time-frequency plot was shown. The paper proposes that, quote: An approximate version of the time-frequency evolution can also be obtained directly ...
Halcyon Mo's user avatar
4 votes
3 answers
418 views

Calculating upper culmination of the Moon

I’m completely confused by the new astronomical data system in Mathematica. For every day in some interval, I want to calculate {azimuth, altitude} of the Moon in ...
lesobrod's user avatar
  • 1,729
1 vote
2 answers
166 views

How to make faster of a code containing more iteration points?

I am trying to evaluate a code of the Power Series Solution method to get the results. Also, the time of evaluation depends on the parameters I am using. When the iteration point is 50, 60, or 80, it ...
supragyan priyadarshinee's user avatar
2 votes
3 answers
142 views

Accumulate Date Data Over Some Period

Say I have a series of time points, spread randomly throughout the year ...
Tomi's user avatar
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1 vote
1 answer
101 views

How to improve performance of making an Exponentially Weighted Correlation Matrix?

I would like to make an Exponentially Weighted version of Correlation (similar to https://pandas.pydata.org/pandas-docs/version/0.17.0/generated/pandas.ewmcov.html)....
IntroductionToProbability's user avatar
1 vote
0 answers
53 views

How to join common dates on a TemporalData set with TimeSeriesThread (possible Bug)

Bug introduced in version 13.2 or earlier WRI have forwarded the problem to their developers. Case Number 5029803 I am trying to join TemporalData with many paths ...
IntroductionToProbability's user avatar
1 vote
0 answers
70 views

How to Name a Path in TemporalData?

Preamble: I am working with stock prices and need to perform calculations on them. And then extract the information for further calculations. TimeSeries/...
IntroductionToProbability's user avatar
1 vote
1 answer
275 views

Periodogram and frequency

On the x axis of periodogram, one should have either a period or frequency. What frequency is used in Periodogram --- angular or ...
atapaka's user avatar
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1 vote
0 answers
94 views

Does anyone have any Mathematica code for rainflow counting for fatigue and damage equivalent load anlaysis?

‘Rainflow Counting’ is a method to determine the number of fatigue cycles present in a load-time history. See https://en.wikipedia.org/wiki/Rainflow-counting_algorithm There is a MatLab function that ...
ouzel's user avatar
  • 63
3 votes
1 answer
88 views

Plot a Time Series with a count of the number of times a particular date appears

I'm working with some data which includes an extensive list of dates. Some dates will appear multiple times, with each individual entry representing the date on which an event occurred. I would like ...
sro's user avatar
  • 33
2 votes
1 answer
106 views

FinancialIndicator does not work in InteractiveTradingChart with list form of stock data

I want to add some FinancialIndicator on InteractiveTradingChart when stock data is written in the form of list, ...
cheese.burger's user avatar
0 votes
1 answer
76 views

How to get the time series of colored noise obtained by AudioGenerator function?

In the documentation I found a code that plots a Periodogram. ...
Maksim's user avatar
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0 answers
51 views

Moving average MA(1) coefficient estimation

I am new to mathematica, I have some simulated a moving average, MA(1), data and I want to estimate the coefficients, theta, of it using Maximum likelihood estimation or log likelihood. Can someone ...
Matryll's user avatar
1 vote
0 answers
62 views

I am unable to improve the (MAProcess) time series model

I am a time series novice and have been learning the art/trade from examples while being governed by the NIST handbook (ch.6, sec.4). My question is regarding: How to improve the estimated time ...
dearN's user avatar
  • 5,351
3 votes
1 answer
151 views

Fastest Way to Create Rectangular Array of TimeSeries Values

A very common problem in finance is how to create a rectangular array of values (price, or returns) for a list of timeseries. The following illustrates one way to do this, but it is very slow: it ...
MMAUser's user avatar
  • 409
0 votes
0 answers
50 views

Force time series to drop the date part and keep only the time one

Mathematica's TimeSeries takes as an input the values and the time. If I have a TimeObject with timestamps (without the date, ...
Stelios's user avatar
  • 56
3 votes
1 answer
39 views

Moving Average not returning floats for time series [closed]

I have thousands of rows of time series data in the form below: ...
BBirdsell's user avatar
  • 1,196
3 votes
2 answers
110 views

Finding Missing Values in TimeSeries

With TimeSeries it is all too common to end up with something like this: ...
MMAUser's user avatar
  • 409
11 votes
2 answers
318 views

Curve tracing for a given data set

I want to trace the curve for the given data set. This is my code ...
user444's user avatar
  • 2,456
4 votes
1 answer
298 views

How To Implement Discrete Fractional Differentiation in Mathematica

This question was borne out of my attempt to answer this question. How to calculate fractional differences of a timeseries? To recreate this in Matheamatica I wrote this code ...
Daniel Berkowitz's user avatar
2 votes
1 answer
85 views

How can I join non-overlapping TimeSeries so that the gap between any two is considered to be Missing data?

I have a set of time series sampled at one second intervals. For example, ...
Nick's user avatar
  • 413
4 votes
1 answer
72 views

Modify range of values in time series

I have downloaded some data: mydata = FinancialData["SP500", {{2014, 10, 23}, {2016, 10, 22}}] How can I set the values between two specified dates to ...
NC520's user avatar
  • 479
1 vote
1 answer
35 views

Display time series data in a table without weekday and time of the dates

I have downloaded some data: mydata = FinancialData["SP500", {{2014, 10, 23}, {2016, 10, 22}}] I would like to see them in a table where the date is ...
NC520's user avatar
  • 479
1 vote
2 answers
82 views

Plot shaded area from indicator variable

I have downloaded some data from the Federal Reserve of St Louis: ...
NC520's user avatar
  • 479
2 votes
1 answer
109 views

Fourier transform of a wave-profile [closed]

Hi I tried to do a Fourier transform of a series of points from a plot from ma wave-train profile. The commands are as such ...
Superunknown's user avatar
1 vote
2 answers
150 views

Extract the rolling period return from a timeseries

For example, let ts be defined as: ts= FinancialData["SBUX", "Close", {{2013, 1, 1}, {2013, 12, 1}}] How can I, for example, from ts a new ...
George Wolfe's user avatar
  • 5,462
1 vote
1 answer
56 views

Construction of many logical sentences

Consider the set: c1 = {h1, h2, h3, h4, h5, h6, s1, s2, s3, s4, s5, s6}; How to build a list of all possible logical sentences based on the set 'c1' and logical ...
ralph's user avatar
  • 1,029
4 votes
1 answer
112 views

How to plot n-dimensional TimeSeries data object?

I have a spectrometer which is generating time-series data every 100ms. I'd like to analyze/plot this data in Mathematica, but I'm not certain the best way to do it. It's in this form: ...
BesselFunct's user avatar
0 votes
1 answer
85 views

How to cluster data series with different intervals?

I have data, effectively a set of event series, which should cluster well over their overlaps, but have different intervals where the data is available. This can be simplified to overlapping noisy $...
kirma's user avatar
  • 19.1k
5 votes
1 answer
147 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 ...
compscinoob's user avatar
-2 votes
1 answer
110 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 ...
pixis's user avatar
  • 65
0 votes
0 answers
57 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 ...
amalsebastian7's user avatar
0 votes
1 answer
45 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 ...
Hans W's user avatar
  • 73
0 votes
1 answer
75 views

Adding observation to time series

I download three time series from FRED: ...
NC520's user avatar
  • 479
2 votes
1 answer
186 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 ...
holistic's user avatar
  • 2,995
8 votes
0 answers
139 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 ...
gwr's user avatar
  • 13.5k
2 votes
1 answer
120 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....
Adalbert Hanßen's user avatar
0 votes
1 answer
43 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 ...
grading's user avatar
  • 261
0 votes
0 answers
102 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 ...
algal's user avatar
  • 113
6 votes
0 answers
346 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} ...
Daniel Berkowitz's user avatar
0 votes
1 answer
89 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 ...
grading's user avatar
  • 261
0 votes
2 answers
58 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 ...
grading's user avatar
  • 261
3 votes
4 answers
173 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: ...
Ted Ersek's user avatar
  • 7,134
3 votes
2 answers
141 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 ...
Daniel Berkowitz's user avatar
2 votes
1 answer
136 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-...
A Chase Turner's user avatar

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