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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22 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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0answers
25 views

BatchNormalizationLayer , what is it? and how do I use it?

I thought a BatchNormalizationLayer 'normalizes' the input stream; ie I thought it scales the data somehow to fall between [0,1]... but I've tried using it and it ...
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26 views

Covariance of TimeSeries in v10.0-10.3

The following works in v11.2-12.0: ...
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1answer
29 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
104 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
128 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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1answer
210 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
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2answers
163 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 ...
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3answers
74 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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4answers
267 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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4answers
959 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 ...
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4answers
214 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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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 ...
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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
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1answer
141 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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1answer
45 views

TimeSeriesShift issue with TimeZone

I have to work with such a TimeZone to deal with daylight saving time. ...
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1answer
75 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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0answers
24 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
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2answers
106 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
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1answer
78 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
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1answer
78 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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1answer
164 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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0answers
37 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: ...
2
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1answer
52 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
111 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:/...
13
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3answers
390 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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2answers
92 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 ...
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0answers
142 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
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1answer
68 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
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1answer
92 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
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1answer
100 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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1answer
285 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 ...
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0answers
53 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
47 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
40 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
64 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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1answer
96 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
100 views

Inconsistent arithmetic of TimeSeries with non-equally spaced data?

Consider the following non-equally spaced TimeSeries: ...
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0answers
87 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 ...
4
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3answers
240 views

Componentwise Addition of TemporalData

I'm a little confused with the TemporalData structure in Mathematica, in the sense that it doesn't seem to behave like a list. What I'd like to do is plot the sum ...
1
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2answers
233 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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0answers
100 views

Plotting Time Series in the same currency value [closed]

I'm working with Financial Data and I'm using this code: ...
4
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1answer
96 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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2answers
111 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 ...
3
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2answers
131 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 ...
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1answer
83 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 ...
3
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2answers
370 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 ...
6
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1answer
100 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? ...
5
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2answers
106 views

Expanding window map for time series

Given a TimeSeries object ts, how do I implement ExpandingMap similar to ...
4
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1answer
273 views

DateListPlot of multiple time series with data values and legend appearing as the cursor moves over ploted lines

This is very similar to my previous question. I want to use "DateListPlot" to visualize multiple time series (n) and see data values and legend as I move the cursor ...