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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1answer
22 views

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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Connections Between Fourier basis and Discrete Fourier Tansform

I need some help to understand discrete Fourier Transform. Suppose we have a toy daily temperate data. The Fourier basis expansion can be $$ \begin{bmatrix} 1&\cos 0 & \sin 0 \\ 1&\...
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23 views

Using an ARIMA model to create an adjusted (normalised) time series

I am examining monthly road accident counts over the last 25 years. I have created an ARIMA model in R using rainfall and temperature deviations from the long-term monthly average as exogenous ...
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43 views

Best step pattern for unconstrained/subsequence DTW(Dynamic Time Warping)

I am implementing an unconstrained/subsequence DTW algorithm (in R). The query of data which I am trying to find a match within the reference data is much smaller (as compared to reference). I have ...
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1answer
24 views

Required sample size and degrees of freedom for a VAR

I have read in many textbooks that as the ratio between the number of coefficients to be estimated in a VAR and the number of time periods increases above a certain threshold, estimation becomes ...
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1answer
47 views

When using a limited data set, how can I use excel to forecast future values?

To preface, I am a statistics novice, but I am faced with a problem that I cannot seem to be able to satisfactorily resolve. The problem is as follows: I am working to forecast future sales for one ...
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1answer
149 views

How to graph throughput

UPDATE 2: maybe a simple way to state it: for web application performance data consisting on: start timestamp | end timestamp | response time I'd like to compute a non-aggregated data set consisting ...
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2answers
236 views

Determining odd time series

I have a number of time series which are derived of same underlying data. However, the data in each comes from a different source, so they may be slightly lagged or differently enriched but ...
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measure the inter-relationship among a set of multi-variate data points

Given a group of multivariate data points, are there any ways to formalize/quantify the relationship of one given point comparing to other data points in this group. Clustering maybe one approach. But ...
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What is wrong with extrapolation?

I remember sitting in stats courses as an undergrad hearing about why extrapolation was a bad idea. Furthermore, there are a variety of sources online which comment on this. There's also a mention of ...
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25 views

Comparing a single point in two time series

I have two time series of males and females traveling from point A in between 1979 to 2001. The question is, is there a significant difference in the number of male and female travelers in year, say, ...
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4answers
2k views

Functional principal component analysis (FPCA): what is it all about?

Functional principal component analysis (FPCA) is something I have stumbled upon and never got to understand. What is it all about? See "A survey of functional principal component analysis" by Shang, ...
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1answer
814 views

Augmented Dickey-Fuller Trend and Intercept

I am trying to determine if I should include an "intercept" or a "trend and intercept" when using the Augmented Dickey-Fuller (ADF) test. I ran a regression with my dependent variable and a time ...
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35 views

How many observations to estimate a parameter of an Archimedean copula?

Let's consider for example the bivariate Gumbel copula. $$C(u_1, u_2)=\exp \left[-\left(\left(-\ln\left(u_1\right)\right)^{\theta}+\left(-\ln\left(u_2\right)\right)^{\theta}\right)^{\frac{1}{\theta}}\...
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1answer
287 views

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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46 views

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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1answer
42 views

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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1answer
21 views

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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1answer
23 views

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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28 views

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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22 views

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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1answer
15 views

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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3answers
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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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1answer
694 views

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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1answer
9 views

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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1answer
21 views

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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24 views

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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544 views

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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85 views

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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410 views

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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1answer
126 views

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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574 views

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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308 views

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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58 views

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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702 views

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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1answer
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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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1answer
13k views

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, ....
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Task of assigning a single class to a sequence

Is there a name for Machine Learning task that has sequence as an input and a single label as an output? For example: ...
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789 views

R seasonal time series

I use the decompose function in R and come up with the 3 components of my monthly time series (trend, seasonal and random). If I ...