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

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How to use R to get drift rate and volatility rate of stock prices changes?

I am doing a research on the historical annual stock prices changes, where I have about 30 rows of annual stock prices. How can I use R to get the drift and volatility rate?
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12 views
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5 views

How to prove that Innovations in the Innovation Algorithm are uncorrelated?

I tried to search on the internet but could not find a proof... For the innovation algorithm, I am refering to the one used in the time series analysis to predict unknow value.
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2answers
36 views

PACF for MA(1) process

I have MA(1) process: $X_t=\epsilon_t+\theta\epsilon_{t-1}$ I want to prove the equation for PACF for $n\geq2$ $\alpha(n)=\phi_{nn} = \frac{\theta^n(-1)^{n+1}}{1+\theta^2+...+\theta^{2n}}$ I found ...
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18 views

Timeseries forecasting (Cointegration)

I am trying to forecast commodity price fluctuations in a small dataset. The data I am using is here . Does my data have seasonality and Trend? Can someone explain me how to decide that? If my ...
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4 views

Doubt in representing Kalman filter equations

I want to represent the following 2 models as a state space representation using Kalman filter. Will be grateful is somebody please let me know if my approach is correct and rectify, if otherwise. ...
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7 views

What is the appropriate way to compare regressions between two time series

I have two temperature time series, both sampled at the same rate and over the same time period. What would be the correct method to compare the slopes of the linear regressions of these two datasets ...
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12 views

Can I combine stationary and non-stationary variables in a VAR model? [on hold]

Using two variables for a VAR model, I observed that one of the variables is I(0) and the other is I(1). Should I difference the non-stationary variable and combine it with the I(0) variable, and form ...
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16 views

Can the chi-squared be used to test monthly means for two time series?

Can chi-squared test be applied to compare two continuous random variables but where instead of counts we split samples into groups and into cells of the table we put means for groups? In our case we ...
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8 views

Generating sample [on hold]

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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2answers
223 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
72 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 ...
2
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0answers
41 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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7 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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0answers
24 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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0answers
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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25 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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0answers
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
33 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 ...
3
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1answer
45 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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21 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
24 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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10 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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10 views

calculating stationary wavelet by pyramid algorithm [on hold]

would someone explain how to calculate Stationary wavelet by pyramid algorithm?
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2answers
58 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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49 views
+50

Help in State and parameter estimation for a time series model excited by 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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34 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
102 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
36 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? [closed]

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 ...
4
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2answers
55 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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1answer
86 views
+50

Beginner level: Help in learning Kalman Smoother (Part 1)

Parameter estimation of Linear Dynamical system is a tutorial which explains Kalman Filter, Smoothing, and Expectation Maximization. I have followed the derivation for Kalman Filter. But cannot ...
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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 ...
0
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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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35 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 ...