# Questions tagged [time-series]

Time series are data observed over time (either in continuous time or at discrete time periods).

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### How to generalize shrinkage to fully-bayesian models?

I've got a time series that I'm modelling as an exponential; growth rate, with the rate following a logistic distribution: $$y_t = e^{x_t r_t}$$ where $$r_t = \frac{L}{1-e^{-k(x_t-x_0)}}$$ I've ...
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### What is the ACF plot of $x_t = 0.9 x_{t-2} + w_t$

I am just learning time series, and I am wondering about the following AR(2) model: $x_t = 0.9 x_{t-2} + w_t, w_t \sim N(0, \sigma_w^2)$ Please show me the plot of its Autocorrelation Function, or ...
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### forecasting percentage change with uncertainty

I used a machine learning model to predict the percentage change of a time series with upper and lower bounds of the change (see figure_1). here are the results: ...
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### Fitting a VEC model: suggestions on procedure and results

I'm having some hard times trying to do a simple but statistically sound analysis on 4 cointegrated daily time series which I analyzed through VEC. I ask the community: is the procedure I followed ...
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### The covariance function of a stochastic process is positive semidefinite

Let $\{X_t, t \in \mathbb{Z}\}$ a real-valued stochastic process and $\gamma : \mathbb{Z} \times \mathbb{Z} \to \mathbb{R}$ the autocovariance function. I would like to show it is a positive ...
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### Using support vector regression to estimate GARCH model

I would like to estimate GARCH (1,1) model with support vector regression and I want to use asset returns series. I want to use python. Can anybody help me to explain the process with example step-by-...
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### Temporal resampling effects on linear trend estimation

I'm looking to determine rate of change of a noisy seasonal time series with linear regression. In the first figure, there is daily data for 30 years. The second figure is the same data aggregated ...
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### Drivers that should be positively correlated to Y have a negative correlation with the residuals?

In my data set it's clear that X,Y, and Z are positively correlated with A, since they have a strong correlation (close to 1) when I test the correlation in Excel. However, I took the regression of ...
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### R: Compare two time series

I have two time series Time Series Plot . Red line is the public data and the blue one is the predicted data. I found these lines look very similar. Is there a way to statistically compare the two ...
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### AR model estimated with Yule-Walker equation is poor

Hello :) I am an undergraudate student studying time series analysis as a way to kill time during the Covid-19 self-quarantine. I write this to ask you, what could be the possible reasons behind my ...
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### causal economic research [closed]

I want to analyse the relationship between the level of globalization,and the level of income inequality between two specific countries. however, I'm quite lost as to which method is good to use. I'm ...
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### Getting the error of a mean curve compared to multiple original time series

I have a 5 days of time series of an individual's steps in 15 min intervals. What I have done is fitted a curve to estimate the individual's general day steps profile. So this curve has a span of one ...
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### Should I impute the missing values of timeseries data?

I have the following task - predicting the next 12 hours of PM10 particles based on historical data of previous 24 hours of PM10, O3 (ozone), CO (carbon monoxide), and others (not included) using RNN'...
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### How to identify the dissimilar points between multiple time series having almost similar patterns?

I have multiple time series that are quite similar to each other in terms of pattern. I Clustered all them to get similar time series under a cluster. This is what the cluster looks like: Now I'd ...
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### How can I implement a 1D CNN in front of my LSTM network

At the moment I reshape my X_train like this: X_train = input.reshape(1,1,12) ...
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### Non linear parametric time series vs non linear non parametric time series

I am new to non linear time series modelling. Can Any tell me difference between parametric and non parametric models.
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### BiLSTM (Bidirectional Long Short-Term Memory Networks) with MLP(Multi-layer Perceptron)

I am trying to implement the network architecture of this paper Speaker Change Detection in Broadcast TV using Bidirectional Long Short-Term Memory Networks, by Ruiqing Yin, Herve Bredin, Claude ...
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### Time series split to avoid data leakage when lag variables are created for a univariate forecast model. Please help me in preparing the python code [closed]

I am doing a time series split for a univariate forecast model. Basically I am developing a regression prediction by creating Lag variables. When Lag variables are created then there is a high chance ...
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### Can someone explain how data leakage occurs if you randomize time series data?

I am a bit dense and I am not understanding the intuition behind why data leakage would occur if we don't "respect" the temporal order of time series data when doing sample splitting or cross ...