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

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How to model time-varying correlation

Suppose I have two time-series variables, $\{x_t\}$ and $\{y_t\}$, where $t\in[1,T]$. I would like to model the correlation $\rho(x_t,y_s)$ as some function of $t$,$s$, and the difference $t-s$. In ...
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471 views

Random Forests / adaboost in panel regression setting

Tools such as random forests or adaboost are powerful at solving cross-sectional binary logistic problems or prediction problems where there are many weak learners. But can these tools be adapted to ...
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2answers
239 views

Multiple time-series — measuring medication weight gain

First - very new to Statistics; about half through a basic biostats book and an R book. I have a set of data where I"m trying to see if there is a correlation between a medication and weight gain. ...
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741 views

Finding correlations from multiple irregular time series

I have data from different sources that is currently in multiple data frames. They generally look something like: ...
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1answer
178 views

Model the proportion of a subset of total counts to determine the difference

I've been working on solutions to my first unanswered questions and had been proposed to rather model the proportion of total count of deaths that are unnatural death counts. The reason why I want to ...
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0answers
141 views

How to denoise a “Poissonous” time series

I have $N$ time series each of which can be modeled as $$y_{kt}=Ax_{kt}+b+\varepsilon_{kt}\quad(1\le k\le N,1\le t\le T),$$ where $x_{kt}\sim\text{Pois}(\lambda\Delta t)$ and $\varepsilon_{kt}\sim ...
15
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1answer
5k views

Logistic regression for time series

I would like to use a binary logistic regression model in the context of streaming data (multidimensional time series) in order to predict the value of the dependent variable of the data (i.e. row) ...
2
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1answer
210 views

How do I do temporal correlations of matrices?

I have a some data like the following explaining the presence of a relation between various entities (A,B,C,...) in my system at time ...
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1answer
1k views

Looking for pattern of events in a time series

I have a time course experiment that follows 8 treatment groups of 12 fish for 24 hours with observations made at 5 second intervals. Among the measurements made is how far each fish travels (in mm) ...
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3answers
221 views

What to do when the intersection of some time series doesn't contain enough data point?

I have to do some studies on time series, which involve computing the covariance matrix. However, my time series span on different time intervals and their intersection is too short to provide me a ...
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5answers
8k views

Subset data by month in R

I am working with a time series of meteorological data and want to extract just the summer months. The data frame looks like this: ...
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3answers
1k views

Machine learning techniques for time series estimation - forecasting price

Can anyone recommend any machine learning techniques for time series estimation? I have a series of times $t_{1}...t_{n}$, each having a set of associated features $f_{1}...f_{m}$, and a value $x$. ...
6
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2answers
751 views

What is a vector autoregressive model?

I'm looking to understand this from a managerial perspective. For example if I was explaining linear regression I would say it is a line of best fit through some data points and it can be used to ...
3
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2answers
475 views

Time series data distribution forecast?

While having chronically data of population growth (registered users of a site), I want to compute a function that approximates future growth, based on past data. Also, what we ll be the distribution ...
3
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2answers
861 views

How to find out if a set of daily measurements are random or not?

There is a set of daily measurements. Time and measured values are both discrete. I want to find out whether measured values depend on the day the measurement was taken, or whether measurements are ...
9
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2answers
510 views

Comparison of time series sets

I have three sets of time-series data I am looking to compare. They have been taken on 3 separate periods of about 12 days. They are the average, maximum and minimum of head counts taken in a college ...
9
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1answer
334 views

Is it allowed to include time as a predictor in mixed models?

I always believed that time should not be used as a predictor in regressions (incl. gam's) because, then, one would simply "describe" the trend itself. If the aim of a study is to find environmental ...
4
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1answer
2k views

Multiple imputation for missing count data in a time series from a panel study

I am trying to tackle a problem which deals with the imputation of missing data from a panel data study(Not sure if I am using 'panel data study' correctly - as I learned it today.) I have total death ...
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0answers
60 views

Best fitness metric for long term data

I'm trying to understand monthly data going back about 100 years. As you can imagine old data values can be very small, \$1 compared to recent values of \$100. What would be the best fitness metric ...
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41 views

Compute the probability of a lower value in the elements of a timeseries

The original question was confusing, so I've edited it to describe the core of the problem. I have a large time-series (300K items) of integers between 0 and 9. Any two consecutive integers are ...
3
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1answer
363 views

How to handle gaps in a time series when doing GAMM?

I want to apply a GAMM with R to this time series but I am not sure how to handle the station P18, as shown in the figure below. If I shrink the dataset to the point where P18 ends (i.e. left side ...
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0answers
99 views

Comparing fatality rates

I have case fatality rates (deaths per 100 cases) for 2 different states receiving different treatments for 17 years. What is the best statistical method to compare them? Relative risk, odds ratio, ...
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2answers
919 views

Box-Jenkins model selection

The Box-Jenkins model selection procedure in time series analysis begins by looking at the autocorrelation and partial autocorrelation functions of the series. These plots can suggest the appropriate ...
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1answer
181 views

Multiple simulations of a system under different conditions - paired data?

I am currently generating data by simulating a model of chemical system under different conditions (temperature) over time. In each simulation, the starting structure being modeled is exactly the same ...
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418 views

How to use gradient to obtain critical points of Time series?

How to determine the number of critical points for some time series (for example, using gradient)? As far as I understand I have to do the following steps: Fit the time series with some "curve" ...
4
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2answers
2k views

Mean when computing correlation between samples of unequal size

This question is in some way similar to this one, but about another nuance. I have two time series (update: stationary - with both mean and variance equal over time) with missing values in one of ...
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2answers
283 views

Best imputation method for stochastic noisy data?

What is the best imputation method for a dataset consisting of stochastic data? For example, let's say you have a table of security returns. In some cases the missings are random, in other cases are ...
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2answers
1k views

Outlier detection for generic time series

In this case, "generic" being the entire gauntlet of macroeconomic time-series that private and government statistical offices put out. Some background - I recently started working at a data provider ...
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2answers
682 views

Imputing missing values in time series using SAS

If I have missing values in a time series that has 40 quarters (ten cycles or ten years) of data, what is the best SAS procedure to use to impute the missing values? Part 2: I have 390 series (40 ...
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1answer
1k views

How to perform a spectral density analysis in R using the multitaper package?

To Burr and other experts on this topic: I tested, well rather ad-hocly the R-package multitaper, and I succeeded getting graphical outputs. I got graphs for (a) ...
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2answers
2k views

Forecasting stock prices time series based on independent factors using ARIMA model

I am trying to forecast time series of stock for a particular case in which closing value of the stock depends on independent factors which is in which infact another time series. Situation is like I ...
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2answers
302 views

Regular data gaps in a time series

I've been looking at attendance data for a college library taken during finals week when the library was open for 24 hours. However the staff only took head counts during the hours of 12am to 6am (7 ...
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0answers
103 views

How to know whether the six spatial features values (in 3-time period) significantly differ from each other?

I am currently bothered on how to statistically analyze my simple data as shown below. ...
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3answers
5k views

Testing significance of peaks in spectral density

We sometimes use spectral density plot to analyze periodicity in time series. Normally we analyze the plot by visual inspection and then try to draw a conclusion about the periodicity. But has the ...
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1answer
347 views

Time series autocorrelation

The definition for the $k$-th lag auto correlation is $Cov(y_t,y_{t-k})/Var(y_t)$. My question is why should not it be $Cov(y_t,y_{t-k})/[Var(y_t)\cdot Var(y_{t-k})]^{0.5}$. In another words, what ...
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1answer
93 views

Best analysis method for three interrelated longitudinal series

I have data which consist of three longitudinal series of financial data. The hypothesis is that two of the series are "caused" (in a loose sense) by the third. It is fine to investigate this as two ...
4
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1answer
1k views

Inner correlation of occurrences (burstiness?) in R

I want to measure the inner correlation of the occurrences of events i.e. I want to distinguish between the two (drawn) and say "in the second sample events occur more conglomerate compared to the ...
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2answers
723 views

ARMA model coefficient standard errors

I'm writing Python code to use the Kalman State-space approach to estimate ARMA model coefficients using MLE however, I'm not too clear on how to derive the coefficient estimates standard errors from ...
4
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2answers
215 views

Machine learning for activity streams

My data takes the form of a stream of events for each customer in my sample. For a given customer, the stream takes the form of a list of events over time: At T1, customer C1 bought 1 unit of ...
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1answer
98 views

What metric should I use to determine a significant effect?

I am not a statistician and hope someone can point me towards the right direction. I have some time series data grouped into three classes like this: ...
4
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2answers
345 views

Statistics for multi-test replicated correlation analysis

I'm analyzing pairwise correlations of time series between two different types of microarrays done for several samples as biological replicates. So, I have M1 number of variables on type 1 array, M2 ...
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1answer
4k views

Fitting a generalized least squares model with correlated data; use ML or REML?

Reading the Linear Mixed Model (LMM) literature I am aware that fitting a model using REML provides better estimates of variance parameters than fitting via ML. However, we should not compare nested ...
3
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1answer
341 views

How to optimize the k parameters in dynamic linear regression?

I am starting to use R's dynlm package. Currently I am just looking at the fit and eyeball which choice of lags might be the best. Is there a standard way or a strategy to determine the best k ...
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2answers
6k views

Persistence in time series

Could someone tell me what the term 'persistence' mean in time series analysis? It's regarding econometrics and applied regression.
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1answer
2k views

Sliding window validation for time series

I have a broad question about sliding window validation. Specifically, I am looking at using Rapid Miner to predict future values of a financial series using "lagged" values of that series and other ...
5
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1answer
199 views

Analysis of intervals between events

I have been investigating the possibility of using the interval between uncommon events to test for changes in the frequency of such events over time. As an example, say that the event is breaking a ...
5
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1answer
591 views

How can I generate correlated timeseries made up of 0s and 1s?

I want to generate series of 0s and 1s that exhibit some clustering. By this I mean that 1s and 0s should occur together. So I envisage series of 0s and 1s that will exhibit similar clustering of ...
2
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1answer
405 views

Cross-validating for model parameters with time series

This question's context is time series forecasting using regression, with multivariate training data. With a regularization method like LARS w/ LASSO, elastic net, or ridge, we need to decide on the ...
3
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1answer
5k views

The difference between MSE and MAPE

i was wondering what is the differences between Mean Squared Error (MSE) and Mean Absolute Percentage Error (MAPE) in determining the accuracy of a forecast? Which one is better? Thanks
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79 views

How can I get a velocity of how much this link is trending?

The above image represents an article's page views over time. X axis is days with 9 being the most recent day. The y-axis is number of pageviews. I'm looking for a decent, not to complex either ...