# Tagged Questions

77 views

### Modeling time: Probability distribution over time?

I'm trying to model users' posting behavior during a day. Say we have a bunch of users, with the time they post tweets. Now, for each user, I would like to estimate the likelihood of he post a new ...
25 views

### Transform a daily closed values to data of rolling annual returns.

My problem is that : I have the daily closed values of the initial index for DJUSER, MSCI, SP500, SPGSCI from 1 January 1999 to 31 December 2011. I want to transform them in to data of rolling annual ...
31 views

### Using sequential observations to perform online prediction

I'm trying to perform predictions from a sequence of events. My problem is this: Data collection: Suppose you can continuously observe a person sitting in a library. You take note of every time that ...
40 views

### Performing online prediction from sequential observations

I am trying to perform some predictions from a sequence of observable events. My problem can be abstracted like this: Data collection: Suppose you can continuously observe a person sitting in a ...
34 views

### Accounting for volatility in time series forecast

On the topic of forecasting, given a time series does anybody have a method to build in volatility to the response value? I have built tests around the spread and skew of the input variables by ...
43 views

### Comparing different step functions

I measured the appearance of certain events over time in different conditions and I would like to know whether there is a difference between the happening of these events. I thought of plotting the ...
289 views

### Fitting GEV to non-stationary time series of extremes (general stationarity question?)

I'm fitting the generalized extreme value distribution (GEV) to a series of annual maxima of variable $X$. $X$ exhibits a linear trend. When I fit the GEV to $X$, I think I have the choice to Use ...
44 views

### Fitting series to a distribution

I am reading this note on Mean-CVAR optimization. The authors argue against the prevailing assumption that asset classes are normally distributed and propose using a truncated levy flight distribution ...
110 views

### Time series prediction when data is not i.i.d

I have time series data $y_t$ with covariates $x_{1,t}, x_{2,t}, ...$. The covariates represent budgets for different programs. I can create an ARIMAX model that fits the data very well so far. In ...
126 views

### How to determine if distribution in timeseries has shifted?

Is it possible to determine if distribution of time-series has shifted significantly without assuming any particular underlying data distribution? Furthermore, would it be possible to identify ...
463 views

### Kolmogorov-Smirnov Test Alternatives

I'm comparing 2 data sets from nearby locations to see if they differ significantly in air quality. I cannot perform any paired tests because the data at one location does not necessarily correspond ...
65 views

### Question on the appropriate way to calculate the CDF of a volatile measure

If I track the the volatility of a stock on a sample period and at every point in time where I record the volatility I would like to also record the CDF of the volatility. Should I take the entire ...
244 views

### What are some common measures of variation in an interval?

Context: I'm working on an app that "listens" to breathing/snoring and "diagnoses" apnea by taking note of pauses between breaths. For the most part this works well, but it's (rather amazingly) ...
218 views

### Differencing an i.i.d. time series

Why differencing a normal, i.i.d. time series $X$, generates a negatively correlated series $Y$? > Acf(rnorm(5000, 0, 40)) > Acf(diff(rnorm(5000, 0, 40))) ...
60 views

### Measuring temporal aggregation

I have a series of 2000 individuals, for each of which I measure the daily duration of a repeating event over the course of a year. That is, for each individual I have a vector like: ...
1k views

### How to test homogeneity of variance if the data may not be normally distributed?

I need a test to check for homogeneity of variances. I am not sure if a series is normally distributed. If I use a test of homogeneity of variance that works for NON-normally distributed data, does ...
64 views

### Modelling worst, average and best case capacity of a system

A system has an incoming request rate of N requests per second. The system hosts a pool of x workers where x >= N. Each worker can complete a single request in approximately t seconds. The maximum ...
297 views

### Time series data distribution forecast?

While having chronically data of population growth (registered users of a site), I want to compute a function that approximates future growth, based on past data. Also, what we ll be the distribution ...
565 views

### Generating over-dispersed counts data with serial correlation

Could anyone provide some suggestions on how to generate over-dispersed counts data with serial correlations? I am using R software to conduct a simulation study. Any references on this subject will ...
167 views

### Compression theory, practice, for time series with values in a space of distributions (say of a real random variable)

Example of problem: Part of our research team is working on providing operationally wind power forecast. Usually, since there are different time scalse that interest forecast user, a forecast is ...
497 views

### Automatic test measuring dissimilarity between two time series

I have two time series, series1 and series2. My aim is to find how much Series2 is different from Series1, automatically/quantitatively. Image can be seen in its original size by clicking here. ...