Questions tagged [trend]

An observable pattern in the data.

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18 views

When need to detrend the time-series data?

I am new to time-series models. I read many books, tutorial, relative questions, and published papers. However, I still confused about the detrended term. I would like to know when I need to detrend ...
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22 views

How to de-trend a data set to calculate historical average?

I have transformed my data to be expressed as cost per day. This was to eliminate any seasonality type affects month over month due to holidays, etc. What I would like to do now is remove the trend ...
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Find time series that best approximates another time series, question about detrending

The task is to figure out which variable best "approximates" the behavior of the target variable over time, so that it could be potentially used as a substitute later on (e.g. because it's ...
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detrend time series data for non-regression proposal

Suppose I have a time-series data (temperature and ice-cream sales). I would like to fit a copula model to this data (just to understand the dependency between these two variables. I do not want to ...
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How to De-seasonalize a time series based on trading days? [duplicate]

I have a time series of monthly data points with a corresponding cost. Within these months, if you strip out the trend, I believe the cost to be highly correlated to the number of trading (or business ...
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Remove Seasonality from Days in Month?

I have a time series of monthly costs that has trended both up and down over the past 3 years. Because it is business-day driven, we would expect to see upticks in months with 22 business days and ...
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15 views

Can remove the trend of (short) disease data

I have a small disease data (influenza). I would like to fit a quantile regression model to it to investigate a relationship between variables. I plot the data and the plot shows increasing linear ...
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1answer
34 views

Can autocorrelation confound causal inference?

I'm working with a weekly aggregated time series that has autocorrelation and I'm trying to find out why the trend has been decreasing by regressing other features onto - I noticed that when I use an ...
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Why does purging effects by regression each variable on the to-be-purged effect work?

In Wooldridges Introductory Econometrics he describes a method to remove time trends by regressing each variable on the time trend and saving the residuals, which are then can then be used to obtain ...
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Is it possible to fit Non-Stationary GEV to a series of data in R fixing one of the distribution parameters?

Good morning, I have a series of annual maxima data (say "AMdata") I'd like to model through a non-stationary GEV distribution. In particular, I want the location to vary linearly in time, i....
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79 views

Working with Time Series: What drives a trend change?

I'm working with a time series that had a clear trend changepoint where it went from having an upward trend to a downward trend (After accounting for seasonality). The problem that I'm running into is ...
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Detrended data and ARIMA modeling

What data should I use in ARIMA modeling when I do detrending, is it the original data or the detrended one? Then, what is the d component of the ARIMA model, is it d=0 or d=1?
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Trend analysis on a sample with varying elements - online real estate market

I'm trying to analyze the price trend of an online real estate market, similar to craigslist, over a period of two months on a daily basis. I collected the data every day, however as every day there ...
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Equivalence of trend stationary process and stationary process

I am new to Time Series, and I am having some trouble dealing with the constant of an AR(p) process, which of course 'reinforces' itself over time to become a deterministic trend. For simplicity sake, ...
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31 views

How find relationship of X on Y if both X and Y have trends?

I want to find an effect of X on Y. However, my Y and X are both have trends and seasonality. The first picture is my X and the second Y. The logic and academic results show that X should positively ...
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Component contributions in Additive Model Time Series

I have trained a model for forecasting time series in a greedy procedure: Fit the Trend component T(t) of the series on the original signal y(t) Fit a Cyclical/Seasonal S(t) component of the series ...
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How to compare the similarity of two time-series “loosely” in order to “ignore” temporal shift and scale difference?

I am new to time-series but here is the challenging problem I need to solve. I've created an agent-based model that can model infectious disease transmission and outcomes (such as tracking the number ...
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39 views

How can I know if there is a breakpoint in a time series analysis?

I am trying to find a breakpoint in a time series. I have a set of prices from January up to now. I want to know if some trend was interrupted at a specific date. E.g.: I believe that in March the ...
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Pros and cons of trend elimination methods in time series models

What are the advantages and disadvantages of different trend elimination approaches in time series models, more specifically The least square trend estimation Different smoothing filters The ...
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12 views

can Durbin Watson be used for binary valued times series

I have multiple time series and for each time series, each series is either one or 0. So for example, it is like the following: ...
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How does polynomial trend get 'detrended' by the d-differencing?

Suppose $X_t$ is an ARIMA(p, d, q) process, then so is $X_t + m(t)$ where $$ m(t) =a_0 + a_1t +...+ a_{d-1}t^{d-1} $$ is some polynomial of degree $d-1$. How does such a polynomial trend get '...
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How does the parallel trends assumption operate when there are multiple interventions?

My question relates to how the parallel trends assumption operates in a difference-in-difference (DID) analysis when there are two interventions of interest (in the plot, T1 and T2). T1 and T2 are ...
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69 views

Stationarity and trends in ARIMA models

For this question I am interested in rigorous proofs or in references explaining details. Let us suppose we have an ARIMA process of order $(p,d,q)=(p,0,q)$: $$A(L)X_t=B(L)\epsilon_t [1],$$ where $...
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Time series regressions

I'm trying to make a basic scatter plot/regression to look at the relationship between two time series. Series a is volume of mentions of a product on a forum over time, series b is the sales of the ...
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If two random walk patterns follow each other, is it still considered a random walk?

I am wondering if these two lines, F1 and F2, representing time series, would still be considered "random walk", once the relationship between the two was discovered? Could this relationship ever even ...
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Time dummies to correct trend non-stationary data

If a time series data has no unit root, but has a time trend, can one include time dummy instead of time trend to remove non-stationarity? The main reason is that I need to include time dummies, but ...
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Estimating trend components before seasonality

I am currently working with data that has additive trend and seasonality. Is it okay to determine the trend and then detrend the data, and then estimate seasonality on the detrended data? Or should I ...
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53 views

GAM (mgcv): question on trend

I am new to the exchange and self-teaching myself GAM (via mgcv package). Context: I would like to estimate a panel regression via gam. periodicity: monthly ...
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Compare nonnormal trends

I have two groups of nonnormal time-series data. I want to compare the difference in trends between them statistically. So, I've calculated the Theil-Sen slop for each group and want to compare the ...
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Is a time trend a substitute for first differencing?

I am doing a macroeconomic analysis involving BOP, investment ratio, GDP growth rates, and CPI inflation as dependent variables. My independent variables are other macro variables. When I test for ...
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1answer
135 views

stochastic vs. deterministic trend in time series

I am relatively new to time series and studying this section - https://otexts.com/fpp3/stochastic-and-deterministic-trends.html. From the above section, didn't quite understand the difference why ...
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Need a statistic to compare trends of different areas, in R

I have two different land cover types, crops and a river next to them. I have performed a time series analysis of the characteristics of both and now I want to see how the river trend influences the ...
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How to tell if a trend seen in multiple data sources is significant?

Let's say I have several stations which measure temperature vs. time each hour for several years. Due to noise, when I plot the temperature vs. time from any one station, it's hard to see a trend. (...
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How to test the significance of order of fixed features among various samples

A practical statistic question was proposed here during my current research work. There are various sites across the country with identical features, which denote the content of 6 metal species (i.e....
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Time series object with multiple station data with different time periods?

How can make a time series object from a set of data. I have data set from a number of regional meteorological stations. And I don't know how to create a time series object that includes time series ...
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38 views

Temporal resampling effects on linear trend estimation

I'm looking to determine rate of change of a noisy seasonal time series with linear regression. In the first figure, there is daily data for 30 years. The second figure is the same data aggregated ...
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154 views

Can stats regarding the Coronavirus outbreak tell us anything at all?

Everywhere in the news we hear about numbers of corona-virus infections, deaths and recoveries. In lots of the publications the numbers (especially the infections) are compared with previous days. ...
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107 views

How to remove non-stationarity?

I want to make a model for predict the future values. I have a time series like this one So, I try to remove the trend (detrended) and with difference transform but nothing, I always have from the ...
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1answer
96 views

Fixed Effects regression with trend and seasonality?

I have monthly panel data on 8 tourist locations in the US (N=8), from 2011-2018 (T=84) and I would like to determine the impact of multiple independent variables (gas prices, income, etc) on recorded ...
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217 views

Should I deseasonalize my time series before using SARIMA?

I have the following time-series that I need to model using SARIMA. There is a clear seasonality pattern but there is no apparent trend. Should I de-seasonalize (seasonal differencing) my time series ...
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38 views

How to deal with a time series that has a trend but not a unit root?

I need to fit my VAR model, so I am trying to induce stationarity in all my variables. One in particular, Industrial Production for the euro area, is creating me some issues. Below you see why. There ...
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Sort of reverse trending

I've analysed panel day with difference-in-difference; the result shows that the treated group continues its linear trend whereas the control group has the characteristic gap. In the picture to this ...
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131 views

How can I statistically test if the line in a graph is moving upwards, downwards or sideways? [closed]

I have a dataset that produces a line as shown in the picture below. I would like to statistically test when the line is moving upwards, downwards or sideways (not moving significantly). What would be ...
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Explain the source of overfitting in choosing an additional parameter

I was going through this reddit post. It describes the 'timelapse and prediction of Wuhan coronavirus infections in Mainland China'. The guy chose to use $y=a+b*(exp(c*x)-1)$ to describe the ...
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long-range dependence measure

Hurst exponent is a simple, powerful and widely used measure of a long-term memory of time series. What is are the disadvantages of this measure for checking long-range dependence in the series and ...
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Detrending methods

Detrending is removing a trend from a time series; a trend usually refers to a change in the mean over time. When you detrend data, you remove an aspect from the data that you think is causing some ...
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43 views

Deterministic trend in VECM/VAR

I have a question regarding VECMs with deterministic terms. Consider the following VECM $$\Delta y_t= A(B'y_{t−1}+c_0)+c_1+B_1\Delta y_{t-1}+\dots+B_q\Delta y_{t-q}+\epsilon_t.$$ Note, that this ...
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134 views

Modeling trends with Gaussian Processes

I am trying to use Gaussian Process Regression to model data that has a clear upward rising trend. Here is a basic plot of the data - The most well-known example of the flexibility of GPs in such ...
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Examine the below time-series plot of data. With reference to the graph, justify the chosen method for the analysis that has been started on the table

Please can I be provided with a good answer/justification for the question? I think there is one method and it is moving average? I am not sure though.
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Why do we Difference Twice to Remove Quadratic Effects in a Sequence?

And also, why you would need to difference twice to remove quadratic trends [in a sequence of numbers]. (I was asked to add this as a question and answer, to give the answer more exposure from Why ...

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