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.

Filter by
Sorted by
Tagged with
1
vote
1answer
413 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 ...
1
vote
1answer
52 views

Getting values for a common set of dates included in different time series

I am working with four different time series which have the same first and last dates, but a different number of observations. One time series (svq) includes weekend data, the other three don't ...
1
vote
2answers
300 views

Compute Percentage Change for TimeSeries

Given a TimeSeries, ts, how can I compute the percentage change from one period to the next? Percentage change is calculated as (x[n] - x[n-1])/x[n-1] * 100.0. I've tried experimenting with ...
1
vote
3answers
138 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 ...
1
vote
1answer
232 views

Labelling Curves Using ListLogLinearPlot within DynamicModule (So Close)

I currently have a large number of time-series datasets in the form where the name and time-series transposed data, so I have a list of lists of names for datasets and their time-dependant data. The ...
1
vote
2answers
101 views

Inconsistent arithmetic of TimeSeries with non-equally spaced data?

Consider the following non-equally spaced TimeSeries: ...
1
vote
2answers
246 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 ...
1
vote
1answer
84 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 ...
1
vote
1answer
203 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 ...
1
vote
1answer
504 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
1
vote
1answer
65 views

TimeSeriesAggregate unwanted behavior

Let's take the lst = {{"2019-09-12 00:01:23",1}, {"2019-09-12 00:01:23", 3}, {"2019-09-12 00:01:24",10}}; Assume I want to count events within 1 second. One ...
1
vote
1answer
39 views

Time Series Arithmetic in v10.0

The following code lets FindPeaks find minima in v10.3-12.0: ...
1
vote
1answer
40 views

Control/retrieve ordinate position in TimelinePlot

I want to make a family tree. My approach is to use the birth year to structure the tree in abscissa. The issue is the ordinate positions of the according person. It may change when the family tree is ...
1
vote
1answer
151 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 ...
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. ...
1
vote
1answer
251 views

Intercept in the ARProcess

In the ARProcess help file I don't understand whether an intercept is included or not. How would I add one? I am using version 9 of Mathematica.
1
vote
1answer
301 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 ...
1
vote
2answers
306 views

build and estimate a time series process

I want to generate an EGARCH process. My problem is that I do not see how to create new processes beyond those available. The process itself is : $$\epsilon(t) = \sigma(t) \eta(t)$$ $$\log(\sigma(t)...
1
vote
0answers
30 views

Covariance of TimeSeries in v10.0-10.3

The following works in v11.2-12.0: ...
1
vote
3answers
79 views

TimeSeries has no option for TimeZone over-ride. What is the most efficient workaround?

I am importing TimeSeries data from an external CSV file. Those CSV date/time values are implicitly expressed as UTC. But TimeSeries imports them using \$TimeZone. And although TimeSeriesShift ...
1
vote
0answers
59 views

Estimating Lyapunov exponent from a time series problem [duplicate]

I am trying to use this code for estimating L.e.: ...
1
vote
0answers
44 views

KalmanFilter fails

I want to use a Kalman filter to reduce the noise in a time series. The underlying process has no dynamic and therefore can be modeled as an AR(1) process like a random walk. ...
1
vote
0answers
94 views

What is a good way to store TimeSeries objects?

This is a question about proper ways to save and retrieve TimeSeries. I am processing data from two separate sources and compile around 150 ...
1
vote
0answers
83 views

Issue with RandomFunction and TimeSeriesModelFit in V11.2

I have a notebook which was working with V11 and now not working with V11.2. I have wind speed data with a regular timestep of 1hr. Taking a month : ...
1
vote
0answers
53 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
0answers
343 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 ...
1
vote
0answers
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 ...
1
vote
0answers
186 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) ...
1
vote
0answers
373 views

Calculate the power spectral density of a Markov chain

I would like to calculate the symbolic power spectral density of a two state Markov process with a symbolic transition matrix characterised by two parameters. I have tried the code below, but it ...
0
votes
1answer
195 views

How can I remove a stochastic trend from a time series

I am having some troubles with removing a stochastic trend from a time series. I am carrying out a study on the US debt to GDP ratio. I noted that there's a smooth stochastic trend in the series. ...
0
votes
1answer
255 views

Generate Chaotic Time Series using CellularAutomaton[]

If possible, How could I generate a chaotic Time series using CellularAutomaton[]. I am especially interested in Rule 30. A friend told me it was possible but I ...
0
votes
2answers
144 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, ...
0
votes
3answers
505 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 ...
0
votes
2answers
305 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....
0
votes
1answer
92 views

TimeSeries behavior unwanted [closed]

Was wondering what other options I have when encountering a time series that has two events taking place at the same time. In particular, ...
0
votes
1answer
200 views

Getting output in the same way as most Stat packages

I have been looking at several of the timeseries functions in mathematica, however running a process like ARDL, ARMA, GARCH or ARCH you would be able to get a ANOVA table, with its coefficients and p ...
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
1answer
474 views

Using Log when working with a time-series

I have a time-series list of stockA, which I call bas. I have taken the natural log of bas by using ...
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 ...
0
votes
1answer
126 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 ...
0
votes
1answer
100 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 ...
0
votes
1answer
127 views

Plotting rescaled time series and temporal data

I am trying to use ListLinePlot to plot three "Components" of my TemporalData in Mathematica. The three components differ widely in the range of the data. So, I want to Rescale each component and plot....
0
votes
1answer
91 views

Import XML link from ECB and extract time series

I would like to extract the time series from a XML link provided by the ECB. Unfortunately, I am not able to extract the data time series. May someone be able to help me please? I start to import the ...
0
votes
1answer
79 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
votes
1answer
326 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 ...
0
votes
1answer
150 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
146 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 ...
0
votes
0answers
37 views

How to interpret TimeseriesModelFit parameters?

I have problems interpreting the parameters that follow using the TimeseriesModelFit command. The time series exists of twelve months and show a positive linear trend. Using TimeseriesModelFit it ...
0
votes
0answers
18 views

BatchNormalizationLayer instead of data prep

I've trained a neural net to match nx7x5 matrices to nx1 scalars; the n is a number of elements in a sequence. To get a good match I have to do some data prep; basically do a ...
0
votes
0answers
27 views

Working with time series GDP data

I have two questions. First, how do I get a list of points from CountryData["UnitedStates", {{"GDP"}, {1960, 2018}}] as opposed to a graph. Second, if I have a ...