1723 search results for "time series"

Lomb-Scargle periodogram for unevenly sampled time series

January 10, 2013
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Lomb-Scargle periodogram for unevenly sampled time series

In the natural sciences, it is common to have incomplete or unevenly sampled time series for a given variable. Determining cycles in such series is not directly possible with methods such as Fast Fourier Transform (FFT) and may require some degree of interpolation to fill in gaps. An alternative is the Lomb-Scargle method (or...

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Generating polygon boundaries for plotting simple time series data with missing data

December 19, 2012
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Every so often I want to plot some data with pretty upper and lower error bounds, such as temperature data through time, perhaps with the maximum and minimum temperature range or standard error bounds for averaged data. The polygon( ) function can make those sorts of pretty plots. However, I’ll often have chunks of missing

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Extending Commodity time series

November 21, 2012
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Extending Commodity time series

I want to follow up with Extending Gold time series post by showing how we can extend Commodity time series. Most Commodity ETFs began trading in 2006, please see the List of Commodity ETFs page. I will use DBC – PowerShares DB Commodity Fund, one on the most liquid Commodity ETFs as my proxy for

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Extending Gold time series

September 10, 2012
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Extending Gold time series

While back-testing trading strategies I want all assets to have long history. Unfortunately, sometimes there is no tradeable stock or ETF with sufficient history. For example, I might use GLD as a proxy for Gold allocation, but GLD is only began trading in November of 2004. We can extend the GLD’s historical returns with its

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Measuring persistence in a time series : Application of rolling window regression

Measuring persistence in a time series : Application of rolling window regression

During my final semester at IGIDR I did a project paper in macroeconomics involving timeseries econometrics. The concept that I focused on my study was unit root, which I have touched upon in my earlier posts. This study presents a novel...

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Displaying time series, spatial and space-time data with R

Displaying time series, spatial and space-time data with R

During next months I will be working on the book “Displaying time series, spatial and space-time data with R: stories …Continuar leyendo »

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Time Series Data Library now on DataMarket

June 19, 2012
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The Time Series Data Library is a collection of about 800 time series that I have maintained since about 1992, and hosted on my personal website. It includes data from a lot of time series textbooks, as well as many other series that I’ve either collected for student projects or helpful people have sent to me. I’ve now moved...

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Time series cross-validation 4: forecasting the S&P 500

June 11, 2012
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Time series cross-validation 4: forecasting the S&P 500

I finally got around to publishing my time series cross-validation package to github, and I plan to push it out to CRAN  shortly. You can clone the repo using github for mac, for windows, or linux, and then run the following script to...

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Visualizing the #nonato Twitter hashtag – time series and top users

May 21, 2012
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Visualizing the #nonato Twitter hashtag – time series and top users

  The NATO summit is currently being held in Chicago, and, as is typical for NATO or G# summits, the streets and tweets are full of dissent.  In the spirit of my past investigations of online dissent (#jan25, #25bahman, #12fev,… Read more ›

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Charting Twitter time series data with tweet and unique user counts

May 21, 2012
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Let’s say you’ve used my Python script to automate the download of a hashtag or search phrase from Twitter (in a Unicode safe way, unlike within R).  Now let’s say you want to visualize the number of tweets over time.  Easy… Read more ›

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