Tagged Questions
0
votes
0answers
19 views
Which variable vary previously to the other one
Here are two variable (a and b) and their value through time (time.a, time.b)
...
1
vote
1answer
52 views
Forecasting optimization techniques in fantasy baseball
I am currently trying to build a better forecasting model for my fantasy baseball roster. I currently am using commonly accepted projected season statistics (ZiPS from Fangraphs) to determine the ...
0
votes
1answer
88 views
KPSS test - output interpretation in stata
I did KPSS test for some variables in stata to check for stationarity; I want to interpret the the stata outputs, but I don't know how to do that. For instance, in the following case:
...
0
votes
0answers
22 views
Proper method for time-staggered/repeated measures data?
I have a data set with 300 workers/subjects. There is one dependent variable: a worker's performance, by some metric, during the current week. There are three independent variables (let's call them ...
1
vote
2answers
313 views
How do you interpret results from unit root tests?
I have to do some unit root tests for a project, I'm just unsure on how to interpret the data (which is what I have been asked to do).
Here is one of my results:
...
1
vote
2answers
94 views
Two sample tests for time-series segments
I have a data set consisting of a number of time-series segments, i.e each segment contains n number of contiguous samples from a time-series. Are there any good statistical tests to determine how ...
2
votes
0answers
44 views
Global warming testing
I'm very interested in weather. I use data from weather-stations.
Here are 2 examples of changing average annual temperature in Vienna and Moscow.
(I've got more, but only 2 links allowed ((
...
3
votes
1answer
74 views
Comparing coefficients of time series models
How do I test if two time series' coefficients differ significantly from one another? I feel like this should be pretty simple... should I just use the estimates/standard errors and calculate a ...
0
votes
0answers
87 views
Test for independent but not identically distributed time-series?
So far, runs test or bds test are doing OK with i.i.d data but not so for independent but not identically distributed data set based on my practical experiences with them. Are there any other tests ...
3
votes
1answer
162 views
Comparing means of two simple time series
I'm trying to look for difference in timing (ie. earlier/later) in a variable measured at regular intervals between two groups.
This seems like a simple experimental design, and working in R, I'm ...
1
vote
1answer
138 views
How to test for serial correlation of a time series itself (not residuals)?
We know that Ljung-Box test can be used to test for the residuals of a fitted model. But to test for the serial correlation of a time series itself, is there a way to do that?
0
votes
1answer
94 views
Hypothesis testing for two data series
I am currently pursuing research in management, but I have a serious problem with selecting the right statistical method.
I have quarterly data for a couple of financial ratios (for example Return ...
1
vote
0answers
47 views
Hypothesis tests on 2-dimensional panel data w/ 1 characteristic?
I have a 2-dimensional panel data set with one characteristic looking along these lines:
...
2
votes
0answers
60 views
How to test for integrated order 2/non-stationary I(2)?
How do I apply the Augmented Dickey-Fuller (or alternative) test to determine if a variable is $I(2)$ instead of $I(1)$? Is there functionality for this in R ...
2
votes
2answers
134 views
Identifying periods of non random behavior in time series
Im looking for some pointers on which topics I should be looking into in order to identify periods (of non fixed length) which deviate from randomness. I have a feeling hypothesis testing may be what ...
1
vote
0answers
69 views
Unit root tests and stationarity
Two common methods of testing whether a time series is stationary are the KPSS and ADF tests. If my understanding is correct, these tests essentially work by measuring the residuals of fitting the ...
1
vote
1answer
160 views
The test procedure of significant differences in count data over time
The data below are from a health testing centre over 8 years so there are different people being tested there each year. All I really want to show is that the amount of females being tested is ...
2
votes
1answer
127 views
Conditional heteroscedascity vs iid hypothesis - McLeod-Li test
I am using the function McLeod.Li.test in the TSA package. According to the help file in R, this function “Performs the McLeod-Li test for conditional heteroscedascity (ARCH).”
However, it has been ...
0
votes
1answer
98 views
KPSS test for large samples
I am trying to interpret some KPSS results for a large sample (n=1800 - http://data.is/TB2z5b). In general the KPSS test can be used for samples with time series with more than 100 observations? Is ...
2
votes
0answers
406 views
Newey-West t-statistics
I have a time-series which is autocorrelated by construction, and might be heteroscedastic. I have calculated the sample mean of this time-series, and would like to calculate the t-statistic ...
2
votes
0answers
121 views
What statistics to use when the data are polynomial functions (aka change over time)?
EDIT:
OK, having spent the last couple of hours checking out some pubs on functional data analysis, I am actually starting to feel a little silly having asked the question in the first place! It's ...
2
votes
1answer
108 views
Bootstrapping data for two variables
I've been back-testing a trading system that balances a portfolio between the S&P (via SPY) and 20-year Treasury bonds (via TLT). Through data mining, I've been able to identify a trading ...
0
votes
0answers
88 views
How to identify significant changes in metrics
We gather various metrics for a system many times per hour. Then for each hour, compute and store the mean, variance, and sample size of each metric.
Later to evaluate load and system changes, on an ...
5
votes
2answers
134 views
How to understand the square of an AR(1) process?
I generate an AR(1) process as follows:
x=arima.sim(list(order = c(1,0,0),ar=0.67),n=1000,sd=sqrt(0.55))
When I square it, and fit AR(1) to the squared process, ...
1
vote
1answer
46 views
How to know whether the change in CD4 population over different time points is significant
I want to check whether there is a significant difference between the CD4 cells at three different time points after virus infection. I can see the increase in CD4 population, but how do I know ...
0
votes
1answer
44 views
How do you choose the timeframe for a prediction to be tested?
To (hopefully) clarify the question a bit more if you have a broad working hypothesis that x influences y, on a causal/predictive basis (e.g. if x goes up in time t, then you would expect y to go up ...
1
vote
0answers
61 views
Appropriate significance test for peak level in a time series
I have collected biometric data on two stimuli (they are TV ads). The output is a second by second response, with values from $0$ to $1$. I want to know whether the peak response from one ad is higher ...
1
vote
2answers
322 views
Statistical test to compare multiple treatments on the same 'individual' over time
I'm looking for a statistical test or tests to compare the effects of different 'treatments' on a single 'individual' over time. The single 'individual' could be one person or a group acting as a ...
3
votes
1answer
341 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 ...
0
votes
0answers
58 views
When are two trend estimates identical within errors?
Given two linear trend estimates $m_1$, $m_2$, with their respective errors $e_1$, $e_2$, how can I determine if the two trend estimates are the same within errors?
EDIT: Both estimates are derived ...
1
vote
1answer
322 views
A list of common time series tests?
I am reviewing my time series knowledge and looking for a document that has the commonly-used time series tests, what they are used for, how to use them, etc. e.g. Augmented Dickey–Fuller test, PACF ...
3
votes
1answer
101 views
What test can I use to prove there is an upward trend in time series of ratios assesment in R?
I have a database where experiments are stored. Each experiment has a flag, which says that it was properly registered. I am trying to show with a statistical test, that there is a trend in time that ...
5
votes
1answer
223 views
Test for markov-property in a time-series
Given an (observed) time-series $X_t$ with $X_t\in\{1,...,n\}$, is there a statistical test for testing the null-hypothesis that $P(X_t|X_{t-1},X_{t-2},...,X_1)=P(X_t|X_{t-1})$ (i.e. the ...
4
votes
2answers
199 views
How to judge if a datapoint deviates substantially from the norm
This is statistics 101, but I'm not a statistician and so can't seem to find the right technical jargon to google.
My company collects data at discreet points through time. Today's datapoint is ...
2
votes
1answer
606 views
Nonparametric test for comparing trends in two time series
I am interested in doing a nonparametric hypothesis test in Stata. I have 2 series of data, each time series and that overlap in time period. 10 time periods each.
I am interested in a test that ...
1
vote
1answer
68 views
Is there a non-parametric test for whether a series' unconditional variance has changed over time?
I'm not sure how this would look. It seems you've have to specify regime breakpoints within the data, right? Or is there some rolling method that could compare window sizes against each other?
Also ...
4
votes
2answers
145 views
How to determine if there is a drop in revenue after a change in the system?
We recently released a new redesigned e-commerce website for a client. They are claiming to be seeing a 40% drop in revenue due to the changes. We have daily sales data going back a few years. We ...
6
votes
1answer
1k views
Testing for statistically significant difference in time series?
I have the time series of the prices of two securities, A and B, over the same period of time and sampled at the same frequency. I would like to test whether there is any statistically significant ...
0
votes
1answer
82 views
Is homogeneity of variances required for changepoint analysis?
I want to perform a changepoint analysis with the help of the PELT method:
Killick & al,
Killick & Eckley
I assume that the data are normally distributed before and after the changepoint. ...
0
votes
1answer
127 views
How to detect intermittent time series?
I need to automatically identify if a time series is intermittent or not. Depending on the result I'll use one or another method for forecasting it.
Is there any test to detect intermittent time ...
2
votes
0answers
1k views
Interpreting R's ur.df (Dickey-Fuller unit root test) results
I am running the following unit root test (Dickey-Fuller) on a time series using the ur.df() function in the urca package.
The ...
2
votes
1answer
281 views
Testing strict exogeneity in time series
One of the important OLS assumptions is a strict exogeneity assumption, i.e. $E(\epsilon_i | X) = 0, \forall i$. I'm interested in testing empirically this hypothesis, notably in the context of time ...
2
votes
2answers
208 views
Test for independence of random variables
I have a time series of data (about 300-750 elements, depending on the sample) and a model that has some random residues. I used the Kolmogorov–Smirnov test to make sure that the normality hypothesis ...
2
votes
1answer
490 views
Mann-Kendall trend test of a huge time-series in R
I'm using the Mann-Kendall function of the Kendall package in R to compute the statistics of the Mann-Kendall trend test of a huge time-series (19 millions elements). It has been running for 22 hours ...
3
votes
3answers
624 views
Selecting regression type for Dickey-Fuller test
I have a time series and I want to check whether it has a unit root or not. I want to use the Dickey-Fuller test. How should I choose the regression equation from the three options: regression without ...
4
votes
1answer
166 views
Comparison of areas under curves
I have two broken line graphs representing the evolution of some proportion over time in men and in women. I would like to compare these two curves. My idea was to compute the areas under them. I did ...
7
votes
2answers
830 views
Hypothesis testing and significance for time series
A usual test of significance when looking a two populations is the t-test, paired t-test if possible. This assumes that the distribution is normal.
Are there similar simplifying assumptions that ...
3
votes
1answer
205 views
What statistical test to use to examine effect of condition on states over time?
I need to know the types of tests I need to be thinking about for this stats project. I will then go and look up the specific tests you recommend. The data is from all 50 states for the years ...
0
votes
2answers
353 views
What methods of statistical analysis can be used for time series data?
I have done many 1-sample T-tests before, but I can't figure out if I am able to use one in this situation. In our experiment, we took 12 individual insects and placed them in a chamber where they ...
0
votes
1answer
388 views
Unit root tests, stationarity, and the null hypothesis
I was reading about unit root test, when I started to get slightly confused about the setting for the Null hypothesis vs Alternative hypothesis, and so I thought of asking the experts opinion.
In the ...
