The notes may be updated throughout the lecture course. These lecture notes are an introduction to undergraduate real analysis. 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. A first course on time series analysis institut fur mathematik. Look for trends, seasonal components, step changes, outliers.
Time series 1 method of least squares fitting of linear trend. 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. Time series analysis and forecasting statistics lecture. Time series analysis is often performed after the data has been detrended. The notes may cover more material than the lectures. A time series model specifies the joint distribution of the sequence xt of random variables. Stat 720 time series analysis lecture notes dewei wang. 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. Time series data occur naturally in many application areas. Everywhere when data are observed in a time ordered fashion. Rcode in the notes so that you can replicate some of the results. Literature the following list is a small selection of books on time series analysis. The course time series analysis is based on the book 7 and replaces our.
Just as in fourier analysis, where we decompose deterministic functions into combinations of sinusoids. Lecture series on project and production management by prof. Note that the standard notation does not distinguish between the random variable and a realization. Phillips spring 2002 time series econometrics ii unit roots and cointegration this course is about the econometric analysis of nonstationary data. 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. Freely browse and use ocw materials at your own pace. This section provides the lecture notes for the course, organized by lecture session and topic. There are a number of things which are of interest in time series analysis.
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. It is a random sequence fx tgrecorded in a time ordered fashion. They cover the real numbers and onevariable calculus. Use ocw to guide your own lifelong learning, or to teach others. We dont offer credit or certification for using ocw.
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