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

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Aggregation of correlated variables

I've been trying to aggregate correlated time series, by using Alexander's proposal that you can see here: http://bit.ly/1hIPwiI. Her proposal to find a random variable $Y=\sum_{i=1}^N X_i$, where ...
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Statistical significance in time series and sub-series

So, when I did first year stats in undergrad, we did an experiment where we tampered with a bunch of coins, to see if it would cause a statistical difference in the results. This is a graph of the ...
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Trying a multivariate analyses on time series (with R)

I got measures of one variable (that behaves as a time series) for different conditions (some quantitatives, but mostly are qualitatives). For example, this is a "fake" representative plot of this ...
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Calculate first difference by group in R [migrated]

I was wondering if someone could help me calculate the first difference of a score by group. I know it should be a simple process but for some reason I'm having trouble doing it..... yikes Here's an ...
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How to examine the change of event sequences

Let's assume we have a sequence of events $x_1, x_2, ...,x_n$ and each event can be described as a categorical variable from domain $\{A, B, C...\}$. The time interval between two consecutive events ...
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When an ARMAX model is stationary? Why stationarity or invertibility is needed?

Let $y_t$ a stochastic process and $\tau_t$ presents the time duration between the $t$ and $t-1$ event.The ARMA(p,q,r) with exogenous variables is defined as: $$ y_t = \varepsilon_t + ...
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How to do Simulation for Time Series Model using SPSS

I am totally new to SPSS. I have a question on Simulation. Can we apply simulation for time series model using SPSS? Thanks in advance.
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28 views

Augmented Dickey Fuller output conflicting in Stata

I am required to perform unit root testing on a given time series. The output obtained in Stata is somewhat confusing me. To the best of my knowledge I am obtaining two conflicting results, Stata ...
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32 views

Understanding factor potentials in PyMC

I'm trying to understand factor potentials from the PyMC documentation, but need some help on the implementation piece--or it may turn out that I am misunderstanding how potentials work altogether. ...
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Which steps have to be done before fitting logistic curve to time-series?

I want to cluster time-series concerning sales of products. In the database I have 26weeks after launching each products and units sold each week. One of the method of clustering is to cluster ...
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SVAR Model with Short run restrictions

I am currently working on implementing SVAR model in an economic analysis. I have 10 variables in my analysis and currently struggling to incorporate the short run ...
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How to test for wide-sense stationarity with only one sample path of the process?

I have a univariate time series consisting of 70,000 observations (power consumption of a building) over equal time increments (15 minutes). How do I check whether this realization is wide-sense ...
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Knowing the level of aggregate processes, how to get the levels of constituents?

I have a bunch of component processes $y_{it}$, where $i=1..n$. I can build reasonable time series models $y_{it}=f_i(y_{i,s<t},X_t)$, where $X_t$ - exogenous variables. These could be ARIMAX ...
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What are differences between the terms “time series analysis” and “longitudinal data analysis”

When talking about longitudinal data, we may refer to data collected over time from the same subject / study unit repeatedly, thus there are correlations for the observations within the same subject, ...
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Are trend/cycle filters intended to be used in predictive models, or just analysis?

I am relatively new to time series modelling and for a task I have I've had good success (in terms of forecast error) by first splitting the data into a trend and cycle components using a ...
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19 views

Statistical method to find capacity limits?

Im analyzing time-series to detect when the y-value is so flat that one can assume there is an underlying factor limiting y from being higher. Is there a methodology or statistical discipline that do ...
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181 views

Data mining techniques in R for advertising and sales data

I would like to apply one or more data mining techniques to a dataset, in order to see the effect advertising has on sales. I am working from this dataset. It has 36 consecutive entries of monthly ...
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Stata: how do i set 2 time variables for 2 datas in 1 dataset? [closed]

I have quarterly data and yearly data in 1 dataset, how do I 'tsset' (time series) for both datas? (If it's even possible???) I do HAVE the quarterly data for the yearly data, would it be suggested ...
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Time series analysis: Determine if trend is deterministic fluctuating/stable or stochastic

I am analysing sales data of certain products and need to determine if the demand trend is deterministic fluctuating or deterministic stable or stochastic. How do I do that in R / what approach is ...
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Regression - volatility vs return

I am attempting to estimate a linear model as: $$ y = a +bX +e $$ I have a series of annual returns and I would like to estimate the effect of volatility on losses. My Null hypothesis is that ...
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Multicollinearity if independent variables sum to one?

I am intending to explain the variation in dependent variable Y through a number of ratios that, combined, sum to 1 in each period t Hence, $$ Y_t = \alpha + ...
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1answer
30 views

Representation of ARMA processes

Question Consider the following process: $$2y_t-3y_{t-1}+y_{t-2}=\epsilon_t-\theta\epsilon_{t-1}$$ What is the model for the process $w_t=\Delta y_t = y_t-y_{t-1}$? Attempt I have solved the ...
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Comparison of Time Series Data

I'm new here, and fairly new to statistics, so I apologize if this is an easy question, but I'm stumped. I'm doing a research project simply for fun (yes, I'm weird like that). I was never able to ...
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Detecting time-shifted time series

Assume there are two time series of real values. How to test hypothesis, that these series are quite the same, but there is a time shift between them? Sorry, if the question is too basic. Thanks in ...
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37 views

“Explaining” a time series - conceptual explanation needed

Imagine I have a time series for an animal population and a time series for a climatic variable during the same time period and at the same location. Unfortunately the data are observational (i.e., no ...
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What is a criteria to select the time series model. Either additive or multiplicative. [closed]

I am finding it difficult to select the time series model. Please guide in selection of time series model i.e additive or multiplicative.
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Temporal Correlation in R

Having used stack overflow for years without signing up I now truly need some help! My data consists of samples collected from the same location in three different streams between 2012-2014. The data ...
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38 views

Entropy estimation for a symbol sequence

I am looking for an R-implementation of the Lempel-Ziv data compression algorithm, to estimate the source entropy of a time-series consisting of a sequence of symbols. Rather than simply measuring ...
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Neural net model - error during training

I'm getting started with R, I really like it but recently I found myself in a corner. I'd like to build neural network model that predicts heat consumption. I have historical data that contains ...
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42 views

What is the difference between forecasting based on ARIMA and logistic curve? R

I'm making a project connected with identifying the dynamics of sales. My database concerns 26 weeks (so equally in 26 time-series observations) after launching the product. This is what my database ...
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1answer
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Test to compare an effect on a variable on a daily basis

I would like to know the effect of an external factor on the number of visits on a website during a period of 4 weeks (only search visits from Google). For this, I measured the number of visits every ...
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Nonparametric Time Series Forecasting

I am trying to understand how Kernel Density Estimation (KDE) or (nonparametric) Quantile Regression can be used to forecast values given historical observations. For example, consider the following ...
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1answer
46 views

My fixed effect model and methodology

I'm doing my master thesis on FDI effect on Chinese wage inequality. I am new to quantitative econometrics so I have no idea if my wage equation is correct. $$W_{it} = β X_{it} + λ_t + η_i + ε_{it}$$ ...
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Is ARIMA model appropriate for this dental research?

Please, I have a doubt in my study for doctoral thesis… Title: “Development of a thermal cycling protocol for dental materials”. Objective: to create a protocol for thermal aging, from measurements ...
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Significant difference real or due to the internal variability?

In my data I have 9 different sets of data for 2 different groups. Each one of these datasets is the same measurement changing over the time. If I make a graph, I can see 9 lines for each group. I did ...
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64 views

Forecasting with holiday dummy variables

I have an example of call center data for 2013. There are 261 days of data (excluding weekends). For 2013, I have included a holiday dummy variable (holiday) for ...
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1answer
35 views

What does “AR(p) filtered series” mean?

I guess this means that omitting some variables in a certain interval, say, $(x_1, x_2, x_3, x_4, x_5) \to (x_1, x_5)$ in AR(4) model. Is it right? Or does this means eliminating autocorrelations ...
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1answer
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The effect of ommission of relevant variable in the regression model on adjusted $R^2$

Let's say I have two regression models (I) $y_t=\beta_1+\beta_2 x_2+u_t$ (II) $y_t=\beta_1+\beta_2 x_2+\beta_3 x_3 + u_t$ How the omission of relevant variable (not irrelevant variable) affects ...
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Should plots for time series use a logarithmic scale for duration/time?

I was reading this tutorial on ggplot2 and was struck by a bit where it said that durations are typically best displayed along a logarithmic scale Is this an ...
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ISPSS: Cross-sectional time series analysis

I am trying to run a multiple regression in SPSS. I am using panel data with 4 independent variables. Of these, one is a dummy variable. Can someone please guide me through the process or give me ...
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What I have to undergo testing before proceeding to time series analysis? and after?

I have to conduct a time series regression analysis. Before proceeding I tested for stationarity and I verified that the variables are distributed according to the normal probability distribution. ...
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Wavelets with forecast model

I am new to wavelets decomposition technique and am trying to use it with time series model. What I use now is that use discrete wavelet transform. I use Daubechies with 4 as mother wavelet with ...
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Measuring the standard deviation in Pattern recognition

Sometimes in pattern recognition say Character recognition, Hamming distance is used although there are other distance measures. But if the pattern is represented in (1,0,-1) then Hamming distance is ...
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Similarity measures for point processes

I have multiple measurements of a point process: vectors of 0's and 1's. I'm trying to gauge the similarity of the measurements, but have no idea how to proceed. Any suggestions? Thanks!
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140 views

Differencing a time series

I am looking to find the ACF of a time series, but after it is differenced. $y_t = a_1y_{t-1} + \epsilon_t , \mid a_1 \mid < 1$ I understand that to find the ACF this process needs to be ...
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62 views

Clear steps to calculate coherence between two time series

I originally posted this on stackoverflow.com and then deleted it and moved it here My question is similar to Similarity of two discrete fourier tranforms (specifically the selected answer). I've ...
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22 views

Literature for prediction models where each training example has a different amount of data?

This could be a machine learning question as much as a statistics question, but I think this is the best place to put the question. Here are three different examples of problems where each ...
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Which arma model is best one?

I am studying ARMA models. ARMA(25,25) or ARMA(1,1) which one better model? Why? I think that the reason is the ommission of irrelevant variable
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How to Build a Foresight System?

For a research project, I'm asked to find ways to build an economic foresight system. For example, for the production of cheese. We will have data about the market indicators, like price, demand etc. ...
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Testing for a drop in bookings

We're developing real-time alerts for fine-grained (every 5 minutes) time series bookings data, and I'm looking for the best approach to doing this. Idea is that if over the past 10–15 minutes (say) ...