# Tagged Questions

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

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### Diebold Mariano test (in R)

As I asked in my answer to this question: does anyone know if the DM test (in R in this case) is supposed to be made with h=h-1? If not, am I supposed to make several prediction sets (with h ...
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### Regression + Time series

I have time series data about sales/day, but i also want to include other data (static/dynamic) to forecast the time series. Is it possible to combine ARIMA model and regression models to achieve the ...
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### How to compare 3D accelerometer data in time series?

I'm trying to find similarity between two time series of 3D accelerometer data: Just by looking at the graphs I can tell that red-circled parts looks pretty similar to me, but I would like to get ...
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### Covariance matrix of the initial state vector. KFAS package

Any given ARIMA(p,d,q) model $y^*_t=\sum_{i=1}^pa_iy^*_{t-i}+e_t+\sum_{i=1}^qb_ie_{t-i}$,where $y^*_t=\Delta_dy_t$ - the difference of d$^{th}$ order, can be re-written as a dynamic linear model in ...
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### Method for quantifying intervention effect in time series

How can the magnitude of an intervention be quantified in a segmented time series regression? I am attempting to replicate the methodology of Decline in pneumonia admissions after routine childhood ...
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### Dickey-Fuller unit root test with no trend and supressed constant in Stata

I have seen in several papers that the $p$-value for the Dickey-Fuller (DF) test is reported for the test including trend and constant, then without the trend, and in the end in the absence of both. ...
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### Seasonal data deemed stationary by ADF and KPSS tests

I have got two time series and I want to evaluate a VAR model. For this, it is necessary that both time series are stationary. Using R, I have found periodicity ...
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### Test for significance of variation in time series data

Suppose a DMV office runs driving tests. Every week a number of people take the driving test, some pass and some fail. Looking at this data set, we notice that the pass rate varies from week to week. ...
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### Detailed reference to facilitate manual implementation of ARIMAX

ARIMAX is implemented in SAS and R (function arimax in "TSA" package). I want to implement ARIMAX in an open source library in Scala and Python. Is there any ...
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### Regression or time series model to predict trend

DATA I have the following data at hand: data about internet usage, per hour, per user, per part of the day (morning, afternoon, evening); the category of websites visited and their duration; ...
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### Cointegration test results differ for different test specifications (drift, trend, etc.)

I am testing whether stock indices are cointegrated. I have two series representing different indices. Both have been tested and are I(1). When I apply the Johansen test (on eViews), I choose the ...
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### Understanding a paper combining cross section with time series in finance

I am reading a paper to do with reversal signals in finance. (Apologies I am not allowed to share the actual paper.) In the paper it says it does monthly cross sectional regressions and collects the ...
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### Time series with multiple subjects and multiple variables in R

I'm having trouble finding a time series technique to deal with a data set I am working on. It contains multiple subjects and multiple variables, not all of which will likely be part of the time ...
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### How can one create a time series object with multiple time series? [migrated]

How can I convert "A. Raw data" into "B. Time Series Objects" in R so I can perform time series analysis on multiple time series at a time? Please see to sample outputs below. A. Raw data month ...
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### Factoring out the effects of time in a predictive model

I have an ensemble model with a large number of independent variables, and one of those independent variables is time. The data was not generated/measured at regular intervals. There appears to be a ...
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### fGarch and include.shape in R

I just started using the "fGarch" package in R and until now everything has been going fine. I have estimated two successful models from two different datasets that have been estimated correctly ...
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### Relation linear regression and ARMA models

I have data from a time series which I am currently fitting with a linear model. For that Im using the data as cross-sectional data, where each response corresponds to the value of each variable on ...
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### How to interpret frequency decomposition of a time series?

Consider a time-series $x_t$ at, say, quarterly frequency. I perform a discrete Fourier transform (DFT) $z(f)$ of $x_t$. Then, for each $z(f)$ I perform the inverse transform and get $x_t(f)$, that ...
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### ZScore threshold and low values time-series

Example of z-score computation: 1 - E.g. Time-series: [0, 0, 0, 0, 1] Current: 1 Mean: 0.2 Std: 0.44721 Z = (1 - 0.2) / 0.44721 ~= 1.7888 2 - E.g. ...
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### What are some tests for the predictability of time-series?

I have 2500 time series which I want to test the predictability and based on that, choose the best one to forecast. Ideally I want to use a simple model like ARMA-GARCH for forecasting. Are there ...
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### VAR or VECM for a mix of stationary and nonstationary variables

I have 4 time series. One of them is stationary and rest of them are not. I need to find relation between them. I will use AIC to decide lag length. Should I use VAR or VECM to find relation between ...
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### Vector Autoregressive Models with Non Stationary Variables [duplicate]

I am beginning to study VAR models, and I have a simple question. If I have three variables and one of them is nonstationary, can I estimate a standard VAR model? If not, what should I do?
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### Error correction model: Interpretation, confidence bounds

I have estimated an error correction model (ECM) regressing Household Debt on GDP. I am trying to show that Household Debt and GDP are two forces in a two-equation system that will cause a cycle. In ...
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### Kernel function between time series of different lengths

I'm studying a data set composed of time series of different lengths; some are up to an order of magnitude longer than others. (If it matters, the data aren't actually temporally related; it's just ...
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### I want to check the “affect of economic variables on the export of vegetable ” [on hold]

I have used ARDL technique for that as I applied that technique following answer come to me. Value of Durbin Watson test (2.20). Please guide me how i can interpret that value?? In the long run ...
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### Alternate distance metrics for two time series

I have time-series data of different houses. Assume it is power consumption data. Now, I want to cluster the houses following similar power consumption pattern utmost. So, the various distance metrics ...
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### Algorithm for real-time normalization of time-series data?

I'm working on an algorithm that takes in a vector of the most recent data point from a number of sensor streams and compares the euclidean distance to previous vectors. The problem is that the ...
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### How to “prove” that new measurement tool & process gives same result as old?

I am new to the area of statistics and I am hoping you can suggest methods I may use. Sorry if this is long but I might as well be as clear as possible on my first post :) What I am worried most is ...
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### What's wrong to fit periodic data with polynomials?

Suppose we have toy daily temperate data and we want to fit a model. A reasonable thing to do is fitting a periodic model with Fourier basis  f(x)=\beta_0+\beta_1 \cos(2\pi x/24)+\beta_2 \sin(2\...
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### How to extrapolate this simple trend line into the future for the purpose of forecasting in Matlab?

We have the following data points in variable data pertaining to a problem that we are solving: ...
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### Forecasting optimization techniques in fantasy baseball

I am currently trying to build a better forecasting model for my fantasy baseball roster. I currently am using commonly accepted projected season statistics (ZiPS from Fangraphs) to determine the ...
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### Mean reversion of performance [on hold]

I have a data set split into two time periods with the same subjects in each group. In the first 5 years they show above average performance. In the follow 5 years they perform averagely. How do I ...
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### Detecting Outliers in Time Series (LS/AO/TC) using tsoutliers package in R. How to represent outliers in equation format?

Comments: Firstly I would like to say a big thank you to the author of the new tsoutliers package which implements Chen and Liu's time series outlier detection which was published in the Journal of ...
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### regression of a level vs a change variable

This question has likely been asked already but due to the lack of proper terminology I might not have been able to find google up the relevant questions. We have data for several years: 2000, 2001, ....