All Questions

Filter by
Sorted by
Tagged with
1
vote
0answers
27 views

Covariance of TimeSeries in v10.0-10.3

The following works in v11.2-12.0: ...
4
votes
1answer
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 ...
10
votes
2answers
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 ...
2
votes
1answer
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 ...
2
votes
1answer
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 ...
6
votes
0answers
387 views
0
votes
2answers
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....
8
votes
3answers
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 ...
0
votes
1answer
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 ...
1
vote
1answer
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
3
votes
2answers
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. ...
1
vote
2answers
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)...
4
votes
1answer
523 views

AR(1) Process first term

I'm trying to generate a very simple AR(1) Process with Mathematica using the ARProcess[] function. The process must have the following format: $Y_t = \alpha + \...
7
votes
2answers
1k views

Fitting data to an ARProcess using FindProcessParameters

I have 50 data points that I would like to represent as an AR(4) process. I'd like to over-plot the behaivor of the estimated process model with that of the original (raw) data before I use the model ...