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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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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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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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 ...
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473 views

How to remove the seasonality of a time series

I have got hourly data, which may have daily and annually seasonality. The ACF plot of the data are shown as follows, which is plotted up to 44 lags (upper left), 100 lags (upper right), and plot of <...
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454 views

Double Sesonal Holt-Winters methods for data containing zeros or negative numbers

I am trying to fit dshw for the double seasonal times series, and compare the results with tbats() , I used: ...
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2k views

R forecast package: How to combine fourier terms with another XREG matrix

I'm using R forecast package with a daily time series data, that has complex i.e. Multiple seasonality (weekly, Yearly, monthly). The fit/forecast process also needs to take into account certain day ...
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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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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, ...
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187 views

How to decompose seasonality of a time series with a limited time span?

I am working on a time series that contains daily sales data over 2 and a half years. The aim of the project is to estimate the impact of marketing expenditure on the sales, while accounting for ...
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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 ...
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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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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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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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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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41 views

Stationarity between measurements of categorical variables when testing a hypothesis

Please bear with me on this question, it's a follow on from my other question on a similar topic but in this question I wish to understand how to handle periodicity when testing a hypothesis with ...
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69 views

forecast daily data for not near future

I am trying to get a forecast for the rest of 2017 based on 5 years of daily historical data. Im having issues with the weekly seasonality I am trying to use the ...
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1answer
57 views

What is a value that can be used to indicate the seasonality of data?

I am looking at different airports and have data on the amount of passengers per month for years 2012-2016. I need to be able to compare the extent to which traffic fluctuates from month to month, ...
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62 views

Literature on identifiability of multiple seasonality

A straightforward interpretation of identifiability of seasonal patterns as an ability of a method to extract seasonal pattern or patterns correctly from an artificially created signal does not appear ...
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29 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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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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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
359 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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24 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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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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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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563 views

ARIMA forecast - more than one seasonal trend?

I am using a Kaggle dataset on noise complaints in NYC (https://www.kaggle.com/somesnm/partynyc/version/4) as a teaching example. The time series has exact time and date of the noise complaint but ...
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2k views

choose seasonal parameters for sarimax model

I have a year of hourly Nox concentration data that looks like this: I am trying to fit a SARIMAX model to the data what i did is loop over the parameters and ...
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288 views

Why is TBATS smoothing out the forecast when given data with multiple seasonality?

We use the TBATS model for the multiple seasonal data that we have. The data has a weekday season and an hour season, that is, Monday 7 PM is different from Sunday ...
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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 ...