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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26
votes
4answers
3k views

Time-series decomposition in Mathematica

I'm studying time-series in R with this book, and there is a nice command in R that creates decompositions. Inside Mathematica 9 the command can be executed as: ...
24
votes
3answers
1k views

Detecting components in timeseries

I'm looking at this sequence of values: I'd like to detect the points where the center of the time-series shifts (around x=1000 and x=2000). Many of the transforms and smoothing methods I have tried ...
24
votes
3answers
3k views

How can I make a heatmap of a days in year?

I know Mathematica has a ListPlot for time series but does it have a function for visualizing a list of dates as a heat map like this: This idea is from D3, check it out here.
23
votes
2answers
453 views

How to align similar TimeSeries like ImageAlign?

I have three audio files. ...
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 ...
16
votes
4answers
2k views

Cross-Correlation with TimeSeries

How to find hidden relationship between two TimeSeries data sets? I normally compute the Cross-Correlation function, but I cannot find an easy way of doing this on the TimeSeries objects in ...
15
votes
3answers
448 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 ...
15
votes
1answer
249 views

EventSeries v. TimeSeries

I have what technically should be an event series, spike times of a neuron. Here's a subset of the spiking data - ...
15
votes
1answer
2k views

Sales forecast using SARIMAProcess and time-series data

I would like to ask for help in how to use the new Mathematica 9 time series functions to make some sales forecast. For example, for one of our stores, I have this data set with 35 points, from ...
13
votes
3answers
469 views

TimeSeries interpolation with time gap awareness

Is there an option for ResamplingMethod (or any other practical way) for specifying different behaviours of the interpolation, depending on, for instance, closest dates (on the ...
13
votes
1answer
319 views

Why are TimeSeries objects reported with head “TemporalData”?

Related Problem: What does it mean to be an object in Mathematica? I am quite surprised to find that ts = TimeSeries[ {1,2,3,4}, {{1,2,3,4}}]; Head @ ts ...
11
votes
4answers
2k views

Generating an autoregressive time series

Find $X_t = c_1 X_{t-1} + \dots + c_n X_{t-n} + n_t$ for given $c_i$, initial conditions $(X_1, \dots, X_n)$, and distribution for i.i.d. $n_t$. I would like to know if there is a more efficient or ...
11
votes
1answer
1k views

How to slice TimeSeries data?

When retrieving curated data, v10 now returns TimeSeries objects. For example, ...
11
votes
1answer
998 views

How to generate a real-time stream of data?

I'm experimenting with Inversion-of-Control (callback) programming patterns, and I would like a way to generate streams of data at specified real-time intervals. I came up with the illustrated way to ...
11
votes
1answer
447 views

Time range selector à la InteractiveTradingChart

I have time series data and I would like to interactively select a part of it. This problem is beautifully solved in the lower part of the InteractiveTradingChart command: I would like to be able to ...
10
votes
5answers
496 views

Finding time-series direction reversal of certain magnitude

I'd like to find the points of a time-series that are a certain distance away (in value, not in time) from the previous maximum, which I consider a reversal. For example, for ...
10
votes
2answers
722 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 ...
10
votes
1answer
276 views

Can TemporalData be used as a container for TimeSeries and TimeSeries Metadata

When I create two TimeSeries with some MetaInformation I can combine them into one ...
9
votes
3answers
511 views

How to extract the first dimension in TimeSeries?

I want to extract the first dimension in TimeSeries,for example: So I use this code: ...
9
votes
1answer
888 views

TemporalData frequency option as in R

I'm studying R, and am very impressed by the simplicity of some commands and in the way R handles temporal data. For example, in R, if you have some one-dimensional temporal data, you can easily ...
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. ...
8
votes
2answers
663 views

Extracting and displaying data from GW150914 hdf5 files

Has anyone looked at the LIGO data using Mathematica or know how to do this? I'm not familiar with the hdf5 format but I've been able to import the data, consisting primarily of 131,072 floating ...
8
votes
2answers
2k views

Time-frequency analysis beyond wavelets

What possibilities are there for time-frequency analysis in Mathematica beyond wavelet decomposition? I could not even find a simple STFT.
8
votes
2answers
388 views

Fitting higher order ARIMA models hangs, never completes

I'm working with some data that is 12 month seasonal. However, when I try to fit it to an ARIMA(12,1,3) for instance, my PC's CPU cranks up to 100% and the job never finishes. Here's some sample code. ...
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 ...
8
votes
1answer
439 views

LogLikelihood function from the Time Series package is apparently missing

The Time Series package for Mathematica comes with a function called LogLikelihood. It is discussed and used extensively in the documentation (pdf). So does ...
8
votes
2answers
167 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 ...
8
votes
1answer
380 views

Cannot plot Quantity values with DateListPlot

Bug introduced in 9.0.0 and fixed in 9.0.1 Quantity is new in 9.0.0 Is there a way to use DateListPlot with ...
7
votes
4answers
739 views

Functional programming with Associations

Suppose I have an association where keys are dates, and values are returns of some portfolio, and I want to convert the returns to cumulative returns. Now, this can be done as follows: ...
7
votes
4answers
974 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 ...
7
votes
2answers
1k views

How to create a histogram of annual events, such as cherry blossom time

I have calculated blooming and ripening times for a specific variety of plant, based on actual temperature data from over 40 years. I would like to create two histograms on a single axis; one for ...
7
votes
2answers
542 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 ...
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 ...
7
votes
4answers
2k views

Function to calculate and plot sample variogram

I'm trying to create a function that calculates and plots the sample variogram for a time series. It should take two arguments: data, a time series, essentially a list of reals; k, an integer greater ...
7
votes
1answer
143 views

How to specify RegularlySampledQ TimeSeries with EndOfMonth date unit MinimumTimeIncrement?

"EndOfMonth" is date unit that can be used with date functions. When specifying a TimeSeries object with date increments you ...
7
votes
2answers
95 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 ...
7
votes
1answer
181 views

DateListPlot failing on Inflation Adjusted TimeSeries

Bug introduced in 10.0 or earlier and solved in 10.4 Bug introduced in 10.0 or earlier and persisting through 11.0.1 or later First bug. See output of ...
7
votes
1answer
291 views

TimeSeries for non-temporal data

Mathematica introduced TemporalData in Mathematica 9. Mathematica 10 added several fantastic new TimeSeries manipulation tools --...
7
votes
1answer
999 views

Estimate parameters of the state space model

I'm using Mathematica 9 and its Control Systems functionality. I've searched the references extensively but seem not to be able to find any examples of state space model parameters estimation. All ...
6
votes
4answers
572 views

How to Merge Date and Time?

Given the following time series data where row is date and column is time intervals. ...
6
votes
4answers
521 views

Plotting multiple lists together with their avarages in a single plot

I have as example multiple lists of x data (in mm) http://pastebin.com/7xwgGDsd which I want to plot against time (in sec). ...
6
votes
2answers
331 views

Using Dataset with TimeObjects in EventSeries

I'm new to Mathematica, and while this is potentially quite easy, I'm having difficulty using TimeObjects in the EventSeries ...
6
votes
1answer
105 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? ...
6
votes
1answer
222 views

Does new MMA9 Time Series support obsolete the old TimeSeries Package?

MMA9 includes a fair number of functions and symbols that seem to overlap with the old TimeSeries package. The new features are documented here and the old material is documented here. Some of the ...
6
votes
1answer
106 views

How to prevent TimeSeries adding TimeObject parameter and TimeZone option to DateObjects?

TimeSeries adds a TimeObject parameter and a TimeZone option to ...
6
votes
0answers
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: ...
5
votes
4answers
271 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 ...
5
votes
3answers
194 views

How do I plot EventSeries?

The documentation that I can find suggests that I should be able to plot an EventSeries with DateListPlot. But this doesn't work ...
5
votes
2answers
785 views

Graphing time-series

I'm currently trying to use data gathered as a function of time (here, the fluorescence of a biological sample), but am new to Mathematica and don't know how to properly specify axis relations (and ...
5
votes
1answer
756 views

Autoregressive distributed lag model

Could someone point me in the direction of creating an autoregressive distributed lag model in mathematica?