2
votes
1answer
68 views

Can we skip the lower order terms in interactions? [duplicate]

This question is about three-way interaction and the possibility of applying without second lower terms with keeping the main variables in the equation not like the other questions. In fact the other ...
0
votes
1answer
28 views

Transforming time series to compensate for change in variance

I have a time series (shown below) that comes from a sensor whose calibration was changed in the middle of last year. As part of this change, the sensor's reading of the variance (or volatility) of ...
2
votes
0answers
30 views

Is two years enough for panel data analysis?

I have around 800 companies for only two years period. However, around 200 of them have only one year observation. Is it still possible to conduct panel data analysis with such data Thank you
0
votes
0answers
21 views

Reproducing ARIMA error terms

When forecasting a moving average (MA) model using R's forecast, why does using residuals(fit) produce different results than ...
0
votes
0answers
12 views

How to handle large .csv file in R? [migrated]

I have a large(>100,000) single column floating point time-series data. I want to find structural changes within the data with respect to time( in my case index). In-order to do that, I am using R ...
0
votes
0answers
13 views

using decompose function for high frequency data

I have a table as Date Time Energy 1/1/2008 10:30 0.89 1/1/2008 11:30 0.76 and so on. The data is recorded for every half an hour. I wish to ...
0
votes
0answers
13 views

Time series Data Analysis and Forecasting by country and time factor

cty year qtr tl Argentina 2009 Q4 3 Argentina 2010 Q1 2 Argentina 2010 Q2 7 Argentina 2010 Q3 7 Argentina 2010 Q4 10 Argentina 2011 Q1 7 Argentina 2011 Q2 7 Argentina 2011 Q3 1 Argentina 2011 ...
0
votes
0answers
15 views

Seasonal vs non-seasonal coefficients in R ARIMA

Let's say I have the two following ARIMA models: ARIMA(7,1,1) (no seasonality) ARIMA(6,1,1)(1,0,0)7 (seasonality of period 7). Are they conceptually the same? If so, why is that when I model ...
1
vote
1answer
21 views

Is it possible to measure the independent variable with part of the dependent variable

I have Beta as my independent variable and Economic value added (EVA) as my dependent variable. To calculate EVA I need to use Cost of capital and to calculate that I have to use Beta, so is it ...
-1
votes
0answers
41 views

Sales Forecasting using Support Vector Machine

I have sales data for last three years 2011-2013. I want to use Support Vector Machine technique in R to do the predictions. I just wanted to know that the approach that I am using is correct or not? ...
0
votes
0answers
24 views

How to interpret residual plots from time series regression

I am doing a time series regression between 2 variables. I used the dynlm library in R. I'm trying to understand how to interpret the results. Could you please point out where I am getting it wrong: ...
1
vote
1answer
12 views

Holt-Winters and Abnormal termination in LNSRCH

I try to fit data with Holt-Winters function in R. Nevertheless, i am getting the following message: ...
0
votes
0answers
22 views

breakpoint analyses on multiple series: how to detect common points

I have 20 time series that span the same period (100 days each), from 4 species sampled at 5 different location. I made a loop to perform a breakpoint analysis on all of them, resulting in 0 to 3 ...
0
votes
1answer
31 views

Hodrick-Prescott derivation in lay terms

I am currently working with the Hodrick-Prescott filter. I would like to understand the equation in lay terms.
3
votes
1answer
33 views

Spread-Level Plot versus Power Transformation Functions in R

I'm having trouble interpreting the results from the Spread-Level Plot function in R (car package). The documentation says: PowerTransformation spread-stabilizing power transformation, ...
0
votes
0answers
3 views

R-package dlm (dynamic regression, dlmRegMod), especially CAPMDLM example… please help me! [migrated]

I am a graduate student in Business. Fortunately, I found a DLMCAPM code (https://github.com/VSRonin/DLMCAPM/blob/master/Final%20Work.R) for a bivariate case in GitHub regarding on the Dynamic ...
0
votes
0answers
13 views

estimating period and dealing with Non negative values in forecasting

When I read time series in a ts object and put a period: 1) tr <- ts(data[,4],frequency=). This works for two different periods and decomposes perfectly to show (downward) trend, seasonality and ...
2
votes
3answers
86 views

Library routine for rolling window lag 1 autocorrelation?

I am looking for a library routine that will calculate the lag 1 autocorrelation of a time series with a rolling window; meaning "slide a window of size N points along the time series, calculate the ...
0
votes
0answers
54 views

How to develop a prediction model based on correlation in R?

I have two sets of data, say sales and profit, and I have calculated the correlation between these two data over different months using R. So currently I have ...
1
vote
0answers
19 views

How to give an input when you are using Machine Learning method in R

I am new to R and machine learning algorithms. I have basic knowledge of different machine learning algorithms. I have four years of daily sales data.I am trying to predict sales using Support Vector ...
1
vote
0answers
21 views

Applying ARMAX model from r output

I'm trying to apply R output to generate a scenario using external data, I'm not sure how exactly to use the coefficients in each from the R output. I have an ARMAX(1, 1) model Coefficient of AR1: ...
0
votes
1answer
27 views

VAR and Granger causality test

Is it necessary to calculate VAR before Granger causality test so that we can have the lag length to be used in Granger causality test
0
votes
0answers
9 views

analysing multiple individuals in specific time points for similarities

I am looking for a suitable analysis to examine my data for the presence of foraging individuals at different time periods, and whether the individual are in the same place over time. My dataset is ...
0
votes
0answers
26 views

R, arima() with include.mean=TRUE, still has no mean reported

I have a regression with ARMA errors, which I am fitting with arima(). I know that the ARMA model is being fit on these residuals from the regression. My problem is ...
1
vote
2answers
40 views

Arima with xreg, rebuilding the fitted values by hand

I'm using R to do some time series estimation. I'm trying to rebuild the fitted values from an Arima model by hand to use in an Excel spreadsheet using the estimated coefficients and the input data. ...
1
vote
0answers
27 views

combining and contrasting time course GLMs using R

I am analyzing some time course data in which I have set up a GLM using R for each subject. Each GLM I want to run is an attempt to extract estimates of different behavioral conditions effects on the ...
0
votes
1answer
55 views

Variance of $\bar x$, simulation with non-iid observations

So I know that the variance of $\bar x$ is usually computed as $\frac{\sigma_x^2}{n}$, and that this assumes the observations are independent. If instead, the observations have some positive serial ...
0
votes
0answers
19 views

Obtaining the Psi Weights of a seasonal ARIMA in R

I am trying to quantify the effect of a future random shocks on my seasonal ARIMA model. If I have understood the theory correctly, the easiest way is to express my seasonal ARIMA model in its "random ...
2
votes
1answer
30 views

What is the best test to estimate the correlation between binomial/categorical dataset?

I'm trying to analyze if there are correlations between binomial dataset. I have binomial data (presence/absence) of two variables in different periods and I need to know what is the best way to find ...
0
votes
0answers
29 views

R function which uses innovations algorithm?

I can't seem to find much info on the following: I have a dataset D at time t which I use to fit an ARIMA model. I forecast the value of the time series at time t + 1. Now, when I'm in t + 1, I would ...
0
votes
0answers
21 views

Determine the threshold value and number of regimes with delayed variable

I am currently working on a threshold model for the exchange rate between UK and US. I have not got background knowledge on this model so I am really stuck on how to determine the Threshold value, ...
1
vote
0answers
38 views

Where can I find resources to learn about change-point analysis ?

Where can I find resources to learn about change-point analysis ? Hopefully, someone can advise me a textbook to read and it will cover both univariate change-point analysis and multivariate ...
0
votes
0answers
45 views

Arima model - multi step forecast

The following code shows a forecast of the next 24 hours of my electricity prices with two exogenous variables. My problem is, that I don't know how to build a forecast for the next 3 days or more ...
2
votes
2answers
131 views

R: Fitting a model with periodic, nonlinear and categorical components

Can anyone give me some advice on how to fit a model with linear (some categorical), non-linear and time series components in R? I don't want to use a non-parametric model like a Loess smooth or ...
0
votes
1answer
33 views

MAPE is high for daily sale prediction

I have daily sales data from 2011 to 2013. I have to do prediction for 2014.I have used arima and exponential method to predict the daily sale, but it is not giving the better result. MAPE is around ...
0
votes
1answer
25 views

Getting expected value of future value with time varying data (credit card revolving and fee data) . Customer lifetime value

I have a credit card data and that contains monthly amount of revolving and amount of fee for each customer. As a bank perspective, I want to get the expected value of future revolving amount and fee ...
0
votes
0answers
63 views

Calculate the average of hourly data of three sensors

I am trying to calculate the average of hourly data of three sensors but the hourly timestamps of all three sensors are different. How is it possible to measure the average of hourly data of all three ...
1
vote
4answers
292 views

How to perform proper data mining on time-series data?

I have some daily data from city A, B, C. Values from city A are highly correlated with values from other cities for lag -1,-2,-3 and -4. I want to use Random Forest, SVM and ANN to predict values ...
0
votes
0answers
40 views

Forecasting agricultural commodity prices with R

I would like to create a predictive model in order to forecast the price of an agricultural raw material. I got time series for the prices and the production of this raw material, and also for the ...
1
vote
0answers
18 views

Testing for heteroskedasticity of time series in R

I wish to test my time series data for volatility clustering, i.e. conditional heteroskedasticity. So far, I have used the ACF test on the squared and absolute returns of my data, as well as the ...
1
vote
1answer
28 views

ARIMA modeling with more than one Categorical Variable

I am using auto.arima for forecasting. I have more than one categorical variables having more than one level. My questions are : Do I need to do dummy coding ? ...
1
vote
0answers
23 views

How to approach time series regression with one continuous variable and one “ almost Boolean” variable?

I am working in R with daily time series data and have daily observations of two variables. The first is continuous. The second is zero for every day except one, in which it is a number (I'm not sure ...
1
vote
1answer
21 views

Stationarity consideration in ARIMA using KPSS test

I have data, which I am sure has a downward trend. I am trying to forecast this data using ARIMA and I want ARIMA to consider the trend when it is forecasting. The first step in ARIMA is to ...
1
vote
3answers
81 views

Intervention Analysis Coding in R TSA Package

I am studying intervention analysis in time series with the Cryer and Chan book and am looking at trying to understand how to code the step response interventions. One question I had is how to ...
0
votes
0answers
29 views

Outlier treatment in Vector Autoregression (VAR) Model using vars package in r

I have the same problem as the following post, but I have more samples and the index of the outlier is known. Outlier treatment in Vector Autoregression (VAR) Model I tried deleting the outliers; ...
0
votes
1answer
65 views

How to forecast time-series bounded by [0,1], i.e., forecast relative frequencies?

I am working with time series values which are all in the closed interval [0, 1]; these values represent relative frequencies, i.e., empirical probabilities. I would like to create a model such that ...
1
vote
1answer
39 views

Combinef in R HTS package- constrain to keep forecasts positive?

When using the combinef function from Rob Hyndman's very useful hts package for forecasting hierarchical and grouped time series, there does not seem to be a way to constrain the optimally combined ...
0
votes
0answers
19 views

Specifying a glmm for panel data

I'm trying to predict counts based on variables sampled on a monthly basis as well as a few that are not related to time. In several places I've read that the MCMCglmm package in R would be ...
0
votes
1answer
36 views

Multivariate Time Series

I am trying to learn multivariate time series using R. I have two time series and I want to see if I could use one of those to predict the other one, and after that check if the model holds or there ...
1
vote
0answers
15 views

How to fit two or more datasets with different occurence for regression

I want to run a regression in R with different datasets. The question is whether stock performance (daily log return) is influenced by factors like interest rates (the one set by fed or ECB), size of ...