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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5
votes
4answers
231 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: ...
5
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1answer
720 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 ...
5
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1answer
1k views

How can I forecast time series data with cellular automata?

I have a time series data, for example data = FinancialData["JK:ADRO", "July 16 2012"] Can I use CellularAutomaton to ...
5
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1answer
109 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 (...
5
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1answer
140 views

TimeSeriesForecast for a range

Now I have a tsm, say tsm=TimeSeriesModelFit[data]. Now, while using TimeSeriesForecast to ...
5
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2answers
367 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 ...
5
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1answer
478 views

Problem with SARIMA Time Series Model

I'm in the process of becoming familiar with some on the version 10 new functionality. I have two data sets, datasetA and datasetC, of time series data that I would like to make forecasts on. Here is ...
5
votes
2answers
356 views

What is an elegant way to add two or more cash flows?

When modeling a swap contract a common operation is to sum up two cash flows producing a resulting cashflow with netted amounts in the highest granularity of the two initial cash flows. What is a ...
5
votes
1answer
293 views

How do I create & train a neural net to predict a stock closing price at T+5min using OHLC and other data?

I'm trying to create a neural network and train it to test predictability of short term stock price movements. I've collated a 1-min open, high, low, closing and volume dataset for a particular stock....
5
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2answers
114 views

Expanding window map for time series

Given a TimeSeries object ts, how do I implement ExpandingMap similar to ...
5
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0answers
446 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, ...
4
votes
3answers
246 views

Componentwise Addition of TemporalData

I'm a little confused with the TemporalData structure in Mathematica, in the sense that it doesn't seem to behave like a list. What I'd like to do is plot the sum ...
4
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2answers
300 views

Merging Financial Time Series

I am trying to merge two or more financial time series. For example, ...
4
votes
1answer
438 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 : ...
4
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1answer
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. ...
4
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2answers
747 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. ...
4
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2answers
310 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 ...
4
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3answers
993 views

Partitioning time series

I have a time series dataset I'm trying to plot by Year: ...
4
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2answers
117 views

Averaging a time series of amounts by week

I have a set of data with a list of dates (all Sundays in this case) and associated amounts. Most of these are every week, but some correspond to multiple weeks added together. I would like to average ...
4
votes
1answer
240 views

MovingMap maps to second level unexpectedly

I'm trying to build a financial indicator in mathematica. I import some historical data ...
4
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1answer
153 views

Structural Breaks in a Time Series Model

The Chow test is a test of whether the true coefficients in two linear regressions on different data sets are equal. In econometrics, Chow test is most commonly used in time series analysis to test ...
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 ...
4
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1answer
179 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?
4
votes
1answer
159 views

Decomposition of a time series into sinusoids

I've noticed this interesting study on metatrader 4; see the picture below: Where the financial timeseries is "decomposed" (deconvolved?) into a series of periodic sinusoidal functions. In the ...
4
votes
1answer
115 views

Seasonal weather data

I have some twenty years of weather data with daily average temperature. I would like to make a histogram with aggregated monthly average for the whole period. I tried to do something like this https:/...
4
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1answer
99 views

Max[] is being inconsistent when applied to time series

I am trying to create a list of annual maxima wind speeds. However the code I have come up with works inconsistently. i.e will produce a list for one weather station but will return ...
4
votes
1answer
193 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
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1answer
565 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 ...
4
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1answer
510 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: ...
4
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1answer
147 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
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1answer
219 views

Why is TimeSeriesForecast linear?

When I use FinancialData with TimeSeriesForecast, the resulting graph is always linear and thus not very accurate. ...
4
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1answer
196 views

What is the equivalent of MATLAB's “timealign” function?

What is the equivalent of MATLAB's "timealign" function? Given two sequences (lists of values) and offsets, timealign will insert 0's into sequences to align them so they have the same number of ...
4
votes
1answer
535 views

AR(1) Process first term

I'm trying to generate a very simple AR(1) Process with Mathematica using the ARProcess[] function. The process must have the following format: $Y_t = \alpha + \...
4
votes
1answer
70 views

Obtain Family and Order of a TimeSeriesModel

Example from the docs: data = RandomFunction[ARMAProcess[{.1}, {.2}, 1], {1, 10^4}]; mod = TimeSeriesModelFit[data] How can I extract from it the ...
4
votes
2answers
1k views

How can I plot multiple time series in 3D? [duplicate]

I'm a biochemist and I have a series of chromatograms, each taken after a different time of reaction (let's say after 10 min, 1 h, 2 h etc.). Now I want to visualize the change in the chromatogram by ...
4
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1answer
294 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 ...
4
votes
1answer
151 views

Memory usage of timeseries - lists of {Integer32, Real32}

A list of {Integer32, Real32} items in Mathematica seems to use 12-times as much memory than the C equivalent array of structs. ...
4
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0answers
96 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
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0answers
172 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
196 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: ...
4
votes
0answers
354 views

Plotting multiple curves with multiple axes (>2) on the same plot [closed]

I'm attempting to generate a graph that depicts mulitple time series, measured in different units (but with a common time scale) on the same graph. This is a generalization of the familiar 1-plot/...
3
votes
2answers
417 views

johansen test error in code

Cross-posted at the Wolfram community forum I have found this code on a forum, apparently it worked in a previous version of mathematica. Now when I run it, it keeps running for ages. I am not able ...
3
votes
2answers
422 views

Can this Sample Entropy (SampEn) calculation be improved?

I am interested in calculating various entropy measures of time series, and was surprised to find that none of them are included with Mathematica. Sample Entropy (SampEn) is a fairly common technique ...
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} ...
3
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2answers
159 views

Slow work of TimeSeriesWindow

I have financial data (list of time-values pairs). There are more than 13000 elements. ...
3
votes
1answer
203 views

Setting label in DendrogramPlot

I want to create a dendrogram with the labels being a visual representation of the data. Something like this: How can I do that in Mathematica? My attempt so far hasn't been very successful. The ...
3
votes
1answer
65 views

White noise at non integer intervals, bug or my mistake?

I'm intending to add white noise to a simple periodic signal ...
3
votes
1answer
87 views

What is a proper way to represent multidimensional data in TemporalData?

A TemporalData object can host multiple paths or it can admit a ValueDimensions option value greater than unity. In the former ...
3
votes
1answer
194 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 ...