1
vote
0answers
25 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
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) ...
0
votes
1answer
57 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
22 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
20 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
67 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
26 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
34 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 ...
0
votes
0answers
39 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
19 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
63 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
116 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
87 views

How to interpret R stl() output

I want to have a logical interpretation of the results of my stl analysis. ...
1
vote
0answers
105 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
164 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
140 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
137 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
120 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
67 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!
0
votes
0answers
293 views

Ratio-to-moving average method

I'm working on a model that the data has seasonality. To decompose the seasonal part, I'm looking at wiki page where there's an example using “ratio-to-moving average method”. However, I'm a bit ...
4
votes
1answer
236 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
192 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
135 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
235 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
71 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
269 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
190 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
90 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
548 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
963 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, ...
0
votes
0answers
174 views

Seasonality Period in ARIMA function in R - How to Interpret

I've used the ARIMA function in R to fit my data to the best possible model. My data consists of daily information and there ...
1
vote
1answer
228 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 ...
2
votes
1answer
691 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
462 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?
2
votes
2answers
425 views

Treating non-stationarity of time series in seasonal adjusted data with R

I'm currently trying to use a variable x (and others) to explain a dependent variable y in a distributed lag model (with the long term goal of predicting variable y). The plot of variable x shows an ...
5
votes
2answers
924 views

Two seasonal periods in ARIMA using R

I'm currently using R to predict a time series with these instructions: ...
2
votes
2answers
447 views

Handling forecast mean with complex seasonality

I'm using a time-series model to do weekly forecasts on the number of incoming calls to a company. This variable has a weekly 'in-month' pattern and a monthly 'in year' pattern, and i have data from ...
4
votes
1answer
444 views

Criteria to set STL s.window width

Using R to perform STL decomposition, s.window con­trols how rapidly the sea­sonal com­po­nent can change. Small val­ues allow ...
0
votes
1answer
169 views

What's the best model to analyze inflation seasonal adjustment with R?

Please, put in R the following structure: ...
4
votes
1answer
127 views

Contraindication for STL decompostion

Trying to "understand" a time series' patterns it is intuitively tempting to use STL decomposition as the concept of distinguishing between trend, season and the rest makes sense. But my experience ...
0
votes
1answer
444 views

Calculate trend slope after STL decomposition

I have a time-series of daily measurements of some quantity for 1995-2011. There's about one measurement every three days. The data show a strong seasonality (annual cycle). What I ultimately want ...
2
votes
1answer
281 views

I can't tell whether my data are seasonal or just affected by calendar effects

I used to think my time-serie was seasonal, but then I realized it simply needed some calendar-effect adjustment. I tried that and I'm now in doubt there might still be some seasonality left. I tried ...
5
votes
1answer
385 views

Seasonally adjusted month-to-month growth with underlying weekly seasonality

As a side hobby, I have been exploring forecasting time series (in particular, using R). For my data, I have the number of visits per day, for every day going back almost 4 years. In this data there ...
-8
votes
1answer
184 views

Business forecasting [closed]

Data can have trends, cycles, seasonal pattern repeats and irregular components. How do these components impact on the ordinary multiple regression with dummy variables?
2
votes
1answer
505 views

Characteristics of gold prices in an ARIMA model analysis

I'm forecasting gold prices using an ARIMA model. An ARIMA model requires a stationary, non-seasonal, linear series. However, after reading a few books, it seems that gold price data is ...
1
vote
0answers
117 views

Seasonal Unit Root

I would like to ask a question about the Dickey, Hasza and Fuller seasonal unit root test. Is there any material on the web or maybe the paper of the three (DHF) that describes the test calcualtions ...
11
votes
5answers
10k views

What method can be used to detect seasonality in data?

I want to detect seasonality in data that I receive. There are some methods that I have found like the seasonal subseries plot and the autocorrelation plot but the thing is I don't understand how to ...
2
votes
1answer
230 views

Outlier detection in short time series with two seasonalities

I have short daily time series (less than 4 years) representing sales and exhibiting two seasonalities (weekly and yearly) and I am seeking to identify outliers (not only data reporting errors but ...
6
votes
2answers
6k views

Auto.arima with daily data: how to capture seasonality/periodicity?

I am fitting an ARIMA model on a daily time series. Data are collected daily from 02-01-2010 to 30-07-2011 and are about newspaper sales. Since a weekly pattern in sales can be found (the daily ...
6
votes
2answers
178 views

Estimating event probability from historical time series with clear seasonality

I would like to predict the average number of days in a year for which two conditions are true: daily average temperature is below zero celsius the day was preceded by at least four days with daily ...