Questions tagged [decomposition]
The decomposition tag has no usage guidance.
132
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Can I use the residuals of a time series decomposition to estimate the effect of a covariate?
Context
I work for a company that has an e-commerce website. Regularly we make specific campaigns in order to sell more. For example: We can make a campaign for fathers day, black Friday, crazy August,...
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How to obtain seasonally-adjusted time series data using STL in Python
On the section "STL decomposition" in the 2nd edition of Forecasting: Principles and Practice, it says that the seasadj() function can be used to compute ...
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Empirical Mode Decomposition(EMD) + CNN for time series forecasting
I'm currently working on a time series project, and I intend to employ the EMD+CNN technique for forecasting the output. Upon applying EMD to the training data, I obtained a total of 14 Intrinsic Mode ...
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How can I back transform the residuals of a decomposed time series , where I used log(x+c) transformation on the original data?
I did a time series decomposition on a series of Twitter activity data into trend, seasonal and residual component. I checked the distribution of the residuals when fitting a linear model to the time ...
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Seasonal component inconsistency in X-11 method using R
I am learning about time series decomposition using the X-11 method in R. I am following the book “Forecasting: Principles and Practice (3rd ed)” by Rob J Hyndman and George Athanasopoulos, which uses ...
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When to Split Data for Time Series Forecasting using Ensemble Empirical Mode Decomposition?
I want to forecast a time series data by using Ensemble Empirical Mode Decomposition (EEMD) and LSTM.
However, I'm unsure about when to split the data into training and test sets. Should the data be ...
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How to interpret the results of Oaxaca-Blinder decomposition? [Python]
these are the results obtained for the square gap decomposition using the Oaxaca-Blinders method in Python:
Oaxaca-Blinder Three-fold Effects
Endowment Effect: -0.02663
Coefficient Effect: 0.19933
...
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compute the Wold representation of this process
I want to find the Wold representation of $y_t = e_t + \alpha e_{t-1} e_{t-2}$, but I'm having difficulties with the product.
For instance, I tried:
$$
y_t = e_t + \alpha e_{t-1}e_{t-2} \pm e_{t-1}^2 ...
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Oaxaca-Blinder in Macroeconomics?
I'm currently trying to have a look at the effect of renewable energy consumption and innovation on economic growth. One technique I was looking at for showing this was running an Oaxaca-Blinder ...
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The proof of the Euler method decomposition of VaR
For a portfolio-wide profit/loss variable $X= \sum_{i=1}^{n}w_iX_i$ the value-at-risk of $X$ at confidence level $\alpha$ (usually close to 1) is defined as the $\alpha$-quantile of $-X$:
\begin{...
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Theoretical analysis of STL decomposition
I would like to know if, for some specific models, the STL ("seasonal-trend decomposition using LOESS, see here) algorithm for time series analysis is proved to converge (in some sense).
For ...
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Why are Square Integrable Functions important in Statistics?
I'm reading a paper by Giles Hooker on Functional Decomposition through the use of Functional ANOVA.
In the paper he defines a function:
$$ F(x) : \mathbb{R}^k \rightarrow \mathbb{R} $$
and explicitly ...
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Better default prior for non-negative canonical polyadic decomposition of counts than Exp(1)?
Suppose I have a instance of a random $k$-mode tensor $X_{n_1 \times \ldots \times n_k}$ of count data. I would like to perform non-negative canonical polyadic decomposition of this tensor using ...
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can a shift-share decomposition be applied to a concentration ratio?
Given the concentration ratio CR 100 that is the sum of assets of the top 100 largest firms by assets over the total amount of assets of all firms, can a shift-share decomposition be applied?
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Decomposing prices into different independent components
Are there any known algorithms that can split up the prices into it's components?
I have a pseudo-competitor dataset that looks like the following:
Prices
Fuel Type
Brand
Doors
15,000
Gas
Audi
4
23,...
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Segregate/Decompose a prediction for a time period into smaller sub-periods
I have a dataset of Electric vehicle demand every 5 mins at every station in a cluster.
However, this data is sparse so I cannot train a model and extract the underlying patterns.
Therefore, I do some ...
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Can you decompose a wave approximately?
I have data which looks like composition of sine waves.
I need to decompose it to fewest possible sine waves that would give me tolerable error.
The picture is of a half-period. Each half-period ...
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The range of decomposed residual of differenced is larger than trend and seasonal components
I am working on time series analysis of the astronomical data. From decomposed time series, the range of the decomposed residual should be low or equal to the decomposed seasonal and trend to consider ...
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Seasonal Decompose Interpretation
Q1) How to interpret the Seasonal Decompose (Additive V/S Multiplicative) plotted against the same dataset?
Q2) And, on the basis of the below plotted Observed data-points, which decomposition one ...
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What is multilinear principal components analysis?
I've gotten a lot of usage out of principal component analysis, and after recently learning the basics of performing canonical polyadic decomposition I was intrigued to learn that there exists a ...
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How to decompose the component that is influenced by X from time-series Y?
There is a time series Y, which is the remaining part of the initial time series after removing the trend and seasonal periodic components. And there is also a time series X, which represents the ...
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How do I find a mapping f : X -> Y to characterize the relationship between 2 time-series X and Y? [closed]
I have a time series Y, and another time series X related to Y.
The value of Y is affected by X and some noise.
How can I separate the effect of X on Y ?
That is, how do I find a mapping f : X -> Y ...
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How to select ranks to search for CP decomposition of 4-mode tensor of experimental gene expression data?
I have a sparse (0.625 percent non-zero occupancy) data tensor with shape (118, 16, 5009, 10). I would like to try exploring the data using CP decomposition. The ...
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129
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How to obtain uncentered factor scores from Factor analysis
The Exploratory Factor Analysis has the following mathematical formulation as in the screenshot from wikipedia (https://en.wikipedia.org/wiki/Factor_analysis):
That means the factors in F are ...
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What does it mean that the decomposition is based on the linear systematic component? And how can I interpret my result?
I'm using the oaxaca package to implement a Blinder-Oaxaca decomposition on a logistic model with binary outcome.
The vignette says that:
Note that, if a non-linear function such as glm() is chosen, ...
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Decomposition of the mean squared error
In this blogpost given a probabilistic binary classifier, with prediction $\hat{p} \in [0,1]$ and label $Y \in \{0,1\}$, the authors claim the following decomposition of the mean squared error.
$$\...
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Using statsmodels.tsa.seasonal.seasonal_decompose, my trend line does not cover the entire time period of the data. any words of advice?
I am trying to do a time series decomposition using this1 article as a guide--it uses statsmodels.tsa.seasonal.seasonal_decompose. However, the trend line I get does not extend to the beginning or end ...
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Seasonal component of STL decomposition looks like the original data
I am doing STL decomposition on Kaggle dataset. Below is just example for one region. I have summed up the values for type (conventional, organic). So data is grouped on date and region.
My question ...
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decompose function show a seasonal graph but there is no correlation in the correlation plot past lag 12 for a monthly dataset. What does it mean?
I generated a TS out of a monthly data.
TQ_volume_ts <- ts(csv_file[4:39,"Volume"], start=c(2019,01), frequency = 12)
When i apply the decompose function I get the following result:
Now ...
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241
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R: how to interpret the gray bars in the plotted output of the decompose function for time series?
In order to do some time series analysis, I used the decompose() function, to retrieve the adjacent plot.
However, I was asking myself about the meaning of the gray bars at the right side. If the show ...
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Can you shift a time series and multiplicatively decompose it afterwards to not have negative/zero values
THis question refers to the last unanswered comment in this question:
Decomposing a time series with some zero values
I see, thank you for the explanation. Let's suppose that the time series follows ...
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How can I determine best fit for a time series decomposition? [duplicate]
I’m new to time series decomposition and have been doing Seasonal and Trend decomposition using Loess (STL) in R.
My data is reported monthly and it appears that seasonality is annual. From what I’m ...
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Wold Decomposition -- summation to infinity
In Wold's decomposition we have $ Y_t = \sum_{j=0}^\infty b_j \varepsilon_{t-j} + \eta_t $, where the variables have definition as in the Wikipedia page.
I'm confused about why the summation goes to ...
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Wold Decomposition of an AR(2) process: Expanding a product of geometric series
In the last step of this answer, the author writes that to obtain Wold Representation of an AR(2) process, you need to expand the geometric sequences in the fractions on the right hand side:
$X_{t}=\...
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Is it possible to decompose the model evidence?
Assume I want to apply Bayes theorem with some state variable $x$ (scalar or vector, doesn't matter) and an observation vector $\mathbf{y}=[y_1,...,y_N]^T$::
$$p(x|\mathbf{y})=\frac{p(x)p(\mathbf{y}|x)...
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Blinder-Oaxaca decomposition, logistic regression and unbalanced dataset: fitted probabilities numerically 0 or 1 occurred
I have a binary y outcome, a dummy variable gender for gender, and a set of covariates x (...
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How to decompose the determinants of an outcome
I was looking at this graph about the gender pay gap.
I have a similar problem.
I have an binary outcome $Y$, a binary covariate $D$ for gender (with 1 meaning female), and a series of covariates $X_1$...
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168
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Decomposition of normal standard distribution with equicorrelation matrices
Suppose $x_{ij}\sim N(0,1)$ such that $Cov(x_{ij},x_{il})=0$ for $j\neq l$, $Cov(x_{ij},x_{kj})=\rho$ for $i\neq k$, and
$$[E[x_{ik}x_{jk}] ]_{ij} =\begin{bmatrix}
1 & \rho & \cdots & \...
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Decomposition of a time series based on another time series
I have a general question about decomposition of time series. I have a time series for electricity consumption of one building in hourly resolution for 1 year. This building also has an air ...
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Why Time series decomposition is performed
I am new to time series forecasting. In most of the forecasting blogs that I have read so far, the time series is decomposed first. As per my current understanding it is suppose to help us in figuring ...
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What is the most suitable classical decomposition model for the time-series graph? [closed]
To decompose time series data using the classical decomposition method, we have additive as well as multiplicative model. What is the most suitable decomposition model to be used to decompose the time ...
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How to account for shifting seasonality arising due to differences between gregorian and Islamic calendars?
I am trying to predict time series through decomposition, my time series is as follows,
As islamic calendars lag the gregorian calendar by 10 days after each year, so my seasonality is also changing, ...
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How to interpret regression results when the data have been detrended?
I am planning to build a linear regression model where I explain flight ticket demand with airfares, lagged airfares, GDP etc. based on monthly data from the past 15 years. This is my first time ...
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Elaborate Primers (books) on time-series decomposition and factorization?
I am looking for masters or PHD level books and flagship papers on time-series decomposition including mathematical notations/theorems.
I recently did a biology bachelor's thesis on singular spectrum ...
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How to compare the results between decomposition and SARIMA for a time series?
I was asked in an exercise to compare the results of function decompose and the model SARIMA. I only know to plot the results of function ...
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Decomposing a probit/logit regression
In an econometric work, I want to assess the causal effect of n variables on a binary character variable y, while I highly suspect that the relation between one of these regressors, say x (which is ...
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319
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How does LOESS work in STL Decomposition Algorithm?
I am trying to write a SQL program to calculate STL Decomposition of monthly time series data. In going through the algorithm in the original paper, inner loop step 2 has the detrended series grouped ...
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How to decompose the intercept of a linear regression? [closed]
Problem
I'm given a linear regression model. I need to to obtain the decomposition of the intercept coefficient in the form of
$$ \hat{\beta_1} = \beta_1 + \sum c_i u_i$$
where $c_i = 1/n - a_i\bar{X}$...
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STL decomposition of a daily time series (only business days)
I'm currently working with a daily (business days) time series which has a monthly seasonality and an overall positive trend over the last two years. I want to estimate the error component of the time ...
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How do you decompose conditional MSE?
I'm trying to decompose the conditional mean squared error but I'm not exactly sure how to expand the terms. Is it the same as just decomposing the general mean squared error?
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