time series analysis

  1. Y

    Variance ratio and Hurst exponent tests

    Hi, I have used the Chow Denning test and the Hurst exponent (Peng, Whittle and R/S methods) to examine if a particular time series follows a random walk. My results are conflicting between the 2 tests. From what I can fathom, the Hurst exponent does account for multiple variances (although I...
  2. E

    Descriptive statistics on dummy variables in financial time series

    I got daily returns for the last 15 years. I would like to find the the descriptive statistics(mean,Stdev,skewness, kurtosis) impact on last Thursday of every month. I have created a dummy variable to reflect the same. How to find the descriptive statistics only for those days alone?
  3. U

    How to run a lagged (time series?) model in R?

    Hi there, I am wanting to run a lagged model where a predictor (X) at T1 is regressed on an outcome (Y) at T2, controlling for Y at T1 plus 2 covariates at T1, over a total of 20 time points (so as to test whether X causes Y). I could use a cross-lagged SEM in Lavaan, but most papers I've...
  4. T

    Time series Analysis : Vector autoregression in R

    I am finding relation between two time series M & M1. M and M1 both found to be stationary at first difference and also cointegrated at first difference. Using VARselect in R,I found out 4 as lag length for M and 6 as lag length for M1. Then I have tested for Granger and I got ...
  5. T

    VECM interpretation - Johansen-Procedure

    X1 , X2 , X3 and X4 are time series which are stationary at level.I want to establish long term relation between them.I am planning to use it as forecasting model for my work.I want to create this model in terms of equation.I have tested all of them for KPSS test and got p=0.01 for all of...
  6. T

    How to find correlation coefficients for periodic data?

    Please help: Correlation coefficients for periodic data? I am working on a hedging model for commodity.I have past 36 months data of commodity market price and future contracts price. e.g. on 1st April,2014, market price is x,April contract price = x+1,May contract price = x+2 and June...
  7. N

    rollapply with Arima model: testing for stability of coefficients

    Hi everyone, I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the following problems: 1) each window in the roll apply have different set of...
  8. R

    Reading/converting time series in R

    Hi, I am relatively new to R and struggling with a probably trivial task. My challenge: I want to forecast hourly Power prices. And this is already where the dilemma starts as I am not sure how to tackle this best. Since there is an obvious weekly cycle (ie Power Prices much lower on weekends)...
  9. I

    Time Series Analysis Threshold Value

    I have time-series data for 0 min, 5 min, 10 min, etc. for 5000 genes. (Gene expression). I want to set a threshold value to eliminate reads that are just "noise," so that they do not contribute too much to the fold-increases/decreases that I am trying to analyze. What is a good way to...
  10. M

    Testing when one year's sales volumes vary significantly from this time last year

    Hi all, I have a puzzle regarding sales volumes and how to know whether, 6-months into the year, for example, my current volume is on track for budget or not. E.g. it might be -5% off where I need to be to be matching a profile based on last years figures but scaled to hit my target for this...
  11. M

    Symbolic Regression applied to multiple time series - risk of spurious regression?

    Hello together, I want to build a predictive model for sales data, and herefore I want to analyze sales data and its correlations with other time series using Symbolic Regression (Eureqa: nutonian.com). In traditional multivariate time series analysis (e.g. VAR models) there is the risk...
  12. H

    Date variable for Time Series Modeler

    Hi, I have a huge table of DAILY data for 20 years. I have variable of type date, which indicates each day of my data. So i want to use it for Time series forecasting. But it s not recognized as date and I\m forced to define dates. This doesn't help, because thus I cannot use by Date variable...
  13. M

    Intervention Analysis with several different events with Eviews

    I have a daily data of visitors and 3 different events ( exhibition, article, tv). I would like to determine how those events impact visitors flow. Several continue for some days and few have pretty short intervals between, 2-3-4. Graphically, events don't have longer impacts, they look more...
  14. M

    Time series analysis with external events in R

    I have a time series of daily website visitors and several different marketing events (some continuous for several days). I would like to determine what impact did those marketing events have on website visitors dynamics. What approach would you suggest in terms of analysis ? I'm working with R...
  15. E

    Time series degree of slope: Calculating what I see

    Good morning Crew Genius! I want to calculate the degree of slope at each point in a time series. Different time series have different scales. The final number should be normalized in the range of +/-90 degrees. Basically, when I plot my time series in Excel, I can see the degree of slope up...
  16. T

    Sample size sensitivity in time series regression analysis

    I have a time series that I've built a regression on, say Y = X + Y. For a data set of size 300, the coefficients of X and Y are statistically significant. But, the coefficients are not statistically significant for a (sequential) subset of the dataset of, say, 150 points. Now, since the...
  17. L

    Time series analysis of causes of congestion

    Hello, I have tried to find a post on the forum which covers this topic so apologies if this question has already been answered. I am wanting to do a time series analysis on the relationship of 2 sets of data. The first set of data consists of 10 different road performance variables...
  18. D

    Is a time series model the most appropriate to answer my questions

    I would like to know if I should analyze my data using a time series model (ARMA,...). Context: I want to test a detailed language grid-analysis that I have developed to analysis verbal communication between 2 individuals. The topic of the conversation is predefined and the interlocutor is...
  19. B

    [MATLAB] - Correlation between time series (in MATLAB)

    hello everyone, I have two vectors and I want to test their correlation at multiple leads/lags. One of the vectors is continuous, the other patched with NaN values/ gaps. I use MATLAB and the correlation functions in there (xcorr and corrcoeff) mess up with NaNs. If I cut out all the years...
  20. N

    ACF plot in Non Stationary Time Sereis

    Hello Folks I know that in non-stationary time series, the Auto Correlation Function plot dies down extremely slowly while if the series is stationary, ACF cuts off or dies down fairly quickly. I want to know the statistical reason behind this. Why does ACF die down slowly if the series is not...