# 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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81 views

### Randomized Control of Time Series Data

I am trying to randomize the order of a time series data set. I generated my data as: ts5 = RandomFunction[FractionalBrownianMotionProcess[.5], {0, 999, 1}] ...
82 views

### freezing in TimeSeriesForecast[]

I have been running TimeSeriesForecast[] over a large number of TimeSeriesModels, and finding that it freezes for some models for some datasets for reasons for reasons I can not figure out. See the ...
126 views

### Extended AutoCorrelation Function

Is there a function in Mathematica capable of computing the sample Extended AutoCorrelation Function (EACF)? I know that there's a package in R that does this. I was trying to avoid to having to ...
339 views

### ListPlot of auto-correlation function pushes data 1 lag

I'm trying to plot a graph of a sample autocorrelation function at different lags. The code I'm using is ...
419 views

### Detrending a TimeSeries

I am trying to de-trend a time series that I know has some seasonality. So I thought I would try to use TimeSeries and DateObject functionality to do it. Here's what I have so far : ...
158 views

### Help with Time-Seried dataset

I can't seem to figure out the best way for directly inputting interpolated values into a dataset. I turn to your expertise for guidance. So, I have a multi-year time-series dataset. Column 1 is time ...
109 views

### Matching timestamped data

I bet this question is a gimme for most of you guys, but I'm having a bit o' trouble figuring it out. Thanks ahead of time for your input and help. Soooo, I have two datasets where column 1 is a ...
305 views

### References on time series analysis

I am interested in time series analysis. I used to evaluate my data by means of Excel. However, I found that Mathematica is a powerful tool that can process different kinds of mathematical operations ...
240 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 - ...
213 views

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### 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 ...
35 views

### Finding a specific position within a TimeSeries Forecast [duplicate]

Say I have a timeseriesforecast on a series of data, result in $10, 30, 50, 100, 400, 700, \ldots$ I want the programme to output the serial number (position in the forecast-series) of the first ...
1k views

### How can I implement a moving standard deviation for a time series?

I imported the following dataset and converted it into a time series. ...
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 ...
175 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 ...
230 views

### Add to matrix missing elements (for list of time series)

This question is an extension of the 43122. I’ve looked through many interesting post (like this) but (as always) missed the direct matching. So the setting is simple: ...
291 views

### Merging Financial Time Series

I am trying to merge two or more financial time series. For example, ...
189 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 ...
212 views

### Why is TimeSeriesForecast linear?

When I use FinancialData with TimeSeriesForecast, the resulting graph is always linear and thus not very accurate. ...
137 views

### TimeSeriesForecast for a range

Now I have a tsm, say tsm=TimeSeriesModelFit[data]. Now, while using TimeSeriesForecast to ...
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 ...
389 views

### Resampling Data using Temporal Data

I am having a problem using TemporalData. I am simulating a two state system, and every time the system goes into a new state (which happens randomly), then I put ...
142 views

### Split time series by periods of activity

I have a collection of time series that involve periods of activity and inactivity. ...
119 views

### Using Manipulate function on time series data [closed]

I have a list of data {{date,real},{date,real},...,{date,real}} and I want to use the Manipulate function on the data. How do ...
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 ...
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) ...
177 views

### Extracting a time series from a sound object

After importing a sound file, how can I generate a time series (preferably as an $n\times 1$ matrix) which gives the intensity at equal time intervals?
55 views

### TimeSeriesInsert issue with Quantity expressions

Solved in Mathematica v10.3 This first sample code works as expected: ...
195 views

### Traffic growth forecast: showing the change of linear regression

The following picture shows a changement in the trend of data. (The data used are available here). Is there any tool that can show this change of trend? Until now I managed to show even more ...
550 views

### TimeSeriesModelFit incorrect?

I am trying to determine the optimal model for time series data (1592 observations). When I run TimeSeriesModelFit, Mathematica selects $AR(1)$ model, the estimated ...
194 views

### Unexpected results from GARCH Processes

I'm playing a bit with Time Series and I've been trying to estimate Garch Processes from different time series. Are TimeSeriesModelFit and ...
239 views

### Barchart recognize time series data?

I can't seem to get Barchart to recognize TimeSeries data. For example, my data is: {{1891, 1}, {1892, 1}, {1897, 1}, {1898, 1}, {1903, 1}, {1904, 1}, {1905, 1}, {1908, 4}, {1909, 6}, {1910, 6}...
83 views

### ResamplingMethod -> None in TimeSeries does NOT take any effect in v10.1

Possible bug in v10.1 ResamplingMethod -> None in TimeSeries does NOT take any effect in v10.1. Try: ...
196 views

### Time series package in Mathematica 9 [closed]

Is the time series package already installed in Mathematica 9? I have already installed Mathematica. Do I need to install the time series package? If so, from where? or should i go for Mathematica ...
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 ...
720 views

### Using Periodogram to investigate the seasonality of the data

After asking how to get rid of the seasonality of this set of data, I'd like to ask how to investigate the seasonality in data using Mathematica. Which tool would you use to study seasonality? I.e. ...
349 views

### Deseasonalize the data of traffic growth for the past data

In another question (Using TimeSeriesForecast for forecasting the traffic growth) I asked to use the TimeSeriesForecast on this set of data the answer provided the plot with and without the ...
236 views

### MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
475 views

### Using TimeSeriesForecast for forecasting the traffic growth

Have a look to the real traffic growth data (link) of a this website. I was thinking to use Mathematica to do a TimeSeriesForecast and plot the forecast. Can you ...
478 views

### TimeSeries - Values & Dates

How can I display a TimeSeries object in a Table or Grid so that I could see the Dates and corresponding Values next to each other? I wrote the following code: ...
97 views

### Fit process parameters to a transformed AR(1) process

I would like to fit the parameters of an exponented AR(1) process using Mathematica's EstimatedProcess, however, the function does not seem to evaluate to anything. First of all I create the ...
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 ...
190 views

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

Imagine I have two TimeSeries objects, ...
486 views

### How do you graph the confidence intervals that results from a GARCH over a time series?

Please, does someone know how to draw a confidence intervals (from the results of a GARCH (1,1)) in a way similar to these: *Asume an ARMA(1,1) fit the time series. Thank you very much
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: ...
700 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 ...
106 views

### Why does TimeSeriesShift is just adding a fixed number of days?

I'd like to shift all contents of a TimeSeries object by one month. By shifting Feb. 1st I would expect to receive Mar. 1st. However it's not the case for Mathematica: ...
689 views

### Time Series Analysis - How does it Difference?

In languages other than Mathematica (especially R) if you want to do any time series analysis, you must always difference the series according to some feature of the series in order to satisfy at ...