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

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98 views

Correct name for waterfall chart with data point pairs showing net value per pair?

The chart illustrated below is an attempt to show a concept I'm looking to visualize. On each day I have two numbers I want to show - an increase (tasks assigned), and a decrease (tasks completed). I ...
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15 views

How can I filter marketing campaigns out of my decomposed seasonal data?

I've recently jumped into the deep end of statistical analysis of revenue. I've learned a ton about statistics, probability, decomposition (stl), and the Python and R languages. I feel like I'm ...
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62 views

My project work is on time series using the ARMA model or the ARIMA model

My project work is on time series using the ARMA model or the ARIMA model. Where do I start to analyze my data?..... it is a federal road safety commision data from 2003-2014
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12 views

Time Series - Moving Average without the most recent data

If I understand correctly, I need some recent data to do the time series such as moving average. Jan 10 Feb 20 Mar 15 Apr So the estimation for April will be (10+20+15)/3 = 15 But Now I don't ...
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13 views

Summarizing output of moving correlation

I have 2 yearly time series (of 55 observations each) and I have calculated moving correlations between them (using windows of length 5 years). My aim is to summarize all the correlations I got into ...
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20 views

Hurst Exponent way off?

In RStudio, I use hurstexp() to gather the 5 estimations for the Hurst exponent. Using the recent 500 days of the VIX index (a highly, highly mean reverting series) ...
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27 views

Cross- correlation between two non-stationary time series

I have two time series that are growing together. I want to measure if these series are growing similarly together with some lag. Originally, I was thinking I would just take the cross-correlation ...
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1answer
35 views

Visualizing the trend of monthly change in a times-series year-over-year

I am interested in a better way to plot monthly changes in a time-series. Especially I'd like to compare how the monthly change this year differs from the monthly change last year. Monthly change is ...
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44 views

Trend shifts in timeseries

How can we detect trend shifts in time series? I know of Ets in R which tries to make trigonometric analysis of seasonal data. However I have not found yet a way of finding periodic trend shifts in ...
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14 views

How to interpret Realized Volatility and TSRV using R

I am looking at some high frequency data and I would like to know how to interpret and compare Realized volatility (RV) and Two Scale Realized Volatility (TSRV). References below. Given X is the log ...
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7 views

Does it make sense to interpret autocorrelation and box test on 5 data points?

I am trying to see if after I trade a stock the price movements at 2, 5, 7, 10, 30 and 60 seconds after exhibit any autocorrelation. Below I have the returns from my trade price to the trade 2,5,7,10 ...
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4answers
168 views

How to detect abnormality in an otherwise very systematic and regular time-series data for temperature measurement?

I have time-series data, let's say a pandas series, with time (sampling frequency is hourly) as its index and temperature measurement across that time. I want some statistical/time-series principle ...
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37 views

Forecasting monthly time series with known periodicity and a known driver

For 2004-2014, I have monthly measurements of my outcome of interest - some kind of physical exposure - for a collective of many thousand persons. The main determinant for the average exposure level ...
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14 views

Cross-applying known seasonality adjustment to new data

I have two sets of data, drawn from the same source. I know that the data exhibits seasonal behavior, visible over each week and over each day, and am willing to assume that the seasonal behavior is ...
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1answer
34 views

Does the Dickey-Fuller test for a Random Walk?

Is it valid to say that the Dickey-Fuller test, tests for a random walk? Since the AR(1) process $Y_{t} = \rho Y_{t-1} + e_{t}$ with $\rho = 1$ is the same as the random walk. (Next value is maximum ...
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12 views

derivation of equation 2.3 in Baille paper

I'm reading a time series/prediction paper and it's has a result on the first page (equation 2.3) and then more details on how the result is derived are given in the Appendix A. Unfortunately, the ...
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1answer
45 views

Time Series Regression using dummy variables and fpp package

I want to solve the first exercice of the Multiple Regression Chapter of R. Hyndman's online book on Time Series Forecasting (see https://www.otexts.org/fpp/5/8). I use ...
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77 views

Decomposition of daily time series (several years) with multiple seasonal patterns

i have a daily time series of several years. Graph & CSV-file So far i could figure out with an based on an acf graph and this method: timeSeriesObj = ts(x,start=c(1999,1,1),frequency=7) ...
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88 views

Determining order of ARIMA model using Box-Jenkins. Correct approach / argumentation?

I obtained a couple of time series from estimating my (mortality-)model which I now aim to forecast with an appropriate ARIMA(p,d,q) model, which should be chosen with the use of the Box-Jenkins ...
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10 views

Predicting the area of each crop in the next season in the farm based on historic data

I have a farm with 10 years data about the area and type of crops which planted. The whole area of the farm is 220 hec and 4 different types of crops (Rice, Maize, Wheat and pasture (and uncultivated ...
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23 views

Tests for stability (not just stationarity) of a time series in R

I am new to R and comparatively new to forecasting. I am aware of ADF test for stationarity, which checks the presence a unit root in the characteristic equation. But is there any test that checks for ...
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15 views

Time Series Modeling: How to get a more stable time series model that captures postive/negative runs?

I am trying to fit a time series to a data set that contains both positive and negative values. A key metric that I need to use to determine the quality of the fit is the distribution of positive and ...
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16 views

Extracting amplitude information from sum of two step functions

Background: I'm looking at power information from a circuit powering multiple freezers, resulting in a signal that is the sum of two step functions, with slightly different frequencies. I'm looking ...
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9 views

Statistic to summarise multiple timeseries observation with missing data

I have a data frame containing timeseries data on 200 patients ...
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25 views

How to show two data series are out-of-phase

I have two time series as shown below. Now I need to show that they are out-of-phase. The data here is ice volume in Antarctica (Red) and Greenland (Blue). I need to show that the glacial cycles are ...
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34 views

z score vs z score of z scores

Suppose you have n time series, and you want to study the difference between the value of any pair of these time series. There seems to be two ways to go about this: One way is to simply calculate ...
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49 views

Structural breaks, stationarity and time series modelling

This is a simplified version of my problem... Say I have two time series ($X$ and $Y$) and I know that $Y_t$ is somehow dependent on $X_t$ but not on $X_{t-k}$ for any $k > 1$. Ultimately I want ...
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99 views

time series - Poor prediction using ARIMA model

I am trying to fit and forecast log returns of a price data using ARIMA model in R. For reproducibility, data is provided here. Steps Followed, Code and Results obtained Check for outliers ...
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1answer
20 views

Time Series Data Unobserved Components Model

I am using the Unobserved Components Model to decompose metal price data in Stata. i am using a model with three terms trend, cycle and irregular. I specif the model below: ucm copper, model(strend) ...
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33 views

Model for survival analysis with time varying predictors (panel data) and delayed effects

I collected behavioral data of more than 150 people, monthly, over two years. So for each of them I have 24 repeated measures over time. It occurs that after some months some of them get infected by ...
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13 views

How to predict at n time periods ahead in STAN for a Hierarchial Bayesian model? [duplicate]

In R, if you have to do this for an ARIMA model , ypu would do something like predict(object, newdata, n.ahead = 1, se.fit = TRUE, ...)... Is there way to do something similar in STAN /rStan ? ...
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29 views

Can anyone explain what is happening in the stl function of R?

I am recently working with seasonal-trend decomposition. Yet I am not that familiar with the approach that R is using. Can anyone one kindly explain the mechanism of the stl function?
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17 views

How to estimate an ADL from an ECM output

I've the following ADL(1) model for a long-run money demand equation: $Y_t = \alpha_{0} + \alpha_{1}Y_{t-1} + \beta_0X_{1t} + \beta_1X_{1t-1} +\gamma_0X_{2t} + \gamma_1X_{2t-1} + u_t $ An Error ...
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28 views

Stuck in derivation of Cramer Rao bound

I am trying to do blind system identification of a univariate linear Moving Average model: \begin{align} z(n) &= h_1 u(n-1) + h_2 u(n-2) + u(n) \tag{1} \\ y(n) &= \mathbf{h^Tz(n)} + w(n) ...
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25 views

How to deal with interruption in time series analysis?

I am probing a time series data of transactions. Basically, I want to see the pattern of the number of transactions in each time slice. First of all, I looked at hourly data. However, the opening ...
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22 views

Prediction with time series model

I have a data from last 28 years about the yield of cornstover on different states. I want to make a prediction for next year using this data. I am entirely new on time series model and don't know ...
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36 views

Forecasting time series with lagged variables and machine learning

I want to forecast a time series based on the lagged variables of the model and train it using a machine learning algorithm like Random Forest, SVM, Neronal Network, etc. So I want to forecast A ...
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1answer
37 views

time series regression and correlated residuals [closed]

Can somebody please introduce me a time series regression dataset that has many variables and data point? In a nutshell, I have a model of the form of $$y_t=X'\beta+v_t$$ where $v_t=\sum_i^p ...
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23 views

How can I extract features from fMRI network connectivity analysis (FSL nets)?

I have a set of 37 fMRI images from mice which are divided into 4 classes (different drug doses applied). My task is to train classifiers (SVM etc.) on this dataset. Of course feature extraction is a ...
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16 views

Time-Series to Predict or Identify Plateaus, Dips, and Leaps in Human Learning Data

My lab has a history of detailed analyses of behavioral data but we are confronted now with a “times series” question that is outside my normal comfort zone. Basically, we have learning data from 31 ...
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32 views

Time series analysis with multiple stations

I'm a college student and the professor assigned me a project about time series analysis. I have a database about monthly temperatures of the last 50 years recorded in 46 stations across Europe. It's ...
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1answer
37 views

How to combine multiple time series or linear models?

What would be the best suited method to analyze the following: ...
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30 views

penalized regression and ARMA residuals

I am very interested in implementing a time series-regression model proposed in ''Shrinkage estimation for linear regression with ARMA errors'' paper. I know that a non-penalyzed version of this ...
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6 views

Joint density of two time series

I'm studying two time series, one represents the density of snowshoe hares and the other one the density of lynxs. I have analyzed them in a separate way and computed the ccf and so on. Now, the ...
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1answer
32 views

Correct Unit Root Testing

I have a few time series of variables with each 40 monthly observations. Now I want to test each variable for Unit Root (non-stationarity). My Question: How to choose the optimal lag length when ...
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23 views

Picking block length in a block bootstrap

I am using the Mann-Kendall test to assess trends in a data time-series. I believe there is autocorrelation in my data and therefore need to use a block bootstrap to correct for it. I have plotted ...
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14 views

How to Compare Exogenous Shocks Between Time Series

So I have two time series and I want to compare what happens with each when they both experience the same exogenous shock. My goal is to see if there is a correlation between the two when exposed to ...
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42 views

R : arima : plotting regression line of autocorrelated time-series data when d > 0

I'm interested in determining both the slope regression coefficient and plotting regression lines for autocorrelated time-series datasets of rainfall. Specifically, I'd like to identify the best ...
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1answer
35 views

Identifiability of a state space model (Dynamic Linear Model)

Take a general linear Gaussian state space model (SSM)(aka Dynamic Linear Model DLM): $X_{t+1}=FX_t + V_t$ $Y=HX_t+W_t$ $V_t \sim N(0,Q)$ $W_t \sim N(0,R)$ I am interested in the ...
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34 views

Time series analysis: Periodogram and correlogram

I'm new on time series and I'm trying to analize one of them. The time series is short and it is given by 27 observation with annual frequence: $$ data \leftarrow c(7.92, 13.85, 22.40, 53.89, 35.80, ...