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

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Displaying two sets of data with unequal number of data points in Excel

I have two sets of data to display in a single chart using Excel 2010. First set is the exchange rates over time for GBP against the USD and EUR - this has daily plots so I have about 7300 ...
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24 views

Fitting an SARIMA model of time series regressed on another

I'm fitting a $$ARIMA(p,d,q)\times (P,D,Q)_{12}$$ model. The first loop fits p and q. The second loop fits P and Q. Here, d and D are both assumed to be 0 since I'm looking at the interaction between ...
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46 views

Linear Regression with Time Series Data

I am in the process of completing an applied econometrics project and want to find the effects of my chosen independent variables (fertility, gender wage gap, years of schooling, etc) on my dependent ...
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How to get monthly Treasury Bill time-series data from weekly quotes

I am trying to get monthly T-Bill rate data for Sri-Lanka, for 3 and 6 month maturities. The Central Bank website has a downloadable excel spreadsheet giving weekly quotes (thus 4 rates quoted per ...
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10 views

Test of Equality of mean for time series data

I want to test the equality of mean returns of 4 fund managers for seven time series data of annual returns, which statistical tools would be appropriate, i am planning to use single factor ANOVA
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Using historic water flux data to detect the existence of leakage, where should I start?

This question is also linked to How to detect a relatively small level shift(leakage) in an hourly water flux time series in an area? which I asked a week ago... Background I've got a series of ...
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19 views

Predicting value with MLP neural network

I am trying to predict a value using feedforward and back-propagation network but I get incorrect predicted value. I checked the gradients calculation and error is 1.79684799923e-11 < 1e-9 so ...
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33 views

One Step Ahead with a forecast horizon of 25

I have 288 data points of the Wolf's sunspot data for the years 1700 to 1987. I need to predict one step ahead forecasts for a forecast horizon of 25. I kept the last 25 data points of the time ...
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43 views

Correlation between two time-series of unequal size

How can I estimate some measure of correlation between two time-series of unequal size? Is it a good approach to interpolate to the same size? I just want to check for a trend in the values of a ...
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22 views

Linear Regression for Forecasting: what are the risks?

I have a dataset containing financial data of multiple firms on 7 to 10 years. (yearly data). For each firm/variable i want to predict its value in the next two years. I don't have enough data (7 to ...
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11 views

Can I Use DFT To Find The Most Common Frequency?

I have a collection of data which measures the change in state of a device which records information. I basically record the time a new observation is made on the device. I want to collect the data ...
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86 views

Data structure for rare event predictions in temporal domains

I am a beginner in rare event modeling. I am working on predicting modem failures within a network where failures occur approximately 3% of the time. Currently my data is structured as follows: ...
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What are scientific questions one may ask regarding a univariate time series?

What are scientific questions that one may ask regarding a univariate time series besides forecasting/prediction?
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Identifying outliers in time series with decompose in R

I have time series data, from a period in which it is reasonable to assume the seasonality is the. I used decompose in R to get a multiplicative decomposition. I ...
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1answer
37 views

LSTM time series with mixed frequency data

I want to make a LSTM RNN for timeseries prediction, but some of my predictors are monthly and others are daily. Any advice / examples on how to set up this network? The frequency of the ...
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1answer
25 views

Optimal Combination Forecasts

Can someone give me an intuitive explanation of how Optimal Combination Forecasts work for hierarchical time series? I've been reading Rob Hyndman's paper and understand that the resolved forecasts ...
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15 views

Is there a way to force seasonality from auto.arima [migrated]

With the forecast package, I have a time series that I would like ?auto.arima to automatically pick the orders but I would like ...
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1answer
29 views

ARMA errors and combining explanatory variables

Currently I'm working on forecasting the employee turnover of an organisation. To do this, I'm using a time series data of the employee turnover over the past 7 years, it is an annual data. To make a ...
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1answer
36 views

Interpreting the Dickey Fuller test

I can't seem to make sense of the following results. The time-series looks more non-stationary than stationary, and when I fit an ARMA(1, 0, 0) it estimates the AR(1) term to be very close to unity ...
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12 views

Global VARX model?

I am looking for a way to compute IRFs for the following setup. Cross country dimension (country level data) Time dimension (60 periods quarterly data) 3 endogenous variables (VAR) 1 Exogenous ...
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27 views

Error while decomposing a time series in R

I'm coding to forecast using ARIMA model. The data is one single column in .csv file and it is an annual data. Therefore, the frequency = 1. When I'm trying to decompose my data it gives me an ...
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42 views

Time Series ETS model out-of-sample one-step-ahead forecasts. Weird Results

EDIT Secondary Question: Does using one-step ahead predictions even make sense, logically, for anomaly detection? I tried introducing anomalies manually and it seems the one-step-ahead timeseries ...
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1answer
37 views

Time Series forecasting with useful predictor variables

I am playing with time series data related to a issue ticketing system. The system logs all open tickets at any one point and my task is to predict what the volume of open tickets will be in 5,10,15 ...
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8 views

How do I perform cross-sectional regressions on groups of data, and how do I critically evaluate the output?

I am currently conducting a cross-sectional analysis on what effect changes in Economic Policy Uncertainty have on the changes in CDS spreads. My dataset consists of approx 260 firms over a 80-month ...
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21 views

Recurrent time-to-event?

I am working on a research paper looking at hospital readmissions after surgery and I have data for about 200 patients. I have the readmission dates for the first year after initial hospital discharge ...
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43 views

Exemple of real-life non-linear correlation in time series?

I am looking for a dataset of 'real-life' time series that exhibits non-comonotonic / non-countermonotonic dependence. I am not looking for the textbook X^2 correlation, but interesting yet real ...
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12 views

Looking at Time Vs Index

I have a collection of times, and I'm trying to analyze relative distances between different times. When visualizing this data, does it make sense to plot (idx,time), where idx in the index of a set ...
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16 views

Variable-length time series - neural network

I have data about patient purchases - specifically, how late their fulfillment of prescriptions are, or if they filled them at all. I want to feed this data into a neural network to classify them. ...
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32 views

Simple Linear Regression, Serially Correlated Residuals, and Interpretation

Question Can I draw any proper conclusions about the linearity and strength of a relationship between two non-stationary time series (I'm considering two series of interest rates, series $A$ and ...
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18 views

Relationship between GARCH(1,1) and ARMA(1,1)

Consider an ARMA(1,1) for squared returns $y^{2}_t$: $$y^{2}_t=0.038+0.946y^{2}_{t-1}-0.855v_{t-1}+v_t,$$ where $v_t$ is residual. How to show that this model corresponds to a GARCH(1,1) for ...
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21 views

Unequal timepoints longitudinal data with missing values

I have a longitudinal data with unequal time points with missing values. I am looking for methods to impute the missing data. I looked at R packages NORM and AMELIA II and SAS procedures PROC MI. All ...
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20 views

Critical values for Dickey-Fuller and Engle-Granger tests

I have two time series $\{X_t\}$ and $\{Y_t\}$ both of which contain thousands and sample data and I would like to test whether their stationarity and whether they are cointegrated. I plotted a ...
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72 views

Simple question about Ornstein-Uhlenbeck process

My question comes from this paper. The picture bellow provides a summary of the equations. Suppose prices of two stocks satisfy (2.1) SDE. Then X(t) is expressed as (2.2) and can be modeled with as ...
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periodicity within Signal [closed]

I am actually measuring the current of a dc motor, it takes values between, and I want to be able to find periodic peaks within my signal. My motor is connected to a spindel, the goal is to detect ...
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31 views

Basic question on E-views

I ask a question about E-views. Is the P-value in the picture less than 0.05 or greater than 0.05? I'm confused because of the presence of the sign '<' in front of 0.10. Please help mee. Thank you. ...
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19 views

8 variables for 12 months. Sigmaplot

I have measeured 8 variables for 12 months. n = 5-20. So, now I have mean, STDEV, SEM and n for those variables. I have trying to show relationship within those variables and among months. So, I ...
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17 views

Multinomial logit / time-series fixed effects / multivariate regression: Which one to use in this case?

Friends, As part of a larger study, we have collected a wealth of data on the interactions customers engage in when buying and using a service. Particularly, we have distinguished this process into ...
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16 views

Statistical test between pairs of values recorded by human and machine inorder to find the agreement between them

I have a set of independent values (which are subjective) recorded based on both human observation and machine recorded ones. At this point I want to ask serval questions like what is the agreement ...
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9 views

forecasting with ratio

i have daily data about revenue and number of push notification sends. I am trying to predict revenue/sends by day. there is a day of week effect also and days may have different sends. For example ...
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10 views

Do I still need ergodicity if I have multiple/infinite time series of the same data generating process?

The main reason we need ergodicity (and therefore stationarity) is, as Shalizi puts it: The ergodic theorem is important, because it tells us that a single long time series becomes ...
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19 views

Optim error training ARIMA model in R [duplicate]

I have the code below which trains ARIMA models for a range of order combinations. I'm getting the error below in the step training the ARIMA models. The code worked just fine with the ...
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22 views

MAPE vs. MAE for forecast evaluation [duplicate]

If you are trying to judge how well a forecasted model is doing, say like the rolling forecast example from Hyndman's blog, is MAPE a better choice than MAE? Are there reasons to chose mape or mae ...
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31 views

Filtering sudden peaks with its rolling mean

I have a 10minutes wind speed time series which has several high/low sudden peaks that are out of the general tendency of the series and its sorrounding neighbors. While searching for an automatic ...
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6 views

Converting time series into vector [migrated]

I am looking for an approach to convert a time series data into vectors. An example of what I am trying to achieve is given below. ...
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Showing that a process is autoregressive

Consider a sequence $(Z_t)$ of i.i.d. standard normal variables and real numbers $\alpha > 0$ and $\theta \in (0,\frac{1}{3\sqrt{3}})$. Let $X_t = \sigma_tZ_t$ for $\sigma_t^2$ defined by ...
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26 views

Optimal block length for block bootstrap with multivariate time series

I've got a multivariate time series $\mathbf{X}_t$, where $t$ is time and there are $p>1$ columns of $\mathbf{X}_t$. There is autocorrelation in the data. I'm interested in various functions of ...
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2answers
51 views

R auto.arima with intervention: intervention only affects one point

I have a model fitted with auto.arima, the model is ARIMA(0,1,0)x(0,1,0)[6] with seasonal period 6. The data is bi-monthly so there is an annual seasonality. There ...
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Analyzing series of events, controlling lengths

(Excuse me for terminological problems. After I tried to find the solution, I started looking for at least the right names for the concepts I use, but I failed, as the simple descriptions I tried to ...
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11 views

MODWT Wavelet Transform Matrix

I am working through the calculations for an MODWT transform. In order to visualise it, could someone show me what say the $W_1$ 8x8 matrix looks like. For the first level of a d4 wavelet, I have: ...
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DCC-GARCH: selection of error distribution and extraction of volatility decay

I am in a hesitation of detecting which indicators from maximum likelihood (ML) estimates of the Gaussian DCC model tell the volatility parameters' decaying. Another question is, how to know which ...