Questions tagged [multiple-seasonalities]

Time series may exhibit multiple seasonalities, e.g., retail sales have intra-weekly and yearly seasonality, and electricity load (and price) has intra-daily, intra-weekly and yearly seasonality.

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5
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1answer
741 views

What is the difference between ARMA+Fourier and TBATS model?

I am just wondering that, in terms of the multi-seasonal time series forecast, what is the difference between using auto.arima find the ARMA order, then fit ...
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1answer
42 views

Understanding the period/cycle of time series data

I'm trying to understand the meaning of period/cycle length in time series forecasting. Some functions, such as seasonal_decompose and ...
23
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3answers
19k views

How to decompose a time series with multiple seasonal components?

I have a time series that contains double seasonal components and I would like to decompose the series into the following time series components (trend, seasonal component 1, seasonal component 2 and ...
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0answers
28 views

Seasonal spikes in residual ACF plot for a Fourier regression ARIMA error model

I have recently fit a Fourier regression ARIMA error model to some time series data, which has weekly and yearly seasonality. The model is of this form (except there is another sum since I have ...
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0answers
29 views

Fitting a distribution to historical prices data per month/day of week/hour

I am trying to fit statistical distributions to electricy prices, more precisely EPEX Day-Ahead market prices, per month / day-of-week and hour. Indeed, the prices exhibit very strong seasonnalities ...
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1answer
358 views

Measuring Strength of Trend and Seasonalities for Time-Series presenting Multi-Seasonal Patterns

My goal is to cluster time-series which may present daily/weekly/yearly seasonalities. To do so, I plan to use different variables and among them, the following ones: $F_{s_{daily}}$, $F_{s_{weekly}}$ ...
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0answers
16 views

How can I “remove” variability in my data that is due to periodic signals, such as Temperature, RH and Solar radiation?

I have a measured signal that I know is affected by some periodic signals, such as Temperature, RH and Solar radiation. Is there a way that I can "remove" their influence from my measured ...
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1answer
48 views

SARIMA - Sales predicitons

My question is about seasonality with SARIMA. With data sales, there is (in my opinion) two factors to take into account. Sales have a week seasonality and also a trend throughout the year. My ...
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3answers
11k views

Forecast daily data with weekly and monthly seasonality using exponential smoothing

I have to forecast data that exhibits dual seasonality. For example, the first day of the week can show seasonality and also the first week of the month can show seasonality. I am planning to use ...
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2answers
1k views

Forecasting with multiple predictors and with multiple seasonalities in R

I have half-hourly electricity data of several homes for a duration of one month. Also, I have ambient temperature at same sampling rate. Now, I need to make half-hourly forecasts using historical ...
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1answer
10k 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 ...
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1answer
53 views

What is the difference between single seasonal pattern and multiple one?

My problem is most probably trivial. Many books and articles present informations about single and multiple seasonal patterns or single/multiple seasonality. Unfortunately I can't understand the ...
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0answers
23 views

Interpret results of time series decomposition with additive and multiplicative model

I have decomposed a time series data with additive and multiplicative models, but the result seems quite abnormal (please see ...
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0answers
26 views

Chosing seasonality frequency

i am trying to build a general forecast at work, but i am in trouble about the frequency of my series. Can a subject reason guide me through the frequency selection? I have daily data, so i could ...
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30 views

time series prediction model with minute data

I m trying to apply prediction at my data that is taken from the sensor after 15 min ...
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0answers
68 views

Resources for learning the time series stuff they don’t (or didn’t) teach you

I at one point, a long time ago, had two years of graduate econometrics focusing on time series, plus more on micro cross-section techniques. I haven’t made much use of the time-series stuff for a ...
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1answer
90 views

Why the seasonality of daily time series is not predicted correctly in R with arima model?

I have a question related to the estimation of arima models in R. I have estimated a model with daily simulated data where Mondays have a lower value than the rest of the days. I have simulated two ...
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0answers
3k views

No suitable ARIMA model found error

I am trying to forecast the sales for next 48 days from the data given by modelling for multiple seasonality and day of week , promotional effects. R could not come up with a suitable model. I need ...
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1answer
108 views

One year of historical data with yearly and daily seasonality

I have 14 months(01/07/2018 to 30/08/2019) of one minute data, which I have aggregated to 10 mins block. So I have a data of dimension "61056 * 350". From this I am using 12 months of data to train ...
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89 views

why is it that mstl decomposition models the higher frequency first?

I'm looking at the code for mstl decomposition and also at this mstl explanation and I see that the higher frequency seasonality (e.g. hour-of-day) is modeled first, the series is de-seasonalized and ...
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1answer
81 views

Statistical softwares providing multiple seasonality forecasting [closed]

Does anybody know which software provide forecasting with more than two seasonalities? I know R includes tools for double seasonal holt winter forecasting but I am looking for a software which can ...
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0answers
268 views

Statistical demand forecasting

How is batch demand forecasting done in retail like in Walmart where number of products to forecast are very large in number and products are short lived i.e have less than 36 months of historical ...
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1answer
216 views

Removing seasonality from multiple time series

I'm building a model involving a few times series, let's call them A and B. I removed seasonality from A using a function with a linear trend, days of the week and statistically significant months. ...
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1answer
2k views

Removing multiple seasonalities from time series

I'm using statsmodels.tsa.seasonal.seasonal_decompose to remove seasonality from a time series. I can remove a seasonal component in this way: ...
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1answer
543 views

Selecting Box-Cox parameter in TBATS function in R

I am struggling to manually select the Box-Cox transformation in my TBATS function. I have a time series with multiple seasonality called belpex. I have tried the ...
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0answers
35 views

Creating a model that projects sales but adjusts for decreased traffic in a retail store

I have data for a retail shop for all of last year (well for many years but this is what I will be using) and all of this year current. The entries are the traffic (# of visitors), the sales, the ...
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2answers
381 views

What model to fit given ACF and PACF (seasonal data)

I have highly seasonal data, (it's energy consumption) with mostly 24 hour and 168 hour (=1 week) periods and I have applied differencing by 168 hours (...
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2answers
1k views

Time series forecasting with hour data, prediction for next 24 hours

i'm a newbie in Time Series Analysis. I have a 2 year pandas dataframe about water consumptions in hour granularity (24 records for day, 365 days). Water_consumptions Data ...
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1answer
108 views

How to fit an ARIMA model with multiple/complex seasonality in R

My dataset contains the following information aggregated into 5-minute intervals over one month: average vehicle speed in km/h time of the observations the day of the week Thus having 288 (12*24) ...
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2answers
651 views

Forecasting data with multiple seasonality

I'm attempting to forecast the number of taxi rides per hour that occur in NYC. I've turned the data into a time series using 24*7 as the frequency: ...
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1answer
101 views

TBATS decompostion and how to distinguish “real” sesonality

I am doing exploratory data analisis with TBATS decomposition, to get understand better seasonal patterns behind number of booking. One of my coworkers proposed that there is two weekly seasonality, ...
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2answers
13k views

Forecasting hourly time series with daily, weekly & annual periodicity

Major edit: I would like to say big thanks to Dave & Nick so far for their responses. The good news is that I got the loop to work (principle borrowed from Prof. Hydnman's post on batch ...
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2answers
2k views

Forecast time-series with two seasonal patterns

I am working on this problem for my research. The attached time-series represents the disk usage sampled every 5 mins. The series is a saw-tooth pattern since the disk usage keeps increasing and part ...
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2answers
12k views

Two seasonal periods in ARIMA using R

I'm currently using R to predict a time series with these instructions: ...
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3answers
1k views

Forecasting hourly time series [closed]

I have the following time series: Data is aviable here data The time series represent an hourly eletricity load. It starts at 2018-09-13 19:00:00 and end at 2018-12-23 15:00:00. I want to predict ...
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1answer
358 views

Maximum number of Fourier terms in forecast package

I am using the forecast package in R to get some Fourier components - namely, function fourier(ts, K, ..). For a time series <...
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1answer
195 views

Modeling academic seasonality with hierarchical GAMs

I am trying to model the seasonality of daily pageviews to calculus-related Wikipedia articles using a hierarchical GAM, assuming that there is a shared 'academic calendar' seasonality and that each ...
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1answer
13k views

How to interpret TBATS model results and model diagnostics

I have got a half hourly demand data, which is a multi-seasonal time series. I used tbats in forecast package in R, and got ...
3
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0answers
591 views

Detecting seasonality from periodogram and seasonplots

I want to determine whether a time series contains seasonality, and if so, what the periodicity is so I can include this as Fourier terms in my model. Because I have to do this for approximately 100 ...
2
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1answer
78 views

Different seasonality patterns

I'm currently trying out several ARIMA models for time series data with seasonality. The data consists of daily demand for two years. The data has strong weekly seasonality since Fridays and ...
0
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1answer
111 views

Will VECM handle multiple seasons?

I have two questions: Since VAR (vector autoregression) will not handle seasonality and trend. VECM comes into play which can handle season as well as trend. I had a doubt whether it will handle ...
5
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1answer
4k views

LSTM NN produces “shifted” forecast (low quality result)

I am trying to see the power of recurrent neural calculations. I give the NN just one feature, a timeseries datum one step in the past, and predict a current datum. The timeseries is however double-...
2
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1answer
269 views

ARIMA Time series analysis forecasting [closed]

I am having a small project on Time series analysis for that I have hourly sales data for that I need to forecast hourly sales for the next 1 month, i.e around next 720 hours I am exploring ARIMA for ...
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1answer
835 views

What is ARMA error in time series?

I heard a term "ARMA ERROR" in BATS and TBATS. How it helps in time series forecasting.
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2answers
2k views

Time Series Forecasting - Hourly Data

I have data from a call center morning 8 am to evening 8 pm with half an hour intervals. I am trying to perform time series forecasting to predict expected number of calls during the same time frame ...
5
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2answers
994 views

Multiseasonal models for multivariate time series

Does there exist model (ideally implemented in R) which take into account multiseasonality for multivariate time series as BATS does in the univariate case?
0
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1answer
88 views

Which model to use when dual-seasonality is present?

I have an hourly time series that contains 2 forms of seasonality: hourly and weekly. In other words, the hour of the day and the day of the week both have a large impact on the time series values. ...
6
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1answer
3k views

Multiple and long seasonality for a SARIMA model in R [closed]

While working on a big data set made of 10-minutes-points of information - i.e. 144 points per day, 1008 per week and ...
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2answers
1k views

TBATS: why set seasonal periods?

While trying to estimate the level, trend, and seasonal components with the TBATS model (forecast pkg in R), I notice that the ...
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0answers
451 views

What method should I use to forecast discrete data?

I have data which can take discrete values (between 0 and 5). I have 2 values per day during 2 years which contain a lot of 0 and 5. I know that my data are correlated with end of week, end of month, ...