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

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ISPSS: Cross-sectional time series analysis

I am trying to run a multiple regression in SPSS. I am using panel data with 4 independent variables. Of these, one is a dummy variable. Can someone please guide me through the process or give me ...
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5 views

What I have to undergo testing before proceeding to time series analysis? and after?

I have to conduct a time series regression analysis. Before proceeding I tested for stationarity and I verified that the variables are distributed according to the normal probability distribution. ...
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15 views

Wavelets with forecast model

I am new to wavelets decomposition technique and am trying to use it with time series model. What I use now is that use discrete wavelet transform. I use Daubechies with 4 as mother wavelet with ...
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10 views

Measuring the standard deviation in Pattern recognition

Sometimes in pattern recognition say Character recognition, Hamming distance is used although there are other distance measures. But if the pattern is represented in (1,0,-1) then Hamming distance is ...
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2answers
47 views

Similarity measures for point processes

I have multiple measurements of a point process: vectors of 0's and 1's. I'm trying to gauge the similarity of the measurements, but have no idea how to proceed. Any suggestions? Thanks!
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141 views

Differencing a time series

I am looking to find the ACF of a time series, but after it is differenced. $y_t = a_1y_{t-1} + \epsilon_t , \mid a_1 \mid < 1$ I understand that to find the ACF this process needs to be ...
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66 views

Clear steps to calculate coherence between two time series

I originally posted this on stackoverflow.com and then deleted it and moved it here My question is similar to Similarity of two discrete fourier tranforms (specifically the selected answer). I've ...
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23 views

Literature for prediction models where each training example has a different amount of data?

This could be a machine learning question as much as a statistics question, but I think this is the best place to put the question. Here are three different examples of problems where each ...
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37 views

Which arma model is best one?

I am studying ARMA models. ARMA(25,25) or ARMA(1,1) which one better model? Why? I think that the reason is the ommission of irrelevant variable
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21 views

How to Build a Foresight System?

For a research project, I'm asked to find ways to build an economic foresight system. For example, for the production of cheese. We will have data about the market indicators, like price, demand etc. ...
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60 views

Testing for a drop in bookings

We're developing real-time alerts for fine-grained (every 5 minutes) time series bookings data, and I'm looking for the best approach to doing this. Idea is that if over the past 10–15 minutes (say) ...
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14 views

Pseudoinverse for time series filtering

Suppose I have a few time series, that are strongly correlated to each other, and I consider this to be noisy data. How do I use the pseudoinverse technique from image processing to filter this data?
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32 views

How to analyze healing time when the follow up times are not equal and we are looking at a specific time?

I would really appreciate if you could help me with your expertise: I have a study in which I evaluate patients for healing after discharge. So I have two group, healed and non-healed patients. The ...
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19 views

AR(2) simulation problem

Take covariances $Cov[X_{t-2},X_{t}]$, $Cov[X_{t-1},X_{t}]$ and $Cov[X_t,X_t]=Var[X_t]$ and calculate the parameters for the AR(2) process ($a_1$, $a_2$ and $\sigma^2$ (the variance of the error ...
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20 views

Interpolation of time series data

I am working on using cubic spline interpolation in time series data. I used Galdolfo and Prachowney algorithms. Now how do I obtain estimates of models of cubic spline?
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2answers
109 views

Special method for forecasting on time-series clusters in R?

I'm doing a project related to identifying sales dynamics. My database contains 26 weeks after launching the product (so 26 time-series observations equally spaced in time). I used two methods ...
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27 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 ...
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41 views

How can I smooth noisy time series data to explore possible relationships

First CV post but prior S.O. user. Thanks for your patience as 'stats' is not my natural habitat. I have data in the following form, in which I am trying to see if there is a relationship. Daily ...
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42 views

How to find which time series is trending more?

Let us say I have two sets of time varying series as shown below: ...
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27 views

How to interpret the characteristic roots of moment equation of a AR(2) model?

I am learning the financial time series using the book 'Analysis of financial time series' by Ruey Tsay. In chapter 2, they introduced AR(2) models. The moment equation (which is the function between ...
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1answer
22 views

Detection of periodic patterns using DWT

Is it possible to detect a periodic pattern in a time series using discrete Wavelet Transform? Is there any package in R to do this job?
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22 views

Statistical models that incorporate factors stepwise?

I am working on a dataset in R that essentially follows 20 groups of individual organisms through time. I am interested in assessing what factors impact their mortality. I have 5 factors that I have ...
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41 views

Time series prediction where each datapoint has a sequence

I am Computer Science major, and new to stats, so please bear with me and point me to the right direction if what I'm asking is pretty obvious. I have a dataset, where each data point consists of ...
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3answers
157 views

Developing an appropriate time series model to predict sales based on past month record

I have been operating an online business for two years in a row now, so I have my monthly sales data for about two years. My business for every month is certainly affected by seasonal swing ( performs ...
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23 views

Interpreting a PCA Biplot of a time series?

I had a question in regards to PCA with times series data, and specifically how to possibly interpret it. Normally, PCA is used by other software that I use in relation to de-noising a data set by ...
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22 views

Plotting a timeseries in R as stacked bar [migrated]

I have a dataset that look like the following | SUBJECT | ACTION | DURATION | |---------|--------|----------| | 1 | A | 39,57 | | 1 | B | 1,48 | | 1 | B | ...
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14 views

High Ljung-Box p-values at large lags

I am trying fit an ARIMA model to stock returns. I have reached a decent model using the AIC criterion. However, the ljung-box p value under a diagnostic plots are pretty weird. The null ...
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264 views

Improving a linear regression: Add predictors or change model?

I am trying to model a time series variable $Y_{t}$ with $4$ physical predictor variables. I used the following linear regression: ...
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16 views

What time series models capture acceleration?

Suppose I want to test whether or not a time-series gains more momentum if it is accelerating, what sort of time series model would I need to model that? Would it be captured by the moving-average ...
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57 views

time series is obviously periodic, but seasonal decomposition is not working in R

my time series is obviously periodic, but the seasonal decomposition using stl() is not working in R: ...
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16 views

Linear Mixed Models with variable time points in SPSS

I am analyzing a clinical study measuring patients' symptoms and brain structure sizes over three time points. The "visits" should be at baseline, 3 months and 12 months but they vary considerably and ...
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1answer
28 views

Constant forecasts in SPSS

I have weekly data for the last four years. I am using SPSS to do forecasting. I am getting a constant value in the forecast period. What could be the reason behind it? Is it due to defining weekly ...
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124 views

What is the autocorrelation function of a time series arising from computing a moving standard deviation?

Say I have a time series of observations and I compute a measure of the variance of that time series as the standard deviation (SD) in a rolling window of width $w$ and that window is moved in single ...
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1answer
63 views

Interpretation of intercept of a regression line in time series data

Does the intercept value of a regression equation have meaning in a time series dataset? Suppose I have a dataset: the intercept is 27.512, but we are 95 percent sure that the intercept is between ...
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22 views

Using day length and rate of change of day length in linear regression

I have a time series in which samples were collected approximately monthly over ten years. I have wanted to identify whether a number of bacterial species were seasonally variable and whether they ...
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35 views

Overfitting times series data

I am trying to use Robert Shiller's stock market data to estimate future 5 year returns. My first naive attempt used M5P in Weka (decision tree regression) with 60% of the data for training and 40% ...
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27 views

Time series forecasting using genetic algorithms

I am a beginner in the field of forecasting. I wish to know which are the best tools that can be used for forecasting future values in a time series using genetic algorithms. Are there any tools in ...
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81 views

Estimation/simulation of homing with time effect

I have birds translocated from site A (original, capture site) to site B (new, release site) and I want to analyse homing behaviour. Translocation of individuals was performed continuously (several ...
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48 views

Suggest models for prediction based on small sample data

I am not a traditional statistics guy. I am from an electrical engineering background. So, spare me for lack of jargon. The model is to be used for predicting agricultural output based on previous ...
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25 views

Regression when you have both I(1) and I(2) processes

I want to estimate $\log Y_t=\beta_0+\beta_1\log X_{1t}+\beta_2\log X_{2t}+e_t$ Using ADF-tests, I have found that both $\{\log Y_t\}$ and $\{\log X_{1t}\}$ are I(1) (i.e. they contain a unit root), ...
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24 views

Forecast mean and variance for group data

Apologies if this is a bit of a simple question, but I haven't been able to find any answer to this over the past week and it's driving me crazy. Background Info: I have a dataset that tracks the ...
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20 views

Choosing the best time series for forecasting

I have set of time series for various days (same frequency and source). I need to choose a subset of it, and they together will forecast future values. Currently I am simply using X out of Y time ...
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33 views

Forecast Daily Data with Multiple Seasonality [duplicate]

I am new to the field of time series forecast and trying to build a time series model on R for a daily data, which I think there are multiple seasonality, weekly and monthly. My data contain the ...
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96 views

How to fit log-linear poisson autoregressive mixed model?

I have time-series count data $N_{i,j}$ (population sizes in site $i$ and year $j$) and I want to correlate year-to-year changes with the environmental conditions $x_{i,j}$. For this, I want to fit ...
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36 views

Forecasting daily electricity price

I'm trying to make a model to forecast the electricity price, a time series model with R and i have some questions Our data are daily price of the past 3 years from north pool countries, and we are ...
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1answer
35 views

Correlating two time series to account for lag and lingering effects

I am trying to find the correlation between two time series, call them A and B. Let's pretend A has the number of successful advertising campaigns for each month for a company, and B has the company's ...
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1answer
46 views

ARIMA SARIMA model mathematical formula

I need help writing a SARIMA model I have obtained mathematically. My model is ARIMA(1,0,4)(2,0,2) period 12. I understand what the different parts actually mean but get very lost trying to write ...
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1answer
42 views

GARCH modelling

Is this simplistic way of describing GARCH processes correct: Future prices do not depend on previous prices per se, but rather on the previous variance. If this is incorrect, is there a model ...
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15 views

Which method(s) for forecasting time series of event durations

I have the $N$ individuals each observed for $T$ days. For each individual I have some basic demographic data. Each $n$ individual, during the observed time $T_n$ may experience event $E$ which is ...
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44 views

Time series and stationnarity tests

I perform some time series fitting with the help of the forecast and urca packages. I have a question regarding the correspondance between results coming from statistical test such as KPSS, ADF or ...