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

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Improving a low R squared

I am working with time series regression and trying to fit a regression model on the dependent variable, the revenue, with a number ofpredictors. However, the adjusted R-squared is very low (below ...
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45 views

Classifying time-series similarity - what variable should I train on?

I have ~10,000 time series, each with 65 time points. I'm interested in classifying each pair of time series as "similar" or "not similar". Here's an example of two similar (left) and not similar time ...
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26 views

Time Series regression help

I am having trouble running my multiple regression. I can't seem to prove that the coefficients for the different variables to be statistically significant. My dependent variable is new completions / ...
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1answer
30 views

Simultaneous equations with instrumental variables

I am trying to estimate the simultaneous equations model with instruments in STATA. I have two equations such as: ...
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45 views

What statistical models / approaches can I use to estimate missing hourly values?

My dataset consists of hourly values by weekday across several sites, where the sites vary by spatial location and by other common characteristics, such as type, or 'cafe,' 'restaurant,' and 'bar.' ...
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1answer
58 views

Irregular Time Series

Please consider the following code (in R) ...
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13 views

Aggregation of Cross-Validated Results

I am using satellite weather features to predict agricultural productivity. I have several models that predict at the daily level. However, I would also like to predict average yield for each week ...
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1answer
42 views

Rolling forecast with DCC-GARCH in R

I have fitted a DCC-GARCH model to my multivariate financial data and do the forecasting. Now, I would like to automate the procedure for a data set that I have. ...
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1answer
39 views

How do I identify slow decay in a seasonal time series?

I have a set of seasonal time series data and I would like to know what method I can use to determine if the data is decaying to 0 or if what I am seeing is actually part of a seasonal drop. By decay ...
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22 views

Comparing variances of forecast errors

I am forecasting a weekly commodity price series. I use a rolling window for estimating my model, and from each window I make point forecasts for one and two steps ahead. I want to investigate ...
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1answer
27 views

Positive serial correlation

Blows are the pictures from my course lecture. The lecture states only the second picture shows a positive serial correlation, and the first picture requires time to be added as a predictor while ...
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1answer
53 views

Time series analysis for predicting a binary outcome

I'm fairly new to time series analysis. I want to analyze two series of variables in a span of time to predict a binary outcome. For example i collect data over time at my home of two variables: ...
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21 views

How to calculate a probability that a time series takes values in a given interval?

So I have a time series $X_t$, where $X_t$ is the number of sales of a product at day t. I would like to be able to calculate some probability like this $P(X_t>10)$ for $t \in [5,20]$ : this means ...
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12 views

Time Series Sampling Effects on Correlation Estimation

I'm wondering what the effects of downsampling time series' can have on estimating their correlation and when this can be beneficial. More concretely, assume I have two time series $X_{t}$ and ...
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11 views

Use DTW-approach for correlation coefficients

Dynamic time warping is a popular similarity metric which I use to find correlations between time series that have different length or are time shifted. As it is a similarity metric, it doesn't show ...
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2answers
56 views

Weighting time series data for prediction

I am building a simple random forest to predict soccer results in sckit. I simply train the model to predict each teams score based on various features. However I am trying to think how I can weight ...
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21 views

Decomposing timeseries of a trended sinusoid with noise

I am trying to learn the basic timeseries functions in R and am struggling to decompose a simple sinusoid with period 100 time units that I added a linear trended and random normal noise to. I am not ...
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10 views

R forecast - How to plot only subset? [migrated]

I'm fitting a model with the R forecast package like this: fit <- auto.arima(df) plot(forecast(fit,h=200)) Which prints the original data frame plus ...
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26 views

How can I compare two datasets statistically with using distribution of the numbers in each class

I have datasets ordered based on the date in each class. Consider each number represents a company and each list is a specific customer`s visit pattern. For example customer a1 visited company ...
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15 views

Which test(s) can be used to capture a change in non-linear correlation over time?

Is there a test that can capture a change of correlation in a part of the dataset, i.e. year on year? Essentially I would like to understand and measure if the "local" correlation increases in a ...
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23 views

Why is cointegration found without unit root?

I'm working on the multiple price series data to look for the long run relationships. DF-GLS tests for unit root are rejected although the series show some trends and seem stationary after ...
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19 views

What will be the training dataset for learning a map using neural network

I am new to neural networks and training and finding it hard to understand how I can train the Neural Network (NN) in learning a time series generated by a non-linear discrete map $f : I \rightarrow I ...
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1answer
80 views

What can go wrong using lagged terms as instrumental variables?

Can anybody give one example of when the set of all lagged $X$ can (or can't) be a good choice of IV's for $X_{t}$?
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2answers
27 views

Convergence criteria for Linear Process time series models

For the model $X_t = \sum_{j=-\infty} ^{\infty} \psi_j Z_{t-j}$, where $Z_t \sim WN(0, \sigma^2)$, I'm not totally clear on why we require $\sum_{j=1}^{\infty} | \psi_j| < \infty$. I think we can ...
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1answer
42 views

Applying an Arima model with exogenous variables to new data for forecasting [closed]

I have been working with the forecast package in R a lot, recently. And my question might seem trivial (or not, maybe I'm missing something), but for the life of me I can't seem to find a way to fit ...
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15 views

Estimating the battery capacity using current power consumption and battery percentage

I want to estimate the current maximum capacity (in kWh) having the current power consumption (in kWh) and the state of charge of the battery (in %) available in a time series. I do not have a full ...
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1answer
33 views

neural networks - Inputting a time series to a classification NN

I have a simple ANN that does the job of classification between two labels-: Sick Healthy What I want to do is that input patient data ie. heart rate(ECG), EEG, etc which will be in the form of a ...
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1answer
63 views

Predict time of next purchase

I'm trying to build a model in R that will let me predict when a costumer will purchase a product again. For example, the training data list customers who purchased bikes. I want to predict when ...
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1answer
34 views

What do the realizations of X(t)=Usin(t)+Vcos(t) where U and V are random variables with mean 0 and and variance 1 look like from -2pi to 2pi?

I'm not sure what the realizations of a time series really mean, and how to implement any kind of drawing with random variables. Any hints or descriptions would be very helpful.
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1answer
30 views

DCC GARCH model diagnostics in R

I have fitted a DCC GARCH model to my multivariate financial data. So, now I need to check the fitted model by using the standardized residual and its squared process. A good fitted model should have ...
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15 views

Dirichlet multivariable regression with temporal autocorrelation?

BACKGROUND: I have some animal behaviour data. The time allocated by a group of animals to different behaviours per minute was recorded repeatedly until the end of the experiment. Therefore, I have ...
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1answer
43 views

PACF and ACF on trend with random component

I am really confused when reading PACF and ACF plots on a small example dataset I created. I created a vector containing a linear trend (1:100) and added normally distributed numbers to it to include ...
3
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1answer
55 views

Comparing regression slopes

I'm working with psychophysiological data--specifically, tonic electrodermal activity (EDA). Tonic EDA is commonly accepted as an indicator of arousal. Simply put, I sample tonic EDA over time as ...
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21 views

Rolling-sample estimates of the first-order autocorrelation coeffcient - STATA

I have to construct a measure of persistence of a time series and I want to use rolling regression to do so. In particular, I'm studying inflation persistence, and I want to replicate the following ...
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1answer
23 views

Determining window sizes of varying length sub-sequences of time series data for outlier/discord detection

I'm working on some outlier detection methods for seasonal time series data. Basically I want to automate discord detection, i.e. suppose the time series could be split into multiple windows such that ...
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9 views

Does an approximately long-term cyclical behavior suggest a polynomial trend or a long-term cycle?

Can you tell with certainty if an approximately long-term cyclical behavior suggests a polynomial trend or a long-term cycle? Yes/No and why? I came across this question while looking at some ...
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17 views

Analysis and Processing of Time Series Data

My project requires me to accurately analyze several (15) financial time series data - Indicators. The data consist mostly of several variants of moving average and stochastic information (ie ...
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25 views

finding seasonality in data

I have a dataset that looks to have some periodicity to it (given the nature of this data, the pattern was not expected): Visual inspection of a small part of the graph tell me that the frequency ...
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1answer
53 views

Interpretation of DCC-GARCH output

I have done fitted a DCC-GARCH model using the dccfit function from the "rmgarch" package in R. The output is below: ...
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14 views

How to analyze Time-Series Panel Data with Binaries?

For a project I have collected some data. The Data has some binary variables (success(0/1), Manager present(0/1), First_Third (1 if the observation was in the first third of the project, 0 otherwise) ...
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2answers
59 views

Cross-correlation between two seasonal series

To determine cross-correlation between Sales and Variable cost, both having monthly seasonality, do I need to de-seasonalize ...
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3 views

How to use weight and correlation options of the nlme–package to define complex covariance structures?

At the moment I try to explore the various options of the gls-function which is implemented in the nlme-package. The data that will be analysed with it are repeated measures with random intercepts, ...
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17 views

How to quantify the relationship between Social Media Sentiment and Monthly Sales time series data

I'm doing a side project at school which is to understand if there are any causal relationship between social sentiment data and sales (either good/neutral/bad comments from facebook or tweeters will ...
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21 views

Gaps of methods to evaluate prediction accuracy

There are many methods to evaluate prediction models based in prediction errors, such as MSE, MAE, MAPE, WMAE, etc. These methods are usually used in data prediction competitions, where one is given a ...
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27 views

Accuracy of time series predicton

I have two time series - actual and predicted. They both can be positive or negative, can jump or remain constant, one can be positive other can be negative - basically any combination is possible ...
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1answer
31 views

Reverse forecasting in time series

we have a given time series includes a specific type of data for example from year 1980 to 2016. Also we know that we should achieve to a predefined goal(a fixed value) in year 2025. But we don't ...
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15 views

which test to measure the trend in sales in R

I have sales data of an online store that is based in 4 countries. The Co. sends out Newsletters through out the year and found out at the end of the year that it sales from the newsletters has ...
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13 views

Searching for an inverse in a time series [duplicate]

Suppose $(1-B)y_t=(1-B)a_t$. Does this imply that $y_t=a_t$? $B$ is the backwards shift operator defined by $Bz_t=z_{t-1}$. $a_t$ is a random shock with mean 0 and variance $\sigma^2$. ...
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82 views

Does this Monte Carlo Technique Have a Name?

I sketched this algorithm out the other night. I am sure it has a name, I just do not know what it is yet. It would be helpful if someone could point me in the right direction for research. I ...
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79 views

How to assess seasonality effect influence on time series

Suppose I collected a time-series data (e.g. drug prescription on every month for 12 years). I have no reason to believe that my data is influenced by a seasonal factor (e.g. drug consumption is not ...