Time series analysis is the mathematical and statistical analysis of observations ordered in time. Common examples of a time series are daily temperature measurements, monthly sales, and yearly population figures. Its goals include describing temporal dependence, identifying trends and periodic behavior, estimating models, diagnosing residuals, and forecasting future values.
Important distinctions include stationary time series and nonstationary time series .
Common tools include autocorrelation , autoregressive
models , moving averages , the difference
operator , spectral estimation , likelihood
function -based model selection, and portmanteau
tests of residual autocorrelation .
See also Akaike Information Criterion ,
ANOVA ,
Arithmetic Mean ,
Augmented Dickey-Fuller Test ,
Autocorrelation ,
Autoregressive Model ,
Bayesian
Information Criterion ,
Box-Pierce Test ,
Correlation Coefficient ,
Covariance ,
Difference Operator ,
Difference
Table ,
Hannan-Quinn Information
Criterion ,
Least Squares Fitting ,
Ljung-Box Test ,
Maximum
Likelihood ,
Moving Average ,
Nonstationary
Time Series ,
Periodogram ,
Prediction
Theory ,
Random Variable ,
Random
Walk ,
Residual ,
Stationary
Time Series ,
Time Series ,
Unit
Root ,
Variance ,
Vector
Autoregressive Model
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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. Chatfield,
C. The
Analysis of Time Series: An Introduction, 5th ed. Cryer, J. D. Time
Series Analysis. Hamilton,
J. D. Time
Series Analysis. Miller,
R. B. and Wichern, D. W. Ch. 9-11 in Intermediate
Business Statistics: Analysis of Variance, Regression, and Time Series. Rao, T. S.;
Priestley, M. B.; and Lessi, O. Applications
of Time Series Analysis in Astronomy and Meteorology. Shumway, R. H. and Stoffer, D. S. Time
Series Analysis and Its Applications, with R Examples, 2nd ed. Whittaker, E. T. and Robinson, G. "The
Search for Periodicities." Ch. 13 in The
Calculus of Observations: A Treatise on Numerical Mathematics, 4th ed. Referenced on Wolfram|Alpha Time Series Analysis
Cite this as:
Weisstein, Eric W. "Time Series Analysis."
From MathWorld https://mathworld.wolfram.com/TimeSeriesAnalysis.html
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