# time-series's questions - English 1answer

8.406 time-series questions.

### Checking for a delayed effect

0 answers, 4 views time-series correlation lags
I am examining the relationship between rides on a subway and temperature. How can one calculate a correlation with a delay? For example, I want to see if rides increase after an increase in ...

### 2 What number of lags for multivariate Portmanteau, Breusch-Godfrey, and Ljung-Box tests?

1 answers, 289 views r time-series autocorrelation var lags
There are 3 types of tests for the residual autocorrelations here (I have a relatively small sample(58 obs): ...

### What is the difference between linear and non-linear time series?

1 answers, 22 views time-series
What do they look like? Is the definition of linearity in time series the same as the linearity in linear regression?

### 3 Dealing with natural break points in timeseries

1 answers, 36 views time-series feature-construction
Assume I have date-related data with some periodicity such as used for weather or sales forecasts. From this data I extract features such as calenderweek and keep those numerical, since week 2 is ...

### Concurrent Time Series

I have a 3D spatial region of size X, Y & Z where each pixel (or voxel) in location $x$,$y$,$z$ has a time series of size $T\times 1$. Time series are highly (cross-)correlated with one another ...

### Time series learning on process [on hold]

I have time series data that represent a process. The process begins at time 0 and finishes after 400 sec. I have 30 features that I am sampling during the process. I repeat this process many times, ...

### 1 Survey about best Anomaly Detection approach on temporal data

I am asking this with the hope this question can be helpful for me, and for others in my same situation. I am working for a Company. We mounted some sensors on an industial machine, in order to get ...

### How to define confidence interval for Reduced chi-square test

I have observed data and predicated data from different models.I did the reduced chi-square test between the observed and model data using the below equation reduced chi-square = sum{(obs-model)^2/...

### 3 Identifying lagged effects / Distributed Lag Model

I would like to create a linear distributed lag model in order to do some forecast and also being able to interpret the results. Unfortunately I'm a bit confused with the process I should follow....

### Multiplicative decomposition for DECREASING level of seasonality?

0 answers, 24 views r time-series seasonality
I am performing data exploration on commodity futures volatility. I am using data that supports Samuelson's hypothesis that futures contracts expiring in the nearer term have a higher volatility. ...

### 2 Interpreting the Dickey Fuller test

I can't seem to make sense of the following results. The time-series looks more non-stationary than stationary, and when I fit an ARMA(1, 0, 0) it estimates the AR(1) term to be very close to unity (0....

### How to fit an Autoregression model in Spark? [on hold]

1 answers, 179 views time-series autoregressive spark-mllib
I'm having a look at the implementation of Autoregression model in Scala https://github.com/sryza/spark-timeseries/blob/master/src/main/scala/com/cloudera/sparkts/models/Autoregression.scala Now if I ...

### 12 First steps learning to predict financial timeseries using machine learning

I am trying to get a grasp on how to use machine learning to predict financial timeseries 1 or more steps into the future. I have a financial timeseries with some descriptive data and I would like to ...

### 1 LSTM time series forecasting accuracy

So, I'm trying to perform time series forcasting using Keras. So far I get an accuracy of about 45%, and I'd like to know what I could try to improve that. I've read through quite some LSTM examples ...

### 5 What is the intuition behind second order differencing?

2 answers, 36 views time-series stationarity
Sometimes a time serie may need to be differenced to be made stationary. However I don't understand how second order differencing can help to make it stationary when first-order differencing is not ...

### how can I focus the log rank test in a selected period of time of follow up?

2 answers, 293 views r time-series survival kaplan-meier logrank
I am using R survdiff (survival package). I would like to focus the analysis on the first 2 years of my survival curve (that is actually much longer, but with few cases in the long term and with ...

### unsupervised Time series anomaly detection

I have 3D printer that working exactly 400 second for printing element X [0-400]. The printer produce 30 signals (features like VOLT,X,Y,Z,TEMP etc') in frequency of 50HZ (every sample 0.02 ms) ,for ...

### How to find minimum set of variables maximally contributing towards AoC

0 answers, 10 views time-series eda
While analysing dummy data for TV shows viewed by user I came up with this graph where I can clearly spot peak hours. As a next step I would like to know "set of ...

### 1 Arima forecast giving straight line

1 answers, 633 views time-series forecasting arima
Why is it giving me a straight line whereas we can see that there is a pattern? Please tell me what I am doing wrong. I have build this model in python using statsmodel library. I want the forecast ...

### How can I modify BFAST technique using R package? [on hold]

0 answers, 6 views time-series
How do I modify BFAST technique in R package?

### 2 forecasting multivariate time series (with categorical variables) in R

I want to forecast future(next 20 days) sales with sample dataset. This is just a sample data and the actual data is from Jan 2014 to Dec 2016. As you can see, sales tend to increase as time goes by, ...

### 2 auto.arima “no suitable ARIMA model found” for measuring dependency between debt and GDP

1 answers, 643 views r time-series arima
In my studies I've been working recently on dependency between debt and GDP growth in USA from 1966 to 2015. I used logged and differenciated GDP time series data and combined it with 0/1 debt-to-GDP ...

### 3 VAR for Non Stationary series using R

Are there any suggested approaches for using non-stationary series in a VAR model? As per otexts.org: If the series are non-stationary we take differences to make them stationary and then we fit a ...

### Real-Time signal processing with RandomForestClassifier in sklearn always predicts one class

I am trying to perform real-time decision making on data from a radar sensor and trying to detect occupancy. I generated data using the same sensor annotated it manually as vacant or occupied. I ...

### 1 How can i start learning about using neural networks for time series analysis and forecasting? [duplicate]

1 answers, 77 views time-series neural-networks
I am planning to use neural networks for time series analysis and forecasting and i was looking for a reference or any textbook i can use for that purpose. It would be great if it has practical R or ...

### 20 Convolutional neural network for time series?

I would like to know if there exists a code to train a convolutional neural net to do time-series classification. I have seen some recent papers (http://www.fer.unizg.hr/_download/repository/KDI-...

### 1 Lag between Forecast and Actual Value

I am using a RandomForest to forecast the power in a wind turbine. The results are improving, but i'm getting a slight "lag" between the forecast and the value itself. Is there any way to correct this?...

### 4 ARIMA, adjustments and intervention analysis

I have very little knowledge of time-series analysis (despite my stat master - didn't do anything else than an introductory course) but now I'm facing a statistical problem whose answer is this very ...

### 1 How to make statsmodels treat timeseries values as continuous? [on hold]

This is basically a copy of the stackoverflow question here, which never received an adequate answer. The problem is that the Python's statsmodels package insists ...

### 1 Check for stationarity of a time series and check Granger causality test

I am new to time series analysis and related statistical tools. I am struggling with a time series for more than a week. I tried to check the Granger causality for the below data. ...

### 1 ACF indicates non-stationarity but but time series plot looks stationary

I am trying to choose the correct ARIMA model. To get a stationary series on which to plot the ACF and PACF on I've done the following transformations on my original series: natural log 1st non-...

### 11 AIC versus cross validation in time series: the small sample case

I am interested in model selection in a time series setting. For concreteness, suppose I want to select an ARMA model from a pool of ARMA models with different lag orders. The ultimate intent is ...

### Best way to store timeseries data using R [on hold]

0 answers, 17 views time-series panel-data
I searched around, but I haven't found a good answer yet. I work a lot with vibration data, which I analyse and (after the analysis) extract features to model etc. I have data where a single ...

### Time series analysis of histogram data [on hold]

Question : Analyze and correlate timeseries data which are already binned for every minute (Consider data sources that are stored or used to visualize in tools like Grafana). Background : Systems log ...

### 1 Time Series: use of Box-Cox to reduce the “noise”

I am researching the best method to use with time series. FBprophet (Python) seems like a strong option. To prepare time series for Prophet I am thinking about using boxcox and inv_boxcox at the end ...

### Why xts object produced bad forecasted values in comparision to ts object in R

0 answers, 18 views r time-series forecasting
For the testing purpose, I have created two time series object with same frequency (frequency=12) using xts() and ts() from the ...

### Forecasting turnover on retail industries with time series

0 answers, 11 views time-series forecasting
I'm working on a project of forecasting turnover on retail industrie. I have the turnover of different products for a 2 years period of time My final goal is to forecast a global turnover with and ...

### comparing time-series variability

0 answers, 20 views time-series variability
I have consecutive measurements of two different phenomena (x and y) on the same subject, giving me a collection of time-series x_ik(t) and y_ik(t), where i is the i-th measurement and k is the k-th ...

### 3 Maximum Likeilhood estimate of shape parameter of GPD is negative, even though exceedances are positively skewed

I am looking at fitting a Generalized Pareto Distribution (GPD) to extreme events which exceed a certain value threshold for Bilbao waves data. Selecting threshold at c=7.5, resulting in 154 ...

### 4 Expecations calculation question (regarding the autocovariance sequence of the square of a zero-mean stationary proces)

I have a zero-mean stationary (weak) process ${X_t}$ (meaning $\operatorname{cov}(X_t,X_{t+\tau})$ is a function of $|\tau|$ only for all $t$) and from it we get $Y_t$ such that $Y_t = X^2_t$ . In ...

### Weekly and Monthly Decomposition of Daily Time Series

1 answers, 348 views time-series decomposition
I have a data set including daily prices and demand of a commodity. I am sure that, price and demand weekly and monthly changing. So it has a seasonality effect. How can I decompose it by using daily ...

### 2 Convolutional neural network for multi-variate time series?

I want to use CNN architectures for classification of multivariate time-series, where we apply one label to each sequence. I searched the net for the available designs in the literature and i found ...

### 3 Proof of variance of stationary time series

Suppose that $\{X_t\}$ is a weakly stationary time series with mean $\mu = 0$ and a covariance function $\gamma(h)$, $h \geq 0$, $\mathrm{E}[X_t] = \mu = 0$ and \$\gamma(h)= \operatorname{Cov}\left(...

### Seasonal time series prediction formula

1 answers, 44 views time-series
I've got this prediction problem for daily data across several years. My data has both yearly and weekly seasonality. It's also stationary. I tried using the following recurrence:(which I just came ...

### How to run seasonality analysis on a subset data

0 answers, 9 views r time-series seasonality
Data set: multiple product sale volumes by month (product A, B, C, D, E) I want to analyze the data and find out the seasonality component for each product relative to each other (for example ...

### Is cross-correlation valid for time-series such as these (with trends)?

0 answers, 12 views time-series cross-correlation
I have lots of pairs of timeseries e.g.: I am trying to get an idea of how correlated they are (the black fit lines rather than the data themselves). I thought that one way to do this would be to ...

### 2 R: how to find cluster centroids with tsclust?

I have a time-series dataset and I am required to find similar clusters in the data. Based on my current knowledge and the requirements of my application, I used ...

### 1 StatisticLaw behind air traffic demand

I am performing linear regression in order to see the relationship between Air traffic demand, GDP per capita and fares of ticket. I am interesting in getting elasticities therefore, I used the ...

### 2 Time Series Forecast - Complex seasonality

2 answers, 58 views time-series seasonality accuracy
I have a daily time series that I am having issues forecasting accurately.The time series is stationary and it looks I have tried ARIMA(3,1,1),(0,1,1)- 7 Period, auto.arima(D=1), Holt-Winters, nnetar,...

### 3 Fisher information for models that are not one-to-one

When a parameterized data model and corresponding pdf are known, the Cramér-Rao lower bound provides an lower bound for the variance of an estimator of one of the parameters. That is, given the data ...