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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3
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2answers
179 views

RandomFunction and Histograms

RandomFunction[QueueingProcess[3, 5], {0, 15}] Histogram[data, Automatic, "PDF"] gives a very nice way to see the histogram based on the specified process. ...
3
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1answer
63 views

Change an observation in a TimeSeries

What is the proper way to change one observation in a TimeSeries object? Let's say there a time series: ...
3
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1answer
101 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 ...
3
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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 ...
3
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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
1answer
141 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 ...
3
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1answer
97 views

Could not export TimeSeries to CSV [closed]

I have tried the following code to export a TimeSeries to a CSV. This is using code from a similar post "Export TimeSeries[] to CSV or Excel". ...
3
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1answer
48 views

TimeSeriesShift issue with TimeZone

I have to work with such a TimeZone to deal with daylight saving time. ...
3
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1answer
101 views

How can I use WienerProcess with TimeSeriesForecast?

I created a TimeSeries from Date-Value-Pairs, which I imported from a .csv-File diffp = Import["path/difficultyp.csv", "Data"]; tsdiff = TimeSeries[diffp]; I ...
3
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2answers
137 views

Compute expectation value of product of variables having nonzero covariance [closed]

I'm trying to calculate the covariance of a function which depends upon time. This is such that I have a series (as a minimal example): As you'd expect. However, when I try to get a similar output ...
3
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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 ...
3
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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 ...
3
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0answers
144 views

Split time series by periods of activity

I have a collection of time series that involve periods of activity and inactivity. ...
3
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0answers
136 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 ...
3
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0answers
56 views

TimeSeriesInsert issue with Quantity expressions

Solved in Mathematica v10.3 This first sample code works as expected: ...
3
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0answers
187 views

Making time-index dependent state-space models - where has the Kalman filter gone?

How does one now implement a discrete set of state space models? I had used KalmanFilter in the old TimeSeries application, but was keen on trying to do all this ...
2
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2answers
403 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
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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 ...
2
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1answer
247 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}...
2
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4answers
232 views

How to superimpose a curve fit on top of a TimeSeries plot?

This is a remarkably simple question for which I was not able to find an answer in the documentation. For concreteness, suppose that we have some time series data, such as this (example taken ...
2
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2answers
82 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}] ...
2
votes
1answer
110 views

How to show date format (yyyy/mm/dd) in ListPointPlot3D?

I have data1, whose first column is, in fact, the date (i.e. number of days from 1900/1/1). I then create a 3D plot as below:- ...
2
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1answer
65 views

Nested ordered summation

How can I implement the following sum? Given $n$ and $j<n$: $$\sum_{k_j=1}^{n-1}\sum_{k_{j-1}=1}^{k_j-1}\sum_{k_{j-2}=1}^{k_{j-1}-1}\dots\sum_{k_1=1}^{k_2-1} \phi_{(n-k_j)}[\phi_{(k_j-k_{j-1})}[\...
2
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2answers
544 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? ...
2
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1answer
110 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: ...
2
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1answer
690 views

How to combine TimeSeries of different dimensionality into TemporalData object?

I was wondering if it is possible to combine multiple TimeSeries data objects of values that have different dimensionality into one ...
2
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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 ...
2
votes
1answer
162 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 ...
2
votes
1answer
498 views

Time Series fit in Mathematica

Newbie in Time Series question: I need to do a very simple (I think) regression of a time serie of the type: $Y_{t}$ = $\sum_{j=1}^{p}b_{j}Y_{t-j}$ + $\sum_{j=1}^{q}c_{j}X_{t-j}$ and I can't figure ...
2
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1answer
94 views

What's wrong with this MovingMap structure?

This page from Mathematica 10 example: https://www.wolfram.com/mathematica/new-in-10/expanded-time-series-processes/model-the-conditional-value-at-risk-with-an-archpr.html Has a problem with this ...
2
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1answer
89 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 ...
2
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1answer
364 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 ...
2
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1answer
248 views

How to split time series?

...
2
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1answer
491 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 ...
2
votes
1answer
157 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., ...
2
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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 ...
2
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1answer
195 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 ...
2
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1answer
84 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: ...
2
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1answer
156 views

WeatherData and TimeSeriesModelFit

with city = CityData[{"Bremerhaven", "Bremen", "Germany"}]; and ...
2
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1answer
304 views

TimeSeriesForecast Forecasts

I am trying to make sure I understand how TimeSeriesForecast works. I apologize in advance for the basic nature of this question. I am using Mathematica 10. I ...
2
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0answers
42 views

TimeSeriesInsert for regular series with equal increment breaks regularity

My goal is to combine two time series with common properties and preserve those properties. Say, we have two monthly series: ...
2
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0answers
173 views

Neural Network Time Series Input

All, I am attempting to replicate the work done using Long Short Term Momory Artificial Neural Networks proposed in this thesis by following this (great) example. I have a given dataset for which I ...
2
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0answers
102 views

Plotting Time Series in the same currency value [closed]

I'm working with Financial Data and I'm using this code: ...
2
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0answers
199 views

How to extract the conditional variance from a fitted GARCH model?

In R's garchFit (fGarch) I can simply call "@h.t" or "@sigma.t" to get the conditional variance or standard deviation for a fitted GARCH model. Is there a convenient way achieve this with Mathematica'...
2
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0answers
78 views

product of all elements in subsets of timeseries

apologies in advance if this is obvious, but I'm very new to mathematica and couldn't find the answer in the documentation nor in the forum here... I've got a 2 year time series ts with daily ...
2
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0answers
175 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 ...
2
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0answers
66 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, ...
2
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0answers
809 views

Detrending a time-series by means of Discrete Wavelet Transform

I plot a time-series for observation as you can see in the plot: I tried to detrend the time series by 3 different approaches which are: 1) differences, 2) detrended fluctuation analysis, and 3) ...
1
vote
1answer
465 views

Plotting Time Series with call to Wolfram Alpha

I am trying to plot stocks showing some of the local maxima. As an exercise I first tried to load Apple's stock data from Wolfram Alpha with the following code: ...
1
vote
2answers
120 views

Is this intended behavior of MovingAverage on TimeSeries?

Suppose there is a uniformly spaced time series ts: ts = TimeSeries[{{{2015, 1}, a}, {{2015, 2}, b}, {{2015, 3}, c}, {{2015, 4}, d}, {{2015, 5}, e}}] The task ...