Data Preprocessing
Format, plot, and transform time series data
Apps
Econometric Modeler | Analyze and model econometric time series |
Classes
LagOp | Create lag operator polynomial |
Functions
Topics
Interactive Workflows
- Prepare Time Series Data for Econometric Modeler App
Prepare time series data at the MATLAB® command line, and then import the set into Econometric Modeler. - Import Time Series Data into Econometric Modeler App
Import time series data from the MATLAB Workspace or a MAT-file into Econometric Modeler. - Plot Time Series Data Using Econometric Modeler App
Interactively plot univariate and multivariate time series data, then interpret and interact with the plots. - Transform Time Series Using Econometric Modeler App
Transform time series data interactively. - Analyze Time Series Data Using Econometric Modeler
Interactively visualize and analyze univariate or multivariate time series data.
Transform Time Series Data
- Nonseasonal Differencing
Take a nonseasonal difference of a time series. - Nonseasonal and Seasonal Differencing
Apply both nonseasonal and seasonal differencing using lag operator polynomial objects. - Moving Average Trend Estimation
Estimate long-term trend using a symmetric moving average function. - Parametric Trend Estimation
Estimate nonseasonal and seasonal trend components using parametric models. - Econometric Modeling
Understand model-selection techniques and Econometrics Toolbox™ features. - Stochastic Process Characteristics
Understand the definition, forms, and properties of stochastic processes. - Data Transformations
Determine which data transformations are appropriate for your problem. - Trend-Stationary vs. Difference-Stationary Processes
Determine the characteristics of nonstationary processes. - Time Base Partitions for ARIMA Model Estimation
When you fit a time series model to data, lagged terms in the model require initialization, usually with observations at the beginning of the sample.
Decompose Time Series Data
- Seasonal Adjustment Using a Stable Seasonal Filter
Deseasonalize a time series using a stable seasonal filter. - Seasonal Adjustment Using S(n,m) Seasonal Filters
Apply seasonal filters to deseasonalize a time series. - Use Hodrick-Prescott Filter to Reproduce Original Result
Use the Hodrick-Prescott filter to decompose a time series. - Compare One-Sided and Two-Sided Hodrick-Prescott Filter Results
Smooth the U.S. GDP by applying the one-sided and two-sided Hodrick-Prescott filters, and compare the resulting smoothed trends. - Time Series Decomposition
Learn about splitting time series into deterministic trend, seasonal, and irregular components. - Moving Average Filter
Some time series are decomposable into various trend components. To estimate a trend component without making parametric assumptions, you can consider using a filter. - Seasonal Filters
You can use a seasonal filter (moving average) to estimate the seasonal component of a time series. - Seasonal Adjustment
Seasonal adjustment is the process of removing a nuisance periodic component. The result of a seasonal adjustment is a deseasonalized time series.
Lag Operator Polynomial Operations
- Specify Lag Operator Polynomials
Create lag operator polynomial objects.