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

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Simple algorithm for online outlier detection of a generic time series

I am working with a large amount of time series. These time series are basically network measurements coming every 10 minutes, and some of them are periodic (i.e. the bandwidth), while some other ...
14
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2answers
6k views

How to find a good fit for semi-sinusoidal model in R?

I want to assume that the sea surface temperature of the Baltic Sea is the same year after year, and then describe that with a function / linear model. The idea I had was to just input year as a ...
36
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15answers
18k views

Books for self-studying time series analysis?

I started by Time Series Analysis by Hamilton, but I am lost hopelessly. This book is really too theoretical for me to learn by myself. Does anybody have a recommendation for a textbook on time ...
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2answers
2k views

Dynamic Time Warping Clustering

What would be the approach to use Dynamic Time Warping to perform clustering of time series? I have read about DTW as a way to find similarity between two time series, while they could be shifted in ...
22
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5answers
7k views

Period detection of a generic time series

This post is the continuation of another post related to a generic method for outlier detection in time series. Basically, at this point I'm interested in a robust way to discover the ...
28
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5answers
4k views

Efficient online linear regression

I'm analysing some data where I would like to perform ordinary linear regression, however this is not possible as I am dealing with an on-line setting with a continuous stream of input data (which ...
5
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2answers
950 views
15
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5answers
4k views

Seeking certain type of ARIMA explanation

This may be hard to find, but I'd like to read a well-explained ARIMA example that uses minimal math extends the discussion beyond building a model into using that model to forecast specific cases ...
11
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1answer
4k 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 ...
25
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2answers
7k views

Proper way of using recurrent neural network for time series analysis

Recurrent neural networks differ from "regular" ones by the fact that they have a "memory" layer. Due to this layer, recurrent NN's are supposed to be useful in time series modelling. However, I'm not ...
3
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4answers
2k views

Moving-average model error terms

This is a basic question on Box-Jenkins MA models. As I understand, an MA model is basically a linear regression of time-series values $Y$ against previous error terms $e_t,..., e_{t-n}$. That is, the ...
30
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3answers
6k views

Is it possible to do time-series clustering based on curve shape?

I have sales data for a series of outlets, and want to categorise them based on the shape of their curves over time. The data looks roughly like this (but obviously isn't random, and has some missing ...
7
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2answers
23k views

How to statistically compare two time series?

I have two time series, shown in the plot below: The plot is showing the full detail of both time series, but I can easily reduce it to just the coincident observations if needed. My question is: ...
4
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2answers
4k views

Estimate ARMA coefficients through ACF and PACF inspection

I know that this is probably a question that's been asked plenty of times, but i haven't seen an answer that's both accurate and simple. How do you estimate the appropriate forecast model for a time ...
23
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4answers
2k views

Data has two trends; how to extract independent trendlines?

I have a set of data that is not ordered in any particular way but when plotted clearly has two distinct trends. A simple linear regression would not really be adequate here because of the clear ...
6
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3answers
1k views

What to make of explanatories in time series?

Having worked mostly with cross sectional data so far and very very recently browsing, scanning stumbling through a bunch of introductory time series literature I wonder what which role explanatory ...
8
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2answers
12k views

Auto.arima with daily data: how to capture seasonality/periodicity?

I am fitting an ARIMA model on a daily time series. Data are collected daily from 02-01-2010 to 30-07-2011 and are about newspaper sales. Since a weekly pattern in sales can be found (the daily ...
4
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2answers
6k views

How to compare two time series?

I have collected temperature readings for 4 locations on a beach in Cornwall UK using data loggers. The loggers recorded temperature every 15 mins accurate to .1 of a degree (Celsius). The loggers ...
12
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2answers
991 views

Why are MA(q) time series models called “moving averages”?

When I read "moving average" in relation to a time series, I think something like $\frac{(x_{t-1} + x_{t-2} + x_{t-3})}3$, or perhaps a weighted average like $0.5x_{t-1} + 0.3x_{t-2} + 0.2x_{t-3}$. ...
28
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6answers
12k views

Time series 'clustering' in R

I have a set of time series data. Each series covers the same period, although the actual dates in each time series may not all 'line up' exactly. That is to say, if the Time series were to be read ...
15
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3answers
13k views

How to fit an ARIMAX-model with R?

I have four different time series of hourly measurements: The heat consumption inside a house The temperature outside the house The solar radiation The wind speed I want to be able to predict the ...
16
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6answers
22k views

What method can be used to detect seasonality in data?

I want to detect seasonality in data that I receive. There are some methods that I have found like the seasonal subseries plot and the autocorrelation plot but the thing is I don't understand how to ...
6
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1answer
3k views

Time Series Forecasting with Daily Data: ARIMA with regressor

I'm using a daily time series of sales data that contains about 2 years of daily data points. Based on some of the online-tutorials / examples I tried to identify the seasonality in the data. It seems ...
6
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1answer
4k views

How to correlate two time series with gaps and different time bases?

I asked this question over on StackOverflow, and was recommended to ask it here. I have two time series of 3D accelerometer data that have different time bases (clocks started at different times, ...
3
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2answers
267 views

Detecting Bimodal Distribution

I have histograms of audio signals where they have bimodal "normal" distribution. What I want to do is to detect these subpopulations inorder to have a threshold, this is meant to divide the values ...
3
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3answers
268 views

Transfer function in forecasting models - interpretation

I am occupied with ARIMA modelling augmented with exogenous variables for promotional modelling purposes and i have hard time explaining it to business users. In some cases software packages end up ...
3
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3answers
450 views

How do I handle nonexistent or missing data?

I tried a forecasting method and want to check if my method is correct or not. My study is comparing different kinds of mutual funds. I want to use the GCC index as a benchmark for one of them but ...
1
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1answer
124 views

Analyzing relationships between ordinal and continuous time series data

I have two sets of time series data - roleTrajectories & normalizedDegree. The former data set contains ordinal rankings of subjects' positions within a network at 13 time periods. The latter data ...
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9answers
3k views

Time series for count data, with counts < 20

I recently started working for a tuberculosis clinic. We meet periodically to discuss the number of TB cases we're currently treating, the number of tests administered, etc. I'd like to start ...
8
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2answers
4k views

Computing correlation (and the significance of said correlation) between a pair of time series

I have two time series S, and T. they have the same frequency and the same length. I would like to calculate (using R), the correlation between this pair (i.e. S and T), and also be able to calculate ...
11
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5answers
979 views

Best method for short time-series

I have a question related to modeling short time-series. It is not a question if to model them, but how. What method would you recommend for modeling (very) short time-series (say of length $T \leq ...
13
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2answers
3k views

Getting started with neural networks for forecasting

I need some resources to get started on using neural networks for time series forecasting. I am wary of implementing some paper and then finding out that they have greatly over stated the potential of ...
12
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3answers
1k views

Auto.arima vs autobox do they differ?

From reading posts on this site I know there is an R function auto.arima (in the forecast package). I also know that IrishStat, ...
12
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6answers
3k views

How to detect a significant change in time series data due to a “policy” change?

I hope this is the right place to post this, I considered posting it on skeptics, but I figure they'd just say the study was statistically wrong. I'm curious about the flip side of the question which ...
4
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2answers
3k views

Correlating volume timeseries

Consider the following graph: The red line (left axis) describes the trading volume of a certain stock. The blue line (right axis) describes the twitter message volume for that stock. For instance, ...
4
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3answers
646 views

Forecasting time series based on a behavior of other one

Apologies for this vague and unclear question, I have no background in statistics. I have two vectors of time series data, covering a six month period. The data is in daily intervals (except for ...
8
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3answers
3k views

stochastic vs deterministic trend/seasonality in time series forecasting

I have moderate background in time series forecasting. I have looked at several forecasting books, and I don't see the following questions addressed in any of them. I have two questions: How would ...
5
votes
3answers
542 views

How to use Pearson correlation correctly with time series

I have 2 time-series (both smooth) that I would like to cross-correlate to see how correlated they are. I intend to use the Pearson correlation coefficient. Is this appropriate? My second question ...
10
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1answer
909 views

How do I incorporate an innovative outlier at observation 48 in my ARIMA model?

I am working on a data set. After using some model identification techniques, I came out with an ARIMA(0,2,1) model. I used the detectIO function in the package ...
4
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1answer
381 views

strucchange package on ARIMA model

Is there a way to use strucchange package in R on ARIMA models? I haven't been able to find any. Thanks a lot.
1
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2answers
2k views

How do I write a mathematical equation for ARIMA (0,2,1) x (0,0,1) period 12

I would appreciate if someone could help me write the mathematical equation for the seasonal ARIMA (0,2,1) x (0,0,1) period 12. I'm a little confused with how to go about this. I would prefer an ...
4
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3answers
172 views

forecast using arima models

I am trying to predict values using arima(0,1,1). After doing predict(mod,n.ahead=5) (in R) am getting the same value for all ...
16
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5answers
4k views

Cross-validating time-series analysis

I've been using the caret package in R to build predictive models for classification and regression. Caret provides a unified interface to tune model hyper-parameters by cross validation or boot ...
6
votes
1answer
6k views

How to setup xreg argument in auto.arima() in R? [closed]

I am working on a small project with one time series which measures the customer visit data (daily). My covariates are a continuous variable Day to measure how many ...
11
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3answers
2k views

Good introductions to time series (with R)

I am currently collecting data for an experiment into psychosocial characteristics associated with the experience of pain. As part of this, I am collecting GSR and BP measurements electronically from ...
5
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3answers
25k views

Correlation between two time series

What is the easiest way / method to compute the correlation between two time series that are exactly the same size? I thought of multiplying $(x[t]-\mu_x)$ and $(y[t] - \mu_y)$, and adding up the ...
8
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1answer
2k views

Time series clustering

I have many time series in this format 1 column in which I have date (d/m/yr) format and many columns that represent different time series like here: ...
5
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2answers
3k views

Using k-fold cross-validation for time-series model selection

Question: I want to be sure of something, is the use of k-fold cross-validation with time-series is straightforward, or one need special attention before using it? Background: I'm modeling a time ...
7
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2answers
2k views

Predicting daily electricity load - fitting time series

I want to predict inter-day electricity load. My data are electricity loads for 11 months, sampled in 30 minute intervals. I also got the weather-specific data from a meteorological station ...
5
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3answers
2k views

Outliers spotting in time series analysis, should I pre-process data or not?

My question builds on a previous post on outlier detection in generic time series, and specifically on the answer provided by the always great Rob H. I work for a small-sized manufacturing company ...