Time series are data observed over time (either in continuous time or at discrete time periods).
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2answers
76 views
Predictions of a monthly temperature time series: adding noise to the predicted values
I am doing predictions on monthly temperature data for 100 years, from 1901 to 2000 (i.e 1200 data points). I want to know if the method I follow is correct because in my output, I do not see the ...
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0answers
27 views
R Packages for Panel GARCH?
Are there any packages that let me estimate panel GARCH models in R?
I have looked extensively in Google but have not found anything.
3
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2answers
72 views
Confidence bands in case of fitting ARIMA in R?
I want to look at the acf and pacf of my data, to identify the model for my mean equation, so I want to fit an ARMA for my mean equation and later on model the conditional variance by a ARCH/GARCH (I ...
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1answer
56 views
Fitting GEV to non-stationary time series of extremes (general stationarity question?)
I'm fitting the generalized extreme value distribution (GEV) to a series of annual maxima of variable $X$. $X$ exhibits a linear trend.
When I fit the GEV to $X$, I think I have the choice to
Use ...
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1answer
52 views
Forecasting optimization techniques in fantasy baseball
I am currently trying to build a better forecasting model for my fantasy baseball roster. I currently am using commonly accepted projected season statistics (ZiPS from Fangraphs) to determine the ...
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1answer
49 views
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2answers
75 views
Need a clear and simple auto-regressive model example
This may be hard to find, but I'd like to read a well-explained auto-regressive model example that:
uses minimal math
extends the discussion beyond building a model into using that model to forecast ...
3
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0answers
37 views
Link Anomaly Detection in Temporal Network
I came across this paper that uses link anomaly detection to predict trending topics, and I found it incredibly intriguing: The paper is "Discovering Emerging Topics in Social Streams via Link Anomaly ...
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1answer
78 views
KPSS test - output interpretation in stata
I did KPSS test for some variables in stata to check for stationarity; I want to interpret the the stata outputs, but I don't know how to do that. For instance, in the following case:
...
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1answer
34 views
How to correctly model noise?
Assume a linear mixing model $x = As$, where $x = (x_{0}, ..., x_{n})^T$ are linear mixtures of $s = (s_{0}, ..., s_{n})^T$, and $A$ is the mixing matrix.
Now, if I introduce additive noise to this ...
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0answers
32 views
Whitening data and testing for correlation
Before I start I would like to mention that I do NOT have a mathematical background, so please answer in a ... easy to follow manner.
I'm testing 2 sets of stock market data (Shanghai Stock exchange ...
2
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0answers
62 views
Confusion with Augmented Dickey Fuller test
I am working on the data set electricity available in R package tsa. My aim is to find out if an ...
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0answers
25 views
Time spatial data analysis
Can anyone recommend some reading materials (books or papers) on the analysis
of time spatial data. I am particular interested in the bayesian model building
for this type of data. Thanks very much. ...
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0answers
20 views
PCA with same cases in different periods of time
I am new user of principal component analysis (PCA) and I have a big doubt.
I have 32 observations with 45 variables and I know that I cannot use the simple PCA for this analysis (n < p). However, ...
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1answer
38 views
What do you consider a new model versus an updated model (time series)?
I am having some issues explaining to [non-statistician] people that it is natural to revise the parameters of a time series (ARIMA) model if you update the model with new data (add new actual values ...
2
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0answers
19 views
Predict binary occupancy vector from history of vectors
I have a set of binary vectors where each vector represents one day of occupancy in a house and consists of 48 elements (each element for 30 minutes of the day). Each element can be 1 meaning that ...
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3answers
99 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, ...
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0answers
22 views
Proper method for time-staggered/repeated measures data?
I have a data set with 300 workers/subjects. There is one dependent variable: a worker's performance, by some metric, during the current week. There are three independent variables (let's call them ...
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0answers
89 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, ...
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0answers
33 views
Book on Repeated Measure Analysis
Can anyone recommend a good book or some other reading materials
on repeated measure analysis using mixed model.Thanks.
Hanna
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0answers
27 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: ...
3
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2answers
226 views
Correlogram in R like in Stata?
In STATA I can create a "Correlogram" to find the appropriate lag order in case of time series. E.g.
I know I can use the acf or Acf of the forecast package to calculate the ACF and PACF and to ...
4
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1answer
117 views
Is this an ARMA(1,1) or something else?
I have a company, for which I calculated the logarithmic loss (-logarithmic return). Now I want to fit a mean equation to the returns, so I have to think about fitting an ARMA(p,q). I lookt at the acf ...
2
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2answers
49 views
Omit 0 lag order in ACF plot
How can I omit the zero lag order in an acf plot? See this picture:
generated by
...
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0answers
26 views
How to specify newxreg in prediction model of ARIMA? [migrated]
I have fit the model below to my time series data. The xreg consists of a time vector that goes from 1 through 1000 and of 12 indicator variables (1 or 0) that ...
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0answers
38 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 ...
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0answers
17 views
forecasting export - methods
I have Product X Export data (time series data: year - amount) approx for last 10 years for my country and also Product Export data for Enterpise Y.
I am writing thesis. This would not be the main ...
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0answers
25 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 ...
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0answers
21 views
Length of time series and likelihood estimation
In ARMA (with normal errors) model estimation, are there any empirical studies or tests to judge the minimum number of observations (length) of the time series that are required such that OLS is an ...
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0answers
22 views
website performance measurement error
I have 2 measurements from my website performance measurement tool ( 6 months data with 12 points per day). Both have some error as one of them is overestimating the response time and one is ...
1
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1answer
36 views
How to test for one way correlation between time series?
I want to test existence of correlation between two time series but I suspect that there would exist only one way correlation. By one way, I mean that changes in Series A should bring about a change ...
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0answers
30 views
Converting ARMA models to infinite AR process in R
I'm trying to recreate some test statistics that use the infinite AR representation of normal ARMA models. I found out about the function ARMAtoMA but have not been able to find the same functionality ...
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0answers
43 views
How to calculate the prediction interval for my 24-hour forecast?
I'm doing time series analysis and I would like to calculate the prediction interval. I have predicted the next 24 values for my time series, but now I would also like to calculate the prediction ...
0
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0answers
17 views
R plot time series data: Extremely Short time laps [migrated]
I have the following data frame. The gaps between time slots are different, sometimes small, sometimes large:
...
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0answers
30 views
Cross correlation for extremely highly correlated series
I have two time series showing very high dependency, in the order of 99.99% correlation, and I need to study their lead-lag relationship. So far I've been looking at the Pearson correlation with 7/8 ...
2
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2answers
176 views
How to calculate multi-step prediction intervals for time series data?
I need to manually calculate multi-step prediction intervals for time series data. I know packages like 'forecast' in R provide these, but I cannot use these packages as the production infrastructure ...
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1answer
40 views
Program Impulse Response Functions for VAR
I'm trying to program impulse response functions for a VAR model using Cholesky decomposition. The thing is I do not completely understand how I should do this when I read in the literature. Suppose I ...
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1answer
34 views
How to estimate certain parameters of an AR model in R?
I need to estimate parameters of an AR model which is in the form of AR(1,11) it means that coefficients of AR orders from order 2 until order 10 are zero. How can I estimate these two parameters in ...
1
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1answer
56 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 ...
0
votes
1answer
53 views
Degrees of freedom for Gaussian Process
I am reading this paper on Generalised Wishart Process (GWP). It is about modelling covariance matrix of D - dimensional gaussian processes (GP) as GWP. I fail to understand interpretation of "degrees ...
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0answers
46 views
Forecasting of highly correlated time series
In time series forecasting using various models like AR,MA,ARMA, etc, we usually focus on the modeling of the data in the change of time. But when we have 2 time series that Pearson correlation ...
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0answers
20 views
dickey-fuller and regressions
I have searched the internet on this, but I could not find any book/lecture/... that relates the ADF test and OLS regressions in practice.
Here are my questions:
1) it seems to me unclear what model ...
0
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0answers
29 views
Autocorrelation impact on the Coefficient of Variation
Many articles use the Coefficient of Variation (CV) to report variation in time series.
But isn't the standard deviation, used to measure the CV, no more reliable when autocorrelation is present ?
...
0
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1answer
53 views
Tests to establish correlation
I'm trying to analyze if there exists any correlation between two time series? So far I have not been able to notice any significant correlation.
So if I were to assert in my report that these time ...
0
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0answers
47 views
How do I test for significant difference between sets of time ordered data?
I have data about activity on a game site over a period of time (~1.5 years). I want to compare a sub-population's activity between certain time segments so that I can say things like "Group A played ...
1
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0answers
20 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 ...
1
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1answer
53 views
Calculating the corr. coefficient between returns of portfolios in EXCEL
I want to determine the correlation between the returns of a portfolio with returns of the market (suitable index). To find how the portfolio performs in bear resp. bull markets, I want to calculate ...
1
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0answers
40 views
Efficient numerical methods to estimate ARMA models?
I mean exact likelihood based estimation instead of these LS methods.
There are more general nonlinear optimzation methods, but in terms of performance, are there any specific methods for this type ...
5
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2answers
101 views
spatial autocorrelation for time series data
I have a 20-yr dataset of an annual count of species abundance for a set of polygons (~200 irregularly shaped, continuous polygons). I have been using regression analysis to infer trends (change in ...
1
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1answer
115 views
Help interpreting ACF- and PACF-plots
My ACF- and PACF plots are illustrated below:
The first one is in original scale and the second picture is zoomed. What process would you classify this? AR, MA or ARMA? =)
Thank you for any ...
