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

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Generating IMA(1,1) series

I'd like to generate a series that follows an IMA(1,1) process, where $θ$ is the moving average parameter. I generated the series based on different representations and I got different results, I'm ...
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1answer
95 views

Diagnostic for VAR model. non normal

I have some problem about my model. my model is based on VAR. (vector auto-.) well, I've tested ARCH test, BG test(autocorrelation p) and jarque.bera.test. Model is stable. Also I got good result for ...
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21 views

Standard techniques for forecasting revenue growth of a company?

I was curious what sort of time series models were the standard for doing this type of analysis. I have weekly sales data for the company - I could cook up my own time series model but would like to ...
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1answer
169 views

What's a stationary VAR?

What is a stationary VAR (vector autoregression)? Can a VAR with non-stationary variables be stationary? How do you test whether a VAR is stationary or non-stationary? (Example in ...
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32 views

Problem when doing pre-whitening before ccf analysis [migrated]

I have following R code which does not work when trying to pre-whiten other series by the model generated for the other series. ...
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7 views

training period selection forecast (error analysis)

I have been lately testing the best training period length to perform a forecast. I have tested it for various days of training period length, among them 60 days and 30 days. My methodology is quite ...
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1answer
23 views

Is PCA appropriate for comparing subsets of panel data?

I have a large panel (5000+ subjects, 4 variables over 182 periods), and I've identified particular Granger-causal relationship in a large subset of those subjects (30% or so). I would like to somehow ...
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16 views

Statistical Methods for Calculating Vending Machine Refill

Am looking into statics to help support a project I am undertaking. The project scope concerns intelligent replenishment / refill of vending machines. During an onsite service, a technician must ...
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26 views

R function which uses innovations algorithm?

I can't seem to find much info on the following: I have a dataset D at time t which I use to fit an ARIMA model. I forecast the value of the time series at time t + 1. Now, when I'm in t + 1, I would ...
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19 views

How to normalize time series?

This is a general question on normalization of data so that all the variables are within the same range. Why do we normalize data in pattern classification? How to normalize time series which is ...
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1answer
272 views

Quantile regression

I have a question regarding quantile regression. Supposing that I have 10000 observations with one response variable and several predictor variables in a dataset collected each year over several ...
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1answer
204 views

Using anomalies to calculate trends of seasonal data

I commonly see people doing trend analysis of (monthly) timeseries data which show a strong inter-annual cycle following this scheme: compute climatological means ("mean January", "mean February", ...
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2answers
934 views

Statistical test for a significant change in time series (sales) trend after policy change

My apologies if this has been addressed before, however my experience with statistics is a bit limited, particularly when it comes to time series analyses. My current question relates to the ...
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1answer
49 views

Intervention Analysis - Pulse over several periods

I have a couple weekly time series and an intervention occurred over several weeks and then for some, after a period of no intervention, began again. So, the pattern is off for a period of weeks, then ...
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13 views

Determine the threshold value and number of regimes with delayed variable

I am currently working on a threshold model for the exchange rate between UK and US. I have not got background knowledge on this model so I am really stuck on how to determine the Threshold value, ...
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3answers
127 views
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How to perform proper data mining on time-series data?

I have some daily data from city A, B, C. Values from city A are highly correlated with values from other cities for lag -1,-2,-3 and -4. I want to use Random Forest, SVM and ANN to predict values ...
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2answers
29 views

Using AIC to determine best ARIMA Model

I'm trying to fit an ARIMA model to housing data set. Playing around with the p's and q I was able to get an ARIMA Model (2,1,2,)(2,0,0) with an AIC value of AIC=4946.76 I used auto.arima to see if I ...
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1answer
125 views

Handling stationarity issues in proc ucm/state space time series models

Hope I'm able to find someone who can answer this question. The previous one didn't get answered! Proc ucm is the SAS implementation (using state space concepts) to isolate the unobserved trend, ...
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7 views

Approaches to Subsampling to exceed a Population Mean

I've studied a large amount of Probability & Statistics, but I'm embarrassed to say I've forgotten too much of it. Would appreciate any pointers anyone has about this: I have a set of about 360 ...
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1answer
101 views

Data analysis: Time series for Bacterial population data

Could anyone please help with data analysis. Briefly, I am studying how the population of a bacteria changes at different points (port 1 to port 10) within a biofilter over the course of 30 days(like ...
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1answer
52 views

Getting Residuals to be White Noise

I'm on a time series project for an undergraduate course. For the project I'm trying to come up with an ARIMA model for the housing starts data set. ...
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19 views

How do I estimate a time series regression using GMM in the way proposed by Acosta-Ormaechea and Morozumi (2013)?

In their paper Acosta-Ormaechea and Morozumi (2013) propose a use of GMM for estimating a regression in which they try to find the impact of reallocating public expenditure from some unproductive to ...
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1answer
13 views

Dynamic Time Warping for irregular time series

I have been reading a lot about Dynamic Time Warping (DTW) lately. I am very surprised that there is no literature at all on the application of DTW to irregular time series, or at least I could not ...
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1answer
29 views

Estimation of regression with autocorrelated errors

In a book it is written that, In regression work we typically assume that the observational errors are pairwise uncorrelated. But in most time series data , the successive residuals have tendency to ...
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0answers
43 views

Checking for seasonality in data set

I'm working on housing data set for a project for a undergraduate time series course. I'm trying to see if there is seasonality in the data. I used the following commands but do not know how to read ...
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1answer
71 views
+50

R: Fitting a model with periodic, nonlinear and categorical components

Can anyone give me some advice on how to fit a model with linear (some categorical), non-linear and time series components in R? I don't want to use a non-parametric model like a Loess smooth or ...
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1answer
36 views

Given time series data, how to model the frequency of someone changes his job?

I am given a time series data vector (ordered by months and years),which contains only 0s and 1s. ...
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1answer
95 views

Spatial autocorrelation (SAC) while analysing survey data

I am confused about some aspects of spatial autocorrelation usind survey data (survey which is repeated every year). I have data from 1991 to 2012 with sampling region pretty consistent every year. I ...
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35 views

is it possible a nonstationary time series, to produce a stationary ARMA model?

I Have a variable (time series) which is nonstationary. I found that from the graph which seems to have a stochastic trend and the correlogram has a typical nonstationary pattern. After that, I've ...
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0answers
22 views

How do I investigate how long it takes one variable to affect another in a time series

I am a total newbie when it comes to time series, so it is quite possible this question is duplicated somewhere else, only that I cannot find it because I don't know what this feature is called. My ...
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3answers
54 views

Model estimation using ACF and PACF [on hold]

Can anyone help in model estimation ? The following are the ACF,PACF and the plot of the sample respectively.
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18 views

Searching for time series inside another time series

I have a time series "A" and another one "B". I would like to find occurrences of "B" inside "A". Typically, "A" is much bigger (magnitude: millions of points) than "B" (magnitude: hundreds of points) ...
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2answers
141 views

Time series trend

I have a time series which has a very strong upward trend for the first half, then very strong downward for the second half and finishes pretty much back where it started. Should I split the data in ...
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1answer
26 views

Filtering using a SARIMA model in R

I am not an expert in statistics, but I would like to work on a SARIMAX model representing power consumption. The exogeneous variable would be the temperature, but for now I found here I might need to ...
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2answers
67 views

Capturing Seasonality in Multiple Regression for daily data

I have a daily sales data for a product which is highly seasonal. I want to capture the seasonality in the regression model. How I can do it? I have read that if you have quarterly or monthly data, in ...
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1answer
44 views

Two or more time series. What is the best way to test whether one of them is leading and by what time period?

I am trying to prove/disprove that one time series is leading trend for the other ones. Two time series are (probably) independent and the movements are caused by some (let's assume unknown) common ...
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0answers
27 views

Where can I find resources to learn about change-point analysis ?

Where can I find resources to learn about change-point analysis ? Hopefully, someone can advise me a textbook to read and it will cover both univariate change-point analysis and multivariate ...
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3answers
218 views

How to combine time-series based features with different frequencies

I have 3 features which I want to use in my classifier. They are all time-series data-based. However, they are all at different frequencies and there have different matrix dimensions. I was wondering ...
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0answers
20 views

ACF and PACF plot analysis

I am new to ARIMA, and I am trying to understand these lag plots. Are the following ACF and PACF suggesting that the lag of my time series is 4? If I am wrong, please help me understand these plots. ...
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2answers
462 views

Python module for change point analysis

I'm looking for a Python module that performs a change-point analysis on a time-series. There are a number of different algorithms and I'd like to explore the efficacy of some of them without having ...
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1answer
758 views

Assessing peaks in time series of cell signal data

I am measuring for the existence of response in cell signal measurements. What I did was first apply a smoothing algorithm (Hanning) to the time series of data, then detect peaks. What I get is this: ...
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1answer
52 views

How to forecast time-series bounded by [0,1], i.e., forecast relative frequencies?

I am working with time series values which are all in the closed interval [0, 1]; these values represent relative frequencies, i.e., empirical probabilities. I would like to create a model such that ...
2
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1answer
151 views

Forecasting model inputs that are both auto-correlated and are calibrated over time?

How does one account for model inputs that are both a) auto-correlated and b) calibrated over time? I'm interested in forecasting the outcomes of sporting events. Let's say that each team has a score ...
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29 views

Arima model - multi step forecast

The following code shows a forecast of the next 24 hours of my electricity prices with two exogenous variables. My problem is, that I don't know how to build a forecast for the next 3 days or more ...
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1answer
57 views

SV model estimation in R using tsbugs

I have been trying to estimate the basic stochastic volatility model using OpenBUGS via R and at an stage of the following command. Please can you comment for the ...
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24 views

Holt Winters Initialization Issue

I am using an additive seasonal Holt-Winters model to compute confidence band of my data. I followed the HW initialization process described by Rob J Hyn­d­man. The confidence band is derived by ...
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3answers
284 views

Time lag between correlated signals

What options are there for finding out what the time lag is for different time series? I'm looking at market data here - for example, if sugar does bad in a year, it's likely that soda might be hit ...
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2answers
5k views

How to normalize two time series for comparison?

I have two time series a and b, which I want to compare. Due to their range difference I normalize them first. a(i), b(i) are natural numbers for i=1,...,N two ...
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8 views

References suggested for multivariate analysis of several similar time series

I have a time series dataset that reports the hourly page views and social media shares of online news stories. What I hope to obtain is the relationship between the two variables. I would imagine ...
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1answer
57 views

Increasing the accuracy of tbats() forecasts by factoring for correlations between different time-series?

This question builds on my previous question Forecasting Hourly Time Series based on previous weeks and same period in previous year/s. My project is to forecast the number of ~400 different types of ...