time series

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    Time Series - how to draw a sample?

    Dear all, This is probably a stupid question. But do you know how to draw a sample from my dataset? For example, if I want to only test the first 100 dates? I want to do this first, then I will test another 100 dates, so I don't want to change my dataset. I tried: arch var1 var2 var3...
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    Time series regression books

    Hi, I am interested in Time series regression and I would like to find 1-2 good books that explain Time series with examples using SAS. Does anybody know and can propose good books that I can purchase? I am into agriculture/environmental science if that matters. Thanks
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    Stochastic Model Validation

    Hi, I am working on a model that takes in a stochastic time series (turbulent velocity) as input and produces n time series outputs. Since the inputs have a stochastic component, every ensemble (or every run of the model) produces slightly varying outputs. Now I want to validate my model by...
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    Autocovariance Function

    Hey there! I have a question relating to Applied Time Series that I'm having a bit of trouble with. For all parts of this question, let Z_t; t \geq 0 be a sequence of independent normal variables with mean 0 and variance \sigma^2 , and let a, b and c be constants. For the series...
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    Time Series Breakout Detection with R

    Hi I am time series and I would like to do automated breakout detection on it. I have discovered techniques like MACD which are helpful in visually detecting it. Is there another was to automatically detect regression in R packages or can leverage something that is already there. Since this...
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    [R] Difference between regression lines significant?

    Hi, I'm a PhD student researching processes of technology maturation. For this purpose I collected patent data which I want to use to differentiate between 3-6 yet arbitrary maturtiy phases (e.g. technology introduction, growth, maturity, decline). For several different technologies I have...
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    What's the difference between all the time series procs?

    I'm kind of curious as to specific differences in the all of the many time series procedures in SAS. I know, for instance, there is PROC ARIMA, PROC FORECAST, PROC TIMESERIES, PROC X12/X11......... I know there is a document (http://support.sas.com/publishing/pu...haps/57275.pdf) that someone...
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    Statistical methods for comparing trend lines? Need help with search terms.

    Hello, I'm analyzing the results of an educational research study wherein learners had the opportunity to conduct multiple attempts (trials) at a task. The scoring mechanisms are the same for each trial. Originally we were just interested in taking their "best" scores, but looking at the...
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    Compare if the increase rate over time is same or not

    Binomial how to i set up a binomial thread
  10. N

    Discrete time series analysis

    Hello everybody, Well, as student I'm working this last year on my bachelor proof. The subject I'd chosen is discrete (integer) valued time series analysis. Does anybody know sth about this? Cause I got a question concerning the paper of P.A.W Lewis and P.A. Jacobs 'discrete time series...
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    Variance between two time series (action and feedback)

    I would like to know how find the variance between two (or more) time series. I have a series of timings (in milliseconds) which represent the timings of a subject's button presses. I also have series of milliseconds timings which represent the timings of an auditory tone which could either...
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    Trend Stationarity vs. Level Stationarity

    Can s.b. explains the difference between Trend Stationarity and Level Stationarity?
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    Time Series Data- Fish Diet

    My time series spans 13 years. There are 30-60 fish stomachs for each year of the study. Each stomach has typically 3-8 prey items inside. The prey items within the stomachs are the point of interest in this study. I have a plethora of independent variables measured from the capture of all...
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    Interest Rates and ARIMA models

    Hello, My goal is to forecast t-bill/note interest rates to help determine whether it'd be useful to purchase an interest rate swap on a loan (25 year amort. due in 7 years). I have learned ARIMA models, specifically AR[1] models are useful to forecasting rates. Please see attached...
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    Time Series Code; Help

    Hi Folks, I'm trying to fit a time series curve which I need to apply for different data. I used Proc Forecast to get the estimates. I need to translate the estimates into a predictive score. Can anyone help me on the code to program Forecast value from the estimates. Thanks. Ex: Proc...
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    Time series help, Derive COV in a random walk process

    I could use some help deriving the covariance between Y_t and Y_t+h given the random walk process Y_t = Y_t-1+e_t And also the correlation between Y_t and Y_t+h Got stuck.. :( Also got another problem where i need to state whether pbl_t is correlated with e_(t-1) in this regression q_t=...
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    Physics-style Repeated Measures of multiple predictor variables in survival analysis?

    I have inherited a longitudinal dataset where 5 different continuous independent variables were measured multiple times daily for 28 days in individual subjects. Measurement intervals were irregular, both within and between subjects. These independent variables have a relatively high variance...
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    Causal stats with one event and multiple time series?

    Hi all, I have computed causal relationships between two time series. But now I would also like to check the causal influence of a single event on multiple time series. For example, an earthquake on a particular day having an influence on the stocks prices of different companies. Is there...
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    Convert to Reandom Variables- Time Series Analysis

    Hi, I have a set of water quality data that are not random but I want use them in a Copula model so I should have random variables (I know it can done with time series analysis). Can anybody help me in finding a journal paper or book that I can use as a guide. Thank you
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    Exogenous Regime Switching Models

    Hi, I'm new to the site, so bear with me! I currently have a model that measures inflation expectations as follows: y(t) = a*x(t) + (1-a)*y(t-1) I'm looking to create a regime switching models that change the values of "a" based upon a shock to an exogenous variable (let's say...