Time series are data observed over time (either in continuous time or at discrete time periods).
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24 views
Pattern of events that leads to a goal
I am not a statistician, so go easy on me here...
I have collected lots of data on the behaviour of customers in a shop. A customer will enter the shop and a series of events will then take place ...
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1answer
66 views
How to analyse seasonal variation in stroke onset?
I am dealing with the topic of seasonal variation and stroke. I would like to do time series analysis.For time variable I have stroke onset month and all the other variables are categorical in ...
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0answers
56 views
Statistical significance of stock portfolio returns?
I bought 3 stocks on 1/1/2013: ABC, ACME, WRAM. By 3/1/2013, I earned a 10% return.
During the same period, the S&P 500 returned 5%.
Is my superior performance statistically significant?
3
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1answer
82 views
What are the assumptions for checking the stationarity of a time series?
I am checking stationarity or non-stationarity of a time series with R and I am using adf.test and kpss.test in ...
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1answer
58 views
Ordering in VAR models
In Enders' 'Applied Econometric Time Series', I repeatedly stumbled upon the notion of the "ordering of a VAR model" and I am not sure I understand the concept right. As far as I understand it, the ...
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1answer
67 views
Time series modeling with independent variables
Let's say that I have data depicting the number of museum visits per day. My challenge is to understand how certain external (exogenous?) variables, e.g., weather and advertizing affect the number of ...
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32 views
Given any arbitrary time series, how do remove nonstationarity and seasonality?
Since ARIMA models only work for stationary non-seasonal time series, what are some standard ways to remove nonstationarity and seasonality? I know you can take the log of the time series and you can ...
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2answers
121 views
Relations and differences between time-series analysis and statistical signal processing?
I was wondering what relations and differences are between time-series analysis and statistical signal processing?
I found some recommendations of books in time series including some books in ...
2
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1answer
102 views
How to interpret cumulative periodogram?
I use cpgram function in R to produce a cumulative periodogram of a monthly time series. Its horizental axis is a number between 0 and 6 labeled as frequency: what ...
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0answers
38 views
Issue in system identification using black box modeling and Yule Walkers Equation
I have a set of observation, a vector consisting of 500 positive real values. I am having a tough time in figuring out what should be the model, i.e a general equation representing the data values. I ...
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0answers
24 views
How can I impose stationarity to the underlying ARMA model in ugarchfit function in R
I got these estimates after using the ugarchfit function for a GARCH(1,1). Those coefficients for ar1 and ma1 trouble me. Is there a way i can fix this? Eviews gives me entirely different, more likely ...
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2answers
73 views
How to generate the time series from a given model?
we consider a sparse autoregressive time series of length 1000 obeying the model
X(t)=0.2X(t-1)+0.1X(t-3)+0.2X(t-5)+0.3X(t-10)+0.1X(t-15)+Z（t）
with nonzero coefficients at lags 1,3,5,10 and 15,where ...
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1answer
49 views
How to generate the most common clickstream sequence
I have logs with the following information:
date-time username view action action_data
These logs are generated from a web-application which consists of several views where the users can perform a ...
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2answers
168 views
One-way repeated measures anova
I tried finding an answer to this question on this and other sites but to no avail - if I am missing something please excuse my inability to locate the answer!
Basically I have several dependent ...
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2answers
43 views
difference in training and testing procedure of model
Can anyone please tell me the difference in training and testing of a model. I have developed 5/6 different single pass online learning algorithm (ets, ets+, evolving fuzzy modelling, SOFNN, ...
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0answers
30 views
Multiple left censored trend analysis
I am trying to determine linear temporal trends in a time series where the dependent variable is left censored (<30%) at multiple levels. I would normally use a Generalised additive model to ...
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0answers
104 views
Simple interrupted time series analysis
I have a weekly time series representing costs for a cohort. I want to tell whether an intervention on the cohort (we can assume it happened in a single week) has decreased costs for the cohort. I ...
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1answer
38 views
Time series data to measure the effect of an intervention on inpatient utilization
I have a general knowledge of regression, but I don't know what is the best approach to analyze these data. The dataset represents quarterly rates of inpatient use for three provider groups ...
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82 views
Predicting twitter activity using time series analysis
I'm interested to build a model for predicting how many tweets people I follow will probably tweet today (or by hour), based on their previous tweets in the last 60 days (or more).
Of course that the ...
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1answer
27 views
Is there any research on control of hidden stochastic processes?
The short question:
Are there any studies of systems described by several hidden stochastic time dependent variables and observed variables that are given by known deterministic functions of hidden ...
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0answers
19 views
Dealing with variance within a closed set
A naive question perhaps, but one I need an answer to.
I am developing the functional requirements of a machine that needs to accept and process a number of incoming items daily. Any model for ...
2
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1answer
107 views
Seasonal Time Series
Suppose $ X_t = (\alpha + \beta{t})S_{t} + e_{t}$.
Define $C_{12} = 1 - B^{12}$ as the backshift operator.
Assume $ S_{t}=S_{t-12}$ for all $t$.
Assume that $e_{t}$ is white noise.
Is ...
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1answer
40 views
Which model for count data over time?
I am currently assessing some results I have from a model I applied on a corpus of text data I have mined.
My problem is that my professor have told me to use a certain method, and I do not really ...
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0answers
42 views
Is average the best metric for aggregate correlation across financial time series?
I read this question. However, I'm not sure if my question is necessarily redundant. I'm just wondering if it is appropriate to use average correlation as the best measure of overall dynamic time ...
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1answer
58 views
How to check the distribution of the given data
I am working on time series. I have a set of data which I would like to use for estimation. Can some one tell me how to find under what distribution the data I have goes in. I tried plotting using
...
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0answers
34 views
Expressing a time series in more detailed time interval using mathematical approximations
I have a time series with a dependent variable (electricity comsumption) measured on a daily basis. I have also an independent variable (unemployment) measures in monthly intervlas. I want to use an ...
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1answer
61 views
Advice needed for time series correlation
I have two time series data sets that I wish to compare. One is from an automated process of laboratory generated medical test results. The positive test results occur every day over N years.
The ...
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0answers
42 views
How to initiate value for dlmModPoly?
I'm trying to build a model to predict a product's sale price. I'm researching the dlm package. Looks like I should use dlmModPoly, dlmMLE, dlmFilter, dlmSmooth, and finally dlmForecast. I'm looking ...
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3answers
62 views
Adding up events in time series forecasting
Let us say that we have an event - variable (1/ 0) that denotes the occurence of an event on a daily basis e.g. a strike. Let us now say that we have a continuous variable (sales) that that we want to ...
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2answers
130 views
What is the best way to strip weekly and seasonal noise from a time series data set?
What is the best way to strip weekly and seasonal noise from a time series data set?
Any recommendations on different approaches and there relative benefits?
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0answers
124 views
How to measure the “average” autocorrelation of a time-series signal with itself
I have a short time series signal (say around 30 samples), and I would like to check whether or not it's oscillating. One approach I came up with was to measure the autocorrelation of the signal with ...
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0answers
58 views
Is there a serial autocorrelation test for FGLS-FE fitted with pggls function in R?
a simple question here: is there any AR1 and AR2 test for FGLS-FE fitted with the pggls function of plm package in R?
(one example would be the Baltagi-Wu LBI test)
Thanks for your attention!
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1answer
140 views
Is the square root of a positive semi-definite matrix a unique result?
I am trying to decompose a time series of $n$ observations $\bf{\mathrm{v_c}}$ into the $n \times n$ variance-covariance structure $\sum$ and a random series $\bf{\mathrm{v}}$.
So, I can derive the ...
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0answers
37 views
Variability of data
There is a student, who is taking only 2 classes in one semester. Class 1: Math, Class 2: Science. For each of the classes, every Thursday a quiz is taken. There are no other exams or hw; only the ...
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1answer
63 views
Unevenly sampled data and the Lomb-Scargle method
I managed to estimate the periodogram of unevenly sampled data using the Lomb-Scargle Method. Analyzing the frequency domain it would be interesting to filter out a frequency band and then apply IFFT ...
1
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1answer
192 views
Reasons for autocorrelation in time-series residuals
Why are residuals usually autocorrelated in time-series data? Could it stem from the autocorrelation of the response variable? Is the reason that in some cases the differencing (i.e., the differences ...
1
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0answers
18 views
Non-reverting tendency?
I have a time series from which i select a random point. I randomly pick a direction "Up" or "Down" and i place two targets. When i reach either of these targets, i increment the counter for "Target 1 ...
2
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0answers
64 views
Question about classification with hidden Markov models using depmixS4
I am using the depmixS4 package to fit HMMs.
I have three different classes of data and I have fitted 3 separate HMMs using the depmixS4 depmix and fit functions and given a new sequence of ...
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0answers
73 views
ARMA parameter estimation WITH CONSTRAINT
Anybody know how to estimate arma parameters in R with an additional constraint that the parameter estimates are positive (NEED NOT SUM TO ONE)?
I used arma(... ) in R, but had to give up on that as ...
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0answers
50 views
What is meant by a “stochastic constant”?
I've seen it in a few pieces of econometric literature, and googling it turns up lots of papers using it, almost always in reference to state-space models and other dynamic linear regressions.
No ...
2
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2answers
78 views
Type of time series to use
Consider the following time series plot:
I am trying to fit a time series to this data. I am using it for the purposes of prediction. What type of time series would work here?
I would like to fit ...
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0answers
49 views
How to compare Arellano-Bond models?
I want to compare different Arellano-Bond models, but I don't know exactly how to do it and which statistics to consider. For instance, should I compare $\chi^2$ of Sargan tests? What other options ...
0
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1answer
78 views
Time series and multiple variables
I created a time series in Excel (not ideal) using Holts-Winters to forecast daily loan values in a month and it works very well.
I've been asked to build a similar model that integrates other ...
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2answers
181 views
Time series prediction - what is Autoregressive Tree model ? (Python)
Our problem: model evolution of values of a continuous variable over time.
I came through a paper presenting an approach for predicting the next values for a time series. Whereas ARIMA model is more ...
2
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1answer
77 views
Which statistical test to use when sample size differ?
Were finalizing an RCT with two intervention groups (n=13, n=11). Both samples are evaluated pre vs post treatment for pain (VAS), and also against each other (group vs group). However, there are four ...
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0answers
41 views
What is meant by the “level” of a time series?
In much of the literature I'm studying it's one of those terms that occurs frequently yet without a rigorous definition to be found. Specifically, I am told:
For time-indexed random variables ...
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0answers
64 views
I have two sets of data (regular time intervals) is there any way to find out when they correlated the most and when they don't?
Sorry if the title is a bit vague however, i'm not sure exactly how to make my sentence concise.
I have two times series:
Amount invested into Iraq across time (in months)
Price of a stock across ...
6
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4answers
225 views
Features for time series classification
I consider the problem of (multiclass) classification based on time series of variable length $T$, that is, to find a function
$$f(X_T) = y \in [1..K]\\
\text{for } X_T = (x_1, \dots, x_T)\\
...
1
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2answers
93 views
Two sample tests for time-series segments
I have a data set consisting of a number of time-series segments, i.e each segment contains n number of contiguous samples from a time-series. Are there any good statistical tests to determine how ...
0
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0answers
78 views
Specifying MGARCH parameter constraints in Stata
I am having trouble specifying parameter constraints for the dynamic conditional correlation (DCC) MGARCH model in Stata. Specifically I would like to set the constant correlation parameter ...
