All Questions
16,349 questions
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36
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Sample Requirements for Covariance matrix Estimation
I have an input signal matrix $X$ of shape 4 x N, each row contains the same signal but with constant time delay (related to array signal processing)
$$X[i, :] = X(t-i\tau)$$
My goal is to find the ...
- 11
3
votes
1
answer
131
views
Arima function in R incorrectly including an additional MA term
When fitting an ARIMA model (with Arima function from the forecast package) there is an additional hidden MA term.
...
- 33
0
votes
0
answers
26
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How to correct for Hansen-Hodrick standard error as Campbell & Shiller (1991) using R?
I am trying to replicate the Campbell & Shiller (1991) paper using Brazilian data.
My data consists of the following. Each line is a triple $(n,m,t)$, where $n$ is the maturity of the bond, $m$ is ...
- 101
2
votes
1
answer
34
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Is it possible to train Neural networks for time series forecasting using elastic distances (such as dtw) as a loss function?
Normally, elastic distances are used as ways to tell how similar two time series are. Examples of these are dynamic time warping and move-split-merge and many more. And I read some researches such as ...
2
votes
1
answer
64
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Converting Monthly economic Data into daily data for Econometric analysis
I am trying to build an econometric model (VAR, VECM or regression) to predict daily interest rates based on daily financial data as well as monthly economic data.
I am unsure how to transition the ...
- 21
0
votes
1
answer
34
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Mediation models require a sigma matrix that is symmetric
I'm trying to fit the following reproducible mediation model called final. But I get an error saying:
sigma must be a symmetric matrix
Could you please advise how ...
- 397
1
vote
0
answers
18
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Which test should I use to evaluate if there is a change in proportion of two categorical variables over time if samples are not paired?
I am analyzing a dataset consisting of 100 clinical trials. For each of them, I have a categorical variable (conflict of interest reported: "yes"/"no") and an ordinal variable (...
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2
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0
answers
16
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Which estimator to choose for meta-analysis^ REML or CR2 with Wild Bootstrap?
I am following the following book: https://bookdown.org/MathiasHarrer/Doing_Meta_Analysis_in_R/multilevel-ma.html
I can't choose which estimator to choose: REML or CR2 with Wild Bootstrap.
Or maybe ...
- 21
6
votes
1
answer
121
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Is it possible to analyse this as time series data? What model should I use for this data?
I have a variable that goes from 1 to 10, where 1 is "never justifiable" and 10 is "always justifiable". The answers have high density at the extremes and in the middle (1, 10, 5, ...
- 61
1
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0
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28
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Confidence bands for binary time series data
Context: I have binary data $x_{it}\in\{0,1\}$ where $i\in\{1,...,N\}$ indexes trials and $t\in\{1,...,T\}$ indexes time (independent across trials; not independent across time). It's from a ...
3
votes
1
answer
61
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How can we simulate correlated random variables that vary at different levels in a multilevel/mixed effects setting?
I am very familiar with generating correlated random variables from a multivariate normal distribution.
This question is about doing that in a multilevel setting, where variables only vary at ...
- 65.8k
0
votes
2
answers
35
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Structural break detection in export data
I'm looking at Norwegian export data to try to detect sanctions evasion by Russia. Sanctions evasion takes place by the export of goods to third-party countries that in turn re-export the goods to ...
1
vote
1
answer
39
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Robust standard error (HC3) smaller than OLS standard error
I performed a linear regression of the temperature monthly time series to get a temperature trend. I considered temperature variable as a dependent variable (y) and time (e.g., month from a certain ...
- 11
2
votes
1
answer
78
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General formula for mixed models
I'm trying to wrap my head around the general formula of mixed models and how it relates to the system of equations I'm used to.
The general formula read like this:
$$\mathbf{Y_{j}}=\mathbf{X_{j} \...
- 153
1
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1
answer
76
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Predicting Sales Volume for Complex Customer Base with Time Series Data
I'm working on a time series problem and would appreciate advice from the community. My goal is to predict the sales volume ordered per customer, per product family, for the next 2-4-6 weeks. The data ...
- 11
0
votes
0
answers
19
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Aggregating Clicks per Impression Signal
I'm training a model to predict the probability of a website event occurring, based on signals about user clicks and impressions calculated across sessions.
As users interact with the website, their ...
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4
votes
1
answer
39
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Outcome in mixed models - lower level or upper level?
I am learning about mixed models and I have a question regarding the outcomes that can be considered. If I have hierarchical data, do the outcomes that I can consider need to belong to the lower level?...
- 43
1
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0
answers
12
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Doing a VARMA model but ran into some issues with ECCM and non invertible matrices
Im using the MTS package since I'm basing myself on Tsay (2014). I'm trying to fit a model with mexican unemployment rates and CPI. doing the eccm I get:
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0.0000
0.0052
0.0560
0.0616
...
3
votes
2
answers
79
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Predicting the Next Event's Timestamp Based on Historical Data with Possible Patterns?
I'm working on a personal project where I aim to predict the time of the next event based on a series of historical timestamps. The dataset I have consists of around 400k timestamps of past events.
...
- 131
1
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0
answers
15
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How to choose a control group in Interrupted Time Series?
I have a dataframe similar to the following:
...
- 11
0
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0
answers
26
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Probability of success changing with time with initial probability of success
The setup for this question is I have some data for events in which the outcome is either a success or fail, and this chance of success depends on time. Broadly, each trial has an immediate non-zero ...
2
votes
1
answer
39
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Best Practices for Imputing Missing Data in Trade Data (Linear Interpolation and Random Volume)
I am working on a dataset containing trade data, and my goal is to impute the missing data for a period of around 24 hours. Here's a sample of the trade data I'm working with:
timestamp
symbol
price
...
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8
votes
1
answer
471
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Power analysis for three-level multilevel models in R
For a study in a social science setting - where huge number of participants are not easily available - I'm trying to do a power analysis for a three-level multilevel design.
There are few packages ...
- 153
0
votes
0
answers
10
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Detecting Volatility Clusters in Time Series, Stock Returns (%) in particular
My primary objective is to detect the presence of volatility clusters in financial time series, stock returns (%) in particular. So, it can be translated into the detection of "conditional ...
- 1
3
votes
3
answers
584
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How to make two perfectly negatively correlated growing Geometric Brownian Motion (GBM) series? (Impossibility)
Intro
I am self studying in Youtube the course MIT 18.S096 Topics in Mathematics w Applications in Finances and in the following lecture min 34:50 by Dr. Jake Xia is studied the efficient frontier of ...
- 128
0
votes
0
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25
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Using GLMs or GLMMs for diversity metrics
I would appreciate some help in a question regarding statistical analysis. I'm looking at species count data where sampling was carried out over multiple years in repeated sites. So each year was ...
- 63
1
vote
1
answer
18
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Time-dependent covariates and optimism of results
I have a dataset spanning 2019-2023, and a set of categorical covariates that join by year and zip code. For validation, 2023 is left out, and the covariates for that year are an average of previous ...
- 21
0
votes
0
answers
24
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Measure of correlation between binary sequences that were generated using a gaussian process
To perform an experiment, I need to construct a collection of $n$ binary sequences of length $T.$
Example consisting of $n=3$ and $T=20$:
$
\begin{bmatrix}
0&1&1&0&0&1&0&1&...
0
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0
answers
32
views
Hyperparameter Tuning for Multiple Time Series
I am developing a time-series model utilizing NeuralProphet for forecasting the demand of products by day. I have grouped the products into a number of clusters by features such as average demand, ...
1
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0
answers
15
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Finding the most important daily pattern on a time series
I have multiple hourly time series measurements from different measurement points, for multiple weeks. My goal is to eventually cluster the measurement points into clusters, but to reduce ...
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1
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0
answers
15
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How to Set Up a Polynomial Multilevel Model
I have a modeling situation that I am not 100% sure how to approach. I have two independent variables, information and time, with time being a repeated measure. The dependent measure is difference. ...
- 11
0
votes
0
answers
54
views
Estimate of mean in semiparametric model. Box-Cox fails for negative mean
I have a time series of positive values $X_t \geq 0$ satisfying the following model:
$$\begin{cases}f_*(X_{t}) = f_*(X_{t-1}) + \mu + \varepsilon_{t}, &\forall t \in \{1,2,\dots,T\},\\
X_0 = 1, &...
- 1
0
votes
0
answers
26
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On a non-standard application of Kalman filter
These questions arose when I was reading Online Appendix D for the paper Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises by R.S. Gurkaynak, B. Kisacikoglu ...
- 125
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0
answers
20
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Conducting multivariate time series prediction with a known future variable
I have a dataset with 71 different variables over an extended time series running monthly from 1960 to 2023 and I want to predict the value of all those variables when one of those variables labelled ...
rcsmith
1
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0
answers
27
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Cross-correlation function using Spearman's correlation
Is it "kosher" to use Spearman's correlation in place of Pearson's in the cross-correlation function?
Basically, I have used the cross-correlation function to determine correlation over a ...
- 391
0
votes
0
answers
37
views
Uncertainty about the auto-correlation of a signal
I have the following signal that represent a supply voltage to an electric motor:
I compute the auto-correlation of that signal as:
...
- 113
2
votes
1
answer
40
views
How to include multiple observations in timeseries multiple linear regression?
I want to know how much variance in signal y can be explained by signals of class x. I have multiple observations of signals of class x. Take the simple multiple linear regression model:
$y = B_0 + ...
- 123
1
vote
0
answers
10
views
Is there a link between a multivariate VAR specification and the bivariate ones arising when combining the variables in groups of two?
Consider $x_t=(x_t^1,x_t^2,x_t^3)$ and a simple Vector Autoregression (VAR) of order one for its dynamics, given by
$$
x_t=\Phi x_{t-1}+\epsilon_t,
$$
where $\phi\in\mathbb{R}^{3x3}$ satisfies the ...
- 349
0
votes
0
answers
31
views
Time Series analysis ACF and stationarity help
basically this is the first time I applied TS analysis to a real dataset. ACF and PACF plots are not as nice as in hypothetical settings. I need help interpreting the results.
I am analysing sales ...
0
votes
0
answers
15
views
Assessing for statistical significance of change in trend rate of events with survival analysis in R
I have data examining the date of an event following a particular procedure among different sampled individuals. I expect that within X days of the procedure, the rates of my event will increase and ...
- 1
0
votes
0
answers
8
views
Posterior probability of cointegration rank
I've been trying to learn Bayesian estimation of VECM. Right now I have troubles figuring how to estimate posterior probabilities of cointegration rank values.
I looked into the bvartools library in R ...
- 1
1
vote
1
answer
32
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AIC and differencing for time series
I'm teaching an applied time series course and have come up with a question I'm not sure how to answer. Suppose we have a non-stationary time series and we try models using regular differencing, ...
- 277
1
vote
1
answer
26
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Is there away to compute Index values (base 100) from Year-over-Year % change (YoY) of the variable?
Let's assume I have a time series like this :
Time period
YoY Change (%)
Y2024 _ Q1
7.00
Y2024 _ Q2
4.85
Y2024 _ Q3
5.77
Y2024 _ Q4
5.66
Y2025 _ Q1
6.54
Y2025 _ Q2
6.48
Y2025 _ Q3
6.36
Y2025 ...
- 109
0
votes
0
answers
30
views
a discrepancy between the arima model and plot
I ran the arima model and estimated the fitted values. My constant value in the arima model is 153. Since the time variable (t_centered) was centered at zero, the constant indicates a predicted ...
0
votes
0
answers
9
views
Causal claims with no control group or how can I extract all info available from longitudinal design to have causal claims?
Background: I want to check the effect of an educational intervention. However, I have no control group.
Question 1: how can I have evidence of my intervention effect in this scenario?
Questions 2: ...
- 194
0
votes
1
answer
54
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Confused about the stationarity assumption in time series analysis
I understand that in time series analysis one important step is to make the time series stationary which will remove trends and is an assumption for models such as ARMA.
One way to make a time series ...
- 1,629
1
vote
1
answer
25
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ARIMAX time series with different lengths
I'm building an ARIMAX model with two time series: one has been differenced to make it stationary, while the other is already stationary and has more observations. How can I align these two series ...
1
vote
1
answer
13
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Time series classification, using lagged data, and exogenous time series variables for exploratory features
I have the following pandas dataframe
...
- 531
2
votes
0
answers
15
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How to determine sample sizes for experiments with ambiguous randomisation units?
I am running an A/B test to compare two bidding strategies in an online auction system, where the goal is to improve Return on Investment (ROI). The two strategies differ in how they bid for ...
- 161
1
vote
1
answer
56
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Multi-level modelling?
In an instructional study, I have pretest and post-test measures of writing quality--no control condition. There are 110 students nested in 10 classes. I have pretest measures of spelling skill and ...
- 13