Time series Definition and 63 Threads

  1. P

    MATLAB Matlab-Plot Power Spectrum of time series

    Hi all, and thank you for reading/responding to my thread.I have a problem which involves time series and its power spectra. Some background: I have an 10.000xN matrix(called matr) whose columns are individual time series with real data values and I want to plot their power spectra...
  2. K

    Testing Equality of Time Series: Statistical Analysis for Comparison

    Hi All, I've searched the web up and down, and a few textbooks, all to no avail. I have two time series (of 30 elements each), and I'd like to test if they are statistically different from each other (I suppose this could be reworded as, "are they equal" or "is their difference...
  3. R

    Time Series: Question on Stationarity

    Hi, I have a question on stationarity in time series. I basically understand the concept, I think. However, I don't understand why the lag should affect the joint distribution. For example, the joint distribution of <Yt, Yt+a> should be the same as the joint distribution of <Yp...
  4. S

    Multiple regression and Time Series

    Hi, I'm in a college statistics course where I'm doing an assignement with Minitab. I have a one month time series of electricity use (hour intervals). I've attempted to remove the season effect from weekdays by index multiplication so all I'm left with (hopefully) is the effect from...
  5. L

    Clarifying Time Series Models: Autocorrelation and Seasonality in ARIMA Analysis

    Can anyone help clarify a few things about telling the time series model used based on the (partial) autocorrelation graphs. For example, if I have to difference a series once to get the autocorrelation and partial correlation graph completely within the confidence bands, does that mean it's...
  6. I

    Reducing autocorrelation of a time series

    Hi, Is there like some widely accepted threshold for autocorrelation time of a time series for it to be considered "uncorrelated"? I used MATLAB to generate approx. 1000 gaussian random numbers and found their autocorrelation time to be approx. 1.07... is this small enough for it to be called...
  7. I

    Fourier Time Series: Breaking Down Data Into Sines & Cosines

    Hi, I have a question regarding Fourier Series. I have a random set of time series data. Is there anyway to break this down into sines and cosines. From the literature I have read it seems like you can break down a function into sines and cosines but I need to do this for a random set of...
  8. K

    Stationarity of Time Series: Tests

    This post may seem a bit meandering, but it does well to fully communicate my thoughts and ultimate questions. Very little of the literature on Time Series Models makes reference to what is sparsely referred to elsewhere as the "Coefficient of Error", or even R-squared/Adjusted R-squared...
  9. S

    MATLAB Getting a Time Series from a numerical generative model

    IM given a question on MATLAB programming. It ask to construct a numerical generative model for autoregressive model of order two; xt -xt-1 + 0.5t-2 = et. generate and plot 256 time series samples. then numerically obtain the spectrum of this time series and plot them. assuming noise process...
  10. H

    Stationary regime in time series.

    Hi all. Anyone can say to me as I can know if a time serie is in stationary regime?. I.E. What mathematical tool I must use to find out this when the time series is empirical? Thantks Horacio.
  11. W

    Investigating environmental time series and algorithms

    Hi, I am currently investigating environmental time series and algorithms to determine when an 'unexpected' event/reading has occurred in the series. I am currently constructing the gaussian probability density function (pdf) based on historical readings and checking if 'new' readings are...
  12. F

    Identifying distributions in time series

    Given a time series Yt, how can you decide what distribution the values obey, if any? In particular, is there a way to make sure the time series obeys a Gaussian distribution? Thanks, Frank
  13. D

    Looking for a Time Series Analysis Text

    Analysis by Its History E. Hairer & G. Wanner Published by Springer, as part of their Undergraduate Texts in Mathematics series. ISBN 0-387-94551-2 http://www.springer-ny.com Introduction: For many first year Mathematics undergraduates an introduction to Analysis is often...
Back
Top