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Time Series


A time series is a sequence of observations indexed in time order. A finite observed series can be written as (x_1,...,x_n), or it can be modeled as one realization of a stochastic process {X_t}. The time index may be discrete or continuous, and each observation may be a scalar or vector.

Temporal ordering distinguishes a time series from an unordered sample and permits dependence between observations at different times. The study of this dependence and its use in modeling and forecasting is called time series analysis.


See also

Autocorrelation, Nonstationary Time Series, Stationary Time Series, Time Series Analysis

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References

Box, G. E. P.; Jenkins, G. M.; Reinsel, G. C.; and Ljung, G. M. Time Series Analysis: Forecasting and Control, 5th ed. Hoboken, NJ: Wiley, 2015.Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.

Cite this as:

Weisstein, Eric W. "Time Series." From MathWorld--A Wolfram Resource. https://mathworld.wolfram.com/TimeSeries.html

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