Time series are data observed over time (either in continuous time or at discrete time periods).
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53 views
Is there a statistical model for modelling variables that are measured in varying amounts and in different time points per individual?
I have been trying to model a dataset of variables where each individual is measured a different number of times, and on different point in time. Most of my variables are count, but some are not (the ...
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0answers
13 views
Adjusting mixes of categorical variables by duplicating records
I have a large table with 4 columns, MONTH, COLOR, REGION and RESULT with the results of various contests that are repeated many times each month for the different colors. I can get the result to see ...
3
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1answer
94 views
Approaches to Forecasting with Daily Timeseries
I have just started to learn about forecasting. I thought it would be easy to create forecast models for a daily time series but have encountered a number of difficulties. Firstly most examples and ...
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1answer
84 views
Fitting GEV to non-stationary time series of extremes (general stationarity question?)
I'm fitting the generalized extreme value distribution (GEV) to a series of annual maxima of variable $X$. $X$ exhibits a linear trend.
When I fit the GEV to $X$, I think I have the choice to
Use ...
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0answers
31 views
Harmonic or dummy seasonal model
Within the BFAST package in R, one of the parameters that it gives is the choice of seasonal model parameter (harmonic, dummy, or none). I understand what none does; However, I didn't really ...
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2answers
269 views
Two seasonal periods in ARIMA using R
I'm currently using R to predict a time series with these instructions:
...
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0answers
25 views
Mean absolute percentage error (MAPE) in Scikit-learn
How can we calculate the Mean absolute percentage error (MAPE) of our predictions using Python and scikit-learn?
From the docs, we have only these 4 metric functions for Regressions:
...
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1answer
73 views
Time series deseasonalization
How do you know when deseasonalization is not necessary? That is, from what I understand, if you want to just look at the trend and irregular components of a time series, then you just need to remove ...
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44 views
Order of GARCH model
I am Ashenafi
I would like to ask, Is it possible to know the maximum order of GARCH(p, q); value of p and q (For example, using R software)automatically?
Example: In ArchTest, I got some ...
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2answers
356 views
Incremental learning for LOESS time series model
I am currently working on some time series data, I know I can use
LOESS/ARIMA model.
The data is written to a vector whose length is 1000, which is a queue,
updating every 15 minutes,
Thus the ...
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0answers
35 views
Calculating differences between groups and across time (age)
Let's say I have data of one variable $V$ measured for two groups of individuals ($a$ and $b$) and I want to see whether there is a significant difference between them and over time, i.e. $V_a$ stays ...
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2answers
108 views
In R, coefficients of MA function are wrong?
I'm currently sifting through my copy of Analysis of Financial Time Series 2nd Edition by Ruey Tsay, and one of the sections involves fitting a MA model to certain data (data set is here). Here's the ...
2
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2answers
79 views
Confidence bands in case of fitting ARIMA in R?
I want to look at the acf and pacf of my data, to identify the model for my mean equation, so I want to fit an ARMA for my mean equation and later on model the conditional variance by a ARCH/GARCH (I ...
6
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2answers
3k views
How to calculate the p-value of parameters for ARIMA model in R?
When doing time series research in R, I found that arima provides only the coefficient values and their standard errors of fitted model. However, I also want to ...
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0answers
56 views
Statistical tests on the revenue data of a small business
I have daily revenue data from a small business with 6 locations. The business sells food products that range from roughly \$2.00 to \$9.00, mainly to professionals. They do over a million dollars a ...
2
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2answers
174 views
What is better for time series prediction: AR or ARIMA?
I am trying to make a prediction in a time series with window 512 and horizon 2. I want to know if it's worth using ARIMA, that seems to be hard to understand, instead of the simple Autoregressive ...
2
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1answer
103 views
Why are MA(q) time series models called “moving averages”?
When I read "moving average" in relation to a time series, I think something like $\frac{(x_{t-1} + x_{t-2} + x_{t-3})}3$, or perhaps a weighted average like $0.5x_{t-1} + 0.3x_{t-2} + 0.2x_{t-3}$. ...
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1answer
193 views
What problems should I watch out for when combining multiple time series?
Say I have a number of time series, e.g. a number of temperature records from various stations in a region. I want to get a single temperature record for the whole region with which I could describe ...
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2answers
90 views
Predictions of a monthly temperature time series: adding noise to the predicted values
I am doing predictions on monthly temperature data for 100 years, from 1901 to 2000 (i.e 1200 data points). I want to know if the method I follow is correct because in my output, I do not see the ...
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2answers
280 views
Correlogram in R like in Stata?
In STATA I can create a "Correlogram" to find the appropriate lag order in case of time series. E.g.
I know I can use the acf or Acf of the forecast package to calculate the ACF and PACF and to ...
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0answers
39 views
R Packages for Panel GARCH?
Are there any packages that let me estimate panel GARCH models in R?
I have looked extensively in Google but have not found anything.
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2answers
85 views
Need a clear and simple auto-regressive model example
This may be hard to find, but I'd like to read a well-explained auto-regressive model example that:
uses minimal math
extends the discussion beyond building a model into using that model to forecast ...
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0answers
50 views
Link Anomaly Detection in Temporal Network
I came across this paper that uses link anomaly detection to predict trending topics, and I found it incredibly intriguing: The paper is "Discovering Emerging Topics in Social Streams via Link Anomaly ...
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1answer
50 views
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1answer
191 views
KPSS test - output interpretation in stata
I did KPSS test for some variables in stata to check for stationarity; I want to interpret the the stata outputs, but I don't know how to do that. For instance, in the following case:
...
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39 views
Whitening data and testing for correlation
Before I start I would like to mention that I do NOT have a mathematical background, so please answer in a ... easy to follow manner.
I'm testing 2 sets of stock market data (Shanghai Stock exchange ...
4
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1answer
40 views
What do you consider a new model versus an updated model (time series)?
I am having some issues explaining to [non-statistician] people that it is natural to revise the parameters of a time series (ARIMA) model if you update the model with new data (add new actual values ...
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25 views
PCA with same cases in different periods of time
I am new user of principal component analysis (PCA) and I have a big doubt.
I have 32 observations with 45 variables and I know that I cannot use the simple PCA for this analysis (n < p). However, ...
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1answer
47 views
Non-causal of variable threshold algorithm
I'm not entirely sure this question belongs here. (Maybe better suited on stackoverflow or theoretical computer science). But here it goes.
I'm reading a paper called. "Time-Frequency Analysis of ...
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0answers
91 views
Confusion with Augmented Dickey Fuller test
I am working on the data set electricity available in R package tsa. My aim is to find out if an ...
3
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1answer
131 views
Is this an ARMA(1,1) or something else?
I have a company, for which I calculated the logarithmic loss (-logarithmic return). Now I want to fit a mean equation to the returns, so I have to think about fitting an ARMA(p,q). I lookt at the acf ...
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0answers
27 views
Time spatial data analysis
Can anyone recommend some reading materials (books or papers) on the analysis
of time spatial data. I am particular interested in the bayesian model building
for this type of data. Thanks very much. ...
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votes
3answers
128 views
Identify seasonality in time series data [duplicate]
I want to detect presence of seasonality in time series data. I know one can achieve that by plotting the autocorrelation function but I need an automatic process if the series is seasonal or not, ...
2
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0answers
20 views
Predict binary occupancy vector from history of vectors
I have a set of binary vectors where each vector represents one day of occupancy in a house and consists of 48 elements (each element for 30 minutes of the day). Each element can be 1 meaning that ...
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0answers
26 views
Proper method for time-staggered/repeated measures data?
I have a data set with 300 workers/subjects. There is one dependent variable: a worker's performance, by some metric, during the current week. There are three independent variables (let's call them ...
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0answers
95 views
A measure of concordance
I have two data series same length = 80 points such as this picture
My questions:
How to compare overall trends?
How to measure the concordance between swings? For swing I mean each line segment, ...
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0answers
36 views
Book on Repeated Measure Analysis
Can anyone recommend a good book or some other reading materials
on repeated measure analysis using mixed model.Thanks.
Hanna
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0answers
36 views
How to test if two populations are different with the x axis a time variable
I have two populations: Class A and Class B. Both populations have two variables: ...
11
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1answer
295 views
How to predict one time-series from another time-series, if they are related
I have been trying to solve this problem for over a year without much progress. It is part of a research project I'm doing, but I will illustrate it with a story example I made up, because the actual ...
9
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3answers
2k views
Simple linear model with autocorrelated errors in R
How do I fit a linear model with autocorrelated errors in R? In stata I would use the prais command, but I can't find an R equivalent...
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0answers
51 views
Seasonality Period in ARIMA function in R - How to Interpret
I've used the ARIMA function in R to fit my data to the best possible model. My data consists of daily information and there ...
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0answers
27 views
website performance measurement error [closed]
I have 2 measurements from my website performance measurement tool ( 6 months data with 12 points per day). Both have some error as one of them is overestimating the response time and one is ...
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0answers
40 views
Converting ARMA models to infinite AR process in R
I'm trying to recreate some test statistics that use the infinite AR representation of normal ARMA models. I found out about the function ARMAtoMA but have not been able to find the same functionality ...
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0answers
23 views
forecasting export - methods
I have Product X Export data (time series data: year - amount) approx for last 10 years for my country and also Product Export data for Enterpise Y.
I am writing thesis. This would not be the main ...
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0answers
22 views
Length of time series and likelihood estimation
In ARMA (with normal errors) model estimation, are there any empirical studies or tests to judge the minimum number of observations (length) of the time series that are required such that OLS is an ...
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0answers
55 views
How to calculate the prediction interval for my 24-hour forecast?
I'm doing time series analysis and I would like to calculate the prediction interval. I have predicted the next 24 values for my time series, but now I would also like to calculate the prediction ...
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4answers
2k views
Period detection of a generic time series
This post is the continuation of another post related to a generic method for outlier detection in time series.
Basically, at this point I'm interested in a robust way to discover the ...
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0answers
33 views
Cross correlation for extremely highly correlated series
I have two time series showing very high dependency, in the order of 99.99% correlation, and I need to study their lead-lag relationship. So far I've been looking at the Pearson correlation with 7/8 ...
1
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1answer
51 views
Program Impulse Response Functions for VAR
I'm trying to program impulse response functions for a VAR model using Cholesky decomposition. The thing is I do not completely understand how I should do this when I read in the literature. Suppose I ...
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1answer
59 views
Degrees of freedom for Gaussian Process
I am reading this paper on Generalised Wishart Process (GWP). It is about modelling covariance matrix of D - dimensional gaussian processes (GP) as GWP. I fail to understand interpretation of "degrees ...
