TimeSeriesAggregate [tseries,dt]
computes the mean value of tseries over non-overlapping windows of width dt.
TimeSeriesAggregate [tseries,dt,f]
applies the function f to the values of tseries in non-overlapping windows of width dt.
TimeSeriesAggregate
TimeSeriesAggregate [tseries,dt]
computes the mean value of tseries over non-overlapping windows of width dt.
TimeSeriesAggregate [tseries,dt,f]
applies the function f to the values of tseries in non-overlapping windows of width dt.
Details
- TimeSeriesAggregate is often used in time series analysis to compute aggregated statistics like yearly averages or monthly totals.
- TimeSeriesAggregate breaks the time series tseries into disjoint left-closed and right-open windows of equal width dt and applies a function f to the values in each segment.
- If there are no values in a segment, the segment is ignored.
- The time series tseries can be a list of values {x1,x2,…}, a list of time-value pairs {{t1,x1},{t2,x2},…}, a TimeSeries , EventSeries , or TemporalData .
- The window width dt can be given as a positive number, a Quantity , or as a date increment.
- The window specification {dt,align} can be used to determine the alignment of new times within each window.
- Settings for window alignment align include Left , Center (default), and Right .
- TimeSeriesAggregate threads pathwise for multipath TemporalData .
Examples
open all close allBasic Examples (3)
Average successive pairs of values:
Compute the quarterly standard deviation for a financial time series:
Aggregate multiple paths simultaneously:
Average over blocks of width 0.15:
Scope (20)
Basic Uses (3)
Map a function f over data with blocks of width 2:
Compute the 95^(th) quantile for windows of width 0.05:
Find a quartile envelope for blocks of size 10:
Data Types (8)
Aggregate a vector in blocks of 4 using a function f:
Find the two-year average for a list of time-value pairs:
Compute the maximum for width-10 segments of a TimeSeries :
Compute a width-10 median for TemporalData :
Compute a width-5 total for an EventSeries :
Compute a six-month variance for multiple paths simultaneously:
Aggregate over vector-valued data:
Componentwise width-5 range:
Visualize the range:
Aggregate over a time series involving quantities:
Window Widths (5)
Use windows with width 2:
Equivalently:
Specify the window width in calendar time:
Average over windows spanning five days:
Specify a window width using Quantity :
Average over windows spanning two quarters:
Specify a mixed radix width:
Average over windows spanning three weeks and two days:
Larger windows smooth more:
Moving averages with increasing window width:
Alignment (4)
Align new times with the center of the windows:
Center alignment is used by default:
Align new times with the right side of the windows:
Align new times with the left side of the windows:
Compare window alignments:
The values are all equivalent:
The times are not:
A visual comparison:
Applications (2)
Market Volatility (1)
Identify periods of high volatility in the S&P 500:
Five-year standard deviation:
Annual interquartile range:
Two-year range:
Labor Force (1)
Visualize the growth of labor force in California based on monthly data:
Aggregate the data yearly:
Properties & Relations (1)
Independently of the alignment the windows are closed on the left and open on the right:
It is possible that more time stamps are needed:
See Also
MovingMap TimeSeriesResample TimeSeriesThread RegularlySampledQ MinimumTimeIncrement TimeSeriesShift TimeSeriesRescale TimeSeriesMap TimeSeriesMapThread TimeSeriesInsert TimeSeriesWindow TimeSeriesModelFit TemporalData TimeSeries EventSeries
Function Repository: TimeSeriesPartition TimeSeriesEnsemble
Related Guides
Text
Wolfram Research (2014), TimeSeriesAggregate, Wolfram Language function, https://reference.wolfram.com/language/ref/TimeSeriesAggregate.html (updated 2017).
CMS
Wolfram Language. 2014. "TimeSeriesAggregate." Wolfram Language & System Documentation Center. Wolfram Research. Last Modified 2017. https://reference.wolfram.com/language/ref/TimeSeriesAggregate.html.
APA
Wolfram Language. (2014). TimeSeriesAggregate. Wolfram Language & System Documentation Center. Retrieved from https://reference.wolfram.com/language/ref/TimeSeriesAggregate.html
BibTeX
@misc{reference.wolfram_2025_timeseriesaggregate, author="Wolfram Research", title="{TimeSeriesAggregate}", year="2017", howpublished="\url{https://reference.wolfram.com/language/ref/TimeSeriesAggregate.html}", note=[Accessed: 05-December-2025]}
BibLaTeX
@online{reference.wolfram_2025_timeseriesaggregate, organization={Wolfram Research}, title={TimeSeriesAggregate}, year={2017}, url={https://reference.wolfram.com/language/ref/TimeSeriesAggregate.html}, note=[Accessed: 05-December-2025]}