References on time series analysis

5

1

I am interested in time series analysis. I used to evaluate my data by means of Excel. However, I found that Mathematica is a powerful tool that can process different kinds of mathematical operations efficiently. Therefore, can you recommend some references about time series analysis by Mathematica to improve my skills and knowledge? That would be better than asking about each single detail every time.

Mehmet

Posted 2016-03-04T06:06:58.710

Reputation: 507

Just curious, can you describe what kind of time series you want to analyze? – Jagra – 2016-03-04T14:13:22.063

@Jagra personally, I'm working on coastal discharges and their power spectral density. – Mehmet – 2016-03-05T02:36:04.647

Answers

5

Thomas

Posted 2016-03-04T06:06:58.710

Reputation: 1 837

5

I made an example in Mathematica, hope this help.

dataSet = Import["/Volumes/USB/sync/Mathematica/Time Series Analysis/AirPassengers.csv", "HeaderLines" -> 1 ,"DateStringFormat" -> {"Year", "-", "Month"}]; 

ts = TimeSeries[dataSet];

testStationarity[ts_] := Module[{ma, sd},
    ma = MovingMap[Mean, ts, Quantity[12, "Months"]]; 
    sd = MovingMap[StandardDeviation, ts, Quantity[12, "Months"]];

    DateListPlot[{ts, ma, sd}, 
    PlotLegends -> {"Original", "Moving Mean", "Moving STD"}]
];

testStationarity[dataSet]

enter image description here

madeinQuant

Posted 2016-03-04T06:06:58.710

Reputation: 449