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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33
votes
1answer
56k views

“Frequency” value for seconds/minutes intervals data in R

I'm using R(3.1.1), and ARIMA models for forecasting. I would like to know what should be the "frequency" parameter, which is assigned in the ts() ...
26
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3answers
57k views

Daily Time Series Analysis

I am trying to do time series analysis and am new to this field. I have daily count of an event from 2006-2009 and I want to fit a time series model to it. Here is the progress that I have made: <...
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 ...
15
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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 ...
13
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2answers
14k 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 ...
11
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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 ...
10
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1answer
12k views

Interpreting time series decomposition using TBATS from R forecast package

I would like to decompose the following time series data into seasonal, trend, and residual componenets. The data is an hourly Cooling Energy Profile from a commercial building: ...
8
votes
2answers
12k views

Two seasonal periods in ARIMA using R

I'm currently using R to predict a time series with these instructions: ...
8
votes
1answer
5k views

Hourly predictions using time series

I'd like to build a model based on time series. I have a dataset with records every 30 minutes for three months. What is the difference between modeling these data with the following kinds of models?...
8
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1answer
6k views

Is stl a good technique for forecasting, instead of Arima?

I have a long time series(data at hourly level, for 6 years). The data is showing an hourly, a weekly, a monthly as well as a yearly trend. For this data, should I try ...
7
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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 ...
6
votes
1answer
703 views

Time series analysis of electricity load questions

I have hourly data of electricity load (MW) that span 8 months (that is, 5760 data points). I also have predictions from a regression model for the same period. My goal is: to examine some properties ...
5
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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 ...
5
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2answers
1k 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?
5
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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 ...
5
votes
1answer
2k views

How to deal with hourly non-stationary time series data with multi-seasonality?

I currently have hourly electricity demand data last for 5 years, where I used: demand <- msts(mydata$DEMAND,seasonal.period=c(24,182.5*24,365*24),start=2012) ...
5
votes
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 ...
5
votes
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-...
5
votes
1answer
508 views

Efficient forecasting of daily and weekly seasonality in minute data

If I naively apply STL, Holt-Winters or Kalman-Filter approaches to the problem of extracting the seasonality and trend components of a one-minute data stream, I will end up with about 10K cyclic sub-...
5
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1answer
3k views

Decomposition of daily time series (several years) with multiple seasonal patterns

i have a daily time series of several years. Graph & CSV-file So far i could figure out with an based on an acf graph and this method: timeSeriesObj = ts(x,start=c(1999,1,1),frequency=7) fit ...
5
votes
1answer
765 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 ...
4
votes
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 ...
4
votes
2answers
2k views

Daily timeseries forecasting, with weekly and annual seasonality

My aim is to forecast the daily number of registrations in two different channels. Weekly seasonality is quite strong. Especially the difference between the weekends and the rest of the week is big. ...
4
votes
1answer
3k views

Seasonal plot for time series with multiple seasonalities

My data is like the following, half hourly multi-seasonal time series from 2011 to 2016. ...
4
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1answer
217 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. ...
3
votes
1answer
160 views

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, ...
3
votes
1answer
54 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 ...
3
votes
2answers
718 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: ...
3
votes
1answer
5k views

Capture yearly and daily cyclicality using sine - cosine function

I have an hourly time series of temperature: (can be downloaded here: http://workupload.com/file/eFFPWvL) plot(my_data$time, my_data$temperature, type = "l") ...
3
votes
2answers
2k 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 ...
3
votes
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 ...
3
votes
1answer
561 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 ...
3
votes
0answers
70 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 ...
3
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0answers
624 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 ...
3
votes
0answers
475 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 <...
3
votes
0answers
463 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: ...
3
votes
0answers
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 ...
2
votes
1answer
4k views

tbats model for multiplicative seasonality

In De Liv­era, Hyndman & Snyder (2011), a TBATS model (exponential smoothing state space model with Box-Cox transformation, ARMA errors, trend and seasonal components) for additive seasonality has ...
2
votes
2answers
5k views

How to model timeseries with unequally-spaced seasonality interval

I have a timeseries that has an irregular seasonality interval, and two seasonalities. The data is basically daily data, with one weekly regular seasonality, and ...
2
votes
2answers
2k 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 ...
2
votes
1answer
393 views

Regression with TBATS error?

I'm working on a time series model which includes multiple seasonal components (daily and weekly). I believe the best way to approach this would be BATS/TBATS model, however I have a concern if I can ...
2
votes
1answer
56 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 ...
2
votes
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: ...
2
votes
1answer
1k views

Time series decomposition results interpretation

I have a long multi-seasonal time series, and the stl() decomposition got me this: The remainder is definitely not white noise. Then what should be the next step ...
2
votes
1answer
205 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 ...
2
votes
2answers
3k views

Dealing with multi seasonality in time series

I am new in R and time series analysis and need some help. I am currently trying to create a tool to forecast the demand of power for a company. On my data set I have 17550 observations that ...
2
votes
1answer
303 views

Count data time series with multiple seasonality

I am analyzing a time series (hospital admittance) registered by date - time at hourly frequency, collected all days during 2010 - 2014 (5 years). The time series exhibits seasonality at multiple ...
2
votes
2answers
56 views
+100

Sinusoidal unit-specific time trends

Suppose I have a panel dataset with monthly observations over 10 years. I have a simple dummy intervention, where some policy is put in place around the Spring in every year and only affects some ...
2
votes
1answer
99 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 ...
2
votes
1answer
277 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 ...