1
vote
0answers
61 views

F-statistic value is too high for my model

Number of obs = 501 , Method: Fixed-effects regression Number of groups = 101 F( 10, 100) = 3422.31 , Prob > F = 0.0000 , ...
0
votes
1answer
21 views

Confidence Interval Application to a time series

So I'm not sure if I 100% grasp confidence intervals. Say I have a huge data set of a bond prices from 1996 to present in MINUTES. Suppose I separate each data by day. If I were to use a Dickey Fuller ...
0
votes
0answers
52 views

Method for detecting anomalies in timeseries?

I am exploring creating alerts for anomalies in a timeseries. Say that I have a graph like this: There are two anomalies here that I would wanted to be alerted on: First, on April 7th with there ...
1
vote
3answers
57 views

Test if advertising raised sales?

I have an (offline) advertising campaign that I'm running in one city. I'm trying to figure out how to answer the following questions: What are the chances that the advertising campaign has no ...
2
votes
1answer
60 views

Why could mean centering change results

I used centering for my variables due to multicolleanirity and surprisingly the results (from before to after centering) changed for two interacted variables; one from significantly negative to ...
1
vote
0answers
30 views

Testing significance of correlation between two autocorrelated series

Say I collected the shin bones of N different skeletons; they are all around 30cm long, and I measured different properties P1, P2, P3, P4 and P5 along these bones every 3mm (so I have 100 data points ...
0
votes
1answer
21 views

How to determine if two time series are significantly related to each other

Based on our knowledge of other characteristics of these two variables, we have reason to believe that changes in admits to a ward has an impact on a certain bad outcome on that ward (these are counts ...
0
votes
0answers
50 views

Statistical significance of coherence values

I have two signals sampled at 100 Hz during 3 seconds. So I have 300 sample points at each signal series. I want to calculate coherence values between these two time series and would like to know ...
1
vote
0answers
20 views

statistical comparison of power spectrums over all frequencies

So I have N=147 control time-series signals and N=134 treatment (THC) signals. I want to compare if there are any significant differences in frequency power in the two groups. The top part of the ...
5
votes
2answers
86 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 ...
2
votes
1answer
58 views

Statistical significance in time series and sub-series

So, when I did first year stats in undergrad, we did an experiment where we tampered with a bunch of coins, to see if it would cause a statistical difference in the results. This is a graph of the ...
0
votes
0answers
32 views

How to model to improve the room usage efficiency based on motion sensor history

To reduce the confusion, I changed my application from traffic to meeting room, so this application is about modeling a meeting room efficiency , the data collection is built by placing a kind of ...
0
votes
0answers
26 views

How can I statistically compare two time-series? [duplicate]

I have two time-series. Data have been logged over time for two different objects. Is there a significance test, applicable in SPSS or Minitab, that can be used to determine whether there is a ...
2
votes
0answers
71 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. ...
0
votes
0answers
34 views

statistical test for sequence of data

There is a sequence of data. It might have different types of trend, i.e., increasing, decreasing, and even cycling pattern. But there is an assumption that these trends should be smooth. (maybe not ...
0
votes
1answer
72 views

Standard deviation of percentage changes in a time course

I ran into a problem analysing some data I produced. I measured concentrations in biological samples in a time course manner. I measured three replicates for each of the seven time points. I can ...
2
votes
0answers
53 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 ...
2
votes
2answers
51 views

Significance of time course difference over interval

I am dealing with some data which plotted looks like: I would like to add a level of significance to my claim that the values of the two time courses are different over the latter half of the ...
1
vote
0answers
64 views

How to test whether a time series is significantly non-zero at any point in time?

I have some data that varies over time, and cannot be described by a simple model. In fact we don't care what the model is at all, we just want to know whether it is significantly non-zero at any ...
1
vote
0answers
64 views

Choosing significance level alpha and max_lag for Granger causality

I am really new to Granger Causality and am just rabidly experimenting with this MATLAB function: granger_cause(x,y,alpha,max_lag) ...
0
votes
0answers
47 views

How to derive variance in data tracked over inconsistent (irregular) time intervals?

Background (skip if tl;dr) The close votes review queue at Stack Overflow looks pretty hopeless. I'm holding a weekly hour-long chat room event where users can congregate to review close votes ...
1
vote
1answer
113 views

Time series data analysis - determining significance between treatment and control

We have some time series data for evaluating the effect of a drug in an animal model, with two dose levels and a control. So far we've looked at ANOVA for each time point, and there's a significant ...
4
votes
2answers
428 views

What is the definition of one-sample Kolmogorov–Smirnov test?

I have a time series data set of photon arrival times from a detector and need to know whether the arrival time is uniform.It is a continuous distribution? I have calculated the maximum $D$ between ...
0
votes
1answer
65 views

Comparison of horizon forecasted values for two models (ARIMA and NAR)?

I fitted ARIMA and NAR models to 10 different univariate time series. These time series are water characteristics at a water treatment plant (CO$_2$, TDS, TH, pH, ...). After fitting suitable models ...
1
vote
0answers
387 views

When testing CAPM why is r-squared so low?

I am testing CAPM, Fama-French & Carhart-models (so a 1-factor, 3-factor and 4-factor model) for financial portfolios (60 observations). There is one type of portfolio with low R²'s. The CAPM ...
2
votes
1answer
4k views

Ljung-Box Statistics for ARIMA residuals in R: confusing test results

I have a time series I am trying to forecast, for which I have used the seasonal ARIMA(0,0,0)(0,1,0)[12] model (=fit2). It is different from what R suggested with auto.arima (R calculated ...
0
votes
0answers
101 views

Statistical significance of long term trend?

I have data sets of long term climatology wind speed data on daily basis for 1950-2000. I have calculated the mean for every year and calculated trend pattern, it shows some positive trend of 0.05 ...
1
vote
2answers
422 views

Comparing two sets of time-series (physiological measures)

I need help in finding which statistical approach I need to use. I have two groups: G1 (disease) and control. For both groups we measured their blood level every 10 minutes: 0 to 650 min. We are ...
1
vote
2answers
935 views

Statistical test for a significant change in time series (sales) trend after policy change

My apologies if this has been addressed before, however my experience with statistics is a bit limited, particularly when it comes to time series analyses. My current question relates to the ...
0
votes
1answer
401 views

Detecting a (statistically) significant change in time series trend

Suppose I have two time series (Series1 and Series2) which are identical from timePeriod -200 to timePeriod 0. Say that in timePeriod 0 they are both equal to 100. Series1is equal to 200 at timePeriod ...
0
votes
0answers
97 views

How to test if two populations are different with the x axis a time variable

I have two populations: Class A and Class B. Both populations have two variables: ...
0
votes
0answers
78 views

Calculating differences between groups and across time (age)

Let's say I have data of one variable $V$ measured for two groups of individuals ($a$ and $b$) and I want to see whether there is a significant difference between them and over time, i.e. $V_a$ stays ...
1
vote
0answers
25 views

Deciding if my mutant strains are significantly different from my wild type from data measured over time or from gradients

I have a set of data which is the oxygen consumption of a wild type (WT) and a few mutants. I averaged the data and plotted graphs with each mutant and WT series and plotted a line of best fit. Is ...
2
votes
0answers
36 views

Time variation in coefficients

Given $x_t, y_t$ ($t=1,\ldots,240$), I want to estimate $y_t = \alpha_t + \beta_t x_t$ and test $H_0: \alpha_1=\ldots=\alpha_T=0$. It is crucial to allow for time variation in the regression ...
1
vote
2answers
180 views

Spotting trends in time based data

I have a dataset which I need to spot trends in. The actual data refers to operation calls which take a certain amount of time to complete. My client wants to know which operation calls are improving ...
0
votes
0answers
109 views

Statistical significance of stock portfolio returns?

I bought 3 stocks on 1/1/2013: ABC, ACME, WRAM. By 3/1/2013, I earned a 10% return. During the same period, the S&P 500 returned 5%. Is my superior performance statistically significant?
0
votes
0answers
20 views

the approach for checking whether a process is stable?

I have two scenarios for time series data. 1) I have a uni-variate variable spanning across the time axis, are there any approaches or statistic to check whether this process is stable? 2) I have a ...
0
votes
0answers
105 views

Comparing strength of trend and seasonality for various levels of aggregation

I have a monthly time-series for which I've fitted the time-series regression model including linear trend and 11 dummy variables for seasonality. Then, I aggregated the original time-series to ...
3
votes
2answers
347 views

What test should I use to determine if a policy change had a statistically significant impact on website registrations?

A client's website was operating under a certain policy for membership sign ups for over a year. At the start of October 2012 the client implemented a new policy for sign ups that was supposed to ...
1
vote
0answers
90 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 ...
3
votes
2answers
4k views

How to compare two time series?

I have collected temperature readings for 4 locations on a beach in Cornwall UK using data loggers. The loggers recorded temperature every 15 mins accurate to .1 of a degree (Celsius). The loggers ...
2
votes
0answers
81 views

Effect of duration of treatment on the outcome at different time points

I am interested in knowing if the duration of treatment has an effect on treatment with two different drugs. We have used two different drugs to treat cerebral ischemia (brain damage) and continued ...
1
vote
0answers
170 views

Some questions about VAR-models, $\Phi$-matrix-coefficients and partial-(auto-)correlations

There is an abundance of literature about VAR-models, which teaches how to test preconditions, specify and estimate VAR-models for stationary and also cointegrated time-series. However, I'm still a ...
3
votes
0answers
182 views

How to compare the accuracy of two different models using statistical significance

I am working on time series prediction. I have two data sets $D1=\{x_1, x_2,....x_n\}$ and $D2=\{x_n+1, x_n+2, x_n+3,...., x_n+k\}$. I have three prediction models: $M1, M2, M3$. All of those model ...
6
votes
1answer
3k 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 ...
4
votes
1answer
273 views

What is a reasonable independence test for a time series?

Suppose that I have a time series, $x_{1:n}$, and I would like to test whether they are all independent samples from the uniform distribution on $[0,1]$. This is a somewhat basic question, but how do ...
3
votes
3answers
437 views

How to determine if a price decrease is historically significant?

I am creating a program to collect and analyze prices for goods and alert the user when the price decreases so that they can buy it on "sale." I know a little statistics (e.g. standard deviation) but ...
5
votes
1answer
168 views

Test for non random-walk

I have a set of sequential data around of around 12k points. Each is a 1 or -1. They are split something like 53%/47%. I want to test the hypothesis that this sequence comes from a random walk with a ...
0
votes
0answers
85 views

Significance and extending simple time series correlation

Using a very simple set of data I ran a simple correlation using Google spreadsheet. I got a -.83+ correlation, which is pretty strong. So now I am wondering what else I might be able to determine. ...
7
votes
2answers
2k 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 ...