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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2
votes
1answer
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 ...
0
votes
1answer
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 ...
0
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1answer
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 ...
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 ...
2
votes
1answer
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 ...
0
votes
0answers
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 ...
1
vote
0answers
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) ...
1
vote
3answers
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 ...
3
votes
1answer
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 ...
2
votes
0answers
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 ...
1
vote
2answers
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. ...
4
votes
0answers
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 ...
4
votes
1answer
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 ...
1
vote
1answer
145 views

replace missing values in table with timeseries

I've got my data from a SQL-query like: Select[date0 /. SQLDateTime -> DateObject, #[[1]] > DateObject[{2016, 1, 1, 0, 0, 0.`}] &]; A ...
2
votes
1answer
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., ...
0
votes
1answer
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 ...
1
vote
1answer
64 views

Creating time varying 2d coordinates with OrnsteinUhlenbeckProcess

I see that I can create time varying 1d data with e.g. ...
3
votes
1answer
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 ...
7
votes
4answers
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: ...
3
votes
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 ...
0
votes
1answer
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 ...
0
votes
1answer
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 ...
2
votes
0answers
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, ...
4
votes
0answers
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 ...
3
votes
0answers
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 ...
0
votes
0answers
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: ...
0
votes
2answers
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, ...
3
votes
1answer
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 ...
3
votes
4answers
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} ...
0
votes
0answers
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. ...
2
votes
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 ...
3
votes
1answer
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 ...
23
votes
2answers
453 views

How to align similar TimeSeries like ImageAlign?

I have three audio files. ...
9
votes
3answers
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: ...
4
votes
1answer
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 ...
4
votes
1answer
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/...
4
votes
1answer
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 ...
2
votes
2answers
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: ...
2
votes
1answer
86 views

Using TemporalData`DropTimes

I'm not able to figure out how the undocumented command TemporalData`DropTimes described here works. For example, I have ...
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 ...
2
votes
2answers
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? ...
0
votes
2answers
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. ...
0
votes
3answers
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 ...
-1
votes
1answer
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?
1
vote
0answers
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 ...
5
votes
1answer
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 (...
0
votes
2answers
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....
1
vote
2answers
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 ...
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 ...
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 ...