Time Series

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Time series - Wikipedia, the free encyclopedia http://en.wikipedia.

org/wiki/Time_series

Time series
From Wikipedia, the free encyclopedia.

In statistics and signal processing, a time series is a sequence of data points, measured typically at successive times,
spaced apart at uniform time intervals. Time series analysis comprises methods that attempt to understand such time
series, often either to understand the underlying theory of the data points (where did they come from? what generated
them?), or to make forecasts (predictions). Time series prediction is the use of a model to predict future events based on
known past events: to predict future data points before they are measured. The standard example is the opening price of a
share of stock based on its past performance.

Models for time series data can have many forms. Two broad classes of practical importance are the moving average
(MA) models, and the autoregressive (AR) models. These two classes depend linearly on previous data points and are
treated in more detail in the article on autoregressive moving average models (ARMA). Non-linear dependence on
previous data points is of interest because of the possibility of producing a chaotic time series.

A number of different notations are in use for time-series analysis

is a common notation which specifies a time series X which is indexed by the natural numbers.

Tools for investigating time-series data include:

Consideration of the autocorrelation function and the spectral density function


Performing a Fourier transform to investigate the series in the frequency domain.
Use of a filter to remove unwanted noise.
Artificial neural networks
time-frequency analysis techniques:
Continuous wavelet transform
Short-time Fourier transform
Chirplet transform
Fractional Fourier transform
Chaotic analysis
Correlation dimension

See also
Linear prediction
Anomaly time series
Trend estimation
Prediction interval

Retrieved from "http://en.wikipedia.org/wiki/Time_series"

Categories: Stochastic processes

This page was last modified 08:13, 6 September 2005.


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1 of 1 9/10/2005 8:38 PM

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