Hello everybody, I have high frequency commodity price data that I need to analyze. My objective is to not assume any seasonal component and just identify a trend. Here is where I run into problems with R. There are two main functions that I know of to analyze this time series: decompose() and stl(). The problem is that they both take a ...
I need to use a function on a vector that does not take a ts object. I'm trying to convert it to a plain old vector but I just can't seem to figure it out. I googled around but mostly people are trying to convert data types into ts object. I want to go the other way. Any help would be appreciated. ...
I am trying to explain to myself the forecasting result from applying an ARIMA model to a time-series dataset. The data is from the M1-Competition, the series is MNB65. For quick reference, I have a google doc spreadsheet with the data. I am trying to fit the data to an ARIMA(1,0,0) model and get the forecasts. I am using R. Here are som...
Hi All I would like to handle time series in python. I have been suggested to use scikit.timeseries but I need to handle up to microseconds and this last, as far as I know, handles up to milliseconds. Do you know any other library able to do that? At some point I need to merge 2 time series sampled at different time, and I would like...
Hey i am trying to calculate a cosinor analysis in statistica but am at a loss as to how to do so. I need to calculate the MESOR, AMPLITUDE, and ACROPHASE of ciracadian rhythm data. http://www.wepapers.com/Papers/73565/Cosinor_analysis_of_accident_risk_using__SPSS%27s_regression_procedures.ppt there is a link that shows how to do it, t...
Hi, I am just starting on R - and have hit a bit of a deadlock with some time series data. I have a time series (date and value) in 'zoo' format, that I want to annotate with a cross when an event occurs. The events are irregular and in a csv format (just the dates, sometimes repeated). I've managed to read in the dates etc into a for...
I have data that looks like this: > head(data) groupname ob_time dist.mean dist.sd dur.mean dur.sd ct.mean ct.sd 1 rowA 0.3 61.67500 39.76515 43.67500 26.35027 8.666667 11.29226 2 rowA 60.0 45.49167 38.30301 37.58333 27.98207 8.750000 12.46176 3 rowA 120.0 50.22500 ...
Hey, I would like to write a code involving automatic selection of a best composite model using ETS as well as autoregressive models. What is the criteria I should base my selection on? Also if I'm using the auto.arima function for deducing number of AR terms and corresponding coefficients from the forecast package in R, does my input ...
Good morning, My question saga continues about R. I have been working on large datasets lately (more than 400 thousands lines). So far, I have been using XTS format, which worked fine for "small" datasets of a few tenth of thousands elements. Now that the project grows, R simply crashes when retrieving the data for the database and p...
Hi there, I have the following problem: I have a time-series with more than 10000 entries and I want to perform some calculations with each of them. This alone wouldn't be a problem, but I need to get the last calculated value in order to get the next one. A very simple form of what I need would look like this: Val(n) = Val(n-1) + (tim...
Hello, I'm looking for suggestions/examples of tools or APIs that enable the mapping of large amounts of time series data into an intensity map. The data includes dimensions for country, series, and year. Here's an example http://spreadsheets.google.com/ccc?key=t9ZwziZAgy768ZTXDEg8Maw&authkey=CPn0pdoH&hl=en_GB&ui=1 ...
Hi there, I would like to implement similarity search in matlab. I wanna to know is it possible ? My plan is to do use 2 popular similarity measurement which are Euclidean Distance and Dynamic Time Warping. Both of these will be applied on time series dataset. My question at this point is how can I evaluate both of these two measurem...
I used ARX function then RESID function from the System Identification Toolbox, but the resulting residuals are: 0 0 0 5 6 8 7 8 the number of zeros=the number of lags, I need a complete vector of residuals ...
I'm creating a time-series object with new variables using the transform() function in R and cannot find the proper function to calculate the difference in variable C between today and yesterday. This is what I've got so far: O H L C Typical Range 2010-07-23 1092.17 1103.73 1087.88 1102.66 1098.090 ...
What is the difference between similarity measurement in time series and similarity search in time series ? I am abit confused with these two terms. to my understanding. Similarity search is the process of obtaining similar time series using similarity measure such as euclidean distance, DTW, EDR, EDP and etc. Then what is similarity...
I am working with a large amount of time series. These time series are basically network measurements coming every 10 minutes, and some of them are periodic (i.e. the bandwidth), while some other aren't (i.e. the amount of routing traffic). I would like a simple algorithm for doing an online "outlier detection". Basically, I want to kee...
how can i simulate a ma(1) model with parameter =0.7 using matlab ...
What is the matlab function to simulate ARMA model and coda matlab function (coda:convergence diagnostic and data analysis) ...
I have a process that consumes multiple sources of live price data from the forex market and produces 2 streams of time series data as its output. The output is noisy (i.e. not smooth like sin or cos), and both streams are bound between the values of 0 and 100. Is there an approach in machine learning or AI that can help me identify wh...
I have time series data (I've posted it here as a data.frame): x <- structure(list(date = structure(c(1264572000, 1266202800, 1277362800, 1277456400, 1277859600, 1278032400, 1260370800, 1260892800, 1262624400, 1262707200), class = c("POSIXt", "POSIXct"), tzone = ""), data = c(-0.00183760994446658, 0.00089738603087497, 0.0004235135983...