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

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What quantifies a stable parameter?

I'm optimizing 5 parameters for an option pricing model. Now I want to asses whether these parameters are stable over time (i.e., a year). For this I create about 12 subsamples and estimate the ...
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20 views

what is the return value of predict in the fGarch package

I have a question about a quit sophisticated model for a time series. Suppose $ \{X_t:0\le t\le T\}$ is a time series. The plot of autocorrelation function and partialcorrelation function suggest and ...
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6 views

testing for heteroskedasticity with Breusch Pagan in time series

I want to use a Breusch-Pagan test with time series data, I have regressed the residual on the independent variables and added a lag for the dependent variable: is this the right way to be going ...
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7 views

Methods for analysing effects of percentage mortality on population data with zero/low abundances

I want to analyse the effects of percentage mortality from two sources (a predator and a disease) on the population abundance of a host measured at 12 sites for 8 years, with the main aim being to ...
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6 views

Trend estimation for participation?

I have logs for users and posts in a blog platform for 3 years. I can easily find out how many posts each user have made per day/month/year/etc. What I want to find out is if the frequency of posts ...
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Multivariant time series in R. How to find lagged correlation and build model for forecasting

I'm new in the page and pretty new in statistics and R. I'm working on a project for college with the objective of finding the correlation between rain and water flow level in rivers. Once the ...
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6 views

Ljung Box test for a muivaraite time series?

From Tsay's Financial Time Series, Ljung Box test for a time series is for a multivariate time series is ... I wonder how to see the test statistic for a muivaraite time series is a ...
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1answer
47 views

Using non-stationary time series data in OLS regression

I am using 1983-2008 annual data to test if both gini coefficients and gross national saving in China and the US can affect the US current account balance. The data seem to be non-stationary, but I am ...
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9 views

Measure of intermittency/continuousness of a signal

I have three signals (below) each having the same standard deviation, however, are clearly very different temporally. Is there some such metric that could be calculated for each of these signals to ...
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30 views

How to interpret the expression of MA(1) as AR($\infty$)

When AR(1) is expressed as MA($\infty$), I can interpret it as: let's say my wage this year depends only on last year's wage and a random shock (my boss' mood). But last year's wage also depends on ...
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8 views

Appropriate Test? Is there a “t-test” for ratios when large number of data points and multiple runs?

N.B. I only have a very basic statistics background since I am in grade 9 in high school. Any help would be GREATLY appreciated. My Experiment: -Part 1: 2 variables (A and B) were each sampled in my ...
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3 views

Plotting the overlay using an exponential smoothing of a time-series using `lines()` [migrated]

I have the following code so far but I am not sure which function I should use for plotting the yearly average measurements of temperature for New Hampshire, from 1912 to 1971, and overlay an ...
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14 views

Times series and starting point incidence

I'd like to modelize the height of a plant which depends on Its aging (in months). The month it has been planted. For instance a plant of 3 months is higher if it has been planted in march than ...
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67 views

How to produce the minimum forecast error using R?

Considering that we want to use optimize() on the interval [0,1] how can I write an R code for finding the value of β that produces the minimum forecast error without using external packages like ...
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17 views

Plotting a comet like animation for multiple variables

I am trying to code a visualization with 4 variables ( Carbon emission, Energy consumption, population and year) The data set i have collected so far looks like this With C1990 representing Carbon ...
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35 views

Is there any tool that can do Vector ARIMA modeling in time series

Vector ARIMA model is used in multiple time series analysis. I am just wondering if there is any software or tool can be used to build the model. Some tools,like R, can only be used to predict the ...
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22 views

Fitting a best fit line to this time series

I have the following hourly time series data and would like to fit a best fit line to it: There seems to be a periodicity on a daily basis and a weekly basis. By this, I mean there are patterns ...
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1answer
45 views

Building a time series model using more than independent variables

I am working on a project, and I am totally new to statistics. I have sales data for last two years at week level, along with other variables like temperature, holiday (TRUE/FALSE), where holiday are ...
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25 views

Impact of lagged values on identity variable

Let's say I'm working with the following simplified macroeconomic accounting identity Y_t = C_t + I_t + G_t, meaning that GNP in time ...
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7 views

Time series classification pointers

I'm new to ML/statistical learning and would like a few pointers in what I need to study to solve my problem. (FTR, I've done an Intro to AI course, classifying Fisher's Iris dataset and things like ...
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35 views

Using results of regression on raw observation values to approximate results of regression on relative change between observations (Simple, Linear)

this is my first time on Stack Exchange so if I did something wrong please tell me. I have a time series dataset. There is an observation $(y,x)$ for each continuous time $t$. Let’s say for each day ...
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6 views

How to extract long run and short run coefficients from ARDL (UECM) estimates?

I have estimated ARDL(UECM) in eviews but I dont know how to specify or extract the long run an short run estimates/coefficienst? what is the standard procedure to do so?
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Dealing with different time series data in Machine Learning

I am trying to create a stock market model based on fundamental variables for the US economy. I am using R. Some of the variables I am looking to include are: GDP, Unemployment Rate, Initial Claims, ...
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42 views

Causality in microeconometrics versus granger causality in time-series econometrics

I understand the causality as used in microeconomics(in particular IV or regression discontinuity design) and also the Granger causality as used in time-series econometrics. How do I relate one with ...
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71 views

Help for planning a neuroscience experiment

I'm new here. I am planning a neuroscience experiment. I will be measuring brain signals from about twenty subjects. I will present the subjects four different kinds of stimuli. After all the data ...
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17 views

Unexpected error from running predict variance after mgarch dcc

I am getting an unexpected error from running predict variance after mgarch dcc command. I am using Stata 13 for Windows. I tried to find the dynamic correlation between two time series by using ...
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37 views

How to compare two different clustering approaches?

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, 126 time-series=126 ...
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+50

Standard deviation of several measurements with uncertainties

I have two 2 hours of GPS data with a sampling rate of 1 Hz (7200 measurements). The data are given in the form $(X, X_\sigma, Y, Y_\sigma, Z, Z_\sigma)$, where $N_\sigma$ is the measurement ...
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10 views

Observed versus Synthetic data

I am looking for studies that compare different spatial interpolation methods for observed data. However I am looking for studies that have also compared observed with generated synthetic data. For ...
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10 views

Construct matrix of stacked variables in VAR regression

I am trying to NOT use packages for the estimation of models in order to have a deeper understanding of how things work. Currently, I am trying to estimate a VAR(1) (vector autoregression of first ...
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30 views

How remove variations in a time series X caused by another time series Y?

I have a time series on a monthly basis (a commodity) of which much variation is caused by the weather. I want to adjust this commodity for weather changes. I use Heating degree day as a proxy for ...
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1answer
22 views

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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46 views

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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17 views

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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18 views

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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1answer
29 views

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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20 views

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.
2
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1answer
40 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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3answers
71 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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27 views

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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33 views

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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36 views

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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12 views

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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383 views

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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20 views

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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21 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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197 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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68 views

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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25 views

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 ...