Time series are data observed over time (either in continuous time or at discrete time periods).

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Need an effective way to show distribution changes over time and outlier reoccurence

Does anyone have suggestions on the best way to approach this problem? I have a large dataset (over 200k+ per day) in a MySQL database, that consists of a single record per user per day with a ...
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Finding the optimal combination of independent variables for a constrained dependent variable

I'm currently working on power plant time series data and my main objective is finding out the optimal combination of independent variables which would keep "SO2 concentration (dependent variable) ...
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14 views

Seasonal component in irregular time series

Is it possible to identify seasonality in a Time Series that is irregular? I am currently working with a time series that is being periodically constructed (via crawling), but these crawled ...
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7 views

How can I find Matching between a data set with given data set groups

I have a variability data new one, I would like to find the matching between given data set with group of data sets, which one among the data sets group has matched with the new data set. eg: A, B, ...
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21 views

How do I obtain the “Anomaly series” of a time series?

I have a time series of the Sea Surface Temperature (SST) of the Caribean Sea and I have to obtain the anomalies of that time series. ...
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1answer
25 views

How to add time dummies in a regression?

I would be grateful if someone teaches me how to use time dummies in a regression to capture the effect of introducing a law. I am doing a study on reforms by assessing the pre and post effect of a ...
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28 views

Curve fitting in R

I had 4 groups of data (in color 1 to 4) and one group is the data for one day, so I had 4 days of data. I was trying to fit a line which describes the pattern of theses lines (oscillating pattern) ...
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18 views

Time series forecasting use SVM

I am trying to set-up a python code for forecasting a time-series, using SVM libraries of scikit-learn. My data contains X values at a day interval for the last one years, and I need to predict y for ...
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7 views

On Estimating the spectral density with a weighted sum of the sample covariances

I am new to estimating the spectral density and would like a reference that demonstrates that taking a weighted sum of the sample covariances of a sequence of covariance stationary random variables ...
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13 views

deletion diagnostics for time series

I'm following a tutorial on time series regression, which discusses diagnosis through selective deletion of data across the entire set of predictors, one observation at a time: ...
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33 views

What is the long run variance?

How is long run variance in the realm of time series analysis defined? I understand it is utilized in the case there is a correlation structure in the data. So our stochastic process would not be a ...
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22 views

How to find AIC, BIC values in Johansen cointegration test in R software? [on hold]

In order to take the best lag for Johansen cointegration test (trace) we have to take the lag with minimum AIC and BIC values, right? In R, I have used the syntax ...
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32 views

Time Series Analysis using Fourier Technique

i need to perform "Time Series Analysis" using Fourier Analysis/Technique on temperature data of 17 years. Their are four columns in it "Years", "Months", "Days" and "Temperature in C". I need basic ...
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6 views

Hedge ratio formula

Help to clarify this fact. In the simplest case, in order to find the hedge ratio using a linear regression of the form: $S_t = \alpha + hF_t + \epsilon_t$, where $h$ is the hedge ratio or the slope ...
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1answer
36 views

A quick question about time series forecasting

I have collected daily sales data X(t) and Y(t) over two different areas . Total sales Z(t) ...
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1answer
42 views

Understanding the Durbin Watson test

The test statistic for the Durbin Watson test can range from 0-4 from what I have gathered. Now the lower limit of 0 makes sense considering the test statistic consists of two summations which are ...
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10 views

Statistically test difference based on time series

Usually in statistical hypothesis testing, we randomly split some unit into treatment group and control group, and we test if there are difference between treatment group and control group based on a ...
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17 views

concept drift detection

I'm working on a project that involves concept drift detection for a time series. Are there any well-known techniques/methods/algorithms that are known to be effective for this sort of problem? ...
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13 views

Aggregated probability using irregularly-spaced time series data

I have dataset describing a group of animals' size and growth over 2 years. These particular animals grow in non-continuous growth steps and I wish to model the frequency of these growth steps during ...
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39 views

Bad results for R's auto.arima

I have a time series for sales data on a weekly and monthly basis. I tried using holt.winter and auto.arima. ...
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20 views

Starting-point of time-series influences regression?

I've used tslm() under the R-package fpp to analyse two time series, which seem similar: ...
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1answer
28 views

compare time series data with ODE simulation

The same experiment was performed for 4 different initial conditions $(j=1,2,3,4)$. For each initial condition, there were 3 repetition $(i=1,2,3)$ of the experiment. I have 4 sets of data: $X_{ij} = ...
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21 views

Differing frequencies for time series ts() function in R

I understand the frequency argument of the ts function in R is set to work for monthly, quarterly, yearly data, etc. In my case, ...
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16 views

Tune a neural network and prevent overfitting

I'm using a neural network for the first time and I would like to know if I'm doing this right. I'm working with time series for 5 years, and in each year I have a total of 18 time series plus the ...
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26 views

Estimating AR process for Logistic Regression

I'm fitting a time-series model with independent $X$ variables coded as months of the year (so there are 12 of them) and the dependent $y$ variable is some proportion, bounded between 0 and 1. As a ...
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10 views

What is the correct procedure for conducing a Johansen Cointegration Test?

As it seems to say in Walter Ender's Applied Econometric Time Series, I'm doing the following: First, I do believe one should estimate a VAR model on the levels of the data and then proceed to test ...
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23 views

Metric for estimating declining or ascending trend in timeseries? [on hold]

I have a large number of ECG timeseries data from multiple volunteers. I calculate the signal quality in any of the given dataset by estimating the quality of the signal in a non-overlapping window of ...
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39 views

Finding algorithm to detect anomaly in non gaussian data

I have a data (time series like CPU, traffic and so on) that doesnt have a normal distribution usually (especially when I'm looking at 1 hour data). Are there any algorithm to find anomalies? I ...
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“Multi-Task” Logistic regression with time series data [on hold]

I'm trying to create model for consumer loan defaults that incorporates individuals payment behavior as time series. Typically this kind of problem is modeled using Cox/Allen model. Then, the other ...
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21 views

What non random patterns in a series Autocorrelation cannot detect

I know there are complex patterns in a series that cannot be detected by autocorrelation... but I cannot find what types of patterns these are. Can anyone provide an instance where the autocorrelation ...
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2answers
32 views

Measuring the change of an increment in time series

Assume that two series ($x_1,\dotso,x_n$) and ($y_1,\dotso,y_n$) are linearly correlated. What is the connection between $y_j-y_i$ and $x_j-x_i$ in terms of Pearson's $r$ and the variance of $x$ ...
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10 views

Hedge ratio with VECM DCC GARCH

For asset pairs -- spot and futures -- I need to find the hedge ratio. To find the hedge ratio I need to use two models: VECM for describing the dynamics of spot and futures. On the basis of the ...
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1answer
42 views

Breusch-Pagan Test for ARIMA Model in R

I am testing my model using the Breusch-Pagan Test, but have not been able to find anything online regarding how to calculate it for an ARIMA Model. My AR1 Model is: ...
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1answer
20 views

Calculate correlation between events and signals in time series

I have a time series signal (continuous values) and some events occurring. An event for me is characterized by the fact that it only has a single timestamp assigned to it and not a timespan. Is there ...
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32 views

Estimation of a VECM model

I am attending a time series econometrics course and I am working on VECM models. We have learnt that to estimate a VECM model we should use Engle-Granger two-step procedure but I have not understood ...
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How to evaluate Features for Time Series

I am new to time series and have a few question regarding evaluating and benchmarking my features for a time series model. The question I am trying to answer is whether my social media features ...
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12 views

Bayesian VAR, IRFs and unit roots

I estimated VAR using Bayesian inference. Then I calculated roots of the characteristic function of this VAR. The biggest root was greater than one. Also I tried to make all series stationary before ...
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34 views

Which estimation technique should I use?

I have time series of six variables from 1973 to 2012, where poverty head count ratio (HCR) is taken as dependent variable. Consumer price index, GDP growth rate, population growth rate, revenue ...
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45 views

How do I remove the seasonality of a time series?

I want to know which is the procedure to remove the seasonality (anual cycle, monthly cycle, daily cycle) of a time serie. I plotted the Autocorrelogram of my time series and I extracted from there ...
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Combining Date and Time columns in R [migrated]

I have a dataset that Im readying for some time series regression analyses and I have a specific question about merging two columns in R. I have the following two columns: and I need to combine ...
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15 views

Combine several days of time series into one

I have twenty time series from twenty days. Can I concatenate these time series into one, and run a simple linear regression on the resultant series?
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2answers
36 views

Can a simple linear regression be applied to a time series with non-constant time interval between observations?

I have a strictly ordered series of observations where the time between the observation is not constant. I am wondering if I can apply a simple linear regression on this and treat it as I would treat ...
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16 views

How far can we predict in time series of price index?

If I build a model for time series that represents the price index of a stock market for 5 years, how far can I predict in the future? The reason for this question is that I want to be sure that the ...
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75 views

Distinguish between short run and long run effects

I read in a paper the following sentence: The fact that there is a difference between short-term and long-term coefficients is a result of our specification which includes lagged endogenous ...
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43 views

Cross Country Analysis Time Series

I'm pretty newbie in econometrics, I'm writing a research proposal, and I was wondering if you guys can give your opinion or some hints regarding an idea. My dependent variable is a measure of ...
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46 views

Timeseries Regression - threshold value, regular and time-series covariates

i am trying to find a time-series regression or machine learning package that allows the following analysis: Lets assume that ice-cream sales are a function of: a) a threshold value on outside ...
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279 views

What algorithm should I use to detect anomalies on time-series?

Background I'm working in Network Operations Center, we monitor computer systems and their performance. One of the key metrics to monitor is a number of visitors\customers currently connected to our ...
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23 views

How to extrapolate future probability density functions if you have a time series of them as input?

I'm sorry for lack of technical vocabulary, I'm not a mathematician but an undergraduate student in business informatics. This is my current situation: I am given an observations vector ...
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1answer
21 views

Matlab's VARMAX regression parameters/coefficients nX & b

I'm having a bit of trouble following the explanation of the parameters for vgxset. Being new to the field of time-series is probably part of my problem. The vgxset help page ...
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Calculate cross correlation between two time series when translating one along the time

When calculating cross correlation coefficient between two time series A and B, both being in their time windows of finite lengths, I translate one time series, say B, along the time by each lag, and ...