8.827 time-series questions.

...

1 Forecasting adjustment factor in the gas consumption formula supplied by industry

1 answers, 17 views regression time-series forecasting arima
I am trying to model gas consumption in France. The industry publishes a formula to use for this. A simplified version looks like this consumption = K * f(x), where ...

5 How to fit an autoregressive (AR(1)) model with trend and/or seasonality to a time series?

I want to test a model I have on a time series. The model is that the time series adapts to a trend $f(t)$ with a speed $\alpha$. There is also noise in the model. So, the time series is a function ...

1 Rolling Window Forecasting with ARIMAX while supplying actual values

I am comparing different exogenous variables in how good they support the forecast of the monthly seasonal adjusted unemployment rate. All my data is monthly (2006-01-01 until 2018-09-01) and ...

State-space model with contemporaneous effects

I have the following system of equations: \begin{align} y_t^{(1)}&=y_t^{(2)}-x_t+\epsilon_t\\ y_t^{(2)}&=x_t+\nu_t\\ x_t&=\alpha x_{t-1}+u_t \end{align} where $y_t^{(1)}, y_t^{(2)}$ ...

Usage of findfrequency() in time series prediction

0 answers, 9 views r time-series forecasting seasonality
Consider a case where I have a time series data but no information about what the data is about and its frequency. Now I use findfrequency() function of forecast ...

4 Determine best ARIMA model with AICc and RMSE

2 answers, 647 views time-series forecasting arima aic rms
I have done a training set to fit different ARIMA models and then a test set to assess their performance (with R). From what I understood, I can use the AICc to determine the best model by choosing ...

5 Ljung-Box always significant for ARIMA models - what now?

1 answers, 834 views r time-series arima acf-pacf
Sorry in advance if this is too basic of a question - I've been struggling with this data set for almost a month and feel like I'm going in circles, and the more I Google the more confused I get. I ...

Engle-Granger cointegration testing with a structural break

I have two series of daily close prices for UN and UL from 01/02/2002 to 12/31/2002. Both are for Unilever Co. When I conduct the Engle-Granger cointegration test, the MacKinnon $p$-value is high, ...

1 BSTS Model Co Efficients Change in different iterations in R

0 answers, 5 views r time-series
I have developed a time series model using BSTS package in R and set the seed to some constant value. When I rerun the model after few days using the same training data, the model coefficients are ...

4 What to do if time series are non-stationary?

2 answers, 57 views time-series stationarity garch acf-pacf
Data: I have a time series data of 2528 daily observations for OMXS.30 (Stokholm) closing price. The aim is to fit proper ARCH/GARCH models and use for forecast daily Value at Risk. Here is a plot of ...

2 Stambaugh bias definition

How would you go about explaining "Stambaugh Bias" in simple relatively non-technical language?

What is Gamma model?

Recently I saw a person's resume online and it is said he used ARMA and Gamma model to analyze time-series pattern of bond market volatility.I know what ARMA model and Gamma distribution is but not ...

1 Frequency parameter of ts() and findfrequency() in R

1 answers, 27 views r time-series forecasting
Is the result obtained in findfrequency() function of forecast package and the frequency parameter of ts() the same?

1 How do I replicate these simple state space models from Commandeur's book in Stata? [on hold]

2 answers, 894 views time-series stata state-space-models
I'm working through the book An introduction to state space time series analysis by Commandeur and Koopman, and I want to replicate a few of the simple models in Stata 13.1. The two related models I'm ...

-1 What if data is not stationary in time series? [on hold]

0 answers, 17 views r time-series predictive-models
I'm in the beginning of learning about time series and what i just cant grasp right now is what to do if my data is not stationary. Any ideas?

1 Stationarity restriction of a TGARCH process?

What is the stationarity/convergence restriction for a threshold heteroskedastic model, TGARCH, process? I know that for a GARCH model: $\alpha+\beta<1$, but I'm guessing it's not that simple for ...

6 Choice of time-series model for store sales prediction

I have a data set of weekly sales for a range of stores (all belonging to one company). I am trying to predict weekly/monthly use of several ingredients in the individual stores. The choice for what ...

Is clustering subsequences of time-series still meaningless with unsupervised learning?

In the paper "Clustering of Time Series Subsequences Is Meaningless" Keoh et al. claim that breaking a time-series into chunks (sometimes called lags) of fixed-size using the rolling window method ...

4 How can I form ARIMA equation given MA and AR terms

1 answers, 1.261 views time-series arima sas

4 Coding resources: Accessible introductions to Bayesian Structural Time series?

Hello, all. I am asking this question in not necessarily a "subjectively recommend something for me" approach, but with a clear focus on just an accessible beginner's reference. My situation is I have ...

Determine if AR(p) model is causal stationary or invertible

I was going through these problems and think I figured out most of them both, but am having some troubles at one of the last steps. The question is for each of the following models: Express them ...

Proper statistical method for comparing two annual time series of different measurements on same area

0 answers, 9 views r time-series correlation paired-data
Lets say I have two annual time series - one is in-situ measured Sulphur input to given watershed and the second one is some index (number) acquired via remote sensing (satellite images) over the same ...