This document discusses time series analysis and various time series models. It introduces fundamental concepts like stationarity and summarizes common time series models including white noise, random walks, moving average (MA) models, autoregressive (AR) models, and autoregressive integrated moving average (ARIMA) models. Examples of generating and analyzing each type of time series are demonstrated in R.
This document discusses time series analysis techniques in R, including decomposition, forecasting, clustering, and classification. It provides examples of decomposing the AirPassengers dataset, forecasting with ARIMA models, hierarchical clustering on synthetic control chart data using Euclidean and DTW distances, and classifying the control chart data using decision trees with DWT features. Accuracy of over 88% was achieved on the classification task.
Time Series Analysis - 1 | Time Series in R | Time Series Forecasting | Data ...Simplilearn
This document discusses time series forecasting. It begins with an introduction to time series analysis and its components, including trend, seasonality, cyclicity, and irregularity. It then provides an example of using a moving average method to smooth and forecast quarterly car sales data over five years. The moving average helps extract the trend from the raw time series data by removing the seasonal and irregular components. This smoothed data can then be used to forecast future time periods.
This document provides an overview of time series analysis and forecasting techniques. It discusses key concepts such as stationary and non-stationary time series, additive and multiplicative models, smoothing methods like moving averages and exponential smoothing, autoregressive (AR), moving average (MA) and autoregressive integrated moving average (ARIMA) models. The document uses examples to illustrate how to identify patterns in time series data and select appropriate models for description, explanation and forecasting of time series.
The document provides an overview of time series analysis. It discusses key concepts like components of a time series, stationarity, autocorrelation functions, and various forecasting models including AR, MA, ARMA, and ARIMA. It also covers exponential smoothing and how to decompose, validate, and test the accuracy of forecasting models. Examples are given of different time series patterns and how to make non-stationary data stationary.
Time Series Analysis - 2 | Time Series in R | ARIMA Model Forecasting | Data ...Simplilearn
This Time Series Analysis (Part-2) in R presentation will help you understand what is ARIMA model, what is correlation & auto-correlation and you will alose see a use case implementation in which we forecast sales of air-tickets using ARIMA and at the end, we will also how to validate a model using Ljung-Box text. A time series is a sequence of data being recorded at specific time intervals. The past values are analyzed to forecast a future which is time-dependent. Compared to other forecast algorithms, with time series we deal with a single variable which is dependent on time. So, lets deep dive into this presentation and understand what is time series and how to implement time series using R.
Below topics are explained in this " Time Series in R presentation " -
1. Introduction to ARIMA model
2. Auto-correlation & partial auto-correlation
3. Use case - Forecast the sales of air-tickets using ARIMA
4. Model validating using Ljung-Box test
Become an expert in data analytics using the R programming language in this data science certification training course. You’ll master data exploration, data visualization, predictive analytics and descriptive analytics techniques with the R language. With this data science course, you’ll get hands-on practice on R CloudLab by implementing various real-life, industry-based projects in the domains of healthcare, retail, insurance, finance, airlines, music industry, and unemployment.
Why learn Data Science with R?
1. This course forms an ideal package for aspiring data analysts aspiring to build a successful career in analytics/data science. By the end of this training, participants will acquire a 360-degree overview of business analytics and R by mastering concepts like data exploration, data visualization, predictive analytics, etc
2. According to marketsandmarkets.com, the advanced analytics market will be worth $29.53 Billion by 2019
3. Wired.com points to a report by Glassdoor that the average salary of a data scientist is $118,709
4. Randstad reports that pay hikes in the analytics industry are 50% higher than IT
The Data Science with R is recommended for:
1. IT professionals looking for a career switch into data science and analytics
2. Software developers looking for a career switch into data science and analytics
3. Professionals working in data and business analytics
4. Graduates looking to build a career in analytics and data science
5. Anyone with a genuine interest in the data science field
6. Experienced professionals who would like to harness data science in their fields
Learn more at: https://www.simplilearn.com/
This document provides an overview of time series analysis and forecasting using neural networks. It discusses key concepts like time series components, smoothing methods, and applications. Examples are provided on using neural networks to forecast stock prices and economic time series. The agenda covers introduction to time series, importance, components, smoothing methods, applications, neural network issues, examples, and references.
This document provides an overview of time series analysis. It defines a time series as numerical data obtained at regular time intervals that occurs in many domains like economics and finance. The goals of time series analysis are to describe, summarize, fit models to, and forecast time series data. Time series are different from other data as observations are not independent. The document discusses the various components of time series including trends, seasonality, cycles, and irregular variations. It provides examples of decomposing time series into these components to better understand the underlying patterns in the data.
This document discusses time series analysis. It defines a time series as values of a variable ordered over time. Examples of time series include climate data, financial data, and demographic data. Time series analysis is important for understanding past behavior, predicting the future, evaluating programs, and facilitating comparisons. Components of a time series include trends, cyclic variations, seasonal variations, and irregular variations. Several methods are discussed for measuring and decomposing these components, including moving averages, least squares, and seasonal indices.
This document discusses time series analysis techniques in R, including decomposition, forecasting, clustering, and classification. It provides examples of decomposing the AirPassengers dataset, forecasting with ARIMA models, hierarchical clustering on synthetic control chart data using Euclidean and DTW distances, and classifying the control chart data using decision trees with DWT features. Accuracy of over 88% was achieved on the classification task.
Time Series Analysis - 1 | Time Series in R | Time Series Forecasting | Data ...Simplilearn
This document discusses time series forecasting. It begins with an introduction to time series analysis and its components, including trend, seasonality, cyclicity, and irregularity. It then provides an example of using a moving average method to smooth and forecast quarterly car sales data over five years. The moving average helps extract the trend from the raw time series data by removing the seasonal and irregular components. This smoothed data can then be used to forecast future time periods.
This document provides an overview of time series analysis and forecasting techniques. It discusses key concepts such as stationary and non-stationary time series, additive and multiplicative models, smoothing methods like moving averages and exponential smoothing, autoregressive (AR), moving average (MA) and autoregressive integrated moving average (ARIMA) models. The document uses examples to illustrate how to identify patterns in time series data and select appropriate models for description, explanation and forecasting of time series.
The document provides an overview of time series analysis. It discusses key concepts like components of a time series, stationarity, autocorrelation functions, and various forecasting models including AR, MA, ARMA, and ARIMA. It also covers exponential smoothing and how to decompose, validate, and test the accuracy of forecasting models. Examples are given of different time series patterns and how to make non-stationary data stationary.
Time Series Analysis - 2 | Time Series in R | ARIMA Model Forecasting | Data ...Simplilearn
This Time Series Analysis (Part-2) in R presentation will help you understand what is ARIMA model, what is correlation & auto-correlation and you will alose see a use case implementation in which we forecast sales of air-tickets using ARIMA and at the end, we will also how to validate a model using Ljung-Box text. A time series is a sequence of data being recorded at specific time intervals. The past values are analyzed to forecast a future which is time-dependent. Compared to other forecast algorithms, with time series we deal with a single variable which is dependent on time. So, lets deep dive into this presentation and understand what is time series and how to implement time series using R.
Below topics are explained in this " Time Series in R presentation " -
1. Introduction to ARIMA model
2. Auto-correlation & partial auto-correlation
3. Use case - Forecast the sales of air-tickets using ARIMA
4. Model validating using Ljung-Box test
Become an expert in data analytics using the R programming language in this data science certification training course. You’ll master data exploration, data visualization, predictive analytics and descriptive analytics techniques with the R language. With this data science course, you’ll get hands-on practice on R CloudLab by implementing various real-life, industry-based projects in the domains of healthcare, retail, insurance, finance, airlines, music industry, and unemployment.
Why learn Data Science with R?
1. This course forms an ideal package for aspiring data analysts aspiring to build a successful career in analytics/data science. By the end of this training, participants will acquire a 360-degree overview of business analytics and R by mastering concepts like data exploration, data visualization, predictive analytics, etc
2. According to marketsandmarkets.com, the advanced analytics market will be worth $29.53 Billion by 2019
3. Wired.com points to a report by Glassdoor that the average salary of a data scientist is $118,709
4. Randstad reports that pay hikes in the analytics industry are 50% higher than IT
The Data Science with R is recommended for:
1. IT professionals looking for a career switch into data science and analytics
2. Software developers looking for a career switch into data science and analytics
3. Professionals working in data and business analytics
4. Graduates looking to build a career in analytics and data science
5. Anyone with a genuine interest in the data science field
6. Experienced professionals who would like to harness data science in their fields
Learn more at: https://www.simplilearn.com/
This document provides an overview of time series analysis and forecasting using neural networks. It discusses key concepts like time series components, smoothing methods, and applications. Examples are provided on using neural networks to forecast stock prices and economic time series. The agenda covers introduction to time series, importance, components, smoothing methods, applications, neural network issues, examples, and references.
This document provides an overview of time series analysis. It defines a time series as numerical data obtained at regular time intervals that occurs in many domains like economics and finance. The goals of time series analysis are to describe, summarize, fit models to, and forecast time series data. Time series are different from other data as observations are not independent. The document discusses the various components of time series including trends, seasonality, cycles, and irregular variations. It provides examples of decomposing time series into these components to better understand the underlying patterns in the data.
This document discusses time series analysis. It defines a time series as values of a variable ordered over time. Examples of time series include climate data, financial data, and demographic data. Time series analysis is important for understanding past behavior, predicting the future, evaluating programs, and facilitating comparisons. Components of a time series include trends, cyclic variations, seasonal variations, and irregular variations. Several methods are discussed for measuring and decomposing these components, including moving averages, least squares, and seasonal indices.
Time series forecasting involves analyzing sequential data measured over time. A time series can be univariate (containing a single variable) or multivariate (containing multiple variables). It can also be continuous or discrete. Key components of time series include trends, cyclical variations, seasonal variations, and irregular variations. Time series analysis involves fitting a model to the data. Stationarity, where the statistical properties do not depend on time, is required for forecasting. Common forecasting models include ARMA, ARIMA, and SARIMA stochastic models as well as artificial neural networks and support vector machines. Each approach has strengths for modeling nonlinear relationships and generalizing to make predictions.
1) To understand the underlying structure of Time Series represented by sequence of observations by breaking it down to its components.
2) To fit a mathematical model and proceed to forecast the future.
The document discusses steps for identifying and building ARIMA models for time series data. It describes ARIMA models as consisting of three components - identification, estimation, and diagnostic checking. For identification, it explains how to determine the p, d, and q values by examining the autocorrelation and partial autocorrelation functions of stationary differenced time series data. It then discusses using the method of moments to estimate ARIMA model parameters by equating sample statistics to population parameters.
The document discusses different components of time series data including trends, seasonal variations, cyclical fluctuations, and irregular components. It explains that a time series is a collection of observations made over time and can be decomposed into secular trends, periodic changes, and random components. Various methods for measuring trends in time series data are also presented such as graphic, semi-average, curve fitting, and moving average methods.
TIME SERIES ANALYSIS USING ARIMA MODEL FOR FORECASTING IN R (PRACTICAL)Laud Randy Amofah
Time series refers to a set of observations on a particular variable recorded in time sequence. This time sequence or space can be hourly, daily, weekly, monthly, quarterly or yearly. The dataset that will be used is the daily-minimum-temperatures-in-me.csv you can download it from Kaggle. The libraries that will be used for the model in time series are series and forecast.
This document defines time series and its components. A time series is a set of observations recorded over successive time intervals. It has four main components: trend, seasonality, cycles, and irregular variations. Trend refers to the overall increasing or decreasing tendency over time. Seasonality refers to predictable changes that occur around the same time each year. Cycles have periods longer than a year. Irregular variations are random fluctuations. The document also discusses methods for analyzing time series components including additive, multiplicative, and mixed models.
Time Series basic concepts and ARIMA family of models. There is an associated video session along with code in github: https://github.com/bhaskatripathi/timeseries-autoregressive-models
https://drive.google.com/file/d/1yXffXQlL6i4ufQLSpFFrJgymhHNXL1Mf/view?usp=sharing
Businesses use forecasting extensively to make predictions such as demand, capacity, budgets and revenue. Among these different forecasting models identifying seasonal patterns in data can go a long way by providing seasonal insights to the business decision makers so that they can strategist for seasonal effects.
This document discusses time series analysis. It defines a time series as a collection of observations made sequentially over time. Examples include financial, scientific, demographic, and meteorological time series data. The document contrasts time series data with cross-sectional data. It also describes the components of a time series, including trends, seasonal variations, cyclical variations, and irregular/random variations. The purposes and uses of time series analysis are discussed, along with methods for decomposing and measuring trends in time series data.
This document provides an overview of time series analysis and its key components. It discusses that a time series is a set of data measured at successive times joined together by time order. The main components of a time series are trends, seasonal variations, cyclical variations, and irregular variations. Time series analysis is important for business forecasting, understanding past behavior, and facilitating comparison. There are two main mathematical models used - the additive model which assumes data is the sum of its components, and the multiplicative model which assumes data is the product of its components. Decomposition of a time series involves discovering, measuring, and isolating these different components.
This presentation educates you about R - Time Series Analysis with its Following description parameters using basic syntax, The Time series chart, Different Time Intervals and Multiple Time Series with The Multiple Time series chart.
For more topics stay tuned with Learnbay.
This document defines time series and provides examples of time series data. It discusses the components of time series, including trends, seasonal variations, cyclical variations, and random variations. Graphs of time series are presented, along with uses of time series analysis such as prediction and comparison. Mathematical models for time series analysis, including additive and multiplicative models, are also introduced.
Machine Learning Strategies for Time Series PredictionGianluca Bontempi
This document introduces machine learning strategies for time series prediction. It begins with an introduction to the speaker and his background and research interests. It then provides an outline of the topics to be covered, including notions of time series, machine learning approaches for prediction, local learning methods, forecasting techniques, and applications and future directions. The document discusses what the audience should know coming into the course and what they will learn.
This document discusses time series analysis and its key components. It begins by defining a time series as a sequence of data points measured over successive time periods. The four main components of a time series are identified as: 1) Trend - the long-term pattern of increase or decrease, 2) Seasonal variations - repeating patterns over 12 months, 3) Cyclical variations - fluctuations lasting more than a year, and 4) Irregular variations - unpredictable fluctuations. Two common methods for measuring trends are introduced as the moving average method and least squares method. Formulas and examples are provided for calculating trend values using these techniques.
This document provides an overview of time-series analysis and forecasting techniques. It discusses computing and interpreting index numbers, testing for randomness in time series, and identifying trend, seasonality, cyclical, and irregular components. It also covers smoothing-based forecasting models like moving averages and exponential smoothing, as well as autoregressive and autoregressive integrated moving average models. The goal is for readers to be able to decompose time series data into its underlying components and apply appropriate forecasting methods.
The document provides an overview of time series analysis. It defines a time series as numerical data obtained at regular time intervals that can be analyzed to describe patterns, fit models, and make forecasts. Time series are different from other data because observations are not independent. The document discusses the key components of time series, including trend, seasonal variation, cyclical variation, and irregular variation. It also covers techniques for smoothing time series data, such as moving averages, and measuring seasonal effects through seasonal indices. The overall goal of time series analysis is to understand and separate out the different variations in a time series to better predict future trends.
This document introduces time series analysis. It defines a time series as a sequence of data points organized in time order. Time series analysis is used for applications like economic forecasting, stock market analysis, demand planning, and anomaly detection. The document describes the key components of time series as trends, seasonality, and residuals. It also differentiates between additive, multiplicative, and pseudoadditive time series models. Finally, it discusses how to decompose time series using methods in Python.
This document provides an overview of time series analysis techniques including moving average (MA) models, exponential smoothing, and ARMA models. It describes the key components of MA models including the MA(q) notation and theoretical properties. Exponential smoothing is presented as a weighted moving average for smoothing and short-term forecasting. The ARMA model is introduced as combining autoregressive and moving average terms to model a time series.
Time series analysis involves collecting past observations of a variable to develop a model that can be used to forecast future values. The basic idea is that history can predict the future. A time series typically contains trend, seasonal, cyclical, and irregular components. Common time series models include exponential smoothing, Holt-Winters, and ARIMA. Exponential smoothing assigns more weight to recent observations. Holt-Winters extends exponential smoothing to account for trend and seasonality. ARIMA models past values and errors to forecast the future. Determining the appropriate ARIMA model requires identifying the degree of differencing needed to make the time series stationary.
This document discusses time series forecasting techniques in R, including stationarity, differencing time series to achieve stationarity, unit root tests, ARIMA models, and seasonal ARIMA models. It explains that ARIMA models combine autoregressive and moving average models and are denoted as ARIMA(p,d,q). It also introduces the auto.arima() function for automatically selecting ARIMA models in R.
Time series forecasting involves analyzing sequential data measured over time. A time series can be univariate (containing a single variable) or multivariate (containing multiple variables). It can also be continuous or discrete. Key components of time series include trends, cyclical variations, seasonal variations, and irregular variations. Time series analysis involves fitting a model to the data. Stationarity, where the statistical properties do not depend on time, is required for forecasting. Common forecasting models include ARMA, ARIMA, and SARIMA stochastic models as well as artificial neural networks and support vector machines. Each approach has strengths for modeling nonlinear relationships and generalizing to make predictions.
1) To understand the underlying structure of Time Series represented by sequence of observations by breaking it down to its components.
2) To fit a mathematical model and proceed to forecast the future.
The document discusses steps for identifying and building ARIMA models for time series data. It describes ARIMA models as consisting of three components - identification, estimation, and diagnostic checking. For identification, it explains how to determine the p, d, and q values by examining the autocorrelation and partial autocorrelation functions of stationary differenced time series data. It then discusses using the method of moments to estimate ARIMA model parameters by equating sample statistics to population parameters.
The document discusses different components of time series data including trends, seasonal variations, cyclical fluctuations, and irregular components. It explains that a time series is a collection of observations made over time and can be decomposed into secular trends, periodic changes, and random components. Various methods for measuring trends in time series data are also presented such as graphic, semi-average, curve fitting, and moving average methods.
TIME SERIES ANALYSIS USING ARIMA MODEL FOR FORECASTING IN R (PRACTICAL)Laud Randy Amofah
Time series refers to a set of observations on a particular variable recorded in time sequence. This time sequence or space can be hourly, daily, weekly, monthly, quarterly or yearly. The dataset that will be used is the daily-minimum-temperatures-in-me.csv you can download it from Kaggle. The libraries that will be used for the model in time series are series and forecast.
This document defines time series and its components. A time series is a set of observations recorded over successive time intervals. It has four main components: trend, seasonality, cycles, and irregular variations. Trend refers to the overall increasing or decreasing tendency over time. Seasonality refers to predictable changes that occur around the same time each year. Cycles have periods longer than a year. Irregular variations are random fluctuations. The document also discusses methods for analyzing time series components including additive, multiplicative, and mixed models.
Time Series basic concepts and ARIMA family of models. There is an associated video session along with code in github: https://github.com/bhaskatripathi/timeseries-autoregressive-models
https://drive.google.com/file/d/1yXffXQlL6i4ufQLSpFFrJgymhHNXL1Mf/view?usp=sharing
Businesses use forecasting extensively to make predictions such as demand, capacity, budgets and revenue. Among these different forecasting models identifying seasonal patterns in data can go a long way by providing seasonal insights to the business decision makers so that they can strategist for seasonal effects.
This document discusses time series analysis. It defines a time series as a collection of observations made sequentially over time. Examples include financial, scientific, demographic, and meteorological time series data. The document contrasts time series data with cross-sectional data. It also describes the components of a time series, including trends, seasonal variations, cyclical variations, and irregular/random variations. The purposes and uses of time series analysis are discussed, along with methods for decomposing and measuring trends in time series data.
This document provides an overview of time series analysis and its key components. It discusses that a time series is a set of data measured at successive times joined together by time order. The main components of a time series are trends, seasonal variations, cyclical variations, and irregular variations. Time series analysis is important for business forecasting, understanding past behavior, and facilitating comparison. There are two main mathematical models used - the additive model which assumes data is the sum of its components, and the multiplicative model which assumes data is the product of its components. Decomposition of a time series involves discovering, measuring, and isolating these different components.
This presentation educates you about R - Time Series Analysis with its Following description parameters using basic syntax, The Time series chart, Different Time Intervals and Multiple Time Series with The Multiple Time series chart.
For more topics stay tuned with Learnbay.
This document defines time series and provides examples of time series data. It discusses the components of time series, including trends, seasonal variations, cyclical variations, and random variations. Graphs of time series are presented, along with uses of time series analysis such as prediction and comparison. Mathematical models for time series analysis, including additive and multiplicative models, are also introduced.
Machine Learning Strategies for Time Series PredictionGianluca Bontempi
This document introduces machine learning strategies for time series prediction. It begins with an introduction to the speaker and his background and research interests. It then provides an outline of the topics to be covered, including notions of time series, machine learning approaches for prediction, local learning methods, forecasting techniques, and applications and future directions. The document discusses what the audience should know coming into the course and what they will learn.
This document discusses time series analysis and its key components. It begins by defining a time series as a sequence of data points measured over successive time periods. The four main components of a time series are identified as: 1) Trend - the long-term pattern of increase or decrease, 2) Seasonal variations - repeating patterns over 12 months, 3) Cyclical variations - fluctuations lasting more than a year, and 4) Irregular variations - unpredictable fluctuations. Two common methods for measuring trends are introduced as the moving average method and least squares method. Formulas and examples are provided for calculating trend values using these techniques.
This document provides an overview of time-series analysis and forecasting techniques. It discusses computing and interpreting index numbers, testing for randomness in time series, and identifying trend, seasonality, cyclical, and irregular components. It also covers smoothing-based forecasting models like moving averages and exponential smoothing, as well as autoregressive and autoregressive integrated moving average models. The goal is for readers to be able to decompose time series data into its underlying components and apply appropriate forecasting methods.
The document provides an overview of time series analysis. It defines a time series as numerical data obtained at regular time intervals that can be analyzed to describe patterns, fit models, and make forecasts. Time series are different from other data because observations are not independent. The document discusses the key components of time series, including trend, seasonal variation, cyclical variation, and irregular variation. It also covers techniques for smoothing time series data, such as moving averages, and measuring seasonal effects through seasonal indices. The overall goal of time series analysis is to understand and separate out the different variations in a time series to better predict future trends.
This document introduces time series analysis. It defines a time series as a sequence of data points organized in time order. Time series analysis is used for applications like economic forecasting, stock market analysis, demand planning, and anomaly detection. The document describes the key components of time series as trends, seasonality, and residuals. It also differentiates between additive, multiplicative, and pseudoadditive time series models. Finally, it discusses how to decompose time series using methods in Python.
This document provides an overview of time series analysis techniques including moving average (MA) models, exponential smoothing, and ARMA models. It describes the key components of MA models including the MA(q) notation and theoretical properties. Exponential smoothing is presented as a weighted moving average for smoothing and short-term forecasting. The ARMA model is introduced as combining autoregressive and moving average terms to model a time series.
Time series analysis involves collecting past observations of a variable to develop a model that can be used to forecast future values. The basic idea is that history can predict the future. A time series typically contains trend, seasonal, cyclical, and irregular components. Common time series models include exponential smoothing, Holt-Winters, and ARIMA. Exponential smoothing assigns more weight to recent observations. Holt-Winters extends exponential smoothing to account for trend and seasonality. ARIMA models past values and errors to forecast the future. Determining the appropriate ARIMA model requires identifying the degree of differencing needed to make the time series stationary.
This document discusses time series forecasting techniques in R, including stationarity, differencing time series to achieve stationarity, unit root tests, ARIMA models, and seasonal ARIMA models. It explains that ARIMA models combine autoregressive and moving average models and are denoted as ARIMA(p,d,q). It also introduces the auto.arima() function for automatically selecting ARIMA models in R.
El documento explica conceptos clave relacionados con modelos ARIMA y suavizado exponencial para pronósticos de series de tiempo. Explica que el suavizado exponencial no considera autocorrelaciones pero ARIMA sí mediante un modelo estadístico para la componente irregular que permite autocorrelaciones no nulas. También cubre conceptos como estacionariedad, diferenciación, función de autocorrelación y el test Dickey-Fuller para estacionariedad.
This document discusses forecasting gasoline prices in the United States using an ARIMA model. It provides background on gasoline, including its consumption and retail prices. The objective is to understand price volatility due to supply and demand constraints. Data on US gasoline prices from 1993-2014 is obtained from the EIA. After checking for stationarity and transforming the data, an ARIMA(1,1,3) model is identified as best. This model reveals gasoline prices are significantly related to past prices and unobserved factors. The validated model is used to forecast future gasoline prices.
Este documento presenta un índice general de una unidad sobre modelación matemática. Incluye temas como optimización de funciones de una y varias variables, gráficas, mínimos cuadrados, multiplicadores de Lagrange e integración. También cubre aplicaciones matemáticas a problemas de ingeniería como crecimiento de poblaciones, circuitos eléctricos, mecánica, resonancias y ecuaciones diferenciales. Finalmente, analiza aplicaciones específicas en diferentes ramas de la ingeniería como series de Fourier, ecuaciones de onda y
The document outlines auto-regressive (AR) processes of order p. It begins by introducing AR(p) processes formally and discussing white noise. It then derives the first and second moments of an AR(p) process. Specific details are provided about AR(1) and AR(2) processes, including equations for their variance as a function of the noise variance and AR coefficients. Examples of simulated AR(1) processes are shown for different coefficient values.
This document discusses methods for selecting the order of an autoregressive (AR) model. It explains that AR models depend only on previous outputs and have poles but no zeros. Several criteria for selecting the optimal AR model order are presented, including the Akaike Information Criterion (AIC) and Finite Prediction Error (FPE) criterion. Higher order models fit the data better but can introduce spurious peaks, so the goal is to minimize criteria like AIC or FPE to find the best balance. The document concludes that while these criteria provide guidance, the optimal order depends on the specific data, and inconsistencies can exist between the different methods.
This document provides an introduction to ARIMA (AutoRegressive Integrated Moving Average) models. It discusses key assumptions of ARIMA including stationarity. ARIMA models combine autoregressive (AR) terms, differences or integrations (I), and moving averages (MA). The document outlines the Box-Jenkins approach for ARIMA modeling including identifying a model through correlograms and partial correlograms, estimating parameters, and diagnostic checking to validate the model prior to forecasting.
This document discusses time series analysis and forecasting methods. It covers several key topics:
1. Time series decomposition which involves separating a time series into seasonal, trend, cyclical, and irregular components. Seasonal and trend components are then modeled and forecasts are made by recomposing these components.
2. Common forecasting techniques including exponential smoothing to reduce random variation, modeling seasonality using seasonal indices, and incorporating trends and cycles.
3. The process of time series forecasting which involves decomposing historical data, modeling each component, and recomposing forecasts by applying the component models to future periods. Accuracy and sources of error in forecasts are also discussed.
The document provides an overview of a time series analysis and forecasting course. It discusses key topics that will be covered including descriptive statistics, correlation, regression, hypothesis testing, clustering, time series analysis and forecasting techniques like TCSI and ARIMA models. It notes that the presentation serves as class notes and contains informal high-level summaries intended to aid the author, and encourages readers to check the website for updated versions of the document.
Time series analysis involves analyzing data collected over time. A time series is a set of data points indexed in time order. The key components of a time series are trends, seasonality, cycles, and irregular variations. Trend refers to the long-term movement of a time series over time. Seasonality refers to periodic fluctuations that occur each year, such as higher sales in winter. Cyclical variations are longer term fluctuations in business cycles. Irregular variations are random, unpredictable fluctuations. Time series analysis is important for forecasting, economic analysis, and business planning. Common methods for analyzing time series components include moving averages, least squares regression, decomposition models, and harmonic analysis.
Data Science - Part X - Time Series ForecastingDerek Kane
This lecture provides an overview of Time Series forecasting techniques and the process of creating effective forecasts. We will go through some of the popular statistical methods including time series decomposition, exponential smoothing, Holt-Winters, ARIMA, and GLM Models. These topics will be discussed in detail and we will go through the calibration and diagnostics effective time series models on a number of diverse datasets.
1) The document discusses time series analysis and forecasting of financial time series data. It covers topics like identifying patterns in time series data, various time series models including AR, MA, ARMA and ARIMA models.
2) The analysis of MRF monthly return data identified it as a stationary time series. The ACF and PACF plots suggested an ARIMA(1,0,1) model which was fitted to the data.
3) The parameters of the ARIMA(1,0,1) model were estimated with the constant at 0.03219, AR coefficient at 0.858689 and MA coefficient at 0.998545. This provided the best fit for modeling
This document discusses using bootstrap methods to create confidence intervals for time series forecasts. It provides examples of time series data and introduces the AR(1) model. The document describes an algorithm for calculating a bootstrap confidence interval for forecasting from an AR(1) model. It then discusses a simulation study comparing empirical coverage rates of bootstrap confidence intervals under different parameters. Finally, it applies the bootstrap method to forecasting Gross National Product growth, comparing the results to a parametric approach.
This document discusses using bootstrap methods to create confidence intervals for time series forecasts. It provides background on time series models and the autoregressive (AR) process. It then presents an algorithm for calculating a bootstrap confidence interval for forecasts from an AR(1) model. A simulation study compares coverage rates for bootstrap confidence intervals under different parameters. Finally, the method is applied to US Gross National Product data to forecast and construct confidence intervals.
Machiwal, D. y Jha, MK (2012). Modelado estocástico de series de tiempo. En A...SandroSnchezZamora
This document provides an overview of stochastic modelling and different stochastic processes that are commonly used, including:
- Purely random (white noise) processes where data points are independent and identically distributed
- Autoregressive (AR) processes where each data point is modeled as a linear combination of previous data points plus noise
- Moving average (MA) processes where each data point is modeled as a linear combination of previous noise terms plus a constant
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Research: Technology breakthroughs and their capabilities.
Industry: Areas of commercial application for AI and its business impact.
Politics: Regulation of AI, its economic implications and the evolving geopolitics of AI.
Safety: Identifying and mitigating catastrophic risks that highly-capable future AI systems could pose to us.
Predictions: What we believe will happen in the next 12 months and a 2022 performance review to keep us honest.
1. Time Series Analysis
Archit Gupta
September 10, 2016
Contents
Time Series Analysis 1
Fundamental concepts of time series 1
Time series summary functions 2
Some fundamental time series 2
White noise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Random walk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Stationarity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Stationary time series models 6
Moving average models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Autoregressive models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Autoregressive integrated moving average models . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Casestudy : Predicting intense earthquakes 11
Summary 16
Time Series Analysis
The processes that generates observations indexed by time, we refer to these models as time series models.
Classic examples of time series are stock market indexes, volume of sales of a company’s product over time,
and changing weather attributes such as temperature and rainfall during the year.
we will focus on univariate time series, that is to say, time series that involve monitoring how a single variable
fluctuates over time. To do this, we begin with some basic tools for describing time series, followed by an
overview of a number of fundamental examples.we will focus primarily on ARIMA models.
Fundamental concepts of time series
A time series is just a sequence of random variables, Y1, Y2, ., YT, indexed by an evenly spaced sequence of
points in time. Time series are ubiquitous in everyday life; we can observe the total amount of rainfall in
millimeters over yearly periods for consecutive years, the average daytime temperature over consecutive days,
the price of a particular share in the stock market at the close of every day of trading, or the total number of
patients in a doctor’s waiting room every half hour.
To analyze time series data, we use the concept of a stochastic process, which is just a sequence of random
variables that are generated via an underlying mechanism that is stochastic or random, as opposed to
deterministic.
1
2. Time series summary functions
• The mean function of a time series is the expected value of the time series at a particular time index,
t.In the general case, the mean of a time series at a particular time index t1 is not the same as the
mean of that time series at a different time index t2.
• The autocovariance function and autocorrelation function are two important functions that measure
the linear dependence between the random variables that make up the time series at different time
points. The autocorrelation function is commonly abbreviated to the ACF function. When the two
time indexes are the same, the autocovariance function is just the variance.
The variance and autocovariance functions are measured in squared units of the original time series output
units. Additionally, the autocovariance is a symmetric function, in that the same result is obtained if we
switch the two time indexes in the computation. The ACF function is also symmetric, but it is unitless and
its absolute value is bounded by the value 1. When the autocorrelation between two time indexes is 1 or -1,
there is a perfect linear dependence or correlation, whereas when the value is 0, then the two time indexes
are said to be uncorrelated.
Some fundamental time series
White noise
A basic but very important type of time series is known as discrete white noise, or simply white noise. In a
white noise time series, the random variables that are generated all have a mean of 0, finite and identical
variance ??w2, and the random variables at different time steps are uncorrelated with each other.
a white noise time series drawn from a normal distribution is known as Gaussian white noise. We can easily
generate some Gaussian white noise by sampling from a normal distribution with zero mean using the rnorm()
function:
set.seed(9571)
white_noise <- rnorm(100, mean = 0, sd = 3.0)
The following plot shows our generated Gaussian white noise series:
plot(white_noise, xlab="time", main = "Gaussian White Noice", type = "l")
2
3. 0 20 40 60 80 100
−8−6−4−20246
Gaussian White Noice
time
white_noise
Fitting a white noise time series
Suppose we have collected some time series data and want to know if our time series is actually a white noise
time series. One way to do this is to plot a correlogram. This is a graph that estimates the ACF function
for pairs of time steps that are k steps apart. For different values of k, known as the lag, we should see
zero correlation except for the case where k = 0. In this way, we are essentially testing for the uncorrelated
property, which is one of the defining characteristics of a white noise series. We can easily do this in R via
the acf() function:
acf(white_noise, main = "Gaussian White noice ACF Function")
3
4. 0 5 10 15 20
−0.20.20.40.60.81.0
Lag
ACF
Gaussian White noice ACF Function
Above is the ACF plot for the white noise series we generated earlier. The dotted lines show a 95 percent
confidence interval within which the value of the ACF function at a particular lag is not considered
statistically significant (greater than zero). These values in practice will not be exactly zero due to sampling
bias and in fact, we can reasonably expect to see 5 percent of them to be erroneously significant for a
correlogram of an actual white noise series.
The correlogram we plotted does indeed match our expectations, whereby only the value at a lag of 0 is
statistically significant. To fit our observed time series to a white noise series model, all we need is the
variance as this is the only parameter of a white noise series. We can estimate this directly via the var()
function, which gives a value very close to what we used to generate the sequence:
var(white_noise)
## [1] 9.862699
Random walk
A time series that is a random walk is a time series in which the differences between successive time points
are white noise. We can describe this process using a recurrence relation, that is to say, a relation in which a
term in the sequence is defined as a function of terms that occur earlier in the sequence.
Essentially, we can think of a random walk as a sequence that adjusts its current value by a positive or
negative amount according to a parallel white noise sequence.
To simulate a random walk in R, we essentially need a cumulative sum
set.seed(874234242)
random_walk <- cumsum(rnorm(100, mean = 0, sd = 3.0))
4
5. plot(random_walk, type = "l", xlab = "Time", main = "Random Walk")
0 20 40 60 80 100
1020304050
Random Walk
Time
random_walk
Fitting a random walk
A good way to see if a time series follows a random walk is to compute the successive differences between
terms. The time series that is comprised of these differences should be a white noise time series. Consequently,
were we to plot a correlogram of the latter, we should see the same kind of pattern characteristic of white
noise, namely a spike at lag 0 and no other significant spikes elsewhere.
To compute successive term differences in R, we use the diff() function:
acf(diff(random_walk), main = "Random Walk ACF Function")
5
6. 0 5 10 15
−0.20.20.40.60.81.0
Lag
ACF
Random Walk ACF Function
Stationarity
Stationarity essentially describes that the probabilistic behavior of a time series does not change with the
passage of time. There are two versions of the stationarity property that are commonly used. A stochastic
process is said to be strictly stationary when the joint probability distribution of a sequence of points starting
at time t, Yt, Yt+1, . . . , Yt+n, is the same as the joint probability distribution of another sequence of points
starting at a different time T, YT, YT+1, . . . , YT+n.
To be strictly stationary, this property must hold for any choice of time t and T, and for any sequence
length n. In particular, because we can choose n = 1, this means that the probability distributions of every
individual point in the sequence, also known as the univariate probabilities, must be the same. It follows,
therefore, that in a strictly stationary time series, the mean function is constant over time, as is the variance.
White noise is a stationary process as it has a constant mean, in this case of 0, and also a constant variance.
Note also that the x axis of the ACF plot displays the time lag k rather than the position in the sequence.
The random walk, on the other hand, does have a constant mean (not so in the case of the random walk
with drift however) but it has a time varying variance and so it is non-stationary.
Stationary time series models
Moving average models
A moving average (MA) process is a stochastic process in which the random variable at time step t is a linear
combination of the most recent (in time) terms of a white noise process.
6
7. In R, we can simulate MA processes (among others) using the arima.sim() function. To generate an MA
process, we will use the n parameter to specify the length of the series and the model parameter to specify
the parameters of the series we want to simulate. This, in turn, is a list in which we will set the vector of ??
coefficients in the ma attribute and the standard deviation of the white noise terms in the sd attribute.
set.seed(2357977)
ma_ts1 <- arima.sim(model = list(ma = c(0.84, 0.62), sd = 1.2), n = 1000)
head(ma_ts1, n = 8)
## [1] -2.403431159 -2.751889402 -2.174711499 -1.354482419 -0.814139443 0.009842499 -0.632004838 -0.035
The arima.sim() function returns the result of the simulation in a special time series object that R calls ts.
This object is useful for keeping track of some basic information about a time series and supports specialized
plots that are useful in time series analysis. According to what we learned in this section, the ACF plot of
this simulated time series should display two significant peaks at lags 1 and 2.
acf(ma_ts1, main = "ACF of an MA(2) process with coefficients 0.84 and 0.62")
0 5 10 15 20 25 30
0.00.20.40.60.81.0
Lag
ACF
ACF of an MA(2) process with coefficients 0.84 and 0.62
set.seed(2357977)
ma_ts1 <- arima.sim(model = list(ma = c(0.84, -0.62), sd = 1.2), n = 1000)
head(ma_ts1, n = 8)
## [1] -2.5324158 -2.2548188 0.4679743 -0.4701794 -0.4987769 0.8762283 -0.5457608 -0.6574361
acf(ma_ts1, main = "ACF of an MA(2) process with coefficients 0.84 and -0.62")
7
8. 0 5 10 15 20 25 30
−0.20.20.40.60.81.0
Lag
ACF
ACF of an MA(2) process with coefficients 0.84 and −0.62
Autoregressive models
Autoregressive models (AR) come about from the notion that we would like a simple model to explain
the current value of a time series in terms of a limited window of the most recent values from the past.
We will simulate an AR(1) process with the arima.sim() function again. This time, the coefficients of our
process are defined in the ar attribute inside the model list.
set.seed(634090)
ma_ts3 <- arima.sim(model = list(ar = c(0.74), sd = 1.2),n = 1000)
The following ACF plot shows the exponential decay in lag coefficients, which is what we expect for our
simulated AR(1) process:
acf(ma_ts3, main = "ACF of an AR(1) process with coefficient 0.74")
8
9. 0 5 10 15 20 25 30
0.00.20.40.60.81.0
Lag
ACF
ACF of an AR(1) process with coefficient 0.74
Note that with the moving average process, the ACF plot was useful in helping us identify the order of
the process. With an autoregressive process, this is not the case. To deal with this, we use the partial
autocorrelation function (PACF) plot instead. We define the partial autocorrelation at time lag, k, as the
correlation that results when we remove the effect of any correlations that are present for lags smaller than k.
By definition, the AR process of order p depends only on the values of the process up to p units of time in
the past.
Consequently, the PACF plot will exhibit zero values for all the lags greater than p, creating a parallel
situation with the ACF plot for an MA process where we can simply read off the order of an AR process as
the largest time lag whose PACF lag term is statistically significant. In R, we can generate the PACF plot
with the function pacf(). For our AR(1) process, this produces a plot with only one significant lag term as
expected:
pacf(ma_ts3, main = "PACF of an AR(1) process with coefficient 0.74")
9
10. 0 5 10 15 20 25 30
0.00.20.40.6
Lag
PartialACF
PACF of an AR(1) process with coefficient 0.74
# Non-stationary time series models
Autoregressive integrated moving average models
we can say that a dth order difference is obtained by repeatedly computing differences between consecutive
terms d times, to obtain a new sequence with points, Wt, from an original sequence, Yt.
autoregressive integrated moving average (ARIMA) process is a process in which the d order difference of
terms is a stationary ARMA process. An ARIMA(p, d, q) process requires a dth order differencing, has
an MA component of order q, and an AR component of order p. Thus, a regular ARMA(p, q) process is
equivalent to an ARIMA(p, 0, q) process. In order to fit an ARIMA model, we need to first determine an
appropriate value of d, namely the number of times we need to perform differencing. Once we have found
this, we can then proceed with fitting the differenced sequence using the same process as we would use with
an ARMA process.
One way to find a suitable value for d is to repeatedly difference a time series and after each application
of differencing to check whether the resulting time series is stationary. There are a number of tests for
stationarity that can be used, and these are often known as unit root tests. A good example is the Augmented
Dickey-Fuller (ADF) test
We can find an implementation of this test in the R package tseries via the function adf.test(). This assumes
a default value k equal to the largest integer that does not exceed the cube root of the length of the time
series under test. The ADF test produces a p-value for us to examine. Values that are smaller than 0.05 (or
a smaller cutoff such as 0.01 if we want a higher degree of confidence) are typically suggestive that the time
series in question is stationary.
The following example shows the results of running the ADF test on our simulated random walk, which we
know is non-stationary:
10
11. library(tseries)
adf.test(random_walk, alternative = "stationary")
##
## Augmented Dickey-Fuller Test
##
## data: random_walk
## Dickey-Fuller = -1.5881, Lag order = 4, p-value = 0.7473
## alternative hypothesis: stationary
As expected, our p-value is much higher than 0.05, indicating a lack of stationarity.
Casestudy : Predicting intense earthquakes
Our data set is a time series of earthquakes having magnitude that exceeds 4.0 on the Richter scale in Greece
over the period between the year 2000 and the year 2008. This data set was recorded by the Observatory
of Athens and is hosted on the website of the University of Athens, Faculty of Geology, Department of
Geophysics & Geothermics. The data is available online at *http://www.geophysics.geol.uoa.gr/catalog/
catgr_20002008.epi*
We will import these data directly by using the package RCurl. From this package, we will use the functions
getURL(), which retrieves the contents of a particular address on the Internet, and textConnection(), which
will interpret the result as raw text. Once we have the data, we provide meaningful names for the columns
using information from the website:
library("RCurl")
## Loading required package: bitops
seismic_raw <- read.table(textConnection(getURL("http://www.geophysics.geol.uoa.gr/catalog/catgr_2000200
names(seismic_raw) <- c("date", "mo", "day", "hr", "mn", "sec","lat", "long","depth", "mw")
head(seismic_raw, n = 3)
## date mo day hr mn sec lat long depth mw
## 1 2000 1 1 1 19 28.3 41.950N 20.63 5 4.8
## 2 2000 1 1 4 2 28.4 35.540N 22.76 22 3.7
## 3 2000 1 2 10 44 10.9 35.850N 27.61 3 3.7
The first column is the date column and the second is the month column. The next four columns represent the
day, hour, minute, and second that the earthquake was observed. The next two columns are the latitude and
longitude of the epicenter of the earthquake. The last two columns contain the surface depth and earthquake
intensity.
Our goal is to aggregate these data in order to get monthly counts of the significant earthquakes observed in
this time period. To achieve this, we can use the count() function of the R package plyr to aggregate the
data, and the standard ts() function to create a new time series. We will specify the starting and ending year
and month of our time series, as well as set the freq parameter to 12 to indicate monthly readings.
library("plyr")
seismic <- count(seismic_raw, c("date", "mo"))
seismic_ts <- ts(seismic$freq
, start = c(2000, 1)
,end = c(2008, 1)
, frequency = 12)
11
12. plot(seismic_ts
, type = "l"
, ylab = "Number of earthquake"
, main = "Earthquake in Greece in period 2000-2008 (Magnitude > 4.0)"
, col = "red")
Earthquake in Greece in period 2000−2008 (Magnitude > 4.0)
Time
Numberofearthquake
2000 2002 2004 2006 2008
20406080100120
The data seems to fluctuate around 30 with occasional peaks, and although the largest two of these are more
recent in time, there does not appear to be any overall upward trend.
We would like to analyze these data using an ARIMA model; however, at the same time, we are not sure what
values we should use for the order. A simple way that we can compute this ourselves is to obtain the AIC for
all the different models we would like to train and pick the model that has the smallest AIC. Concretely, we
will first begin by creating ranges of possible values for the order parameters p, d, and q. Next, we shall use
the expand.grid() function, which is a very useful function that will create a data frame with all the possible
combination of these parameters:
d <- 0 : 2
p <- 0 : 6
q <- 0 : 6
seismic_models <- expand.grid(d = d, p = p, q = q)
head(seismic_models, n = 4)
## d p q
## 1 0 0 0
## 2 1 0 0
## 3 2 0 0
## 4 0 1 0
12
13. Next, we define a function that fits an ARIMA model using a particular combination of order parameters
and returns the AIC produced:
getTSModelAIC <- function(ts_data, p, d, q) {
ts_model <- arima(ts_data, order = c(p, d, q))
return(ts_model$aic)
}
For certain combinations of order parameters, our function will produce an error if it fails to converge. When
this happens, we’ll want to report a value of infinity for the AIC value so that this model is not chosen when
we try to pick the best model. The following function acts as a wrapper around our previous function:
getTSModelAICSafe <- function(ts_data, p, d, q) {
result = tryCatch({
getTSModelAIC(ts_data, p, d, q)
}, error = function(e) {
Inf
})
}
All that remains is to apply this function on every parameter combination in our seismic_models data frame,
save the results, and pick the combination that gives us the lowest AIC:
seismic_models$aic <- mapply(function(x, y, z)
getTSModelAICSafe(seismic_ts, x, y, z)
, seismic_models$p
,seismic_models$d
, seismic_models$q)
## Warning in log(s2): NaNs produced
## Warning in arima(ts_data, order = c(p, d, q)): possible convergence problem: optim gave code = 1
## Warning in log(s2): NaNs produced
## Warning in arima(ts_data, order = c(p, d, q)): possible convergence problem: optim gave code = 1
## Warning in arima(ts_data, order = c(p, d, q)): possible convergence problem: optim gave code = 1
## Warning in arima(ts_data, order = c(p, d, q)): possible convergence problem: optim gave code = 1
subset(seismic_models,aic == min(aic))
## d p q aic
## 26 1 1 1 832.171
The results indicate that the most appropriate model for our earthquakes time series is the ARIMA(1, 1, 1)
model. We can train this model again with these parameters:
seismic_model <- arima(seismic_ts, order = c(1, 1, 1))
summary(seismic_model)
## Length Class Mode
## coef 2 -none- numeric
## sigma2 1 -none- numeric
## var.coef 4 -none- numeric
## mask 2 -none- logical
## loglik 1 -none- numeric
## aic 1 -none- numeric
## arma 7 -none- numeric
13
14. ## residuals 97 ts numeric
## call 3 -none- call
## series 1 -none- character
## code 1 -none- numeric
## n.cond 1 -none- numeric
## nobs 1 -none- numeric
## model 10 -none- list
The forecast package has a very useful forecasting function, forecast, that can be applied to time series
models. This, in turn, provides us with not only a convenient method to forecast values into the future, but
also allows us to visualize the result using the plot() function.
Let’s forecast the next ten points in the future:
library(forecast)
## Loading required package: zoo
##
## Attaching package: 'zoo'
## The following objects are masked from 'package:base':
##
## as.Date, as.Date.numeric
## Loading required package: timeDate
## This is forecast 7.2
plot(forecast(seismic_model, 10)
, main = "Forecast from ARIMA(1,1,1) on earthquake data")
14
15. Forecast from ARIMA(1,1,1) on earthquake data
2000 2002 2004 2006 2008
020406080100
The plot shows that our model predicts a small rise in the number of intense earthquakes over the next few
time periods and then predicts a steady average value. Note that the bands shown are confidence intervals
around these forecasts. The spiky nature of the time series is reflected in the width of these bands. If we
examine the autocorrelation function of our time series, we see that there is only one lag coefficient that is
statistically significant:
acf(seismic[3], main = "ACF of earthquake data")
15
16. 0 5 10 15
−0.20.20.40.60.81.0
Lag
ACF
ACF of earthquake data
The profile of the ACF indicates that a simple AR(1) process might be an appropriate fit, and indeed this is
what is predicted using the auto.arima() function of the forecast package.As a final note, we will add that if
we want to inspect the coefficients of our fitted model, we can do so using the coefficients() function.
coefficients(seismic_model)
## ar1 ma1
## 0.2948803 -0.9999997
Summary
We started off by looking at some properties of time series such as the autocorrelation function and saw
how this, along with the partial autocorrelation function, can provide important clues about the underlying
process involved.
Next, we introduced stationarity, which is a very useful property of some time series that in a nutshell says
that the statistical behavior of the underlying process does not change over time. We introduced white noise
as a stochastic process that forms the basis of many other processes. In particular, it appears in the random
walk process, the moving average (MA) process, as well as the autoregressive process (AR). These, in turn,
we saw can be combined to yield even more complex time series.
In order to handle the non-stationary case, we introduced the ARIMA process, which tries to render a time
series stationary through differencing.
16