All Questions
Tagged with fourier-transform seasonality
17 questions
12
votes
3
answers
2k
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Is it possible to have seasonality at 24, 12, 8 periods in hourly based wind power data?
I have taken hourly-based wind power data, by taking its periodogram after making it stationary in R. It gives me four seasonal patterns at periods of 24, 12, 08, and 06, as shown in the figure below.
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- 123
0
votes
0
answers
69
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Stan: modulated distribution
I am modeling a process where events happen every X days with X following a gamma distribution. I already have a model for that ...
- 31
2
votes
1
answer
406
views
Seasonal ARIMA vs ARIMA with Fourier terms for monthly series
I have monthly data and my goal is to forecast values with an inclusion of exogenous variables. I've built SARIMA and Dynamic Harmonic Regression models, where the second one performs little bit ...
- 511
2
votes
1
answer
2k
views
Looking for repeated patterns in time series data
I have spent the best part of the last few days searching forums and reading papers trying to solve the following question. I have thousands of time series arrays each of varying lengths containing a ...
4
votes
2
answers
1k
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How to identify a non-periodic time-series?
I am working on a problem where I have to first classify whether a time-series is periodic or not and then, if it is periodic identify its period(s) (the time-series could have multiple periodicities, ...
- 275
1
vote
0
answers
2k
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Model specification for seasonal ARMA-GARCH model using rugarch
TL;DR: I'm trying to find an adequate model for time series data that exhibits multiplicative seasonality and volatility clustering by identifying an ARMA-GARCH-model with Fourier terms using ...
3
votes
1
answer
2k
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Why SARIMA has better accuracy on weekly dataset than on daily one?
I am studying time series right now. So, I have this dataset. My aim is temperature prediction.
I've found out that ARIMA can't work with long period seasonality. So, I've resampled daily dataset ...
- 160
2
votes
0
answers
324
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Measuring weather impact on sales as a crossed random effect
I'm trying to model sales of a clothing brand having longitudinal data (unbalanced panel: 20 stores with 50 - 157 weeks of datapoints).
There are many regressors in my analysis, but I believe that ...
- 133
1
vote
1
answer
1k
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tbats() model not capturing seasonality (weekly data)
I have below 4 years of weekly data which has complex seasonality of varying seasonal length.
I have assigned the first 160 data points as training and the rest as test with frequency=52. It seems ...
- 95
2
votes
0
answers
200
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Deseasonalizing a time series using a Wiener-Kolmogorov filter
I am trying to eliminate seasonality from a time series using Wiener-Kolmogorov filter, I am following the methodology explained in here this paper about signal extraction which is the same followed ...
- 33
1
vote
1
answer
2k
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Deseasonalizing data with fourier analysis using MATLAB [closed]
I am trying to eliminate seasonality from my data using Fourier analysis in MATLAB. Following this post https://stackoverflow.com/questions/19285684/fast-fourier-transform-for-deasonalizing-data-in-...
- 33
1
vote
0
answers
2k
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Finding repeating patterns and their periods
I have a list of user-generated events stored together with the time it occurred. FWIW, the average is 216 event per day and a total of approximately 800000 events.
My goal is simply to find the ...
- 111
8
votes
3
answers
5k
views
Deseasonalizing data with fourier analysis
I have a data which has two underlying behavior. First there is a periodicity in it. It looks like a sine curve. Secondly the data points have constant growth in it. So, if I have 100 data points ...
- 421
2
votes
1
answer
1k
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fourier terms for double seasonality in R [closed]
I am performing a time series analysis on a daily time series. I know that there is a weekly period (7 days) and also a montly seasonality. For now, i set the time series object in R using a ...
- 3,712
6
votes
1
answer
8k
views
How to identify the seasonality of a timeseries from the Periodogram?
I need to identify seasonality/ periodicity of a dataset so as to develop an ARMAX model. This is what the original time-series looks like
I have plotted the periodogram of the dataset.
Ps: I used ...
- 422
4
votes
1
answer
6k
views
Finding cycles in data using a periodogram and Fast Fourier Transform
Problem: Detecting cyclical patterns in daily data using periodogram and FFT.
The issue is how to code in R the periodogram to detect monthly, quarterly, semi-annual, annual..etc cyclical patterns in ...
- 141
19
votes
1
answer
2k
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Problem defining ARIMA order
This is a long post so I hope you can bear with me, and please correct me where I'm wrong.
My goal is to produce a daily forecast based on 3 or 4 weeks of historical data.
The data is 15 minute ...
- 193