How to statistically compare two time series-Quora?

How to statistically compare two time series-Quora?

To compare two time series simply estimate the COMMON appropriate arima model for each time series separately AND then estimate it globally (putting the second series behind the first). Make sure that your software recognizes the beginning of the scond series and doesn’t forecast it from the latter values of the first series.

How to test if two time series are the same?

I have two time-series from two different years and would like to statistically test whether they are different in values despite showing the same/similar trends. I’m really new to time-series analysis (and R), so please bear with me.

How to compare data to a common starting point?

A relatively simple way to make such comparisons is by indexing data to a common starting point. In effect, the variables in question must be set equal to each other and then examined over time for differences.

Is there a good correlation between two series?

If the r is small your conclusion would be that they are weakly related and so no desirable comparisons and a larger value if r would suggest good comparisons s between the two series. The third step where there is good correlation is to test the statistical significance of the r.

How to tell the difference between two time series?

I have two sets of time series data (series1 and series2). Each data set has 20 samples for 20 time intervals (one sample per each time interval). I want to see if these two data sets are significantly different.

Which is better series 1 or Series 2?

I also have the real numbers of population to evaluate my prediction. I have calculated the RMSE for the two series of prediction. The mean RMSE for series2 is less than series1 but I am not sure if it is a sufficient criteria to say that series2 is better prediction than series1.

How to use statistics to compare your models?

You can use these statistics to compare your models. To do so, from the menus choose -> Analyze -> Forecasting -> Create Models… (after selecting variables and methods) -> “statistics” tab.

How to test the hypothesis of a common set of parameters?

Make sure that your software recognizes the beginning of the scond series and doesn’t forecast it from the latter values of the first series. Perform an F test ala G. Chow to test the hypothesis of a common set of parameters.

How can I compare two series of data?

VALUE COMPARISON: The values or observed values of the two series may be compared. Two cases may arise: (i) equal length of data, and (ii) unequal length of data. Equal Data Size: If n 1 = n 2, a simple d-bar analysis may work.

How is the correlation between two time series valid?

Lag 1 cross correlation matches time t from series 1 with time t+1 in series 2. Note that here even though the series are the same length you only have T-2 pair as one point in the first series has no match in the second and one other point in the second series will not have a match from the first.

Which is the time series for condition 2?

For condition 2 at time point i, the synthetic time series is y i ∗ = y ^ i + b k, where k is a separate, randomly chosen integer from 1 to n. Fit a new model to each of the synthetic time series. The models should have the same functional form as used to fit the original data.