Analysis of time series lecture notes

Everywhere when data are observed in a time ordered fashion. The main assumption underlying time series analysis is that the observation at time t, y t, is a realization of a random variable, y t. The observed y t are assumed to be the result of noise values. These lecture notes are an introduction to undergraduate real analysis. Just as in fourier analysis, where we decompose deterministic functions into combinations of sinusoids. Rcode in the notes so that you can replicate some of the results.

Arun kanda, department of mechanical engineering, iit delhi. Time series data occur naturally in many application areas. It is a random sequence fx tgrecorded in a time ordered fashion. We dont offer credit or certification for using ocw. Time series 1 method of least squares fitting of linear trend.

They cover the real numbers and onevariable calculus. Time series analysis comprises methods for analyzing time series data in order to extract some useful meaningful statistics and other characteristics of the data, while time series forecasting is the use of a model to predict future values based on previously observed values. Azencottdacunhacastelle and brockwelldavis are close to the core material treated in these notes. Lecture notes on univ ariate time series analysis and bo x jenkins f orecasting john f rain economic analysis researc h and publications april reprin ted with revisions jan uary. The notes may be updated throughout the lecture course. Tebbs department of statistics university of south carolina.

Stat 720 time series analysis lecture notes dewei wang. A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext. Lecture series on project and production management by prof. Look for trends, seasonal components, step changes, outliers. A first course on time series analysis institut fur mathematik. Freely browse and use ocw materials at your own pace. A time series model specifies the joint distribution of the sequence xt of random variables. Literature the following list is a small selection of books on time series analysis. Phillips spring 2002 time series econometrics ii unit roots and cointegration this course is about the econometric analysis of nonstationary data.

There are a number of things which are of interest in time series analysis. Stat 520 forecasting and time series fall, 20 lecture notes joshua m. Analysis of financial time series 3rd edition by ruey tsay wiley, 2010 my lecture slides are quite detailed and can be taken as another reading for the course. The notes may cover more material than the lectures. Use ocw to guide your own lifelong learning, or to teach others. Time series analysis is often performed after the data has been detrended. Time series analysis and forecasting statistics lecture.