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

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What can I know about time indepence from ACF and PACF plots?

Question: In which series do you find stronger time dependence? I was reading slides provided by the professor and I didn't even find the word "time dependence". By saying a series is "time ...
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31 views

Comparing two sets of data over time to infer correlation or imply causation

I have two data sets, over a period of time that I would like to compare. I am very unfamiliar with statistics so sorry if this is simple. I need to use SPSS. I am comparing the number of journal ...
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2answers
34 views

How to simulate a third order AR model

I'm trying to understand AR models but it's getting pretty difficult for me. Just wanted to ask you some hints on how to simulate an AR(3) model driven by a zero mean WN for 1000 values in Matlab, ...
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20 views

How to build separate time series forecasts model for each of 3k customers?

I have 3000 customers in my base and i want to forecast next 6 months revenue for each of these 3000 customers. Does that mean i have to build 3000 arima models 1 for each customer? I can build a ...
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37 views

Fitting an ARCH/GARCH Model (Basics)

I have been given a basic task designed to assess my knowledge of ARCH/GARCH modelling, which involves fitting the models on 2 lots of time-series index returns. What are the brief steps I need to ...
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14 views

Handling non existent observations [closed]

I have several variables (time series) ...
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1answer
40 views

Using a rolling window in time series regression

I am learning about regression. I have done some cross sectional regressions which are fine. I recently did a simple time series regression. So I have a y & x vectors each containing 1000 ...
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1answer
26 views

Understanding fractional-differencing formula

I have a time series $y_t$ and I would like to model it as an ARFIMA (a.k.a. FARIMA) process. If $y_t$ is integrated of (fractional) order $d$, I would like to fractionally-difference it to make it ...
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56 views

Is there a name for this sort of plot? Is there any reason not to use it?

Suppose we have some time series data, with multiple samples per time unit. For example: ...
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Johansen's cointegration test in small sample under non-normality

I am looking for references regarding the behaviour of Johansen's cointegration test (trace test, perhaps also eigenvalue test) in small samples with non-normal innovations. I wonder how robust the ...
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23 views

Good TS fit but no stationarity

I have yearly time-series that I want to predict, and for that I fitted an ARX (auto-regressive with a exogenous input) model to previous years (training set) and test it for the last year. My ...
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48 views

Does stationary data need to be normal?

So I already ran some tests to make my data stationary. Differencing and box-cox transformation in particular. According to the augmented-dickey fuller test, after performing the above mentioned ...
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3answers
40 views

test for increasing correlation over time

I have some data that tracks 2 variables over time. Let's call them A and B. So I have data on A and B for 15 years. I know how to calculate the correlation coefficient, but my goal is to see if the ...
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27 views

Area under a curve- is there a way to find the % completion of a marketing campaign on a particular day?

I'm trying to build a model to forecast direct mail marketing campaign responses. In the code below I was able to use responses from a previous campaign to create a smooth curve (i.e. continuous ...
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1answer
24 views

Linear models where the IV and DV both have temporal autocorrelation

I have weekly data from a lake over 3 months and I want to see if there is a correlation between concentrations of algae and richness of the bacterial community (number of bacterial taxa). However, ...
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1answer
43 views

Handling Na/NaNs in a regression [closed]

So I want to compute a regression using R. The problem is, that I want to compute the regression with log transformed variables. Here is what I am trying to do: ...
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23 views

Comparison of seasonal time series from different years

I'm analyzing air quality data from a 2-year sampling campaign in which we sampled concentrations of various air pollutants for 6 continuous weeks during each of: winter1, winter2. There was an ...
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2answers
29 views

Forecast encompassing test for cointegrated time series

I am forecasting an integrated time series variable $y_t$. I have two competing forecasts, $f^1_t:=f^1_{t|t-h}$ and $f^2_t:=f^2_{t|t-h}$. I would like to test whether $f^1_t$ forecast-encompasses ...
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23 views

Linear transformation of vector ARMA processes

Can someone help me to solve the following problem. Referring to the one above the bottom equation: I was managed to get the left hand side and first term of the right hand side. But couldn't solve ...
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1answer
44 views

Ljung-Box always significant for ARIMA models - what now?

Sorry in advance if this is too basic of a question - I've been struggling with this data set for almost a month and feel like I'm going in circles, and the more I Google the more confused I get. I ...
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1answer
38 views

How to approach time series regression with monthly dependent variable and quarterly independent variables

I am building a regression model where my goal is to obtain a monthly forecast of the dependent variable for the next 2 years. I have a monthly historical series available. For my independent ...
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33 views

I was able to use R to fit a curve to model direct mail marketing responses- just need the % of responses that are likely to occur each day

I'm trying to model the responses from a direct mail marketing campaign so that I can use it to forecast for future campaigns. In the code below, I started with the average number of responses by day ...
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1answer
31 views

How to fit an ARIMA model with seasonality in R? [closed]

I have a set of monthly data and detected seasonality. The ACF and PACF is shown below. How can I set c=(p,d,q) for non-seasonal part and c=(P,D,Q) for seasonal part based on the figures.
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9 views

Goodness measure of time series prediciton

IF I create daily weather prediction for next 30 days on out of sample data using various competing methods. How do I measure which one of them is the best time series prediction method?
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17 views

Independence of residuals over time

My plots of conditional weighted residuals (CWRES) plotted against time show some sort of time trend (image attached). The response variable is on a Box_cox scale. How could I solve this problem ?
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7 views

repeated measurements with different subjects over time

I am measuring methane oxidation over time. I sampled at 5 different time points (T1, T2, T3, T4, T5) to see if oxidation had occurred, each sampling time, say T1: I sampled 5 bottles, and I sampled ...
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39 views

An example of autocorrelation in residuals causing misinterpretation

I'm looking for an example of time series data where a regression of y~x has autocorrelation in the residuals that leads to misinterpreting the model. This is for a class demonstration where I would ...
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11 views

Robot localization and position prediction

The problem I am working on is related to robot localization and position prediction in the future. Given a simple video of a robot bouncing around in a wooden box and a mapping of the coordinates ...
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20 views

Were ad clicks bounded by budget or natural causes?

So, I have a time series of historical data on some online ads. These ads are "cost per click" ads - we pay only when a user clicks on them. For the last 3 years, I know how much we spent on each ad, ...
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16 views

MA(2) and approximation to the error value at T

I Have the following MA(2) model: $ Y_{t} = \epsilon_{t} -\frac{3}{10}\epsilon_{t-1} -\frac{1}{10}\epsilon_{t-2} $ The questions is how I can approximate the value of $ \epsilon_T $ My first ...
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28 views

How to best analyze several time series of speed data? Comparing regression analysis?

So I have several time series of AIS data, aka time, speed and geographical position at that moment for thousands of ships. They all have that in mutual that they are arriving at the same spot, but ...
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28 views

How to decide about Regression Analysis or Time Series Analysis

How to decide about Regression Analysis or Time Series Analysis. ...
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2answers
30 views

Extrapolation of 2d movement

I have a problem with missing data in my dataset. My dataset is timeseries which contains x,y coordinates. I'd like to extrapolate missing values and use the assumption that I know speed and direction ...
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1answer
47 views

Regression in levels vs. regression in differenced form

I want to compute the following regression using R. lm(EurOis3~EurepOis3+Vstoxx+log(Open.Market.Operations)+CDS). I am using daily data(i.e. I have 5 observations ...
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68 views

What is the best filter/way for deseasonalizing quarterly data?

There are many deseasonalization techniques for deseasonalizing quarterly time series data: 1. Filter: Centered moving averages 2. Filter/way: automatic ARIMA selection using X-11-Auto , X-11 based ...
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2answers
57 views

How can I produce a de-seasonalized time series in R?

I have a time series of hourly activity levels for a period of about 2 months (1704 observations). There is obviously a strong "seasonal" component (freq=24) to this time series, with activity showing ...
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50 views

Time Series Analysis

I have attended a lecture about introduction to machine learning at my university (SVM, regression, kernels etc.). Now I'm planning to do a project where machine learning knowledge is needed. In fact ...
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1answer
19 views

whats the minimum number of time periods needed to get a rewasonable statistical power

I'm running multiple regression analysis with 3-7 indep. variables using macroeconomic indicator data from the World Bank. MOST of the World Bank data sets begin no earlier than 1990, which means my ...
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2answers
41 views

Augmented Dickey-Fuller Unit Root Test & Cointegration

Using Stata 13. I have a pair of variables (x, y) over time. I want to regress y on x. Do I have to perform a ADF test 1st on x and y to find if both are stationary in their 1st difference (i.e. ...
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1answer
32 views

Is there a rising trend in Number Series

I am trying to build a stock screening utility. What I am trying is to find if there is a rising trend in a time series of profit margins of a company. I know there can be dips in some years but I ...
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11 views

Isolating influence of sampling from actual change

Say I want to evaluate teams' batting coaches in a hypothetical baseball league. It's an unusual league in that there is no control over (and large fluctuation within) the number of at-bats each ...
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1answer
38 views

How to test predictive power of ARIMA model

Once I've fitted an ARIMA model (by choosing, say, the one with the lowest AIC), how can I go about gauging how effective it is at forecasting a given financial time series? Should I somehow ...
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34 views

Census X-11 ARIMA seasonal component identification using R [closed]

I have been trying to wrap my head around conducting seasonal component identification analysis using Census X-11 ARIMA process using R. The procedure is fairly straight forward in SAS(proc x11) but ...
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36 views

ARMA Model fitting using statsmodels.tsa.ARMA()

Two questions. 1.) When I use the statsmodels.tsa.ARMA() module, I enter my parameters and fit a model as follows: ...
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1answer
20 views

Classification on variable-length time series

I have a series of transactions like the following: [0, 2, 2, 3, 1, 0, 0, 0, 1] [1, 0, 0] [3, 3, 1, 1] I would like to classify each transaction as being part of one of two categories: class A or ...
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1answer
24 views

Unit roots and order of differencing

I'm studying the stationarity with unit root tests and the order of integration in time series $\ln(x)$ and $\ln(y)$ found here. I'm using Dickey-Fuller test with constant but no trend. From what I ...
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1answer
33 views

advice on a solution attempt: interrater reliability of time-point data

In my data, two coders annotated subjectively (but independently), when certain time-point phenomena (a specific turn in a movement pattern) occurred. The data for the first 14 seconds looks ...
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53 views

How is $P[X_t\le x_t | X_1,\ldots, X_{t-1}]=P[X_t\le x_t]$ when $X_t\sim WN(0,\sigma^2)$?

In this slide , p.30 , p.31 , it is written that : White noise : $X_t\sim WN(0,\sigma^2)$ i.e., ${\{X_t}\}$ uncorrelated, $\mathbb E[X_t]=0, \mathbb V[X_t] =\sigma^2$ Example : i.i.d noise : ...
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Estimation of Integer Valued Autoregressive INAR(1) by MLE

Please guide me how to estimate Count data time series Model Integer Valued Autoregressive i.e INAR(1) by Maximum Likelihood Method.
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1answer
58 views

Data Visualization: how to plot irregularly spaced time series?

I have a collection of highly irregular sampled data. The gap between measurements can be few seconds, or few weeks or few decades... What are the techniques to plot irregularly spaced time series ...