Times series analysis pdf

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Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time times series analysis pdf are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average.


Time series are very frequently plotted via line charts. Time series are used in statistics, signal processing, pattern recognition, econometrics, mathematical finance, weather forecasting, earthquake prediction, electroencephalography, control engineering, astronomy, communications engineering, and largely in any domain of applied science and engineering which involves temporal measurements. Time series analysis comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. Time series forecasting is the use of a model to predict future values based on previously observed values.

While regression analysis is often employed in such a way as to test theories that the current values of one or more independent time series affect the current value of another time series, this type of analysis of time series is not called “time series analysis”, which focuses on comparing values of a single time series or multiple dependent time series at different points in time. Time series data have a natural temporal ordering. A stochastic model for a time series will generally reflect the fact that observations close together in time will be more closely related than observations further apart. Methods for time series analysis may be divided into two classes: frequency-domain methods and time-domain methods.

In the time domain, correlation and analysis can be made in a filter-like manner using scaled correlation, thereby mitigating the need to operate in the frequency domain. Additionally, time series analysis techniques may be divided into parametric and non-parametric methods. In these approaches, the task is to estimate the parameters of the model that describes the stochastic process. By contrast, non-parametric approaches explicitly estimate the covariance or the spectrum of the process without assuming that the process has any particular structure.

Methods of time series analysis may also be divided into linear and non-linear, and univariate and multivariate. A time series is one type of panel data.

A data set may exhibit characteristics of both panel data and time series data. One way to tell is to ask what makes one data record unique from the other records. If the answer is the time data field, then this is a time series data set candidate.

If the differentiation lies on the non-time identifier, then the data set is a cross-sectional data set candidate. There are several types of motivation and data analysis available for time series which are appropriate for different purposes and etc. In the context of statistics, econometrics, quantitative finance, seismology, meteorology, and geophysics the primary goal of time series analysis is forecasting. In the context of signal processing, control engineering and communication engineering it is used for signal detection and estimation, while in the context of data mining, pattern recognition and machine learning time series analysis can be used for clustering, classification, query by content, anomaly detection as well as forecasting.