time series analysis

  1. C

    Linear regression, predictor contains same components as depedent variable

    I came across this model: y(t) = f (y(t-1), X) where y ia a centered 3-month average, for example, for aug'12, y=average of Jul, Aug and Sep average. X is other predictor. This model is fitted on monthly data. As you can see, dependnet variable y(t) has two months overlap with predictor...
  2. A

    calculate portfolio of varying size based on past returns

    Dear all! First of all I would like to note that I am not trying to get someone to do the work for me. This is intended to be a feasibility question (i.e. I would like to know if it can be done and if so, where can I find more information on how to achieve it). So, here's what I would like...
  3. K

    stl function in Splus version 8

    Has anyone used the stl function in a recent version of SPLUS? The function 'stl' requires an object of class 'time.series', which has been modified and renamed 'timeSeries' since the function was written. New versions of SPLUS do not recognise the old class time.series. I have tried...
  4. D

    Time series analysis to test a system:This seems too simple. Have I missed something?

    I wish to test whether or not Performance Measurement Frameworks (PMFs) may be influencing future values of the variable being monitored. I may be missing something, but it seems to me that there is little point in differencing a time series (to make it stationary, or at least remove the trend)...
  5. D

    Can I use an ACF to test for a feedback control system?

    The broader question is: How can I test whether a variable is feeding back in a system, to influence future values of itself? The application is in a control system: Specifically a performance measurement framework (PMF), where managers monitor measures in monthly reports, in order to keep the...
  6. M

    time series help!!!

    Hi, I've been asked to model some time series data, and decide on an ARIMA model that fits the data. The ACF function is here: Lag ACF T LBQ 1 0.586150 4.69 23.04 2 0.408311 2.51 34.39 3 0.329731 1.86 41.92 4 0.273238 1.46 47.18 5 0.202848 1.05...
  7. V

    Non-linear time series analysis

    I´m looking for help to anlyse in R (or SAS) a non-linear time series dataset. I worked with six cows during three days and registered urine events of each cow during each day. I have 4 to 12 events for each cow and day that are non-equally spaced in time. I want to know if I have an...
  8. Y

    Correlation Over Time

    Hello, I have data regarding the number of blood cells, and the number of a certain protein associated with blood cells, from 15 blood samples at different times. At time 1, I have one blood sample each from 15 subjects, with a measurement of blood cells as well as a measurement of the...
  9. L

    Impulse Response Functions

    I have obtained point estimates for impulse response functions. How can I tell if it's values are significant?