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

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How to transform the LDA model to see the topic evolution in chat content?

Now I have a data set with about 13,000 lines, including the date, sender, chat content in a public server. The data set covers about ...
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What is the difference between Bayesian seasonal adjustment and other types?

I need to learn this for a new task I have been allocated but it has been a few years since I studied maths! I have some books on time series and have read a few papers on it and I understand time ...
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LS-SVM time series forecasting

I'm trying to forecast a time series of air passengers using LSSVM with the help of the LS-SVMLab toolbox v1.8 from http://www.esat.kuleuven.be/sista/lssvmlab/, specifically the NARX model function. ...
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4 views

Deconvolution - two transfer functions applied to the same signal

I'm observing two timeseries, $\hat{h_1}$ and $\hat{h_2}$. I believe that both are products of convolution of the same underlying signal $f$ with a two different transfer functions, $g_1$ and $g_2$, ...
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Multiple time series - class of problem with agents and events?

I'm working on a prediction problem and struggling to find applicable resources (articles, tutorials, papers) that address this class of problem. I'm assuming the info is out there and I'd love to ...
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25 views

Time series analysis: since volatility depends on time, why returns are stationary?

I run Dickey Fuller test in order to know if stock returns are stationary. I get that no matter which stock I take, his return is stationary. I don't know why I get this result since it is clear that ...
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8 views

Modelling Internet Traffic

I want to model the daily view counts of content shared over the internet. I know (or rather I assume) that the view counts will start off at the ground level, but will shortly spike up quickly (e.g. ...
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31 views

Variable selection with multi-variate time series

I currently have a data.frame with 273 variables and 94 rows: ...
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9 views

Model for prediction of binomial probabilities based on time series events with variable duration

I am new to this field, so sorry if I am not precise with the nomenclature I use. :) I am trying to develop a statistical model that will allow me to calculate the outcome probabilities of a binary ...
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23 views

Assessing seasonality. When to use seasonal ARIMA instead of non-seasonal ARIMA?

I need to test the effect of some predictors over the oil price. I'm fitting ARIMA models to my data. Could you help me determine whether using a seasonal or a non-seasonal ARIMA model? Is oil price ...
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How to test whether a time series of measurements have converged to an equilibrium

I have a time-series of data that looks like this (as a couple of examples): This mean energy is the mean over a number of Monte Carlo test particles. The number of particles vs. time is not ...
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2answers
34 views

Sales forecasting with non-stationary data

I would like to do sales prediction based on my sales data for a particular product for a year. I understand this is non-stationary data which needs to be converted into stationary data and modeled ...
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2answers
32 views

auto.arima not giving the best model according to information criteria

I'm using auto.arima to get the best model for the MASS dataset deaths. However, ...
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1answer
61 views

Find Variance of AR(2) process $X_i = 0.3X_{i-2} + u_i$

Full question: $X_0,X_1, …., X_n$ are distributed according to the following AR(2) process $$X_i = 0.3X_{i-2} + u_i$$ for $i=1,...,n$, $X_0=X_1=0$, and $u_i$ are iid $N(0,3^2)$. Have no idea ...
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1answer
52 views

Statistical significance in time series (R)

Stats newb here, I have to determine if two time series are really different instead of being part of the same population with noise in the samples. The data is a comparison between two algorithms ...
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+50

How to analyze trend in non-periodic time series

Suppose I have following non-periodic time series. Obviously the trend is decreasing and I would like to prove it by some test (with p-value). I am unable to use classic linear regression due to ...
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10 views

ordinal logistic regression with time series

At several time points, I sample different individuals from a population (say 60 ind/time point). I assign to each of them one category (either low < middle < high). I then want to model this ...
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13 views

Calculating the probability of an event being early or late by a certain amount

I'm very new to this so I assume there's a better way to ask this that I just don't know about. Please point me in the right direction. Suppose I'm running a library and books are due 30 days after ...
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11 views

Predict function in r - time series

I have built a model on my training dataset where I have used the difference of the log(Y) i.e. diff(log(Y)) as my response variable. Now if I want to use this for predicting the Y variable in my ...
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38 views

Offline Hidden Markov Model for time series analysis

One of the main principles of HMM is that the future state is dependent on previous state. This method is widely used for time series segmentation. However, for offline segmentation one can run HMM ...
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20 views

Seasonal Time Series Modeling in SPSS Modeler (or R) & ARIMA

I've got a question regarding ARIMA modeling. I am having a hard time to make to model out the seasonalities of my time series. The pictures below shows my tries in modeling. The topic is to ...
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1answer
27 views

What cross validation use with time series database?

I'm using a regression tree to predict/forecast a daily bases data. I'm wondering to use a cross validation to train and predict all the data. What cross validation procedure I may use?
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114 views

Covariance of two time series driven by a restricted VAR(1) model

Suppose that I have two time series $X_n$ and $Y_n$ where: $$ X_n = \rho_x X_{n-1} + \epsilon_n $$ and $$ Y_n = \rho_y Y_{n-1} + \rho_{xy}X_n +z_n $$ Here, $z_n,\epsilon_n$ are independent random ...
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White's Reality Check Hypothesis Testing question

I am running a hypothesis test based on White's reality check p-value. I am getting a weird result for my univariate time series of returns. In essence, I am following a code on MATlab to run the test ...
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3answers
67 views

Forecast accuracy metric that involves prediction intervals

I'm in the process of generating a time series forecast for a company's product revenue and am looking for some way to show accuracy over time - e.g. after say 6 months they want to see how the actual ...
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268 views

Why does multiplication in the frequency domain equal convolution in the time domain?

This question came in the context of understanding how to get a distribution of a sum of two iid random variables. I'm working through the top answer to this question Consider the sum of $n$ uniform ...
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1answer
57 views

Model selection for and forecasting of arctic oscillation (a seasonal time series)

I'm having a doubt with a time series. I have to find the best model for it and use it to do some forecast. The data are about the arctic oscillation (AO) from 1950 to 2015. The series is clearly ...
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14 views

Forecast function for a MA(2) time series

For the quadratic loss function and the lead time $l = 1$, derive the forecast $z_t(l)$ for the MA(2) time series, and then calculate the prediction error $z_{t+l} − z_t(l)$ and its first and ...
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13 views

Relationship between observations [on hold]

My question is how can test the hypothesis H0 H0 : Relationship between observations. How to get this? Thanks.
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14 views

Dynamic regression models in SAS

Could anyone please advise on any relevant material on utilising dynamic regression models in SAS? The response variable is a continuous variable with multiple drivers with various types (categorical, ...
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16 views

Individual versus group-wise significance in ARDL context

In an ARDL model approach, what is one supposed to do if the F-bound test shows insignificance while some variables have significant long run and short run coefficients (the error correction term is ...
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1answer
22 views

What does the error “pre.period must span at least 3 time points” in the CausalImpact R package mean?

I've been encountering the error "pre.period must span at least 3 time points" when using the package. Can someone help me understand why the package requires me to have at least 3 time points and ...
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22 views

Time Series Regression With Splines

I have time series data for 63 years on 3 variables (V1, V2 and V3). I need to fit the most appropriate time model to all three variables individually (linear trend, quadratic trend, cubic trend and ...
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18 views

Rolling estimate of Andrews.Chen, median unbiased estimator of an AR model in R? [migrated]

Given an AR(4) process, this can be rewritten in an ADF form as In order to estimate $\rho$, that in this case represents the sum of the autoregressive parameters, there is a procedure proposed by ...
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1answer
40 views

Modelling stationary and integrated time series in one system

I am currently investigating commodities and their impact on the oil price. I have 8 variables of different stationarities $y$ = dependent variable (oil price) is non-stationary I(1); three ...
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1answer
34 views

Handling missing values in function `prewhiten` in R [on hold]

I am using function prewhiten from "TSA" package in R. I get an error about NA values, but I don't understand it, because I ...
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1answer
28 views

Can negative relationship between X and Y be spurious

Let's assume I have X and Y and both X and Y have positive relationship. In such case in which both series trend in the same direction, we need to test for cointegration to be sure that relationship ...
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26 views

Print significant auto-correlation values in R [on hold]

If I do an autocorrelation test in R (using function acf), I get a great graph, and the horizontal lines show the cutoff of significance. Function ...
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1answer
39 views

Estimating accurately the mean of an autocorrelated bounded integer time series

I have a bounded integer time series $X_{1:\infty}$ ($1\leq X_k\leq M$), and I want to estimate the mean $$ s = \lim_{L\to\infty} \frac{1}{L}\sum_{k=1}^L X_k. $$ I'm assuming it exists and that $X_k$ ...
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10 views

LSSVM Prediction using LS-SVMLab toolbox v1.8

I'm trying to forecast a time series of air passengers using LSSVM with the help of the LS-SVMLab toolbox v1.8 from http://www.esat.kuleuven.be/sista/lssvmlab/, specifically the NARX model function. ...
0
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0answers
35 views

Similarities between Pade approximations and ARMA(p,q) in time series [closed]

I am wondering if someone would mind explaining how Pade approximations in calculus and ARMA(p,q) in time series are similar.
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20 views

Modelling Reflexivity with a Time Series Model

I'm new to this forum so hi to everyone! I would like to find a time series model that is capable of modelling two time series with following properties: 1) consider time series X and Y. X is ...
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1answer
22 views

Time series regression coefficient interpretation with differenced independent variable

I'm working on a project on time series regression. The independent variable was non stationary so I took first differences to stationarize it. Now when I regress it against the dependent variable the ...
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time-series analysis / forecast compared to real planning (controlling) departments?

The following case study: Planning and forecasting in a volatile setting by Amy Wheeler, Nina Weitkamp, Patrick Berlekamp, Johannes Brauer, Andreas Faatz and Hans-Ulrich Holst, published in Rob ...
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38 views

How to forecast daily sales of multiple items?

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39 views

Vector autoregression: many variables (10), short sample (100)

Suppose there are ten observation sites along the road. A, B, C, D, E, F, G, H, I, J. We obtain data at each site once in a day, in this order. That is, first go to the site A at 9:00a.m., and when ...
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Dynamical time warping for dynamical system classification

I am trying to find a way to classify and segment a large set of time series that each individually describe a dynamical system. I wanted to know if the following idea for doing so is a feasible ...
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23 views

X-13 Seasonal Adjustment trading day peak in regarima residual

I have a time series of air passengers with a total of 143 monthly observations. Having done the seasonal adjustment using X-13-ARIMA-SEATS, the final diagnostics seem to suggest that the seasonal ...
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20 views

Measuring promotion baseline smoothing

I am trying to estimate promo effectiveness for a retail product. To do this I have taken monthly quantity sold data for the product. My question is - Is it logical to model the sales baseline (sales ...
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Jittery sampling of jittery events - what to prioritize

Stat beginner with a practical problem. In an industrial application, I'm sampling a repetitive production process, to generate a histogram of the cycle time. The cycle time of course varies somewhat ...