1
vote
0answers
8 views

Appropriate Test? Is there a “t-test” for ratios when large number of data points and multiple runs?

N.B. I only have a very basic statistics background since I am in grade 9 in high school. Any help would be GREATLY appreciated. My Experiment: -Part 1: 2 variables (A and B) were each sampled in my ...
4
votes
2answers
68 views

Help for planning a neuroscience experiment

I'm new here. I am planning a neuroscience experiment. I will be measuring brain signals from about twenty subjects. I will present the subjects four different kinds of stimuli. After all the data ...
1
vote
0answers
25 views

Regression - volatility vs return

I am attempting to estimate a linear model as: $$ y = a +bX +e $$ I have a series of annual returns and I would like to estimate the effect of volatility on losses. My Null hypothesis is that ...
1
vote
0answers
30 views

Detecting time-shifted time series

Assume there are two time series of real values. How to test hypothesis, that these series are quite the same, but there is a time shift between them? Sorry, if the question is too basic. Thanks in ...
1
vote
1answer
17 views

Test to compare an effect on a variable on a daily basis

I would like to know the effect of an external factor on the number of visits on a website during a period of 4 weeks (only search visits from Google). For this, I measured the number of visits every ...
0
votes
0answers
5 views

What I have to undergo testing before proceeding to time series analysis? and after?

I have to conduct a time series regression analysis. Before proceeding I tested for stationarity and I verified that the variables are distributed according to the normal probability distribution. ...
4
votes
1answer
60 views

Testing for a drop in bookings

We're developing real-time alerts for fine-grained (every 5 minutes) time series bookings data, and I'm looking for the best approach to doing this. Idea is that if over the past 10–15 minutes (say) ...
2
votes
0answers
63 views

Performance testing: detecting changes in distributions over time

I have an interesting application I’d like some advice on. A common task when working with stochastic systems in an engineering context is testing for regressions and improvements in performance. ...
1
vote
2answers
150 views

How to test for presence of trend in time series?

Apart from detecting trend from a time series plot, how do you test for its presence before removing the trend using moving average? I fitted a mathematical trend to the data and the slope was ...
0
votes
0answers
25 views

How to test if the mean of data collected over many days is significantly higher on a predicted day

I have some data examining blog posts on different days. Basically, about 2000 news articles pertaining a certain topic were sampled and each blog post was given a positivity percentage score ...
0
votes
1answer
86 views

Trend test on historical stock prices, where to start?

I am a beginner on statistic but come across an urgent situation that I have to work with statistics of stock prices data. I have learned that ones can do a hypothesis test that rejects the Random ...
1
vote
1answer
51 views

The concept of “average run length” in change point detection

With respect to the change point detection for data stream, there is a concept of "average run length", which is discussed in the CPM package manual: I am not clear why that "average number of ...
2
votes
0answers
59 views

Statistical power of unit root test

When studying time series, I once heard the statement that unit root test is less powerful. I hereby have two questions: What does it mean for a test to be powerful? What causes the unit root ...
2
votes
0answers
47 views

Asymptotic distribution for t-test with time series

I once read the following statement: Given the following equation $ Y_t= c + a Y_{t-1} + \theta_t$ If $c\neq 0$, then the t-ratio for testing $H_0 : a=1$ is asymptotically normal. If $c=0$, then ...
3
votes
1answer
88 views

On properly setting up a control chart

Let me present to you the way I have being 'doing' control charts up until now. I have a series of $k$ samples of size $n$. I calculate the the sample means $\bar{x}_i$ and the grand mean ...
0
votes
0answers
54 views

Comparison of time series data between groups of individuals

We are currently analyzing experimental data with the following format: All participants (n=100) make repeated allocation decisions in fixed intervals: 100% is divided up into two allocation options ...
1
vote
1answer
76 views

How to analyze data which might come from a few normal distribution concatenate together in order?

For example, I have a series of values for example like the following: data <- c(rnorm(10000,40,1500),rnorm(9000,-35,1400),rnorm(11000,30,1300)) I don't know ...
0
votes
0answers
141 views

About ADF GLS test

I have a set of data which i need to explain and compare with ADF-GLS test and ADF test in eview. I don't understand the principle of ADF-GLS test with trend and intercept or only intercept. However ...
1
vote
0answers
28 views

Test when and how often 2 time series have similar values

I am monitoring two moving cars and collecting data on their instantaneous speeds three times per second for approximately two hours. I would like to create some kind of hypothesis that will tell me ...
1
vote
0answers
26 views

Test if a variable is a good predictor of a transition to a state

I have a dataset of the wealth of 10 different countries in the world since 1800, one data point per year. Let's say I have noticed that when the wealth of a country goes above $1,000,000, this ...
0
votes
1answer
122 views

Interpreting the coefficients of ARCH Lagrange Multiplier Test

I am new to econometrics and I am building my first econometric model. I ran the LM test on a univariate time series data of 12000 observations and got the following stats: ...
1
vote
0answers
59 views

Finding which customers I am losing and gaining

I work in an oil analysis lab and I want to devise a statistical test to determine which of our customers are buying more oil sample tests and which customers are buying less than usual. The data I ...
2
votes
1answer
190 views

Is this process an AR(1)?

The following process $X$ is generated as the sum of a structure $y$ and an $AR(1)$ process with $\phi=0.4$ and $\sigma_{\epsilon}^2=1$: ...
4
votes
1answer
178 views

Meaning of a “portmanteau test”?

From Wikipedia A portmanteau test is a type of statistical hypothesis test in which the null hypothesis is well specified, but the alternative hypothesis is more loosely specified. Tests ...
0
votes
0answers
24 views

Technique for neurovascular experimental analysis?

I'm trying to run statistical analyses on the data I got from some neuroscientific experiments. Because I don't have a solid math background, I would really appreciate any input as to what tools to ...
1
vote
1answer
96 views

Confused about independence and prediction power of data

What is the correct way (if there is one) to think about when authors claim that stocks have produced some percentage annual return X over every 20 year period of time? They might calculate this by ...
2
votes
1answer
205 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
1k 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
34 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
9k 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
5answers
290 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
54 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 (( ...
6
votes
1answer
142 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
154 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
329 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
293 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
172 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
63 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
99 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
180 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 ...
2
votes
0answers
146 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
267 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 ...
3
votes
1answer
253 views

Conditional heteroscedasticity 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 heteroscedasticity (ARCH).” However, it has been ...
0
votes
1answer
116 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
658 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
166 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
129 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 ...
5
votes
2answers
168 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
55 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
50 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 ...