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

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Generating sample

How to generate a sample of size n = 400 from the deterministic trend model yt = 1 + t + et, where et is normally distributed white noise with mean 0 and variance 2500? I don't know how to begin? any ...
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1answer
39 views

Timeseries analysis procedure and methods using R

I am working on a small project where we are trying to predict the prices of commodities (Oil, Aluminium, Tin, etc.) for the next 6 months. I have 12 such variables to predict and I have data from ...
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2answers
45 views

STL + Random walk failing

We have four months of data (10 minute interval), this seems have nice pattern (at least for eye ball). We are using STL to decompose the time series and apply "random walk" to project next month ...
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29 views

preferential multinomial model (with memory)

I am modeling a system that is like having a container of an infinite number of colored balls. On each day $t$, I pull out a new set of $n_t$ balls and I count the number of balls that are red, green, ...
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4 views

Distribution of test statistic in ARCH LM test

To test for ARCH effects in a time series, there is the ARCH LM test. Its test statistic is $\chi^2(n)$-distributed, where $n$ is the number of lags in the test regression. But if you have run ...
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5 views

How to obtain cross-correlation function from cross-spectrum?

I have implemented a piece of code based on the Lomb-Scargle approach for determining the cross-spectrum of two time series. My cross spectrum contains complex numbers and I have used the basic fft ...
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20 views

Augmented Dickey-Fuller Trend and Intercept

I am trying to determine if I should include an "intercept" or a "trend and intercept" when using the Augmented Dickey-Fuller (ADF) test. I ran a regression with my dependent variable and a time ...
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9 views

Add columns and Arithmetic with Time in R [migrated]

I`m new in R. I have a table in .csv format with 12K rows like below: ...
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20 views

Arima modeling with limited data

Our 250 weekly datapoints are shown in the figure, along with correlograms of 1st differences. Are we correct to conclude, from overdifferenced correlogram, that for this process we should have much ...
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14 views

Questionable Output from Time Series Forecast Using MSTS and TBATS from R forecast package

Using historical daily order totals, I'm wanting to forecast the totals of the next 7 days. It's known in my field that these totals fall subject to weekly and yearly seasonal trends. Called ...
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1answer
32 views

Time series periodicity bootstrapping

I'm interested in analysing the periodicity of a parameter X, measured over time on cells. The method I am using is destructive, so I cannot follow the same cell over time, but I am rather measuring ...
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9 views

Correlation/similarity binary time series

Which are the best or most used methods to find similarities between binary time series? ...
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2 views

How to obtain cross-spectrum using the Lomb-Scargle approach?

I would be interested if you could direct me to an implementation in R for finding the cross-spectrum because all the implementations I have seen deal just with the power spectrum.
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1answer
21 views

Suggested method for estimating door counter stats when data is lost

I'm wondering if you have any advice about a methodology to use to estimate "door counter" stats (i.e., an automated count of visitors to our organisation, based on "break beam" door counters ...
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1answer
40 views

Measures to compute the similarity between two time series whose amplitude is periodic ignoring any phase differences

Question: Given two time series whose amplitudes are periodic, what measures could i use to quantify the similarity between them ignoring any phase difference? Specifically, i am looking for measures ...
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20 views

the decision of being White noise on e-view

And for example, let's take SMA(2) model in this table does there exist white noise ? Which value I observe to decide the existance of white noise? Please explain it. Thank you
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35 views

White noise ACF - PACF

I found PACF and ACF like the following table . But, how can I decide whether there exists white noise? And what is white noise? If there is no white noise, can I say being stationary?
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7 views

Extract ETS method used for automatic forecasts of hierarchical time series with hts package [migrated]

I'm trying to extract the ETS method that is automatically chosen when we apply the forecast function to an hierarchical time series using the hts R package. When I look in the structure of the ...
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1answer
22 views

Identities in a VAR model

I am working on a VAR model where one of the equations is an identity. For example: $$ \begin{cases} A_t = \alpha_{11} + \alpha_{12} A_{t-1} + \alpha_{13} B_{t-1} + \alpha_{14} C_t + ...
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9 views

r package for non-decimated /stationary wavelet [on hold]

Which r package is should be used for forecasting and plotting stationary wavelet transformation?
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calculating stationary wavelet by pyramid algorithm [on hold]

would someone explain how to calculate Stationary wavelet by pyramid algorithm?
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2answers
56 views

Autocorrelation and Partial Correlation plots in ARMA models

Consider the following input and its Autocorrelation and Partial Autocorrelation plots (source). What are the shaded blue areas in these plots? I often see them when studying ARMA models. What do ...
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23 views
+50

Help in state and parameter estimation when a time series model excited by pseudo binary input

An IIR system is excited by a pseudorandom binary signal $z_n$. The output of the system is corrupted by zero mean additive white Gaussian noise and this is observed, i.e., $y_n = \mathbf{h^Ty_{n-1}} ...
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13 views

Time series analysis for discontinous years

i have a data of measured values of pH in river water for two years 2004 and 2009 for each month. I want to see seasonal trend ie: are there similarity in summer , winter and monsoon for both year. ...
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30 views

Incorporating intraday data into end-of-day forecast

my target variable is observable intraday but I am interested only in EOD forecasts. I will denote the variable $\ y_{D,24}$ as the reading of interest for day D is ...
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6 views

Interpretation of Lo.Mac M1 and M2 test statistics

I used R to get the Lo.Mac test result for a return series. I am not sure how to interpret the M1 and M2 test statistics of Lo.Mac variance ratio test. What are the critical values to reject or accept ...
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4answers
93 views

Detecting changes in time series (R example)

I would like to detect changes in time series data, which usually has the same shape. So far I've worked with the changepoint package for R and the ...
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7 views

How to find anti-correlated subsequences in correlated time series?

Say I have two time series $X_t$ and $Y_t$ (with $ 1 \leq t \leq N$), which have a high positive Pearson correlation. Say I also have reason to believe there are subsequences $X_{tj}, Y_{tj}$ (where, ...
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2answers
35 views

Let's talk sales forecasts - integrating a time series model with subjective “predictions/ leads” from sales team

I've learned a lot about time series forecasting this previous year, but one thing that's still a bit lacking in terms of a formal system is integrating a future sales projection into an existing time ...
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25 views

Which program for PVAR? [on hold]

I have been looking at some studies that use panel vector autoregression models. The problem is, I can't find which statistical package the authors use. I would like to estimate impulse responses in ...
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13 views

Technical Indicators reference [migrated]

I have been looking for a good reference where I can find how technical indicators of stock market analysis are calculated. I have a dataset (time series) which I want to extract these indicators to ...
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2answers
53 views

Detect periodic events within data

I have a collection of card transactions, each with a date, amount, card identifier and merchant. I want to determine if a card is making periodic payments to a given merchant. The issue is that the ...
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26 views

Multivariate stochastic time series forecasting

I have a multivariate time series like this ...
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12 views

Slope versus Slope Change [closed]

Is there a difference in the definition of Slope versus Slope Change? I am doing slope and level change calculations for my dissertation. I can't seem to find the answer if there is a difference.
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1answer
47 views

Detecting anomalies in a time series where new data points will be continuously added

I have a time series data and I will be adding more data points in a consistent manner. I want to figure out whether the new data point added is an outlier, in regards to the previously observed data ...
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20 views

Decomposing a known time series into a linear combination of known timeseries.

I'm have a time series that is dependent on a large number of other timeseries, but these dependent timeseries don't add up to the main one, as I don't have the full population of these dependent ...
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5 views

What Model to Use, are my assumptions correct? Psuedo Time series

I have quite a few questions and would like some help/advice or a general pointing i the correct direction. I have a dataset that has every home sold over the last 3 years and it's sale price, along ...
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32 views

Matlab: Problem in implementaion using toolbox while learning Kalman FIlter

I have AR(1) model with data samples $N=500$ that is driven by a random input sequence $x$. THe observation $y$ is corrupted with measurement noise $v$ of zero mean. The model is $y(t) = ay(t-1) + ...
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1answer
30 views

Regressing a discrete variable

I have a discrete dependent variable (say, number of units bought) and want to run a linear regression with in-store promotion, seasonality, trend etc. as predictor variables. I'm not sure if it is ...
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1answer
37 views

Normalize time series with different lengths with linear interpolation in R

I have a large set of time series (100k, each 3 observations), their lengths varies about 10% on average. Each of them cover the time interval of the same lengths but varies due to rate of sampling, ...
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34 views

AIC versus cross validation in time series

I am interested in model selection in a time series setting. For concreteness, suppose I want to select an ARMA model from a pool of ARMA models with different lag orders. The ultimate intent is ...
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Prediction intervals for mixture models for time series forecasting - is it really an average of the prediction intervals of the averaged models?

I'm trying to find out how to do forecasting with a mixture model (averaging the forecasts of an ets, an arima and an ...
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19 views

how i can model VAR-GARCH

i really need your help how i can run the ling and McAleer(2003) model (VAR-GARCH) and McAleer (2009) model(VAR-AGARCH) with spillover response? and can you help me how i can run DCC-EGARCH with ...
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0answers
10 views

time series with error bounds at lower level than “series”

I have what I think is a very basic question but I am greatly struggling with knowing what model to use and where to start, and all help would be appreciated. Basically I have a dataset that is a ...
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11 views

What interpolation methods to use for irregularly sampled time series?

I have two AR(1) time series with a pre-defined cross correlation from which I sample using a Gamma distribution to obtain irregular time series. What interpolation methods can I use to obtain a ...
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1answer
28 views

Unit Root testing and stationarity of a time series

I'm trying to understand: how is check for stationarity(or lack thereoff) linked to unit root testing. More so the logic of it. i understand the null hypothesis used in adf or kpss but I need the ...
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1answer
29 views

Where do you find info about which predictive distribution an algorithm uses for forecasting?

I am trying to fit a mixture model to a time series in order to make forecasts. I'm told that this is quite straightforward as long as the predictive distributions used by the component algorithms ...
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20 views

Level of a time series and adding daily dates to plot

just wondering if you can help me with explaining this plot Just wondering what does level tell me? is it the trend of the data with seasonality taken out, which is the slope right? Can't seem to ...
2
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1answer
34 views

Regression with different frequency

I am trying to run a simple regression but my Y variables is observed on a monthly frequency and x variables are observed on an annual frequency. I will really appreciate some guidance on a suitable ...
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1answer
16 views

What statistic to use to measure effectiveness of treatment on fluctuating process

I have a process $R$ that normally does something like a random walk between 0 and 1. I have a set of treatments. I believe that some of the treatments will bias the process $R$ in such a way that, ...