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.

35 questions with no upvoted or accepted answers
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6
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478 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 ...
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422 views

Implementation of the Vector Autoregressive Model

I need to code/write a Vector Autoregressive Model VAR(p) as a function of the parameters. There is no estimation, nor Data involved, this is a "population" exercise: Assume X and Y are univariate, ...
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0answers
93 views

Time series ARIMA with exogenous variables

Anyone know if the ARIMAProcess or TimeSeriesModelFit will handle exogenous variables? The closest question in Mathematica StackExchange is ARMAX in Mathematica but no one has responded to this ...
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163 views

ARMAX in Mathematica

Mathematica has extensive support for time series, but I haven't found anything with exogenous signal. Is it possible to fit a time series with exogenous signal in Mathematica? For example identifying ...
4
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0answers
190 views

Is there a convenient way to sum TimeSeries objects in Mathematica?

Imagine I have two TimeSeries objects, ...
4
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0answers
182 views

LogLikelihood function with Multivariate State Space Models

I load the packadge TimeSeries. Depending on the running Mathematica release, one should preliminary remove some built-in function with the same name, e.g.KalmanFilter, I used the following commands: ...
3
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0answers
110 views

Estimating VARX(p,q) models in Mathematica

I would like to estimate the parameters of a vector autogressive process VARX(p,q) with n endogenous variables y and m exogenous variables x: $$ y_t = v + B_1 y_{t-1} + ... + B_p y_{t-p} + \theta_0 ...
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110 views

Finding the Mathematica package for time series

I'm studying time series. Searching at internet I found this pdf file with a lot a useful information and examples about time series. I want to know if some one knows how to get the required package ...
3
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142 views

Split time series by periods of activity

I have a collection of time series that involve periods of activity and inactivity. ...
3
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0answers
135 views

Help for Garch-Process

I have questions about the Garch-Process. For example I simulate a Garch-Process: list=RandomFunction[GARCHProcess[2, {.1}, {.2}], {0, 500}] And I estimate my ...
3
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55 views

TimeSeriesInsert issue with Quantity expressions

Solved in Mathematica v10.3 This first sample code works as expected: ...
3
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0answers
184 views

Making time-index dependent state-space models - where has the Kalman filter gone?

How does one now implement a discrete set of state space models? I had used KalmanFilter in the old TimeSeries application, but was keen on trying to do all this ...
2
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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: ...
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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 ...
2
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0answers
174 views

How to extract the conditional variance from a fitted GARCH model?

In R's garchFit (fGarch) I can simply call "@h.t" or "@sigma.t" to get the conditional variance or standard deviation for a fitted GARCH model. Is there a convenient way achieve this with Mathematica'...
2
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71 views

product of all elements in subsets of timeseries

apologies in advance if this is obvious, but I'm very new to mathematica and couldn't find the answer in the documentation nor in the forum here... I've got a 2 year time series ts with daily ...
2
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0answers
165 views

Analysis of the periodic data by the maximum entropy method

I am trying to get the frequency spectrum of periodic data. Since the data set is short, the outcome of the frequency peaks are not sharp enough for me to do further analysis. I know the spectrum can ...
2
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0answers
64 views

NetLink with SsfPack (a .dll) for use in State Space Time Series

I have recently been doing work in the field of State Space Time Series. Mathematica does not have a lot of built in tools for working in this area. There is a well known package that is available, ...
2
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0answers
750 views

Detrending a time-series by means of Discrete Wavelet Transform

I plot a time-series for observation as you can see in the plot: I tried to detrend the time series by 3 different approaches which are: 1) differences, 2) detrended fluctuation analysis, and 3) ...
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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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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. ...
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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 ...
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78 views

Issue with RandomFunction and TimeSeriesModelFit in V11.2

I have a notebook which was working with V11 and now not working with V11.2. I have wind speed data with a regular timestep of 1hr. Taking a month : ...
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0answers
331 views

Hidden Markov Model: emissions probabilities dependent on observable parameter

I need to fit an HMM where the emission probabilities (ep) are discrete and dependent on a known variable quantity. E.g.: Imagine a daily time series of binary emissions ("1" or "2"). I suppose an ...
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69 views

Autocorrelation in Tail Events

I have a single time series of financial data (stock index returns) and would like to study the autocorrelation among (log-)returns that are classified as "extreme", for example via exceedance of a ...
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180 views

Discrete Fourier Transform baseline subtraction

I am trying to remove sinusoidal variability from a set of evenly-spaced intensity vs. time data. These data contain periodic events that are separated by a normalized (but sinusoidally variable) ...
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0answers
358 views

Calculate the power spectral density of a Markov chain

I would like to calculate the symbolic power spectral density of a two state Markov process with a symbolic transition matrix characterised by two parameters. I have tried the code below, but it ...
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25 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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30 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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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 ...
0
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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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38 views

Resampling method: `HoldValueFromLeft`, what is this?

I came across the Resampling method: HoldValueFromLeft: As this method is not explained by the official documentation, what is the meaning of it? Also, as a ...
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210 views

Plot boolean values in DateListPlot

I have a TimeSeries object in which the data is boolean (True,False) values. When I plot it using DateListPlot the result is blank. ...
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288 views

Time series (stochastic process) estimating parameters using characteristic function

I have a time series of assets ${A_1, A_2, ..., A_n}$, which is described by a sophisticated distribution having the following characteristic function: $\phi(u; t;\theta)$, where $\theta$ is a vector ...
-1
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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 ...