2
votes
0answers
29 views

“Frequency” value for seconds/minutes intervals data in R

I'm using R(3.1.1), and ARIMA models for forecasting. I would like to know what should be the "frequency" parameter, which is assigned in the ts() function, if im ...
0
votes
0answers
29 views

Determine the causes of change in time with mixed models

I have a database with several continuous variables measured in two times. I searched for a change in time in my dependent variables in this way: ...
0
votes
0answers
31 views

PCA on spatial precipitation data time series

I have precipitation time series data stored in a 3D matrix called 'pre' (dim1/2=position (index), dim3=time). I want to do a principal component analysis in order to detect the main variance and thus ...
1
vote
1answer
62 views

ARIMAX with a specified nonlinear model using the arima function in R

I am interested in fitting an ARIMAX model using R. As known, ARIMAX can be understood as a composition of ARIMA models and regression models with exogenous (independent) variables. I have a time ...
2
votes
0answers
42 views
+50

Predicting Y from a regression model for dY

I have some time series data where I'm modelling temperature as a function of various predictors. On physical grounds, I can expect that $$\frac{dT}{dt} \propto T_a - T$$ where $T_a$ is the ambient ...
1
vote
2answers
47 views

Time series with autoregressive error

How can I in R fit a time series, $x_t$, with external regressors, $v_t$, and an autoregressive error? This time series model is given as follows, $x_t = \beta v_t + \epsilon_t$ where $\epsilon_t = ...
0
votes
1answer
31 views

Multivariate Time Series Forecasting in R - data in 10 minute intervals

I have data where an observation was made in 10 minute intervals for 8 weeks. I have around 170 variables that were measured every 10 minutes. I am trying to use multivariate time series analysis to ...
2
votes
1answer
47 views

How to build a function with the result of auto.arima in R?

I use: fit = auto.arima(Y, xreg=X) in R to get ARIMA(1,0,0), result as follows: ...
0
votes
0answers
5 views

wrong x axis label for time series plot of daily data [migrated]

I have 4 years of historical daily data. I plotted time series with command plot() and put xaxt="n" to customize the x axis. If ...
1
vote
1answer
57 views

how to use arima to do mean model

I am learning arima by this site: http://people.duke.edu/~rnau/411home.htm and I want to get the same result as following notes: ...
1
vote
0answers
30 views

Vector autoregression with interval lag terms in R?

I'd like to perform vector autoregression on a two variable system. I know that the signals $x$ and $y$ have a time lag of > 100 time points, and thus any fit with that many time lag parameters is ...
2
votes
0answers
75 views

Simple Time Series Analysis

Suppose we have collected a set of data points $\{a_{t}\}$ at time $t = 1, 2, ..., t', ..., n$. Each data point consists of the following attributes: ...
0
votes
0answers
19 views

How to simulate a structural break time series? [migrated]

I want to know how to simulate the following structural break autoregressive time series: $\begin{cases} Y_t = 0.9Y_{t-1}+\epsilon_t & \text{for }1\le t< 50\\ Y_t = ...
0
votes
0answers
4 views

Using dates in R for Theil-Sen [migrated]

I am trying to use dates as my X variable in a Theil-Sen slope estimation and I am having difficulty using the R package zyp ...
1
vote
1answer
32 views

Is it reasonable to use a combination of two forecasting models for a dataset?

I used tbats to fit a model for a 3 years of historic data and the values work fine but as I did not include holidays, holiday predictions are really off. I used arima with regressor (holidays at ...
0
votes
0answers
93 views

Obtaining the SarimaX equation from the arima coefficients

I have a SarimaX model with three regressor variables: ...
0
votes
0answers
18 views

Synchronize time series by date and time in R

e.g. i have two time series that describe how much money in specific currency i spent at specific date: ...
0
votes
0answers
25 views

prediction for data including weekly and annually seasonality and dummy variables for holidays

I have a three years of daily data for number of orders a trucking company receives everyday. Number of orders are high during weekdays and they have a huge decrease for weekend. I used msts to ...
1
vote
2answers
260 views

Wrong predictions for weekend, but good predictions for weekdays

I have a set of 3 years of daily data. I saw weekly and annual seasonality in the data so I used msts time series and tbats ...
0
votes
0answers
37 views

predicting time series with support vector machine using R

I am planning to do time series prediction using support vector Machine. I could not find any materials about time series application of support vector machines using R or Mat-lab. Similar question ...
1
vote
1answer
76 views

Time series forecasting accuracy measures: MAPE and MASE

We come to this toy example showing MAPE and MASE are not consistent when measuring forecasting accuracy. Data consist of 100 white noise and 100 $AR(1)$ time series with length $N=500$, mean $\mu=1$ ...
1
vote
0answers
69 views

Stock closing price forecasting using ARIMA model in R

I have downloaded the daily stock Adjusted Close price of one stock from sep 2011 to till date. As per my study plan, I have plotted some basic plots to understand the daily stock Adjusted closing ...
0
votes
2answers
45 views

Problem in ARIMA Model in R

I am running ARIMA model in R and I used auto.arima(X) function to decide appropriate model.After using this function I found that the order of my model is ARIMA(2,1,0). The problem is I run the same ...
3
votes
1answer
53 views

Difference between the forecast and simulate functions in the {forecast} package in R

I have been using the forecast package in R to make forecasts based on an ARIMA model and have noticed a difference in the output of the forecast and simulate functions when calculating confidence ...
1
vote
1answer
45 views

No fitted ARIMA model

I wanted to fit an ARIMA model to a daily database for three years but auto.arima couldn't find a model and showed the following error: ...
2
votes
1answer
113 views

Forecasting a seasonal time series in R

Forecasting airline passengers seasonal time series using auto arima Hi, I am trying to model some airline data in an attempt to provide an accurate monthly forecast for June-December this year using ...
1
vote
1answer
49 views

Transforming a time series with a negative number

I have been given data to forecast however it has a negative figure within the data which then, when doing a log transformation to make the series stationary, the ARIMA script i have written won't ...
1
vote
1answer
51 views

Regressing a differenced variable on a lagged variable. How can I fix the error in R?

I have a time series (std) of 324 observations with no missing values, starting from January 1987 and ending in December 2013. I want to regress via OLS the one in the question. In R, the code: ...
1
vote
1answer
40 views

Residual Value Prediction For Used Electronic Products

I am trying to predict the long term residual value of a product with only the releasing price. I have collected some data off the Internet related with one phone type, and it is pretty obvious that ...
0
votes
0answers
14 views

Calculate standard error in state space model in R

I am estimating a DFM in state space form in R. I have used the function spg from the package BB (optim was not working) and dlm to optimize so now I have the parameters of the filter. I now would ...
2
votes
1answer
59 views

standard errors of the fitted values of a time series regression

I really want to understand how the math is working here. I am trying to get the standard error of the fitted values for a time series regression model.In the non-time series regression,I know I can ...
0
votes
1answer
40 views

How to solve this formula in R for specific days for the whole year? [closed]

I'm a beginner in R. I'd like to calculate the load for 3 water quality parameters in R for specific days for the whole year using the following formula: Using the previous formula, I'd like to ...
3
votes
2answers
142 views

How to estimate model with both linear and exponential parameters?

I have a theoretical growth function that can be perturbed by events, and I'd like to estimate the growth parameters as well as the perturbation, and the rate of falloff after that perturbation. I'm ...
4
votes
4answers
184 views

Predicting time to finish

Out of curiosity, I want to understand how to model this problem. I've been hearing people suggest the use of linear regression but I am not sure how to encode this problem (included my attempt below) ...
1
vote
0answers
15 views

What is the “scale” parameter in “continuous autoregressive model” in cts package?

I am trying to use the "car" command in "cts package" in R program and I see the "scale" parameter there. I wonder whether this can be assumed to be equivalent to time intervals for time series ...
2
votes
1answer
114 views

Can we skip the lower order terms in interactions? [duplicate]

This question is about three-way interaction and the possibility of applying without second lower terms with keeping the main variables in the equation not like the other questions. In fact the other ...
3
votes
3answers
69 views

Transforming time series to compensate for change in variance

I have a time series (shown below) that comes from a sensor whose calibration was changed in the middle of last year. As part of this change, the sensor's reading of the variance (or volatility) of ...
2
votes
0answers
41 views

Is two years enough for panel data analysis?

I have around 800 companies for only two years period. However, around 200 of them have only one year observation. Is it still possible to conduct panel data analysis with such data Thank you
0
votes
0answers
37 views

Reproducing ARIMA error terms

When forecasting a moving average (MA) model using R's forecast, why does using residuals(fit) produce different results than ...
0
votes
0answers
17 views

using decompose function for high frequency data

I have a table as Date Time Energy 1/1/2008 10:30 0.89 1/1/2008 11:30 0.76 and so on. The data is recorded for every half an hour. I wish to ...
0
votes
0answers
29 views

Time series Data Analysis and Forecasting by country and time factor

cty year qtr tl Argentina 2009 Q4 3 Argentina 2010 Q1 2 Argentina 2010 Q2 7 Argentina 2010 Q3 7 Argentina 2010 Q4 10 Argentina 2011 Q1 7 Argentina 2011 Q2 7 Argentina 2011 Q3 1 Argentina 2011 ...
2
votes
1answer
34 views

Seasonal vs non-seasonal coefficients in R ARIMA

Let's say I have the two following ARIMA models: ARIMA(7,1,1) (no seasonality) ARIMA(6,1,1)(1,0,0)7 (seasonality of period 7). Are they conceptually the same? If so, why is that when I model ...
1
vote
1answer
23 views

Is it possible to measure the independent variable with part of the dependent variable

I have Beta as my independent variable and Economic value added (EVA) as my dependent variable. To calculate EVA I need to use Cost of capital and to calculate that I have to use Beta, so is it ...
0
votes
0answers
55 views

How to interpret residual plots from time series regression

I am doing a time series regression between 2 variables. I used the dynlm library in R. I'm trying to understand how to interpret the results. Could you please point out where I am getting it wrong: ...
1
vote
1answer
42 views

Holt-Winters and Abnormal termination in LNSRCH

I try to fit data with Holt-Winters function in R. Nevertheless, i am getting the following message: ...
0
votes
0answers
25 views

breakpoint analyses on multiple series: how to detect common points

I have 20 time series that span the same period (100 days each), from 4 species sampled at 5 different location. I made a loop to perform a breakpoint analysis on all of them, resulting in 0 to 3 ...
0
votes
1answer
35 views

Hodrick-Prescott derivation in lay terms

I am currently working with the Hodrick-Prescott filter. I would like to understand the equation in lay terms.
3
votes
1answer
99 views

Spread-Level Plot versus Power Transformation Functions in R

I'm having trouble interpreting the results from the Spread-Level Plot function in R (car package). The documentation says: PowerTransformation spread-stabilizing power transformation, ...
0
votes
0answers
17 views

estimating period and dealing with Non negative values in forecasting

When I read time series in a ts object and put a period: 1) tr <- ts(data[,4],frequency=). This works for two different periods and decomposes perfectly to show (downward) trend, seasonality and ...
2
votes
3answers
133 views

Library routine for rolling window lag 1 autocorrelation?

I am looking for a library routine that will calculate the lag 1 autocorrelation of a time series with a rolling window; meaning "slide a window of size N points along the time series, calculate the ...