Welcome to the course!

Time Series Analysis in R

David S. Matteson

Associate Professor at Cornell University

Introduction

Time Series: A sequence of data in chronological order.
Data is commonly recorded sequentially, over time.
Time series data is everywhere.

Time series example

Monthly values of the Consumer Price Index (CPI):

Time series data

Time series data is dated or time stamped in R.

print(BMW_data)

...
1996-07-08   0.002
1996-07-09  -0.006
1996-07-10  -0.016
1996-07-11  -0.020
1996-07-14  -0.006
1996-07-15  -0.014
1996-07-16   0.002
1996-07-17  -0.001
...

Time series plots

plot(Time_Series)

Basic time series models

White Noise (WN)
Random Walk (RW)
Autoregression (AR)
Simple Moving Average (MA)

¹ Throughout this course, you will not only be learning how to use R for time series analysis and forecasting, you will also learn several models for time series data. These include the white noise, random walk, autoregression, and simple moving average models.

Time series plots

Time Series Analysis in R