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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6
votes
1answer
104 views

Mathematica slow at estimating vector autoregressive model parameters

I have been trying to obtain VAR model parameters using EstimatedProcess and FindProcessParameters. It seems to take a very long time as soon as I have more than 6 or 7 time series and lag length >2. ...
1
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0answers
18 views

TimeSeriesRescale seems to work oddly

I have been attempting to do some date computations with EventSeries, a convenient form for storing economic quantities (like expenses) over time. Following the documentation, I created an list of ...
1
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1answer
61 views

How to interpret TimeseriesModelFit parameters? [closed]

I have problems interpreting the parameters that follow using the TimeseriesModelFit command. The time series exists of twelve months and show a positive linear trend. Using TimeseriesModelFit it ...
3
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1answer
67 views

White noise at non integer intervals, bug or my mistake?

I'm intending to add white noise to a simple periodic signal ...
0
votes
1answer
129 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....
0
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0answers
18 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 ...
1
vote
1answer
66 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 ...
7
votes
2answers
101 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 ...
1
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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: ...
0
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0answers
28 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 ...
5
votes
1answer
1k views

How can I forecast time series data with cellular automata?

I have a time series data, for example data = FinancialData["JK:ADRO", "July 16 2012"] Can I use CellularAutomaton to ...
7
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2answers
546 views

Distance Time Warp (DTW) function implementation in mathematica

The DTW (Distance time warp) is given here http://en.wikipedia.org/wiki/Dynamic_time_warping There is an implementation of DTW in R as well as MATLAB. However i am unable to find something for DTW in ...
0
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1answer
94 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, ...
0
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0answers
39 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 ...
1
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0answers
31 views

Covariance of TimeSeries in v10.0-10.3

The following works in v11.2-12.0: ...
1
vote
1answer
42 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 ...
4
votes
1answer
157 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 ...
5
votes
1answer
312 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....
8
votes
2answers
173 views

Is there an equivalent to MovingMap[] for functions that work on more than one TimeSeries?

I have a family of functions that require two TimeSeries (A and B). As a trivial example, imagine a function called beta[tsA_,tsB_] that determines the slope of the linear regression line for the ...
1
vote
3answers
81 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 ...
5
votes
4answers
279 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 ...
7
votes
4answers
984 views

Stationarity tests

I have the Time Series package and Mathematica 8. In the package, there is the function 'StationaryQ' to test the stationarity of a known model. Is there any function in Mathematica to test the ...
2
votes
4answers
238 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 ...
19
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 ...
9
votes
2answers
1k views

How to download and combine S&P 500 stock prices?

Updated: I want to download historical S&P 500 stock prices and combined them into one big file, having only one column of date referencing all stocks. Here is what I have do so far. ...
4
votes
1answer
161 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 ...
3
votes
1answer
48 views

TimeSeriesShift issue with TimeZone

I have to work with such a TimeZone to deal with daylight saving time. ...
-1
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1answer
86 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 ...
0
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0answers
27 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 ...
4
votes
2answers
118 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 ...
3
votes
1answer
89 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 ...
3
votes
1answer
110 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". ...
0
votes
1answer
207 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. ...
2
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0answers
42 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: ...
3
votes
1answer
64 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
votes
1answer
115 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:/...
15
votes
3answers
482 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
2answers
93 views

How can I make a surface of revolution from the given “TimeSeries”?

I read this article and I tried to make a simple analog ...
2
votes
0answers
182 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 ...
4
votes
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 ...
2
votes
1answer
95 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 ...
2
votes
1answer
112 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:- ...
2
votes
1answer
312 views

TimeSeriesForecast Forecasts

I am trying to make sure I understand how TimeSeriesForecast works. I apologize in advance for the basic nature of this question. I am using Mathematica 10. I ...
1
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0answers
59 views

Estimating Lyapunov exponent from a time series problem [duplicate]

I am trying to use this code for estimating L.e.: ...
1
vote
1answer
57 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
46 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
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})}[\...
3
votes
1answer
103 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 ...
1
vote
2answers
101 views

Inconsistent arithmetic of TimeSeries with non-equally spaced data?

Consider the following non-equally spaced TimeSeries: ...
1
vote
0answers
99 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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