Tagged Questions

0
votes
0answers
91 views

A measure of concordance

I have two data series same length = 80 points such as this picture My questions: How to compare overall trends? How to measure the concordance between swings? For swing I mean each line segment, ...
1
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2answers
65 views

Time-series autocorrelations all positive

I've got 36 months of timeseries data, and eyeballing it, it has a linear trend upward. I wanted to do a little more than just eyeball it though. So I put together a correlogram of autocorrelation ...
1
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2answers
88 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 ...
3
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1answer
83 views

What are the assumptions for checking the stationarity of a time series?

I am checking stationarity or non-stationarity of a time series with R and I am using adf.test and kpss.test in ...
1
vote
1answer
153 views

State Space formulation of Hodrick-Prescott filter

I would like to apply the Kalman filter in order to get a causal Hodrick-Prescott filter. The Hodrick-Prescott filter models a time series $(y_t)_{t=0}^T$ as $$ y_t = \tau_t + c_t $$ where $\tau_t$ is ...
0
votes
0answers
56 views

time series combination

I hope you applogize me if I have mistake in grammer or dictashion.I need an eurgent help about time series. in group A I have N time series ( these are value features extracted from EEG signal in ...
1
vote
1answer
61 views

How can I get annual rates of change for combined trend estimates?

I would like to combine trend indices (gained with different methods referring to the same subject, assuming they do not differ significantly) of two different time series and to derive the combined ...
1
vote
2answers
307 views

Detect trend in time series

Hypothesis: time series has an inverted-U shape. How do we test this numerically? My idea is to take the first difference of the variable and fit a linear model using the differentiated variable as ...
1
vote
1answer
79 views

How do I prepare data which has a trend for use in a Copula model?

I want to use a set of daily water quality data including 3 parameters in a Copula model. Somebody told me these data do not have a condition of a random variable to use in copula, and I should do ...
3
votes
1answer
129 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 ...
1
vote
1answer
116 views

Trend of a few time points

Suppose we are given a matrix of many rows (different genes for example) and few columns (different time points) and we want to identify the top rows (genes) that are following a trend, like ...
1
vote
0answers
135 views

Appropriate analysis for daily measurements

I have a data set containing a daily measurement recorded from 20 participants for 60 days. I am trying to develop methods for predicting/estimating decline in long-term monitoring studies, i.e. can ...
5
votes
1answer
283 views

Double exponential smoothing in multivariate multilevel panel regression

I would like to use double exponential smoothing to predict prevalence rates of care dependency in Austrian federal states. My data is very detailed, thus I would like to make use of that in order ...
0
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0answers
58 views

When are two trend estimates identical within errors?

Given two linear trend estimates $m_1$, $m_2$, with their respective errors $e_1$, $e_2$, how can I determine if the two trend estimates are the same within errors? EDIT: Both estimates are derived ...
4
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0answers
108 views

What's the probability a rabbit will return to a (certain) forest?

Let's assume we have a forest. And there is a breed of rabbits that is visiting that forest all the time. It is possible to distinguish every individual rabbit. There are devices in that forest ...
4
votes
1answer
104 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
300 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
2answers
394 views

Time series and anomaly detection

I would like to setup up an algorithm for detecting an anomaly in time series, and I plan to use clustering for that. Why should I use a distance matrix for clustering and not the raw time series ...
2
votes
1answer
490 views

Mann-Kendall trend test of a huge time-series in R

I'm using the Mann-Kendall function of the Kendall package in R to compute the statistics of the Mann-Kendall trend test of a huge time-series (19 millions elements). It has been running for 22 hours ...
5
votes
1answer
560 views

How can we detect trend in a time series apart from visual observation of time plots?

I'm novice in time series analysis and completely lost through reading so.. I have an enormous dataset of discrete time series of aggregated events and I wish to fit each one of them into ARIMA ...
0
votes
2answers
237 views

How to differentiate hype from word of mouth in Google Trends?

I'm new to data analysis. I was wondering how I could recognize hyped (fake) growth and word of mouth (true) growth in Google Trends specifically (but I guess it applies even to stock markets and the ...
0
votes
1answer
250 views

Using a deterministic trend in OLS

I have a time series data, see jpg. It goes straight up and then straight down, later tailing off. This seems to fit my textbook’s description of a deterministic trend being an almost exact function ...
7
votes
2answers
283 views

Comparison of time series sets

I have three sets of time-series data I am looking to compare. They have been taken on 3 separate periods of about 12 days. They are the average, maximum and minimum of head counts taken in a college ...
1
vote
0answers
70 views

How can I get a velocity of how much this link is trending?

The above image represents an article's page views over time. X axis is days with 9 being the most recent day. The y-axis is number of pageviews. I'm looking for a decent, not to complex either ...
5
votes
2answers
523 views

How to remove trend with no look ahead bias?

I would like to explore the different ways one can detrend a time series without look ahead bias. I wanted to use the Hodrick Prescott filter, which seems like a quite good frequency filter, but it ...
9
votes
1answer
2k views

STL trend of time series using R

I am new to R and to time series analysis. I am trying to find the trend of a long (40 years) daily temperature time series and tried to different approximations. First one is just a simple linear ...
3
votes
1answer
198 views

Short and long-run trend

I have a time series, let's call it $y(t)$. Augmented Dickey-Fuller and Phillips-Perron tests indicate no unit root but a deterministic trend. The series is strongly autocorrelated. I estimated the ...
7
votes
2answers
3k views

Understanding the k lag in R's augmented Dickey Fuller test

I played around with some unit root testing in R and I am not entirely sure what to make of the k lag parameter. I used the augmented Dickey Fuller test and the Philipps Perron test from the tseries ...
0
votes
2answers
670 views

Trend detection quantitative models [closed]

What are the best quantitative models for trend detection? I.e. market trend.
10
votes
6answers
458 views

Dubious use of signal processing principles to identify a trend

I am proposing to try and find a trend in some very noisy long term data. The data is basically weekly measurements of something which moved about 5mm over a period of about 8 months. The data is to ...