All Questions
Tagged with simulation time-series
110
questions
0
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0
answers
6
views
Is "relative risk time" meaningful? (transient relative risk)
Context:
I'm trying to specify a data-generating / mechanistic model for a simulation study. I assume that exposure $e$ (a short event) has a transient effect on the relative rate of another process $...
- 215
2
votes
1
answer
37
views
How to simulate a time-series based on other time-series that have different seasonality (and other effects)?
I have a list of solar production data time-series for a set of houses in a given area, and I need to simulate the solar production vs time curve of a new house in the area. The sum of the total ...
- 21
1
vote
0
answers
73
views
Simulation of Random Processes to Check Stationarity
I am wondering if this is a valid approach:
I want to validate that certain random processes are not weakly stationary (constant mean, covariance depends on the lag, finite variance) through ...
- 101
1
vote
2
answers
65
views
Mixed model: Which parameters to provide for sample size calculations?
I am currently planning an analysis in a relatively new area of research and would like to provide data that will allow for future power analyses. Unfortunately, I am completely lost in the ...
- 415
1
vote
1
answer
23
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Forecasting positive time series with missing values and few observations
I am working on forecasting a positive time series dataset of prices with missing values and only a limited number of observations. Specifically, I have 150 observations, one per week, and I need to ...
- 11
1
vote
0
answers
43
views
How to compute relative error of multi-dimensional time-series?
I have written a python script that uses a variety of different integrators to simulate the gravitational N-body problem. I would like to compare the positions obtained from my simulation to the ...
- 11
1
vote
1
answer
51
views
Simulating non-zero mean autoregressive (AR(2)) samples
I asked this question in stackoverflow, with no success. I am hoping that i might get some suggestions here.
I am trying to generate non-zero mean AR(2) samples using statsmodels package. But it seems ...
- 297
4
votes
1
answer
397
views
Simulate data with specified signal to noise ratio for a given sigma
Imagine I have a series $y$ that has a signal and a noise component $y=S+N$. How can I generate $y$ from $S$ and $N$ so that $y$ is 80% signal, 20% noise, and has a given standard deviation?
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- 191
2
votes
2
answers
66
views
Adjusting sd for an ARMA(1,1) simulation given phi and theta
I'd like to generate model an ARMA(1,1) process with a mean of zero and a standard deviation of sigma where I specify the ARMA parameters phi and theta. How can I adjust the value of sigma in the draw ...
- 191
0
votes
1
answer
27
views
Statistical or Machine Learning Approach for Simulating Variable (proportion)
I am currently facing a challenge in analyzing customer satisfaction data from an electric drive production facility. During a specific period of the month, we encountered technical issues with our ...
- 101
2
votes
0
answers
64
views
backcasting AR(1) proccess: How to simulate AR(1) proccess knowing the final value?
I want to simulate an AR(1) process, knowing the last observation, but not the first. This should be an easy problem, but it does not seem to be so. Specifically, I can generate sensible average ...
- 21
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votes
0
answers
17
views
Generate series with multiple seasonality
I have to simulate time series with multiple seasonality and I don't understand how I can do it.
In particular I have to simulate:
A series with two deterministic seasonality (each with a different ...
- 11
0
votes
0
answers
30
views
Simulation of a time series using the unconditional moments
$y_{t}$ follows a covariance stationary AR(1) process
$ y_t = \phi y_{t-1} + \varepsilon_t \hspace{1cm} \varepsilon \sim \mathcal{N}(0,\sigma^2) $
I want to simulate a time series $y_{1:T}$. Can I use ...
- 319
2
votes
0
answers
236
views
Simulate time series with periodic spikes
I have multiple time series representing a process that operates in batches. It consists of many small intervals interleaved by periodic long intervals (spikes) at the offset of each batch. The period ...
- 2,498
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24
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Simulation data vs measure data
I am comparing climate simulation data (in reanalysis mode) to in situ measured data (from a weather station).
For now, the main variable I study is snow height (in cm).
Here is an exert of my data (...
