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Statistics LibreTexts

1: Basic Concepts in Time Series

The first chapter explains the basic notions and highlights some of the objectives of time series analysis. Section 1.1 gives several important examples, discusses their characteristic features and deduces a general approach to the data analysis. In Section 1.2, stationary processes are identified as a reasonably broad class of random variables which are able to capture the main features extracted from the examples. Finally, it is discussed how to treat deterministic trends and seasonal components in Sections 1.3 and 1.4, and how to assess the residuals in Section 1.5. Section 1.6 concludes.