# 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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88 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 ...
77 views

### Rolling covariance matrix of TemporalData with 3 paths

I know how to use MovingMap with TimeSeries, but MovingMap threads over paths. What if I ...
320 views

### Exponential fit for time series

I'm pretty new to time series, but I'm now practising with it in order to obtain an exponential envelope of my experimental data. I start by importing data, I create the time series, I calculate the ...
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 ...
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 ...
42 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 ...
52 views

### marking events on time series [closed]

Suppose I have a time series (say, for the sake of argument, the stock time series of AAPL for the last thirty years or so), and I want to mark (with some sort of a highlight, or flag, or whatever) ...
137 views

### NA handling in TimeSeries[“Date”] … “0. + NA”

I import data from excel in the following format: data // MatrixForm After converting the data to a time series, the "NA" values are converted to "0. + NA", when ...
99 views

### Dealing with jumps when using MovingAverage

The data referred to as testdat in this question is here if you would like to fiddle with it. Here it is as a ListPlot. I am trying to plot the "average" of this data and other data like it (and ...
171 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 ...
54 views

### How to round data to the nearest Quarter?

I deleted my previous post since I believe it had unnecessary information and the direction of the question seemed to be straying away from what I wanted. I apologize to anyone that looked into it. ...
94 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 ...
284 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 ...
145 views

### replace missing values in table with timeseries

I've got my data from a SQL-query like: Select[date0 /. SQLDateTime -> DateObject, #[] > DateObject[{2016, 1, 1, 0, 0, 0.}] &]; A ...
156 views

### Suppress extrapolation in TimeSeriesResample

Although I'm aware of several workarounds available to handle the extrapolation warnings raised by the interpolation that takes place in some built-in functions (e.g., ...
73 views

### AR(2) simulation

I am trying to simulate 10 paths of an AR(2) system with 75 time steps in each path. It is only a system in a loose sense: the variables are connected by nothing more than the correlation in their ...
64 views

### Creating time varying 2d coordinates with OrnsteinUhlenbeckProcess

I see that I can create time varying 1d data with e.g. ...
125 views

### WarpingCorrespondence and custom DistanceFunction

The Dynamic Time Warping algorithm is implemented in version 11 as WarpingDistance and WarpingCorrespondence. It allows some flexibility in terms of the distance function used -- I'm wondering if it ...
738 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: ...
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 ...
149 views

### How to plot my data in order?

I have data that at every time step adds or takes away from list x and list y. At every time step the ...
145 views

### Using Fourier for periodicity and spike analysis

I am trying to look for significant peaks/spikes and periodic changes or fluctuations in about 60 time series of synthetic data. For example, in data1 below, there ...
65 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, ...
167 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 ...
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 ...
32 views

### Unexpected results from TimeSeries + Accumulate [duplicate]

I want to have calculate a cummulative series from the existing one. In a simplified example, let's say there's a series: ...
141 views

### Can NonlinearModelFit be used instead of TimeSeriesModelFit without loss of generality?

I am trying to model sales seasonality. As I am unfamiliar with TimeSeriesModelFit[], I am using NonlinearModelFit[]. However, ...
95 views

### How do I interpret the time series processes format?

How do I interpret the result: ARIMAProcess[2.22836, {0.363326}, 1, {}, 6.35083] in terms of the equivalent recurrence equation; say ...
85 views

### Create process with a series of irregular changes

I want to create a process with a series of irregular changes. For example, imagine we have a list of day numbers: {10, 23, 37, 45, 62} and a list of changes of the same length: {-5, 7, 14, -3, 25} ...
241 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. ...
92 views

191 views

### SAX implementation in Wolfram Mathematica

I have to deal with time series to find some patterns there. The method selected is SAX (based on PAA). There's a built-in function to convert a numeric times series into a series of letters with a ...
453 views

### How to align similar TimeSeries like ImageAlign?

I have three audio files. ...
507 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: ...
144 views

### Why can't I make a TimeSeriesForecast with a GARCH model?

I am playing with TimeSeriesForecast and I find that it invariably forecasts 0 for GARCH models. It is possible that I am ...
182 views

### Is there a function equivalent of ARMAtoMA in R (for timeseries)

I am trying to write an AR(p) model as a MA process, and to extract the θ and ϕ coefficients of the linear models for an ARMA(p,q). In R, there is a function ARMAtoMA cf https://www.jstatsoft.org/...
1k views

### Export TimeSeries[] to CSV or Excel

I am planning to do a very specific prediction model using some statistical learning techniques in R. I am using some weather data that I obtain using Mathematica. However, I haven't been able to ...
397 views

### Plot the confidence interval bands from TimeSeriesForecast

Here is my function ploting the temporal data and the forecast of a given time series: ...
86 views

I'm not able to figure out how the undocumented command TemporalData`DropTimes described here works. For example, I have ...
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 ...
520 views

### Timeseries Analysis. Calculating Returns, Correlations between timeseries data and overlapping data

I have a set of sample time-series data below of monthly prices for two companies. Q1. I want to calculate monthly and quarterly log returns.what is the most expedient way to do this? ...
96 views

### TimeSeriesAggregate—reformatting the date

Compute Aggregated Statistics for a Time Series The article linked to above provides a sample of aggregating time series data. ...
500 views

### Read timeseries data from CSV

I am new to Mathematica and have v10. I would like to you use the new TimeSeriesAggregate[tsdata, "Quarter", Total] feature to return aggregated descriptive stats. I import a number of columns of ...
287 views

### representing data for multivariate time series analysis

Please give a simple example of how to represent data for multivariate (vector) time series in Mathematica, so to use TimeSeriesModelFit?
340 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 ...
107 views

### Given a TemporalData object, can I determine whether it's a TimeSeries or an EventSeries?

If I have a function that accepts TemporalData objects, is there some mechanism whereby it can determine what kind of object it gets (...
301 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....
243 views

### Intersection of TimeSeries (reducing a list of TemporalData objects to common dates)

It is possible to do simple math between TemporalSeries objects. For example ...