# 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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### 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: ...
230 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 ...
119 views

### Plotting Time Series in the same currency value [closed]

I'm working with Financial Data and I'm using this code: ...
84 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 ...
196 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 ...
69 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, ...
920 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) ...
506 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: ...
51 views

### Is this a bug with TimeSeries and dates? [closed]

I'm having trouble with applying Accumulate to TimeSeries data as below The results of the first call to Accumulate is wrong in length, 4 instead of 5 and value. Is this a bug? It certainly seems so ...
111 views

### Smoothing an irregular TimeSeries and calculate it's Derivative

I've a data set consisting of two columns, the first column is a date and the second is a numeric cumulative amount. I tried to create a time series, resample it and smooth but I couldn't manage to ...
137 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 ...
93 views

### Fourier transform of a time series

I have this question: Create a time series of the function $\sin(7*\sin(140*t))$ with a sampling rate of $1000Hz$ for a time duration of $2.5s$. Fourier transform this time series and identify the ...
38 views

### How to force Mathematica to output an expression such as Input {2,3,4}-> Output 2*3*4=24

How to force Mathematica to output an expression such as Input {2,3,4}-> Output 2*3*4=24 as a Times like this one: Input Times[2,3,4] -> Output 24
64 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. ...
459 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 ...
95 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 ...
430 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 ...
151 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 ...
242 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 ...
55 views

Question: I want to do a timeforecast for the next 30 days, but only the business days (weekends excluded). My dataset look likes: ...
105 views

### Inconsistent arithmetic of TimeSeries with non-equally spaced data?

Consider the following non-equally spaced TimeSeries: ...
283 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 ...
86 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 ...
221 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 ...
562 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
68 views

### Generate clusters based off clusters in previous time step?

Here's the set-up: I'm generating data based on a process, but the important thing is that eventually the data diverges and starts forming branches. This is a close up of some of the behavior: The ...
83 views

### How to interpret TimeseriesModelFit parameters? [closed]

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 ...
74 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 ...
42 views

### Time Series Arithmetic in v10.0

The following code lets FindPeaks find minima in v10.3-12.0: ...
45 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 ...
211 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 ...
64 views

### Creating time varying 2d coordinates with OrnsteinUhlenbeckProcess

I see that I can create time varying 1d data with e.g. ...
258 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.
325 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)...
20 views

### TimeSeriesRescale seems to work oddly

I have been attempting to do some date computations with EventSeries, a convenient form for storing economic quantities (like expenses) over time. Following the documentation, I created an list of ...
46 views

### Covariance of TimeSeries in v10.0-10.3

The following works in v11.2-12.0: ...
89 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 ...
98 views

### Estimating Lyapunov exponent from a time series problem [duplicate]

I am trying to use this code for estimating L.e.: ...
54 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. ...
121 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 ...
89 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 : ...
55 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) ...
360 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 ...
76 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 ...
203 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) ...
395 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 ...
331 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. ...
258 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 ...