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27 views

Covariance of TimeSeries in v10.0-10.3

The following works in v11.2-12.0: ...
130 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 ...
703 views

How to formally tell if one time series affects another?

In time series analysis, a correlogram, also known as an autocorrelation plot, is a plot of the sample autocorrelations. I'm rolling my own now and I'm not a statistician, but I think this sort of ...
84 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 ...
81 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 ...
64 views

Creating time varying 2d coordinates with OrnsteinUhlenbeckProcess

I see that I can create time varying 1d data with e.g. ...
387 views

How can I model the volatility, using a GARCH(1,1), of a time series of returns (and plot it) using Mathematica? [closed]

I know that if I use this code: tsm = TimeSeriesModelFit[ret, {"GARCH", {1, 1}}]; I can get the parameters using this: ...
297 views

Power spectrum density calulation with ARProcess

I have a measurement of $x$ coordinates of an oscillating particle at presence of noise taken at constant time steps of 1/60 s. The corresponding data set can be obtained here: https://drive....
1k views

Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
97 views

Fit process parameters to a transformed AR(1) process

I would like to fit the parameters of an exponented AR(1) process using Mathematica's EstimatedProcess, however, the function does not seem to evaluate to anything. First of all I create the ...
488 views

How do you graph the confidence intervals that results from a GARCH over a time series?

Please, does someone know how to draw a confidence intervals (from the results of a GARCH (1,1)) in a way similar to these: *Asume an ARMA(1,1) fit the time series. Thank you very much
177 views

RandomFunction and Histograms

RandomFunction[QueueingProcess[3, 5], {0, 15}] Histogram[data, Automatic, "PDF"] gives a very nice way to see the histogram based on the specified process. ...
305 views

build and estimate a time series process

I want to generate an EGARCH process. My problem is that I do not see how to create new processes beyond those available. The process itself is : $$\epsilon(t) = \sigma(t) \eta(t)$$ \log(\sigma(t)...