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

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Cross Country Analysis Time Series

I'm pretty newbie in econometrics, I'm writing a research proposal, and I was wondering if you guys can give your opinion or some hints regarding an idea. My dependent variable is a measure of ...
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47 views

Timeseries Regression - threshold value, regular and time-series covariates

i am trying to find a time-series regression or machine learning package that allows the following analysis: Lets assume that ice-cream sales are a function of: a) a threshold value on outside ...
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299 views

What algorithm should I use to detect anomalies on time-series?

Background I'm working in Network Operations Center, we monitor computer systems and their performance. One of the key metrics to monitor is a number of visitors\customers currently connected to our ...
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24 views

How to extrapolate future probability density functions if you have a time series of them as input?

I'm sorry for lack of technical vocabulary, I'm not a mathematician but an undergraduate student in business informatics. This is my current situation: I am given an observations vector ...
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21 views

Matlab's VARMAX regression parameters/coefficients nX & b

I'm having a bit of trouble following the explanation of the parameters for vgxset. Being new to the field of time-series is probably part of my problem. The vgxset help page ...
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15 views

Calculate cross correlation between two time series when translating one along the time

When calculating cross correlation coefficient between two time series A and B, both being in their time windows of finite lengths, I translate one time series, say B, along the time by each lag, and ...
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8 views

Analysis on two time series dataset

I'm completely new to time series and now I have a time-series project in mind. In particularly, I want to see how the first series affects the second series. For example, let's say that I have the ...
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19 views

Confusion about BATS and TBATS output in R

I have following monthly data from 2011-14: 584 584 606 634 647 661 665 655 676 727 778 781 747 781 774 776 840 860 827 801 811 798 789 748 674 672 656 669 659 678 690 703 721 711 699 673 I ...
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14 views

Longer forecasting with one-step-ahead model

It is totally a noob question but I cannot find any explanation on the subject. Suppose I build a forecasting system for time series $x$, using as inputs $[x_{t-n},...,x_t]$ to predict the next ...
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1answer
28 views

How to generate uncorrelated white noise sequence in R without using arima.sim?

I want to know how to generate uncorrelated white noise sequence $WN(0,\sigma^2)$ in R **without using ** arima.sim(list(order=c(0,0,0)),200) ? The reason I post ...
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24 views

What's the best (Google chart) visualisation for displaying sparse timeline data across thousands of “columns”

I am trying to visualise a sparse dataset but am finding it hard to fit it into the standard categories of charts. I'm a developer building with Google Charts and I really want to stick with that ...
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23 views

Can I difference a time series by 3?

I need to difference a time series to make it stationary. Is it feasible to difference it by 3? Example R code: tsrdiff3=diff(tsr1$LOAD.MW.,difference=3)
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82 views

Unscented Kalman Filter with Gaussian Process regression for time series prediction

I've trained a gaussian process which will take X (x1:5) and predict Y (x6). I'm trying to do 1step ahead prediction with Unscented Kalman filter with this GP as my state transition funtion. The ...
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36 views

Analysis of Multiple Time Series Data with Exogenous Shocks

Real Life ProblemThis one is a tough one and some crowd sourcing seems like a good way to get some feedback. I am trying to determine the effect of Non-Farm Payroll surprises on a subsector of the ...
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26 views

Target and output in neural networks

In ANN the output squeezed using sigmoid function so the result is always between 1 and -1. How am I supposed to calculate the error when the target value might be a big number? For example I'm ...
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Cointegration and VAR model

Can we use cointegration test for I(0) and I(1) series? If yes, how? How do we make a VAR model? Like in analysis phase, can we use I(0) and I(1) series or do we use difference operator for both of ...
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18 views

variance of autocorrelated series

I have simulated a series with autocorrelation of 50%. When I compute the variance of the series it is 1/2 of the variance of the white noise series. Could somebody show me the math behind this ...
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71 views

Proof of a step of a lemma on the asymptotics of maximum likelihood where a Taylor expansion is used

I am trying to understand a proof of quite a long theorem that I report completely for the sake of completeness. This is From Jensen and Rahbek Asymptotic Inference for Nonstationary GARCH (2004). My ...
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Regularization for ARIMA models

I am aware of LASSO, ridge and elastic-net type of regularization in linear regression models. Question: Can this (or a similar) kind of regularization be applied to ARIMA modelling (with a ...
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21 views

R-Squared in a non-linear model [duplicate]

I am running a dynamic demand model (a non-linear model) in SAS. My model includes three equations which should be solved simultaneously. I am applying a Iterated Seemingly Unrelated Equation (ITSUR) ...
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30 views

Cointegration and variance of time series

If we know that $X_t , Y_t$ are two cointegrated discrete random processes, what can we say about the relationship between variance of the two increments $var(X_{t+h}-X_t)$ , $var(Y_{t+h}-Y_t)$ for a ...
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23 views

How to compare 2 ARIMA model predictions using mean squared prediction error

How can I compare the predictions of 2 arima models using mean square prediction error in R, given that I know what the observed values are. Help greatly appreciated.
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Cointegration tests: how do you accurately test the necessity of time trends in the Johansen and Engle-Granger Test?

I've been testing some random prices for a study of my own and sometimes this assumption radically changes -- for instance, in johansen tests -- from no cointegrating vectors, to the whole set of ...
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18 views

Visualizing and analyzing a time series of grid points

I have a dataset which contains numeric info about a series of grid points in a room for the entire year. The dataset looks something like this The first three digits are month,day,hour. The others ...
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23 views

Change detection in trending degradation data

I'm working with degradation data and are trying do use change detection methods to detect repairs. Since I'm looking for repairs I'm only interested in positive changes. Between the repairs the data ...
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Is it always required to achieve stationarity before performing any time-series analysis?

For example, I know that for ARIMA models stationarity needs to be achieved. What about Exponential Smoothing? Is it also required?
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76 views

Simple algorithm for online outlier detection of a generic time series II: Daily cycle within annual

I have several years of sensor data (temperature and relative humidity) that records every 1/2 hour. When the sensor dies, it often starts throwing bad data mixed in with good data before it dies ...
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52 views

What is the best model for time series data with independent and dependent variables

I have two different variables across a time series over a couple thousand time steps. I want to predict the values of the dependent variable (y) based values of the independent variable (x) in the ...
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Analysis of Ordinal Value Time Series

I have to analyze a number of ordinal value time series with different lengths. Just to be clear: ...
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70 views

Machine learning for pattern recognition in realtime sensor data

I'm working on a project where we need to detect patterns in a sensor's output to find out if a given event occurred. Given my limited experience with machine learning, I was wondering if someone ...
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37 views

AR(2) model interpretation

If I have a negative sign in my AR(2) model equation, (for example, $y = 100 - 50x_{t-1} + 25x_{t-2}$) and if my AR(1) and AR(2) has same r-square value, is it okay to interpret it as model overfit? ...
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40 views

Correlation of three time-series at once

I have three time-series of data: A, B, and C. Here is a fictional example of the three, using R code. ...
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70 views

Interpretation differences between deterministic seasonality and deseasonalized data with X-13 SEATS

I am running X-13 SEATS on r for monthly data in six years of observations and I think I got a (sufficiently) reasonable fit for the ARIMA model, but the output also shows me that my original series ...
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73 views

Is there a remedy for removing autocorrelations from residuals of seasonally fitted ARIMA model?

I fitted a number of SARIMA models using R and chose the ARIMA(0,0,0)(3,1,0)[12] as the best fitted model to the univariate data with 180 points (periodicity=12). This model is chosen as the best ...
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Isolating distinct components of a treatment effect

The effect of a drug on blood analytes is to be studied. Blood analytes are measured before and after administration of the drug, which shows that several of them have decreased after treatment. A ...
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Should outliers in a time series be removed before or after detrending?

I am doing a classical time series analysis. When do I remove outliers in the data? After detrend or before detrend?
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36 views

How to choose between VOMs and Predictive models, e.g., ARIMA?

In time series prediction, there is a lot of work that uses predictive models (e.g., ARIMA). On the other hand, there's also a lot of work that uses Variable Order Markov models (e.g., context ...
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30 views

Improving forecasting output obtained from Winter, ARIMA and TBATS method

I am trying to forecast commodity price for next year. I have collected and plotted monthly average prices from last 10 years.Plot has been attached. I used Holt's-Winter method on prices till 2014 ...
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13 views

Testing variation differences

I have a dataset on how two publications covered a conflict. One is considered liberal and the other is conservative. The dataset has about 10 variables and has been collected over 10 periods of time. ...
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52 views

Partitioning the sum of squares of a regression where Fourier coefficients are the regression coefficients

Given a finite realization from a time series, we can represent the n observations by the trigonometric polynomial Where does the equation (7.1.2) come from? what partitioning of the sum of ...
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How do I interpret weak exogeneity in an ADL model?

First year econ graduate student here; looking at an ADL (Autoregressive Distributed Lag) model for the first time. Consider $Y_t = \omega Z_t + \alpha Y_{t-1} + \beta Z_{t-1} + \mu + \epsilon_t$, ...
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31 views

Trend Visualization of N time series

I have about 500 time series with different trends, and each time series represents a given nb of transactions. (Volumes follow a long tail distribution). I would like to plot a summary graph on ...
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31 views

In time series analysis, is it a good idea to do the analysis using the factors describing intra-seasonal description

I hope my question is not vague. Suppose you are looking at the hourly sales of say Walmart/Dillons, with data given over a few months. It is clear that the data is a time series with frequency 24. ...
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32 views

loan default model

I have a loan dataset that includes all the loans originated from 2000 through the most recent quarter. For each loan, available are information at origination, such as loan size, FICO, LTV, LTI ...
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47 views

Examine historical demand data

I have to examine historical sales data in order to figure out which calendar events have an influence. I would like to ask for some feedback if it makes sense or what I could do better. What I have: ...
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1answer
37 views

Lag length selection for a VAR model

The model I am working on has 4 time series (X, X1, X2, X3). Lag lengths are 5, 1, 4 and 6, respectively. X1, X2 and X3 are stationary at level and X is stationary at second difference. I am applying ...
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43 views

Code for detrended cross-correlation in R

I want to code for Detrended Cross Correlation in R for time-series data but I'm still stuck. I don't know why the coefficient is not in range -1 : 1. I try to write following these equation below ...
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26 views

How do I test the stationarity of data using minitab? [closed]

I am working on a time series and trying to fit ARIMA to predict future values.However, I am facing trouble with finding out whether the data is stationary or not.
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Inverting a VAR - looking for a good resource

I am having trouble with something that should be pretty basic. I need to invert a VAR (vector autoregression). Everything I have read just brushes past the actual inversion process, taking for ...
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27 views

Unsmoothing of returns [migrated]

The following problem arises in the context of private equity, which typically report "smoothed" returns (think of it as a moving average). As you can imagine, "smoothed" returns would have a much ...