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)

Time series plots

Time Series Analysis in R