Tagged Questions

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

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19 views

How to simulate a structural break time series? [migrated]

I want to know how to simulate the following structural break autoregressive time series: $\begin{cases} Y_t = 0.9Y_{t-1}+\epsilon_t & \text{for }1\le t< 50\\ Y_t = ...
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1answer
25 views

relationships between 3 variables

I have 3 data sets. one is the water level of a lake at 15min intervals, one is the water level of a pond next to the lake (also at 15min intervals) and one is the wind speed over both the lake and ...
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4 views

Using dates in R for Theil-Sen [migrated]

I am trying to use dates as my X variable in a Theil-Sen slope estimation and I am having difficulty using the R package zyp ...
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0answers
30 views

Identifiability in linear regression and time series

The multivariate linear regression model is given by $\mathbf{y} = \mathbf{X}\boldsymbol{\beta} + \boldsymbol{\epsilon}$, where $\boldsymbol{\epsilon} \sim \mathcal{N}(\mathbf{0, ...
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46 views

How to determine the correlation between data sets with the same period but different sample rates?

I am trying to determine the correlation between two sets of data points which span the same time period (20 minutes) but have different resolutions. The first set was recorded at 1-minute intervals, ...
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1answer
22 views

How to validate a lognormal random walk for time series data

I am currently working on a project where I need to simulate the prices of a set of $D$ substitutable commodities over time. I was hoping to do this using the following $D$-dimensional lognormal ...
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1answer
33 views

The likelihood that a time series is generated by certain ARMA(p,q) ?

I have a group ( only 20 of them, each one has 170 time pointers) of time series that I can consider as "GOOD", meaning, they have consistent statistical characteristics. I am not sure how they are ...
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9 views

Discovering dis-associations between periods of time-series

I'm interested in discovering some kind of dis-associations between the periods of a time series based on its data e.g. find some (unknown number of) periods where the data is not similar with the ...
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0answers
10 views

Are there free APIs for searching news articles that I can use to collect trend data in news coverage? [migrated]

I am working on a data-visualization web application that looks at trends in American news media coverage over time. It takes a keyword (or keywords), a date range, and a time increment as parameters ...
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1answer
35 views

How to analyze personal time series

I have a time series data of multiple subjects' performance over the time as well as time series metric of their mouse movement. In other words, for every subject, there are two graphs: Performance ...
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0answers
16 views

Factor analysis using “outliers-only” time series

Some background I run a factor analysis of a time series $Y$ using a standard OLS model with n+1 independent variables $(F,X_1...X_n)$, where $F$ is the main factor (from an explanatory power ...
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1answer
61 views

Cointegrated Vector ARMA (CVARMA) Model vs. Dynamic Factor Model (DFM)

Two questions regarding the equivalence (or lack thereof) of vector error correction model (VECM) cointegrated vector ARMA model (CVARMA) and dynamic factor model (DFM): Can every VECM CVARMA be ...
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2answers
188 views

Pattern recognition with time series analysis

I'm looking for some good pointers to pattern recognition with time series. Possibly something practical that can be easily understood. As a toy example, think about collecting data from an ...
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1answer
22 views

Discriminating for early detection of problems

I could (please) use some suggestions on how to tackle an issue that has been brought up where I work. When a new product is launched, our company tracks how many AND what type of replacement parts ...
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0answers
17 views

How does one adjust for data snooping when using ACF and PACF?

ACF and PACF are routinely used for approximate identification of a time series model, e.g. as described here. Say, one takes a look at the plots and guesses that it's something like ...
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41 views

How to interpret ACF and PACF plots

I just want to check that I am interpreting the ACF and PACF plots correctly: The data corresponds to the errors generated between the actual data points and the estimates generated using an ...
1
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1answer
22 views

If I am comparing actual data vs. forecasted data, is the Durbin-Watson statistic useful?

We are comparing our forecast vs actual data from the same time period and was using the mann-whitney test to help provide evidence our samples were not different. Someone challenged us saying the ...
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1answer
34 views

How to combine short term and long term time series?

I need to combine two traffic data series which are long term ( with 15 S / 30 S/1 minute interval) and short term( with 2 S/ 3 s) for my research purpose. These two types of data series reflect ...
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0answers
15 views

updating a forecasting model including the new observed data with the historical data

I want to have a one week ahead forecast for my data which includes a four years of daily historic data (three years are used as train set and the 4th year is used as the test set). I can use three ...
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1answer
15 views

Ensemble in stochastic process

I am learning a time series and forecasting course.In the book "The Analysis of Time Series by Chris Chatfield" it says that We only have single outcome of the process and a single observation on ...
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1answer
143 views

What if the trend is changed?

I want to forecast tourist arrivals using time series analysis. I expected to use monthly data from 2000-2013. But due to the civil war, the trend was changed after 2008 as in the following plot. ...
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0answers
20 views

NARX model to predict future values

I have this problem , where I have to predict a value of a indicator which depends on 270 other predictor variables. I read the time series modelling and prediction on MATLAB , which took the example ...
2
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1answer
26 views

My transfer function has non-stationary inputs, but a stationary output. Should I difference both the inputs and outputs during structure estimation?

I have a system of two inputs and one output that I'd like to model using the following Box-Jenkins transfer function ("dynamic regression") structure: $$y_t=\frac ...
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2answers
71 views

How to check if a series has been seasonally adjusted correctly?

I am a bit puzzled here and would like to understand how to check if a time series has been seasonally adjusted correctly using X-13 Arima. After seasonally adjusting time series using X13-ARIMA ...
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1answer
25 views

Very different Neural Network test errors for same architecture

So I'm doing a time series prediction, and assessing the capability of the ANN to predict that time series. I am using Matlab's neural network toolbox functions, and the training parameters are the ...
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1answer
70 views

are qqplots appropriate for time series?

I've seen that qqplots are a very useful tool to check model assumptions. In particular to analyze the residuals. However, it seems that is based on data ordering and therefore assumes a atationary ...
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0answers
11 views

How to compare the volatility of quarterly p&l of two firms in the same sector?

I want to compare the volatility of the historical quarterly profit and loss (p&l) data of two or more firms operating in the same sector and determine whether the volatility of p&l of these ...
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1answer
32 views

Is it reasonable to use a combination of two forecasting models for a dataset?

I used tbats to fit a model for a 3 years of historic data and the values work fine but as I did not include holidays, holiday predictions are really off. I used arima with regressor (holidays at ...
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0answers
57 views

Bartlett's Sphericity Test for PCA Failure

I am using XLStat for a PCA of time-series water chemistry data. I have 23 analytes and 29 samples. I am using a correlation matrix for PCA as I find it more interpretable in the context of ...
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0answers
42 views

Find the median individual with observations on multiple variables over time

I have a question regarding the use of median. We collected data concerning disease development on hosts. We gathered the evolution of three variables over time on individuals. Their characteristics: ...
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0answers
94 views

Obtaining the SarimaX equation from the arima coefficients

I have a SarimaX model with three regressor variables: ...
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0answers
18 views

Synchronize time series by date and time in R

e.g. i have two time series that describe how much money in specific currency i spent at specific date: ...
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2answers
53 views

Time series - plotting continuous and categorical variable

I have one dependent continuous variable and an independent categorical variable. Each one minute window on a time series is marked with one category, for example 10:00 - 4, 10:01 - 1, 10:02 - 5, ...
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0answers
18 views

multidimensional time series nonlinear parameter estimation

I am trying to fit time series data for performing parameter estimation of a nonlinear multidimensional dynamical model (grey-box). At the moment I'm successfully using MATLAB's ...
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0answers
22 views

What type of model should I use? (Time series, univariate, dependent variable is a count)

I have a univariate model in which I am looking to predict the number of articles per week in a newspaper about a protest (count data) by how many arrests of protesters occurred per week. I have 148 ...
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1answer
51 views

How can one say if a model is poor based on RMSE value

I have a general question about the value of using RMSE to see if a forecasting model is poor. I used the forecast package in R to find forecasting models for ...
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0answers
19 views

Use cases for P-Kernel for SVMs

I've been reading the book by Cristianini on Kernels (2004) where generative kernels (like p-kernel and fisher-kernel, not to be confused with polynomial kernel!) are described. I am interested in ...
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1answer
31 views

What statistical analyses should one perform on ensemble forecasts (given a measurement)?

I have an ensemble of time-series predicting a scalar variable. Additionally, I have a measurement time series of this scalar variable. Which statistical analyses could and/or should I perform to ...
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5answers
133 views

How to characterize abrupt change?

This question may be too basic. For a temporal trend of a data, I would like to find out the point where "abrupt" change happens. For example, in the first figure shown below, I would like to find out ...
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0answers
30 views

prediction for data including weekly and annually seasonality and dummy variables for holidays

I have a three years of daily data for number of orders a trucking company receives everyday. Number of orders are high during weekdays and they have a huge decrease for weekend. I used msts to ...
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1answer
44 views

prediction using historic data with unusual annual trends

I have 4 years of daily data. there is a decreasing trend for the data for the first 3 years but the trend increase for the 4th year. I wanted to find a fitted model using the first 3 years and then ...
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2answers
267 views

Wrong predictions for weekend, but good predictions for weekdays

I have a set of 3 years of daily data. I saw weekly and annual seasonality in the data so I used msts time series and tbats ...
0
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0answers
38 views

predicting time series with support vector machine using R

I am planning to do time series prediction using support vector Machine. I could not find any materials about time series application of support vector machines using R or Mat-lab. Similar question ...
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1answer
82 views

Time series forecasting accuracy measures: MAPE and MASE

We come to this toy example showing MAPE and MASE are not consistent when measuring forecasting accuracy. Data consist of 100 white noise and 100 $AR(1)$ time series with length $N=500$, mean $\mu=1$ ...
2
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0answers
19 views

Normalized RMSE

I have several time-series in a VAR(1) and, due to some of them haven't the same unit of measure, I'd like to estimate the RMSE in percentage. I know that it could be done in several ways (see below) ...
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0answers
74 views

Stock closing price forecasting using ARIMA model in R

I have downloaded the daily stock Adjusted Close price of one stock from sep 2011 to till date. As per my study plan, I have plotted some basic plots to understand the daily stock Adjusted closing ...
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1answer
31 views

Standard model for time series with (possibly multiple) seasonal component

Suppose you have a "new" way to formalize a seasonal component and you want to see if your method is worth to be published. My idea is to take a "standard" model for time series with seasonal ...
3
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3answers
87 views

Does Stationarity for Time Series extend to Independent Variables?

There have been many questions about the importance of stationarity and also its means of calculation here on CV, but one question that I have not seen an answer to is whether or not stationarity (in ...
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1answer
28 views

Data with weekly and annually seasonality but the first day in time series is not the begining of a week

I know it might look naive but I have a very basic question. I have a three years of historic data which has weekly and annual seasonality. January first as my first data is on Wednesday so my time ...
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0answers
8 views

regression test or two bloc PLS model to prove a gene expression matrix relationship

I have two gene expression matrices, matrix A coming from a set of two hypothetically different cells while matrix B is coming (for certain) from only one of them. The structure of a gene expression ...