0
votes
0answers
19 views

Time-series detection algorithm for multi-seasonal data using Python

My data: I have two seasonal patterns in my hourly data... daily and weekly. For example... each day in my dataset has roughly the same shape based on hour of the day. However, certain days like ...
3
votes
3answers
55 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 ...
0
votes
0answers
47 views

Four tricky time series questions with a “seasonal twist”

A ski-hotel has the most guests in the third quarter in every year (check the data below after the four questions). Can you answer these four questions (every year has 4 values, the first is quarter ...
0
votes
0answers
15 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
18 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
89 views

Filtering using a SARIMA model in R

I am not an expert in statistics, but I would like to work on a SARIMAX model representing power consumption. The exogeneous variable would be the temperature, but for now I found here I might need to ...
0
votes
0answers
34 views

Holt Winters Initialization Issue

I am using an additive seasonal Holt-Winters model to compute confidence band of my data. I followed the HW initialization process described by Rob J Hyn­d­man. The confidence band is derived by ...
2
votes
2answers
136 views

R: Fitting a model with periodic, nonlinear and categorical components

Can anyone give me some advice on how to fit a model with linear (some categorical), non-linear and time series components in R? I don't want to use a non-parametric model like a Loess smooth or ...
1
vote
0answers
32 views

Can seasonality be detected / explored with principal components analysis?

I have a rainfall data consisting of around 95 years for the rows and twelve months of the year for columns. So this is a 95x12 matrix, not a column vector. Can I derive any idea about the months to ...
1
vote
1answer
97 views

What econometric model to forecast a seasonal commodity demand while incorporating exogenous Information?

I have a monthly commodity demand and try to forecast this series for the next 5 years. Here is a plot: Of course, the natural approach to forecast this seasonality would be some kind exponential ...
1
vote
1answer
53 views

How to perform seasonal adjustment to a time series?

Assume following data set representing each month of the year 2013 with the corresponding consumption of natrual gas to heat my flat and the respective mean temperature. How can I seasonal ...
1
vote
1answer
86 views

time series — seasonal adjustment

I'm concerned to seasonal adjustment procedure and want to know the criteria for this purpose can anyone please give me the answer of the following question. what should be the criteria for seasonal ...
0
votes
0answers
47 views

Interpretation of TBATS Components

I've searched everywhere for this answer, and come up empty handed. I'm building a forecasts model for interface traffic reported in 5 minute intervals over a 1 year period. To account for ...
1
vote
1answer
38 views

Testing the influence of monthly fluctuations

Let's say we have a dataset that looks like this: ...
2
votes
0answers
150 views

Time Series: Seasonality and trend

I am interested in financial time series and I have a small question regarding the use of the forecast package. The time series I am interested in is a monthly one and present clear evidences of ...
1
vote
2answers
206 views

How to calculate time series seasonality index in R?

In R, I use the decompose method on my time series object and it gives me seasonal + trend + random component. For seasonal component, it gives me absolute value which is good but I would also like to ...
1
vote
0answers
70 views

Trying to use Holt-Winters and SARIMA to fit this data

I want to find a time series model for monthly precipitation data. I checked SARIMA and Holt-winters seasonal multiplicative models. I can't find an appropriate model. These models underestimate ...
0
votes
0answers
15 views

Times series and starting point incidence

I'd like to modelize the height of a plant which depends on Its aging (in months). The month it has been planted. For instance a plant of 3 months is higher if it has been planted in march than ...
1
vote
0answers
42 views

How remove variations in a time series X caused by another time series Y?

I have a time series on a monthly basis (a commodity) of which much variation is caused by the weather. I want to adjust this commodity for weather changes. I use Heating degree day as a proxy for ...
4
votes
1answer
83 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) ...
0
votes
1answer
209 views

time series is obviously periodic, but seasonal decomposition is not working in R

my time series is obviously periodic, but the seasonal decomposition using stl() is not working in R: ...
0
votes
0answers
36 views

Using day length and rate of change of day length in linear regression

I have a time series in which samples were collected approximately monthly over ten years. I have wanted to identify whether a number of bacterial species were seasonally variable and whether they ...
2
votes
0answers
28 views

Non-fixed seasonality in time series

I believe some time series data I am looking at shows seasonality according to general elections (UK, so this can be 4 or 5 years). How do I remove this effect in R?
1
vote
0answers
88 views

Periodogram vs. spectral density diagram of a time series

Could someone explain to me the difference between a periodogram and spectral density diagram? The first diagram is produced with this block of code: ...
1
vote
0answers
33 views

What is usefulness of time series decomposition if building a multivariate model?

I am at the early stages of building a panel regression model of sales data. I know my final model dataset will consist of log sales, control variables and log media variables. I am planning to use ...
1
vote
0answers
41 views

On the Fly Time Series modeling

I'm dealing with a system which monitors and records a time series (half hourly) which I plan to use to build a double seasonal time model (if possible using something that already exists, such as ...
1
vote
0answers
77 views

Trend and seasonality tests for a univariate time series

I am working with a batch of about 1000 univariate time series in R . For every time series, I have to perform following tasks , before deciding upon a model be it ARIMA, TAR or Holt Winter's Model ...
0
votes
0answers
39 views

Seasonal Data with Yearly “Step” Trend

Trying to plan for upcoming inventory needs for a clothing company. There is a strong seasonal component to the data. At the beginning of the year, sales are up; at the end, sales are down. Each ...
0
votes
0answers
102 views

Forecasting time series with trend and seasonality

I have a univariate time series, which has a trend and month seasonality. Traditionally I have been using auto.arima() method in R to model such series. So when I ...
1
vote
1answer
202 views

Multivariate biological time series : VAR and seasonality

I have a multivariate time series dataset including interacting biological and environmental variables (plus possibly some exogenous variables). Beside seasonality, there is no clear long-term trend ...
2
votes
1answer
212 views

How to interpret R stl() output

I want to have a logical interpretation of the results of my stl analysis. ...
1
vote
0answers
195 views

R - ARIMA model with long seasonal periods - Error: “length of x and xreg does not match”

i want to use an ARIMA model in R for predicting an electrical load on a minutely basis. By examining the ACF I figured out which model could suit. The ACF has shown that the value one day ahead has a ...
1
vote
1answer
202 views

ARIMA with difficult seasonality in R

I have non-stationary time series. It has evident trend in means and seasonality. These raw data are measured every second. On the plot of original series I see trend and seasonality about 80,81 ...
1
vote
1answer
251 views

Using anomalies to calculate trends of seasonal data

I commonly see people doing trend analysis of (monthly) timeseries data which show a strong inter-annual cycle following this scheme: compute climatological means ("mean January", "mean February", ...
0
votes
3answers
166 views

Deterministic components in covariates/exogenous variables in time series models

Actually, I have read a pair of books about time series analysis, but I am still not sure about how to treat deterministic components, like trend and seasonality, in the exogenous variables in a time ...
4
votes
2answers
138 views

Treatment of triple seasonal data

I have a data set of electricity spot prices, which contains three kinds of seasonality: one within 24 hours, one within a week and one within a year. I want to use an R package (...
1
vote
1answer
78 views

Frequency on Tbats function in R

I have 3 complete years + 4 weeks of weekly time series data, of which one of the years is a leap year. To calculate its frequency should I do (365x2+366)/(3*7)? Thanks!
4
votes
1answer
332 views

Why does auto.arima() give negative output?

This is the dataset on which I am working currently, which is production data. Data: ...
1
vote
2answers
293 views

Seasonal dummies significance issues

I have a question concerning the significance of the seasonal dummies in my ARIMA-model (I do not use seasonal differencing or seasonal AR/MA as I have quite regular seasonality and I get better ...
3
votes
1answer
193 views

Residuals in double seasonal exponential smoothing

I have a time series with muliple seasonal cycles, which are 24 and 168 hours for my case. I would like to use Double Seasonal Exponential Smoothing method to forecast, which was published by James W. ...
1
vote
1answer
341 views

Including seasonality in regression

I am regressing monthly data that I know has significant seasonality. I have about 50 monthly observations. I was thinking of using 12 variables and for each row of my data turn on one variable ...
-1
votes
1answer
75 views

What does seasonality of 1 mean?

What does having a seasonality of 1 mean? Suppose I have hourly data and I define the seasonality to be 1, does that mean the data will be dealt with as if there is no seasonality?
9
votes
2answers
303 views

How to model month to month effects in daily time series data?

I have two time series of daily data. One is sign-ups and the other terminations of subscriptions. I'd like to predict the ...
3
votes
0answers
226 views

Best practices for dealing with shifting, inconsistent seasonality

This question is related to a previous post I've looked at (Calculation of seasonality indexes for complex seasonality), but deals with more granular data (daily instead of weekly), and transforming ...
1
vote
0answers
103 views

Harmonic or dummy seasonal model

Within the BFAST package in R, one of the parameters that it gives is the choice of seasonal model parameter (harmonic, dummy, or none). I understand what none does; However, I didn't really ...
0
votes
1answer
713 views

Time series deseasonalization

How do you know when deseasonalization is not necessary? That is, from what I understand, if you want to just look at the trend and irregular components of a time series, then you just need to remove ...
0
votes
3answers
2k views

Identify seasonality in time series data [duplicate]

I want to detect presence of seasonality in time series data. I know one can achieve that by plotting the autocorrelation function but I need an automatic process if the series is seasonal or not, ...
1
vote
1answer
284 views

What to do about Seasonality Patterns in ACF, Time Series Data

I'm dealing with a time series data and I'm trying to construct a time series model for this particular dataset. I'm new to R and tried using the the auto.arima ...
3
votes
1answer
1k views

ARIMA forecast with seasonality and trend, strange result

as I am stepping into forecasting with ARIMA models, I am trying to understand how I can improve a forecast based on ARIMA fit with seasonality and drift. My data is the following time series ( over ...
1
vote
2answers
627 views

What is the best way to strip weekly and seasonal noise from a time series data set?

What is the best way to strip weekly and seasonal noise from a time series data set? Any recommendations on different approaches and there relative benefits?