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Questions tagged [unevenly-spaced-time-series]

Time series sampled or measured at unevenly (or irregular) distributed time points.

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Practical handling of Dynamic Time Warping for time-series with unequal sampling frequency (irregular time series)

Hi all and thank you for taking time to read this. When I read the general literature about dynamical time warping (and the vignette for the $\texttt{R}$ package $\texttt{dtw}$), the time series seem ...
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15 views

Representing Multiple Variables Measured at Multiple Independent Times

I'm attempting to find a good storage/data representation in "R" for a data set with a large number of variables, each of which is measured independently for a number of years but at irregular ...
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1answer
18 views

How to calculate correlation for 2 time series where the tick times do not line up

I'm looking to compute intraday correlation for 2 tick by tick intraday commodity price time series. The tick times do not line up across the 2 time series. I'm thinking of converting the time ...
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15 views

How to forecast a time-series with a dynamic time unit?

I'm working on a forecasting problem, and I'm not sure if the data requires any transformation because the unit of time is dynamic. I'm working with an education data set where I have data on ...
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Converting Annual Data into Biannual Frequency

I need to convert annual data into biannual, since most of my data have biannual frequency. However, some macroeconomic variables - like business environment quality or Herfindahl-Hirschman Index are ...
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1answer
30 views

How to check if a data is poisson sampled?

I was reading one article which develops a theory for the Poisson sampled data. That is the data is collected over time-points $\{T_k, k>1\}$, which are jump-moments of a homogeneous Poisson ...
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10 views

Is it Valid to Use Monthly values of one Timeseries to forecast daily values of a another Timeseries

I have a model with some macroeconomic variables that only have monthly values. I am building a dynamic regression/transfer function/ARIMAX model where the dependent variable is daily sales. Do I have ...
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1answer
49 views

How to model time series with unevenly spaced observations?

I have three time series of the following form: $T = T_{2000}, T_{2004}, T_{2008}, …$ $U = U_{1998}, U_{1999}, U_{2000}, U_{2001}, U_{2002}, U_{2003}, …$ $V = V_{1998}, V_{1999}, V_{2000}, V_{2001},...
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Classify time series with unequal lenghts [closed]

I have a set of time series sensor measurements (acceleration and gyroscope readings) for driving events (harsh acceleration, harsh brake …) with the type, start and end of each event. I need to ...
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38 views

Why ARMA models works on assumption of uniformly sampled time series?

I am dealing with irregularly spaced time series data. I have been reading papers how ARMA based approaches can be used for time series forecasting. However, ARMA assumes uniformly sampled time ...
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0answers
16 views

Smoothing with non-regular observations

If we have data that changes continuously in time, and we sample this data at regular intervals - i.e. we get samples $x_0$, $x_1$, $\dots$, where the time $\Delta t$ between taking samples $x_i$ and $...
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1answer
79 views

R: generalised additive model on proportional data

Introduction I am analysing temporal population data on the amphipod Orchestia gammarellus. At several moments each year, all animals were collected from a small spot, and several life history traits ...
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1answer
68 views

Machine Learning techniques for uneven series of events

I don't know the correct terminology and so long everything I typed into google lead me to some version of time series modeling where all time series had the same number of points in a given time ...
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1answer
102 views

Detecting leading stocks using lag correlation

I am working on a project to find leading stocks in a stock market by using lag correlation. Say I want to compare 2 stocks, X and Y, and I have the time series of stock prices. Assume that the time ...
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1answer
189 views

LSTM - random and always-different time between data measurements?

I am working with a time series problem where the time between two data measurements is random, and I am trying, without luck, to find an LSTM architecture that can handle this. A very simplified ...
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176 views

Calculating variance and standard deviation of continuous time series

I am trying to calculate the variance and standard deviation of an unevenly spaced continuous time series. Example data: ...
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1answer
178 views

Dealing with missing data in Time Series or non-constant time intervals for forecasting in R (ARIMA, Holt Winters, Theta)

I have a time series of sensor data from a machine. This machine is sometimes moved and thus there are big chunks of missing data, here is a plot of the data points: My goal is to try to start ...
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0answers
28 views

Comparing rates of change with unequal and unevenly spaced timepoints

I am trying to compare rates of change in my data and although the units of time are the same, some instances have more/less time points than others and the time points are not uniform. Is there some ...
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1answer
267 views

Time Series Classification with Varying Sampling Frequency

I'm new to signal processing and am wondering how to deal with a time-series classification problem when I have unequally spaced data. Skimming through recent literature, including The great time ...
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100 views

Tests of stationarity in irregularly (unevenly) spaced time series

I need to do check if my time series data is stationary or not. However, the data is so irregular that cannot be transformed into evenly spaced. Any suggestion?
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51 views

Recurrence Analysis for unevenly spaced time series

Recurrence Analysis requires even time sampling. Is there a workaround to apply this technique to unevenly spaced data?
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1answer
632 views

Moving Average for Unevenly Sampled Time Series

If a time series is unevenly spaced, the simple moving average is not the best option to smooth it out (the window will be larger or narrower depending on the time distance of the events within that ...
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0answers
23 views

What are some ways of modelling usage of a resource?

Currently working on modelling the number of people in a local gym. The gym has kept immaculate data on how many people are in the gym for the past year or so. They would like to make predictions of ...
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0answers
100 views

Extracting intervals out of an unevenly spaced time series

I am having a list of unevenly spaced data points - just occurrences, no values - and want to split them into intervals grouping occurrences, which are close together like so: Currently I am ...
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3answers
332 views

Is it possible to combine two time series with different frequencies for forecasting?

I have two macroeconomic time series with annual GDP growth rates for a given country. One series has annual frequency (year-on-year growth) and historical data from mid 1990s until 2012 (about 20 ...
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0answers
134 views

Changepoint detection in a single unevenly spaced time series

I have a single time series, unevenly spaced. I would like to perform change point detection on it. Does it mean a non-parametric method is needed? Any pointers to which method would be valid? Also, ...
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0answers
513 views

Cross-correlation of periodic time-series with uneven steps

Background I am seeking to understand the relationship between measured height of certain objects and tides. I have a tide gauge that measures tide height every 2 seconds and a number of other height ...
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1answer
195 views

Are there recommended methods for interpolating sparse time series?

I'm using sparse in a specific (but perhaps incorrect) way. Shown below is a time series of prices ...
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0answers
136 views

How to perform analysis of non-stationary and unevenly spaced time series?

It is very easy to apply ACF (autocorrelation function) to time series in order to investigate the similarity between observations as a function of the time lag between them. However, ACF only works ...
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0answers
619 views

Predicting multivariate uneven time series of discrete/categorical data

I have a basic background in stats, DSP, ML etc. but by no means an expert so some of my terminology is going to be rusty. It probably makes the most sense if I simply show you what i wanted to do and ...
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0answers
325 views

Comparing unevenly spaced time series

I have multiple sets of time series data. However, the spacing of observation times is not constant within a time series itself, nor is it consistent between different time series. For example, ...
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2answers
326 views

Fourier Transform on varied time data

So... no clue where I should be asking this question but I'm hoping someone here can at least point me in the right direction. I have a time series that I would like to do spectral analysis on but I ...
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1answer
2k views

Variance and autocorrelation with missing and/or unevenly spaced data in time series

This question concerns the general problem of working with data that might have missing and/or unevenly spaced values. Let’s call this real data. Specifically I am calculating rolling variance and ...
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1answer
566 views

Need to extrapolate missing monthly data from annual data; the monthly/seasonal index is reasonably well-known

I have a revenue dataset for various businesses. For about half of those businesses, monthly data is available. For the other half, only annual revenue data is present. I know the seasonality of the ...
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0answers
38 views

ANOVA on unevenly spaced time data

I have a dataset with three treatments (P+, P- and T) and want to test the effect of the treatment on the mortality (continuous variable). Data are unevenly spaced in time. I decided to handel this by ...
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1answer
441 views

Test autocorrelation in irregularly(unevenly) spaced time series

I have a dataset that includes observations at different time points. There are multiple observations at the same time points and the time points are not evenly spaced. Now, I would like to test ...
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4answers
4k views

Dynamic Time Warping for irregular time series

I have been reading a lot about Dynamic Time Warping (DTW) lately. I am very surprised that there is no literature at all on the application of DTW to irregular time series, or at least I could not ...
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0answers
47 views

Signal processing techniques for unevenly spaced and repeated measures series

I am considering using signal processing techniques to find the minimum on a noisy 1D response line. More specifically I have a simulation that requires one parameter, but also includes randomness, ...
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345 views

What is the best approach for a set of data that is irregular and uneven

I have a dataset with 975 observations from 112 different categories. The timespan of this dataset is 18 years. However, the data is unevenly spaced and even acquired: While some categories have only ...
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2answers
570 views

Specifying the correlation structure of an unevely spaced time series in GEE with geepack

I have counts of plants from different sites over a number of years. In each census year, all sites were surveyed, but the gaps between census years vary (between 1 and 4 years between consecutive ...
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1answer
160 views

Interpolation of spectra: uneven sampling to even sampling

I have a spectrum. Specifically, my data is relative intensity $[I_{\tilde{\nu}}]$ versus wavenumbers $[\tilde{\nu}]$. The wavenumbers are equally sampled so that ${d\tilde{\nu}} = c$, where $c$ is ...
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0answers
644 views

Outlier detection of an unevenly spaced time series

I found the Rob H answer to this question very interesting and works pretty well. However, I also would like to apply this methodology to an unevenly spaced time series like the following: ...
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1answer
1k views

Unevenly sampled data and the Lomb-Scargle method

I managed to estimate the periodogram of unevenly sampled data using the Lomb-Scargle Method. Analyzing the frequency domain it would be interesting to filter out a frequency band and then apply IFFT ...
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1answer
118 views

Need help with converting or analyzing uneven time intervals

I have next to no idea what I'm doing. I have unevenly sampled poll data over an 11 year time period and a database of events. I wish to show whether or not increases in the number of these events ...
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1answer
1k views

Where to start: Unevenly spaced time series, with lots of outliers or randomness

I don't really know what's possible, and would like a pointer in the right direction. I have measurements of time and position which could be anything from a person walking, a vehicle on a road, or ...
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8answers
14k views

Is there any gold standard for modeling irregularly spaced time series?

In field of economics (I think) we have ARIMA and GARCH for regularly spaced time series and Poisson, Hawkes for modeling point processes, so how about attempts for modeling irregularly (unevenly) ...
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2answers
2k views

Highly irregular time series

I have data for the population of a number of different fish, sampled over a period of about 5 years, but in a very irregular pattern. Sometimes there are months between samples, sometimes there are ...
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1answer
735 views

Data mining algorithm suggestion

I would like to use data mining to try to find a good workout schemes. The input dataset will contain the parameters of a set of workouts with dates and different performance and medical measures. The ...