Time series are data observed over time (either in continuous time or at discrete time periods).

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SARIMA model on original (unstable variability) or transformed (stabilized) series?

If my series requires a log-transformation to stabilize variability, do I apply the sarima function to the log-transformed series or the original series? Does the ...
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22 views

How to bootstrap to get probability of reaching a value or greater? [closed]

I am trying to bootstrap in order to estimate the probability of reaching a certain value (or greater) reaching 1.3568 or a higher value based on the data. I am attempting bootstrapping as a method to ...
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46 views

Missing data imputation in time series in R

I have got hourly temperature data from 2012 to 2016 as follows: ...
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20 views

Questions concerning GARCH modelling in R (mean equation, forecast evaluation) [duplicate]

I apologise, if these question are trivial, but I am currently trying to estimate a family of GARCH models for a selection of return series as part of an undergraduate project for which I am having to ...
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1answer
43 views

Dickey-Fuller unit root test with no trend and supressed constant in Stata

I have seen in several papers that the $p$-value for the Dickey-Fuller (DF) test is reported for the test including trend and constant, then without the trend, and in the end in the absence of both. ...
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17 views

ACF does not support ADF conclusion

I have 2 stocks price series : Below are the two price series and their ACF respectively. ...
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43 views

Time series decomposition results interpretation

I have a long multi-seasonal time series, and the stl() decomposition got me this: The remainder is definitely not white noise. Then what should be the next step ...
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7 views

Select an interval/subset of multi-seasonal time series data in R [migrated]

I have half hourly data from 2011-01-01 to 2016-06-27 and I would like to use the data before 2016-06 as my training data, and the remaining be my test data. Currently I used a very silly methods, but ...
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21 views

Defining overlapping periods

I have a dataset containing the abundance of migrating bird species. In the figure below you can see that there are two "bell" shapes that are overlapping somewhere around September. One of the bell ...
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11 views

Converting annual series into quarterly series using MARSS in R? [closed]

I am trying to generate quarterly values for a series which is available in annual frequency using two other series using MARSS package in R. ...
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34 views

explanation of a timeseries bootstrap to a layperson

I am trying to explain the output of a time-series bootstrap to someone who knows nothing about them. I recently learned about them myself and wanted to make sure my explanation was correct. Is this ...
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1answer
22 views

approximate probability of price change over time

Given a set of prices (X) where X is on hourly intervals, How would I estimate the likelihood of X reaching price Y within 50 hours? Note that X is financial data, thus (I believe) applying a normal ...
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13 views

Prediction of multiple time series with classification

I have multiple time series of air passenger demand with specific classification data. Data looks like this (some rows may lack some data): ...
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34 views

How to forecast from VECM (in R)?

I am interested in forecasting with a vector error correction model (VECM). I am facing a problem of not being able to transform a cointegrated series into a VECM model using the stationary series. ...
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1answer
28 views

Forecasting ARIMA with `predict` vs `forecast` in R [closed]

Data consisting of 30 values is stored in a time series time. After applying ARIMA modelling on time, I used ...
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0answers
26 views

How do I replicate the Time Series Momentum effect using freely available CME Futures Data? [closed]

I am attempting to replicate Figure 1 from Moskowitz et al. (2012) in R using freely available futures data from the Chicago Mercantile Exchange (CME). The code loads futures data, calculates ...
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19 views

Support Vector Classifier - Opposite Classification

I'm using a support vector machine (SVC from the SKLearn library in Python) to classify some time series data, aiming to predict the severity of injury to babies. A rough summary of the method is ...
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11 views

How to test the significance of long term effect coefficient

I have a time-series model like this: $y_t=\alpha+\beta_0 y_{t-1} + β_1 r_{t-1} + x_t' β_2 + \epsilon_t$ in order to get the long term effect, I use $β_1^*=\frac{β_1}{1-β_0}$ to measure, this is ...
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1answer
18 views

How to determine correct changepoints from Posterior Probabilities (bcp R package)?

I am using the bcp package in R to determine change points in a time series. The output that this package gives is a distribution of posterior probabilities. As far as I can understand, the peak ...
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19 views

Techniques to forecast demand from a transaction log

Suppose we have a log file of transactions. Which, have at least the variables: Customer, Product, ...
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27 views

What is the difference between ARMA+Fourier and TBATS model?

I am just wondering that, in terms of the multi-seasonal time series forecast, what is the difference between using auto.arima find the ARMA order, then fit <...
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9 views

Appropriate method for sequence clustering of customer journey data

I have a large amount of customer journey data in the form of inbound contacts. That means, for each customer I have all the inbound contacts, be it calls, emails or anything else with a time stamp. I ...
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1answer
25 views

Order of ARMA models

Why we usually do not exceed ARMA(5,5) models in practice? Is there any mathematical justification for this?
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53 views

Seasonal plot for time series with multiple seasonalities

My data is like the following, half hourly multi-seasonal time series from 2011 to 2016. ...
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19 views

Weights in Loess

I have a good working knowledge of how the loess model works but am curious as to how weights work in conjunction with the model. Obviously, this method weights locally, but many statistical packages (...
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21 views

Interpreting BATS model information using forecast package in R

I have a forecast object in R. When I look at the summary I can see 'Model Information: BATS(1, {1,1}, -, -)' What do these numbers in the parentheses stand for?
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30 views

A (simple) example where LSTM works but a regular Neural Network (NN) fails?

In the spirit of the answer from maple on this thread: Using RNN (LSTM) for predicting the timeseries vectors (Theano) I created some simple sine wave data to fit with a LSTM. It worked well! ...
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6 views

What statistical test should be used to compare two independent samples over time (pre- and post-test) for binomial variables?

A typical question is: Do you have a paid job? 1 Yes 2 No I have a treatment group and a comparison group (not matched--in fact they're quite different from each other) and I'd like to statistically ...
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21 views

Random Forest for time series

I am learning about random forest approaches and was wondering if it is suitable for multiple time series all used to predict the same response variable. For example, three different methods to ...
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1answer
26 views

Find cointegrating vectors and loadings from a trivariate VAR(1) equation

I have the following process: $\begin{bmatrix} X_t \\ Y_t \\ Z_t \\ \end{bmatrix} = \begin{bmatrix} 1 \\ 0 \\ 1 \\ \end{bmatrix} + \begin{bmatrix} 0.5 & 0.5 & 0 \\ 0 & 1 & 0 \\ 0 &...
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12 views

Question about trend stationarity

I am using Matlab in order to test stationarity of macroeconomic time series such as GDP, PCI or population. My first question is the following: I start by testing the stationarity of the data: I ...
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1answer
35 views

Writing a function n R [closed]

Hello, How Can i write this function in R? and any simulation codes about SETAR model including codes, links, books or any guide, would be appreciated.? Thanks in advance
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1answer
20 views

Interpreting Seasonality Component Exponential Smoothing Models

I am building an exponential smoothing model that has seasonality in it, I would like to analyze the data with the seasonal factor removed so I can tell if a performance one month was due to seasonal ...
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2answers
54 views

Detecting Ramping Events for Wind Power Time Series in R

I'm working with a dataset that spits out a power generation reading from a wind turbine every 5 minutes. Because of the variability in wind speeds the plotted time series are very jumpy, with lots of ...
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21 views

How to extend the separated trend line to predict future time series values in R?

We have data from border router devices that depict the bits per second from the past 4 years. There are some missing values or values too low when backup devices were in use. Every day has a BPS ...
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28 views

Using RNN (LSTM) for predicting one feature value of a time series

I have been reading several papers, articles and blog posts about RNNs (LSTM specifically) and how we can use them to do time series prediction. In almost all examples and codes I have found, the ...
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27 views

How do you define long and short run in an ARDL model?

I am writing up my regression analysis of an ARDL model which includes the long run equation and the short run dynamics. My reader however, would like to know what I mean by long run and short run. ...
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4 views

Bounding a Correlation Series

I was wondering what techniques exist for bounding a time series to take values between -1.00 and 1.00. I am asking because I am working with multivariate GARCH models (such as the Dynamic ...
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2answers
55 views

Arima and lm not giving same coefficients in R

I'm fitting an arima(1,0,0) model using the forecast package in R on the usconsumption ...
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30 views

Interpretation of the ARIMA coefficients in a time series

I am trying to understand the coefficients retrieved when placed the command auto.arima to my monthly time series of the annual change in House prices. When doing ...
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30 views

What statistical analysis for identifying sections of

I am a stats novice, and dont quite know the method to use in my problem. So I have a set of independent variables, and I want to find what sort of prediction strength exists with some dependants. ...
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1answer
52 views

Time series prediction using ARIMA vs LSTM

The problem that I am dealing with is predicting time series values. I am looking at one time series at a time and based on for example 15% of the input data, I would like to predict its future values....
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2answers
71 views

Time series cross validation by reversing the series

I am trying to forecast revenue of a company, using neural networks. The response is a time series of monthly revenues from 11/2008 to 05/2016, and there are about 45 predictors (including lagged ...
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2answers
73 views

Forecasting: residuals from seasonal decomposition appears to be highly auto-corelated, why?

I am using a publicly available data Kaggle: Rossmann Store Sales and trying to forecast sales. I am using Python. My timeseries is stationary, confirmed via the Dickey-Fuller test. However, I wanted ...
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13 views

Confidence interval of fitted value and forecasted value form tbats model in forecast package in R

I have half hourly multi-seasonal(daily, weekly, quarterly, yearly) time series data and I divided them into training part and testing part. ...
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1answer
18 views

AR1 term significant in ARMA(2,1) but not in ARMA(1,1) or ARMA(1,0)

I'm building an GARCH model using function garchFit from "fGarch" package in R. When specifying the mean equation I have some difficulties understanding what's ...
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1answer
34 views

Comparing volatility among time series-GARCH Models

I have 10 time series on which I want to compare their volatility by using ARMA-GARCH models. I have estimated the ARMA-GARCH models by using eviews. According to my supervisor now, I should ...
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1answer
40 views

Applying different time series models (ARIMA, HOLT-WINTER) on the basis of MAPE

I have a time series object calc_visit_ts. I want to apply the best fit time series model based on the MAPE value for each model. The issue I face is that the MAPE ...
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20 views

Log transform in time series

After taking the $\log(1+x)$ transformation on a time series, I am guessing which features should I use as predictors: $\text{mean}(\log(1+x))$ vs $\log(1+\text{mean}(x))$ $\text{std}(\log(1+x))$ vs ...
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Plotting Just the Seasonal Component of ETS Model - R [migrated]

This is probably a simple question but my R skills are still in the learning stages. I am trying to get just a plot of the seasonal component in an ETS time series model and I also would like the x ...