Tagged Questions

0
votes
1answer
54 views

Fitting GEV to non-stationary time series of extremes (general stationarity question?)

I'm fitting the generalized extreme value distribution (GEV) to a series of annual maxima of variable $X$. $X$ exhibits a linear trend. When I fit the GEV to $X$, I think I have the choice to Use ...
2
votes
0answers
33 views

Fitting series to a distribution

I am reading this note on Mean-CVAR optimization. The authors argue against the prevailing assumption that asset classes are normally distributed and propose using a truncated levy flight distribution ...
1
vote
1answer
81 views

Time series prediction when data is not i.i.d

I have time series data $y_t$ with covariates $x_{1,t}, x_{2,t}, ...$. The covariates represent budgets for different programs. I can create an ARIMAX model that fits the data very well so far. In ...
0
votes
1answer
57 views

How to determine if distribution in timeseries has shifted?

Is it possible to determine if distribution of time-series has shifted significantly without assuming any particular underlying data distribution. Furthermore, would it be possible to a identify ...
0
votes
0answers
35 views

Comparing distribution and time series

I have an empirical discrete distribution. Each observation is made up by six percentages that sum up to one. These latter are the fraction of individuals reporting good, bad, etc. results in ...
-1
votes
1answer
162 views

How do I conduct peak detection for exponentially distributed data? [closed]

Which method would you recommend to detect peaks from an exponentially distributed data? Knowing that the data source is a "page views" quantity over time, and considering the following histogram ...
3
votes
1answer
336 views

Kolmogorov-Smirnov Test Alternatives

I'm comparing 2 data sets from nearby locations to see if they differ significantly in air quality. I cannot perform any paired tests because the data at one location does not necessarily correspond ...
1
vote
0answers
48 views

Question on the appropriate way to calculate the CDF of a volatile measure

If I track the the volatility of a stock on a sample period and at every point in time where I record the volatility I would like to also record the CDF of the volatility. Should I take the entire ...
5
votes
1answer
188 views

What are some common measures of variation in an interval?

Context: I'm working on an app that "listens" to breathing/snoring and "diagnoses" apnea by taking note of pauses between breaths. For the most part this works well, but it's (rather amazingly) ...
0
votes
0answers
29 views

Combine large number of dynamic changing samples to create an index

I have a large number of independent tests (ie hundreds/thousands), where each test is mostly a normal distribution, but the means vary wildly across each test. What method should I use to combine ...
6
votes
2answers
195 views

Differencing an i.i.d. time series

Why differencing a normal, i.i.d. time series $X$, generates a negatively correlated series $Y$? > Acf(rnorm(5000, 0, 40)) > Acf(diff(rnorm(5000, 0, 40))) ...
1
vote
0answers
56 views

Measuring temporal aggregation

I have a series of 2000 individuals, for each of which I measure the daily duration of a repeating event over the course of a year. That is, for each individual I have a vector like: ...
2
votes
1answer
795 views

How to test homogeneity of variance if the data may not be normally distributed?

I need a test to check for homogeneity of variances. I am not sure if a series is normally distributed. If I use a test of homogeneity of variance that works for NON-normally distributed data, does ...
2
votes
1answer
62 views

Modelling worst, average and best case capacity of a system

A system has an incoming request rate of N requests per second. The system hosts a pool of x workers where x >= N. Each worker can complete a single request in approximately t seconds. The maximum ...
3
votes
2answers
258 views

Time series data distribution forecast?

While having chronically data of population growth (registered users of a site), I want to compute a function that approximates future growth, based on past data. Also, what we ll be the distribution ...
6
votes
2answers
464 views

Generating over-dispersed counts data with serial correlation

Could anyone provide some suggestions on how to generate over-dispersed counts data with serial correlations? I am using R software to conduct a simulation study. Any references on this subject will ...
6
votes
2answers
151 views

Compression theory, practice, for time series with values in a space of distributions (say of a real random variable)

Example of problem: Part of our research team is working on providing operationally wind power forecast. Usually, since there are different time scalse that interest forecast user, a forecast is ...
5
votes
1answer
431 views

Automatic test measuring dissimilarity between two time series

I have two time series, series1 and series2. My aim is to find how much Series2 is different from Series1, automatically/quantitatively. Image can be seen in its original size by clicking here. ...
4
votes
3answers
2k views

How can the IID assumption be checked in a given dataset?

1- How can I check if a set of data can be assumed as IID data? I'm not so familiar with statistics, but I guess I should look at the first lag of autocorrelation for independent distribution. Have no ...
5
votes
1answer
271 views

A measure to describe the distribution of a dendrogram

Could anyone suggest some statistical measures to describe the distribution of a dendrogram? If I have two dendrograms, how could can I quantify their structural differences?