The Stack Overflow podcast is back! Listen to an interview with our new CEO.

Questions tagged [time-series]

Time series are data observed over time (either in continuous time or at discrete time periods).

9,873 questions
Filter by
Sorted by
Tagged with
16 views

Prediction of $X_{n+1}$ with Yule-Walker estimate

Consider a causal AR(1) process $X_t = \phi X_{t−1} + Z_t$ with $(Z_t)$ iid with mean 0 and finite variance. I am reading in a book, that $\phi X_n$ is the best predictor for $X_{n+1}$ because it ...
14 views

Prove stationarity

It can be easy question, but it is a part of bigger exercise. I have problem with lack of statement "uncorrelated" Prove that if ${X_t,t \in T}$ is stationary, then $Y_t = X_t - X_{t-1}$ is also ...
17 views

What statistical techniques can I use to model improvement over time?

Say you have a group of 30 students and you measure each individual's performance on a test at 4 intervals throughout the year. (For the purpose of this investigation, assume the tests taken are ...
27 views

Why is Out of sample R^2 inappropriate for Time Series Forecasting?

I've been reading a few posts from distinguished members of this community about R^2 and time series forecasting: 1.What is the problem with using R-squared in time series models? 2.R-squared to ...
13 views

How to adjust data labels to alluvium instead of axis for bump time series chart (R ggalluvial)? [on hold]

How can the data labels in this example be made to appear centered on the alluvia?: ...
7 views

Singular spectrum analysis - classification and/or clustering [on hold]

I have several time series plots/datat that I wish to perform on them classification and/or clustering? Any method that can be recommended? Can I use singular spectrum analysis?
21 views

Prewhitening with seasonal response and non-seasonal independent variable

I'm working to develop a forecasting model for a quarterly seasonal variable (quarterly estimated individual income tax payments) using several candidates for non-seasonal independent variables (...
4 views

16 views

Analyse the influence of interior demand and trade on exports

I would like to have a primer on how the current slowdown of the German economy affects its partners, for instance France, Spain and Italy. More specifically, if it goes mainly through Germany's ...
26 views

Simulate cointegrated prices and VAR model [on hold]

I am trying to simulate cointegrated stock prices and use a VAR Model to make forecasts. This is the code I wrote so far: ...
9 views

Identifying anomalies multiple time series using statistical methods

I am trying to detect anomalies from a Time Series sequence, that is calculated as an aggregate count of multiple unique Time Series'. For example, in the graph below: We have aggregate counts shown ...
40 views

Example of random process with negative variation

I study about random processes. Let us have $\{X_1, X_2, \dots X_n\}$ observations. I learned, that in stationary time series the sample autocovariance function is defined as  \widehat{γ}(h)= \...
35 views

Uncertainty Quantification in Time Series Analysis

The stock market value of the data point connected by the red line is predicted by linear regression using market values as well as Twitter sentiment data and more in a certain period of time (red ...
16 views

24 views

Data Mining/Statistical Methods to find trends, peaks, etc

currently I am working on a project for my final exam. The data is coming from a streaming plattform. The data I am using are some logging data (data when customers have problems with the streaming ...
38 views

Is this time series stationary? What would be your approach to forecasting it?

I've been working on the time series prediction of a signal and came across a small misunderstanding. The signal is depicted below: Apparently it looks like there are several stationary local areas ...
23 views

why isn't the tscv function allowing for step-size other than 1?

the tsCV function from the forecast package allows for forecasting using a rolling forecast window. Why is it that the step-size is always 1 sample ahead, and the ...
4 views

How can I accomodate the forecast series to separately fit and predict workdays and weekends?

I'm using the forecast R package. I have the same dilemma as How to forecast daily time series with weekends and holidays?. I understand that the answers consensus ...
9 views

extracting seasonality - using fourier transform vs. learning the coefficients of fourier terms

I'm following hyndman's advice for using fourier terms when fitting a linear regression model to the taylor time-series (with the very long seasonality of 336). My ...
16 views

ARIMA forecast for upcoming 2 days

I am trying to forecast the battery charge for the next 2 days. I have data for 3 days with 5 mins interval. I have tried the below code: import statsmodels.api as sm arima_mod = sm.tsa.ARIMA(...
30 views

ARIMA forecast confidence intervals

Can someone explain how confidence intervals for ARIMA forecasts are derived? I can't seem to find any good explanation of it. From what I've read it seems like because an ARIMA process can be ...
37 views

LMER model with uneven time points

Does it matter that my time series are taken at random points? All the examples I've seen have nice time series, like every day or whatever. I have what is otherwise a pretty simple model: one fixed ...
17 views

5 views

How do I introduce the time series data if I have just a column with the data? [closed]

I have tried to use the programa with a time series in columns and I got the error trying to get slot "y" from an object of a basic class ("numeric") with no slots How can I input this data into the ...
16 views

Forecasting based on previous realizations

A given process has multiple variables moving to a target point. I can collect data of several realizations of this process. What forecasts methods exist for this? I'm familiar with exponential ...
5 views

Converting numericals into regression coefficients from Coxph [closed]

how can i manually convert a set of numerical values into regression coefficicents so that it can be applied into another dataset for prediction purpose using Coxph? Example: height 0.004 ...
22 views

Time series plots, polynomial coefficients and PCA

I have several time series plots that I have their polynomial coefficients (curve fitting using Matlab polyfit). Is it possible and valid to use Principal Component Analysis (PCA) to try to classify ...
14 views

Deciding upon the important regressors for a SARIMA model

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 ...
31 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 ...
11 views

“nested” time-series comparison

Hope you can help me with a methodological issue. I want to compare two sets of observations made in two independent groups (15 subjects per group) over time. The two groups are cell cultures derived ...
29 views

ARIMA model on sales data

I have a 'theory' question based on the ARIMA model. I have daily sales data for about 3 years, so I could apply ARIMA to the data. However, the data contains categorical variables. My data structure ...
7 views

“Nested” time-series comparison?

I'm Stick with a methodological problem and I'm not sure how to manage a possible solution. I want to compare two sets of observations made in two independent groups (15 subjects per group) over time. ...
16 views

Are two duration sequences related?

I am so sorry I'm bad at statistics but I need this for my seminar. And, so sorry, I need a really simple answer :( My head already feels like exploding from this seminar :( I've segmented a video ...
10 views

How to tell if it is the trend that's changing or the seasonality in a time series

I am looking at the plastics data from the fma R package. The data describes monthly sales of a product over a five year period. I am trying to figure out whether it is the trend that is changing, or ...
18 views

Linear regression results interpretation check

I have below results of my linear regression and my interpretation. Is it correct? Regression Statistics ...