Questions on sequences where adjacent samples are time-correlated, making the data suitable for modeling the behavior of the sampled system.
Questions tagged [time-series]
332 questions
17
votes
1 answer
EventSeries v. TimeSeries
I have what technically should be an event series, spike times of a neuron. Here's a subset of the spiking data -
st = {2.60661, 4.39836, 5.01687, 6.09621, 6.62883, 6.93686, 7.31116, 8.14444, 8.56538, 9.11395}
If I whip this into a TimeSeries then…
flip
- 1,800
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12
votes
1 answer
Can TemporalData be used as a container for TimeSeries and TimeSeries Metadata
When I create two TimeSeries with some MetaInformation I can combine them into one TemporalData object. But I lose the MetaInformation for the TimeSeries objects.
ts1 = TimeSeries[{{1, 2}, {2, 5}, {3, 7}, {4, 3}}, MetaInformation -> {"signaalnaam"…
Dick Barends
- 153
- 6
8
votes
2 answers
Getting the date on which an event in a time-series (e.g., the minimum value) occurs
I want to get the time in a time series that a particular event (e.g., the minimum value) occurs. The approach I take below seems clumsy. Is there a better way?
ts = TimeSeries[FinancialData["GE", "Jan. 1, 2007"]];
DateListPlot[ts]
6.66 =…
George Wolfe
- 5,462
- 21
- 43
7
votes
1 answer
TimeSeries for non-temporal data
Mathematica introduced TemporalData in Mathematica 9. Mathematica 10 added several fantastic new TimeSeries manipulation tools -- tools that would come in handy for non-temporal data.
For example, I would love to use Resampling, MovingAverage,…
Jeffrey Kuhn
- 71
- 1
7
votes
4 answers
Stationarity tests
I have the Time Series package and Mathematica 8.
In the package, there is the function 'StationaryQ' to test the stationarity of a known model. Is there any function in Mathematica to test the stationarity of a given list of data?
Emanuele
- 173
- 4
7
votes
4 answers
Function to calculate and plot sample variogram
I'm trying to create a function that calculates and plots the sample variogram for a time series. It should take two arguments: data, a time series, essentially a list of reals; k, an integer greater than 0. It should produce a ListLinePlot with $k$…
Mr Alpha
- 3,156
- 2
- 24
- 33
7
votes
2 answers
Why TimeSeries forecasts the future value poorly?
On a bank account there are many recurring entrance and expenses.
I've managed to import some sample data and to plot it.
I can see that there is a quite clear recurring trend (one wage is coming on 22 of the month and another on 27th of every…
Revious
- 540
- 2
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6
votes
2 answers
Expanding window map for time series
Given a TimeSeries object ts, how do I implement ExpandingMap similar to MovingMap, where the window is not moving but expanding. In pseudocode,
tsNew[tf] = f[TimeSeriesWindow[ts,{t0,tf}]],
where t0=Min[ts["FirstTimes"]].
For example, the function…
freevillage
- 167
- 3
6
votes
1 answer
Why can't I make a TimeSeriesForecast with a GARCH model?
I am playing with TimeSeriesForecast and I find that it invariably forecasts 0 for GARCH models. It is possible that I am misunderstanding TimeSeriesForecast, or that I am misunderstanding GARCH models and I would appreciate any guidance.
Take as an…
Michael Stern
- 4,695
- 1
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5
votes
1 answer
Time Series Analysis - How does it Difference?
In languages other than Mathematica (especially R) if you want to do any time series analysis, you must always difference the series according to some feature of the series in order to satisfy at least weak stationarity. This is especially relevant…
Tom Hayden
- 411
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5
votes
0 answers
Implementation of the Vector Autoregressive Model
I need to code/write a Vector Autoregressive Model VAR(p) as a function of the parameters. There is no estimation, nor Data involved, this is a "population" exercise:
Assume X and Y are univariate, scalar random variables. I need to write the two…
DDSY
- 53
- 4
5
votes
1 answer
Autoregressive distributed lag model
Could someone point me in the direction of creating an autoregressive distributed lag model in mathematica?
ALEXANDER
- 1,219
- 8
- 21
5
votes
1 answer
How do I make a TimeSeriesDrop[] function, similar to TimeSeriesInsert[]?
From the documentation, TimeSeriesInsert[ts, {"January 1st, 2013", 900}] is clean and easy. How to I make a TimeSeriesDrop function, e.g. TimeSeriesDrop[ts, {"January 1st, 2013"}]?
George Wolfe
- 5,462
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5
votes
1 answer
Change an observation in a TimeSeries
What is the proper way to change one observation in a TimeSeries object?
Let's say there a time series:
ts = TimeSeries[Transpose[{Range[10], RandomReal[{0, 1}, 10]}]]
Now, I need to alter the 2nd observation to some value like 3.
ts[2] =…
iav
- 2,006
- 17
- 26
5
votes
0 answers
Time series ARIMA with exogenous variables
Anyone know if the ARIMAProcess or TimeSeriesModelFit will handle exogenous variables? The closest question in Mathematica StackExchange is ARMAX in Mathematica but no one has responded to this question. If someone does know, responding with a…
user39464
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