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

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Sugest Vaible Research Area in Optimum Block Lenght for Block Time Series Bootstrap [on hold]

I am having something in mind concerning a thesis in Statistics; it is the "optimal block length for block bootstrap". the issue is that much work is also done on it already. Can anyone please guide ...
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12 views

References: Association Rules + Forecasting

I am looking for any kind of information which involve Association Algorithms and forecasting. To make my point clear; let's ...
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15 views

VAR model with different time period for each series

I am trying to fit a Vector Autoregression model to forecast GDP growth Rate. I have 2 series, monthly GDP growth rate and a monthly economic indicator. For the monthly GDP growth rate, the latest ...
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2 views

How to split data for LSTM prediction of a vector?

I'm trying to decide how to best split my data to train a LSTM to predict the next time series vector, currently my inputs are 255,30 . So 255 time steps with each containing a vector of length 30 ...
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16 views

Difference between particle filter (PF) and recurrent neural network (RNN) for time series

Both method are used to estimate time series from data. The question is, when should I use one method or other? Is any advantage to use one instead of the other? I know that in a PF there is a hidden ...
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8 views

How to compare ordinal variables across groups and time?

I have a short survey that is administered twice (baseline and follow-up, same questions) to a treatment and comparison group. It contains mainly ordinal variables. Here is one example: Overall, how ...
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1answer
16 views

X13 Arima with negative values

I'm running x13 Arima analysis on a US GDP series to get the "trend" component. ...
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1answer
21 views

trade off between stationary and seassonal time series

I have the annual change in natural logs of house prices as my monthly series. When I undertake the augmented Dickey-Fuller test I observe that is not stationary, and when I plot the auto-correlation ...
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14 views

Why is prewhitening important?

I am writing code,geophysical time series processing.First step is to prewhiten values in time domain.Why is this step important? For example,I have found this on sas.com If, as is usually the case, ...
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2answers
19 views

Forecasting ranges for multiple observations with quarterly data

I have 90 markets with quarterly results, with data from 2014 Q1 to 2016 Q2. I'd like to predict 2016 Q4 results. With a time-series in R, as I understand, you need a single observation over multiple ...
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1answer
43 views

Time series with 24 yearly data points - advice needed

I have a dataset containing the prevalence rate of Malaria in Botswana, starting in 1990 and ending in 2014. My task is to verify whether these data can be used in order to make predictions on the ...
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1answer
34 views

What can I conclude from the following Granger causality test?

I have two monthly time series: one for house prices expressed in annual change growth rates: $\left( \text{ln}(X_t) - \text{ln}(X_{t-12})\right) - \left( \text{ln}(X_{t-1}) - \text{ln}(X_{t-1-12})\...
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1answer
19 views

State-of-the-art methods for forecasting time series array

Suppose I have a set of measurements taken at regular intervals, and I want to predict future values of one of those measurements. There are relationships between the variables being measured. For ...
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13 views

Time series cross-validation, calculate RMSE for different forecasting horizions

Following Rob J. Hyndman suggestions on how to do cross validation for time series ( http://robjhyndman.com/hyndsight/tscvexample/ ), I modified his original code to evaluate how RMSE (not MAE) ...
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20 views

Generating smooth time series

I want to create a smooth time series that follows a non-linear simple model, for example something like this: $Y_{t} = 0.5(Y_{t-1})^{3/2} + \epsilon_{t}$. The important part to me is to have $Y_{t-...
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12 views

changepoint detection and its analysis

I applied changepoint detection provided by ecp package against a given time series. The time series plot marked with identified change points is shown as follows. ...
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42 views

How to model really rare events in a single time-series

The event of interest happened only 5 times in the last 4 years. My independent variables are the number of results returned by Google Search for specific keywords over time (and per domain of each ...
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3answers
64 views

Model/explain a time series as a function of other time series - R

I have six time series, all made of daily historical data. All of them cover the same period and the same days, they are all about 2700 days long. I want to explain one of the time series as a ...
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12 views

Year effects in fixed effects regression

Could explain me how the interpretation of the coefficients changes when I have not only group effects (one way fixed effect model) but also time/year effects (two way year effects)? I am studying ...
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10 views

Machine learning implementation in Ultrasonic sensor data [on hold]

I am using an ultrasonic sensor to detect liquid level(milk) in a container(silo). Length varies to 25 cm to 8 m. I am looking for ideas on machine learning implementation of the data received. I ...
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25 views

Parameter estimation for ARIMA around a complicated deterministic mean

Currently, I am trying to fit a time series to the following model: $$ (1-\phi_1B-...-\phi_3B^3)(y_t-\mu_t)=\varepsilon_t(1-\theta_1B-...-\theta_3B^3), $$ where $t=1,\dotsc,n$ and $y_t-\mu_t$ is ...
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31 views

Demand Forecasting Models

I want to forecast demand of various products using time series data of 2 years (using loops on products in R), frequency is daily and demand is to be forecasted for next 90 days I have used the ...
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16 views

Choosing between ets or arima model

I have a time series and two models to choose from: ETS and ARIMA. I have used the MAE to select a model. But when forecasting the time series and comparing the models, I don't know which model ...
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12 views

Time Series forecasting using Kalman Filter (in Matlab) [on hold]

I have searched online for an example of time series forecasting using a Kalman filter. Specifically, I would like to forecast a stock index, e.g. the Dow Jones, using the filter and do this in Matlab....
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30 views

Studying fluctuations in time series

I have some time series to analyze. Given the domain the data is coming from - Time series is supposed to have some fluctuations. A regular periodicity might not be present at all in some cases. ...
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29 views

Dimensionality reduction for multivariate time series

I have a data set including 25 variables $(x_{1,t},\dotsc,x_{25,t})$ at each time $t$ and all of this group is repeated through time. I want to explore the relationship between these variables through ...
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1answer
21 views

Applying bayesian inference to a time based problem

I have a N*M matrix with N customers and M products. Each row of this matrix is a M dimensional vector like [1 3 4 1 5 ....] where each value represents how many times that customer has chosen this ...
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1answer
39 views
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14 views

Time Series: How to Deal With Differences In Public Holidays?

I am conducting analysis on the relationship between stock markets in regions with differences in the date of public holidays. That is, in some countries, Friday and Saturday are public holidays while ...
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3 views

Stacking time series data vertically [migrated]

I am struggling with manipulation of time series data. The dataset has first Column containing information about time points of data collection, 2nd column onwards contains data from different studies....
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2answers
33 views

Difference between Granger Causality and AR1

Here are my questions: is there a difference between "VAR(1)" and "AR(1)"? Granger Causality inspects the direction of causality. In return, we receive a p-value on how much a time series is likely ...
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12 views

How to calculate first order autocovariance in AR(1) process?

For a process describing dividend yield $x_t$, it is assumed to follow a first-order autoregressive process: $ x_t=\delta +\phi x_{t-1} + \eta_t $ where $|\phi|<1$ and $\eta \sim \mathcal{N}(0,\...
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1answer
46 views

RNN learning sine waves of different frequencies

As a warm up with recurrent neural networks, I'm trying to predict a sine wave from another sine wave of another frequency. My model is a simple RNN, its forward pass can be expressed as follow: $$ \...
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11 views

Given Three Time Series Estimate a Fourth

I have three time series $Y^{1,2,3}$ that I expect to vary according to some parameter that modulates the amplitude for a specific window. How can I estimate a fourth time-series based on their ...
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127 views

What is the best way to detect repetition in xyz data for purposes of splitting data?

I'll use this picture to explain What I want to do is define some patterns as trained patterns. Then given data I want to be able to determine if the pattern exists in the dataset, and if it does ...
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44 views

Perceptron trained on time series always predicting the same answer

Using the model from theano's tutorial, I'm training a 3-layers perceptron with log returns over a very large dataset (~55,000 points). The output's layer contains two neurons, one for each of the ...
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33 views

K-fold cross-validation for time series with dynamic target variable (Scikit)

I would like to do a K-fold cross-validation on time series data (market data) with a two class classification target. My test folds must be forward looking and of a fixed size ...
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16 views

Raster time series smoothing

I'm searching for an R package to raster time series smoothing. Currently, I'm using an approach like this one (using the equation suggested by Hamunyella et al., 2013) ...
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13 views

Strong fluctuations in level component after TBATS

I have 2 time series sampled at a weekly level spanning a period from the start of 2010 until the present. Initially I had used a TBATS model with the frequency of the time series set to ...
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19 views

How to interpolate the Quarterly data to Monthly data in R? [closed]

Here, i have cumulative quarterly data. Is there any way to split the cumm data month wise?
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12 views

Portmanteau Test for Cross Correlations

How can I test for the joint significance of cross-correlations between two variables? Suppose I have two stocks. I wish to test if they are related to each other non-contemporaneously (i.e. have some ...
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1answer
21 views

Timeseries with binary regressors

I'm trying to identify impact of some causal events on a given timeseries. However, the trouble is I only know whether the event occurred or not (binary). What kind of techniques can I use to create ...
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15 views

HMM for fitting multiple time series with covariates

I have a large number of possibly correlated time series with multiple covariates that have the potential to affect them all. I'd like to approach them using HMM but I am not sure about the following:...
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1answer
18 views

Check validity of a time series regression model using simulated time series dataset

I want to generate two artificial time series, one of which acts as the explanatory variable and the other as the dependent variable for a regression model. Can anybody suggest as to how to proceed ...
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6 views

How to use logic gates with time-series values simulink?

In Simulink, based on the comparison between a constant and a time-varying series, I want to generate another time varying series. But the problem is: when I try to directly compare the two signals ...
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1answer
27 views

Difference between VAR model and simple vectorial regression

So I am aware of VAR models. Specifically for the VAR(1) case: $X = A_1~LX +\epsilon_t$ where $L$ is the lag operator. A simple regression between vectors would be: $Z = A_2~Y+\epsilon$ where $Z$ ...
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19 views

Correlation for feature selection in multi-dimensional time series

I have multi-dimensional time series data with seven dimensions. The correlation coefficient between two of these dimensions is about 0.65. Can those two variables be said to be/treated like being ...
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26 views

Variance of stationary VAR process

Suppose we are given stationary VAR(p) process. How to estimate variance of its components: $y_{1t}, y_{2t}...y_{mt}$? Will be very grateful for help!
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1answer
22 views

Modelling Time Series in SPSS

I'm very new to statistics and I've been asked to create a time series model in SPSS. I've taken a list of articles from one journal, each categorized by their main topic (topics have been numerically ...