Time series

In mathematics, a time series is a series of data points indexed

(or listed or graphed) in time order. Most commonly, a time
series is a sequence taken at successive equally spaced points
in time. Thus it is a sequence of discrete-time data. Examples
of time series are heights of ocean tides, counts of sunspots,
and the daily closing value of the Dow Jones Industrial
Average.

A time series is very frequently plotted via a run chart (which is

a temporal line chart). Time series are used in statistics, signal
processing, pattern recognition, econometrics, mathematical
Time series: random data plus trend, with
finance, weather forecasting, earthquake prediction,
best-fit line and different applied filters
electroencephalography, control engineering, astronomy,
communications engineering, and largely in any domain of
applied science and engineering which involves temporal measurements.

Time series analysis comprises methods for analyzing time series data in order to extract meaningful
statistics and other characteristics of the data. Time series forecasting is the use of a model to predict future
values based on previously observed values. While regression analysis is often employed in such a way as
to test relationships between one or more different time series, this type of analysis is not usually called
"time series analysis", which refers in particular to relationships between different points in time within a
single series.

Time series data have a natural temporal ordering. This makes time series analysis distinct from cross-
sectional studies, in which there is no natural ordering of the observations (e.g. explaining people's wages
by reference to their respective education levels, where the individuals' data could be entered in any order).
Time series analysis is also distinct from spatial data analysis where the observations typically relate to
geographical locations (e.g. accounting for house prices by the location as well as the intrinsic
characteristics of the houses). A stochastic model for a time series will generally reflect the fact that
observations close together in time will be more closely related than observations further apart. In addition,
time series models will often make use of the natural one-way ordering of time so that values for a given
period will be expressed as deriving in some way from past values, rather than from future values (see time
reversibility).

Time series analysis can be applied to real-valued, continuous data, discrete numeric data, or discrete
symbolic data (i.e. sequences of characters, such as letters and words in the English language[1]).

Methods for analysis

Methods for time series analysis may be divided into two classes: frequency-domain methods and time-
domain methods. The former include spectral analysis and wavelet analysis; the latter include auto-
correlation and cross-correlation analysis. In the time domain, correlation and analysis can be made in a
filter-like manner using scaled correlation, thereby mitigating the need to operate in the frequency domain.
Additionally, time series analysis techniques may be divided into parametric and non-parametric methods.
The parametric approaches assume that the underlying stationary stochastic process has a certain structure
which can be described using a small number of parameters (for example, using an autoregressive or
moving average model). In these approaches, the task is to estimate the parameters of the model that
describes the stochastic process. By contrast, non-parametric approaches explicitly estimate the covariance
or the spectrum of the process without assuming that the process has any particular structure.

Methods of time series analysis may also be divided into linear and non-linear, and univariate and
multivariate.

Panel data
A time series is one type of panel data. Panel data is the general class, a multidimensional data set, whereas
a time series data set is a one-dimensional panel (as is a cross-sectional dataset). A data set may exhibit
characteristics of both panel data and time series data. One way to tell is to ask what makes one data record
unique from the other records. If the answer is the time data field, then this is a time series data set
candidate. If determining a unique record requires a time data field and an additional identifier which is
unrelated to time (e.g. student ID, stock symbol, country code), then it is panel data candidate. If the
differentiation lies on the non-time identifier, then the data set is a cross-sectional data set candidate.

Analysis
There are several types of motivation and data analysis available for time series which are appropriate for
different purposes.

Motivation

In the context of statistics, econometrics, quantitative finance, seismology, meteorology, and geophysics the
primary goal of time series analysis is forecasting. In the context of signal processing, control engineering
and communication engineering it is used for signal detection. Other applications are in data mining, pattern
recognition and machine learning, where time series analysis can be used for clustering,[2][3]
classification,[4] query by content,[5] anomaly detection as well as forecasting.[6]

Exploratory analysis

A straightforward way to examine a regular time series is manually

with a line chart. An example chart is shown on the right for
tuberculosis incidence in the United States, made with a spreadsheet
program. The number of cases was standardized to a rate per
100,000 and the percent change per year in this rate was calculated.
The nearly steadily dropping line shows that the TB incidence was
decreasing in most years, but the percent change in this rate varied
by as much as +/- 10%, with 'surges' in 1975 and around the early
Tuberculosis incidence US 1953-
1990s. The use of both vertical axes allows the comparison of two
2009
time series in one graphic.

A study of corporate data analysts found two challenges to

exploratory time series analysis: discovering the shape of interesting patterns, and finding an explanation for
these patterns.[7] Visual tools that represent time series data as heat map matrices can help overcome these
challenges.

Other techniques include:

Autocorrelation analysis to examine serial dependence

Spectral analysis to examine cyclic behavior which need not be related to seasonality. For
example, sunspot activity varies over 11 year cycles.[8][9] Other common examples include
celestial phenomena, weather patterns, neural activity, commodity prices, and economic
activity.
Separation into components representing trend, seasonality, slow and fast variation, and
cyclical irregularity: see trend estimation and decomposition of time series

Curve fitting

Curve fitting[10][11] is the process of constructing a curve, or mathematical function, that has the best fit to a
series of data points,[12] possibly subject to constraints.[13][14] Curve fitting can involve either
interpolation,[15][16] where an exact fit to the data is required, or smoothing,[17][18] in which a "smooth"
function is constructed that approximately fits the data. A related topic is regression analysis,[19][20] which
focuses more on questions of statistical inference such as how much uncertainty is present in a curve that is
fit to data observed with random errors. Fitted curves can be used as an aid for data visualization,[21][22] to
infer values of a function where no data are available,[23] and to summarize the relationships among two or
more variables.[24] Extrapolation refers to the use of a fitted curve beyond the range of the observed
data,[25] and is subject to a degree of uncertainty[26] since it may reflect the method used to construct the
curve as much as it reflects the observed data.

For processes that are expected to generally grow in magnitude one

of the curves in the graphic at right (and many others) can be fitted
by estimating their parameters.

The construction of economic time series involves the estimation of

some components for some dates by interpolation between values
("benchmarks") for earlier and later dates. Interpolation is
estimation of an unknown quantity between two known quantities
(historical data), or drawing conclusions about missing information
from the available information ("reading between the lines").[27]
Interpolation is useful where the data surrounding the missing data
is available and its trend, seasonality, and longer-term cycles are
known. This is often done by using a related series known for all Growth equations
relevant dates.[28] Alternatively polynomial interpolation or spline
interpolation is used where piecewise polynomial functions are fit
into time intervals such that they fit smoothly together. A different problem which is closely related to
interpolation is the approximation of a complicated function by a simple function (also called regression).
The main difference between regression and interpolation is that polynomial regression gives a single
polynomial that models the entire data set. Spline interpolation, however, yield a piecewise continuous
function composed of many polynomials to model the data set.
Extrapolation is the process of estimating, beyond the original observation range, the value of a variable on
the basis of its relationship with another variable. It is similar to interpolation, which produces estimates
between known observations, but extrapolation is subject to greater uncertainty and a higher risk of
producing meaningless results.

Function approximation

In general, a function approximation problem asks us to select a function among a well-defined class that
closely matches ("approximates") a target function in a task-specific way. One can distinguish two major
classes of function approximation problems: First, for known target functions, approximation theory is the
branch of numerical analysis that investigates how certain known functions (for example, special functions)
can be approximated by a specific class of functions (for example, polynomials or rational functions) that
often have desirable properties (inexpensive computation, continuity, integral and limit values, etc.).

Second, the target function, call it g, may be unknown; instead of an explicit formula, only a set of points (a
time series) of the form (x, g(x)) is provided. Depending on the structure of the domain and codomain of g,
several techniques for approximating g may be applicable. For example, if g is an operation on the real
numbers, techniques of interpolation, extrapolation, regression analysis, and curve fitting can be used. If the
codomain (range or target set) of g is a finite set, one is dealing with a classification problem instead. A
related problem of online time series approximation[29] is to summarize the data in one-pass and construct
an approximate representation that can support a variety of time series queries with bounds on worst-case
error.

To some extent, the different problems (regression, classification, fitness approximation) have received a
unified treatment in statistical learning theory, where they are viewed as supervised learning problems.

Prediction and forecasting

In statistics, prediction is a part of statistical inference. One particular approach to such inference is known
as predictive inference, but the prediction can be undertaken within any of the several approaches to
statistical inference. Indeed, one description of statistics is that it provides a means of transferring
knowledge about a sample of a population to the whole population, and to other related populations, which
is not necessarily the same as prediction over time. When information is transferred across time, often to
specific points in time, the process is known as forecasting.

Fully formed statistical models for stochastic simulation purposes, so as to generate

alternative versions of the time series, representing what might happen over non-specific
time-periods in the future
Simple or fully formed statistical models to describe the likely outcome of the time series in
the immediate future, given knowledge of the most recent outcomes (forecasting).
Forecasting on time series is usually done using automated statistical software packages
and programming languages, such as Julia, Python, R, SAS, SPSS and many others.
Forecasting on large scale data can be done with Apache Spark using the Spark-TS library,
a third-party package.[30]

Classification
Assigning time series pattern to a specific category, for example identify a word based on series of hand
movements in sign language.

Signal estimation

This approach is based on harmonic analysis and filtering of signals in the frequency domain using the
Fourier transform, and spectral density estimation, the development of which was significantly accelerated
during World War II by mathematician Norbert Wiener, electrical engineers Rudolf E. Kálmán, Dennis
Gabor and others for filtering signals from noise and predicting signal values at a certain point in time. See
Kalman filter, Estimation theory, and Digital signal processing

Segmentation

Splitting a time-series into a sequence of segments. It is often the case that a time-series can be represented
as a sequence of individual segments, each with its own characteristic properties. For example, the audio
signal from a conference call can be partitioned into pieces corresponding to the times during which each
person was speaking. In time-series segmentation, the goal is to identify the segment boundary points in the
time-series, and to characterize the dynamical properties associated with each segment. One can approach
this problem using change-point detection, or by modeling the time-series as a more sophisticated system,
such as a Markov jump linear system.

Models
Models for time series data can have many forms and represent different stochastic processes. When
modeling variations in the level of a process, three broad classes of practical importance are the
autoregressive (AR) models, the integrated (I) models, and the moving average (MA) models. These three
classes depend linearly on previous data points.[31] Combinations of these ideas produce autoregressive
moving average (ARMA) and autoregressive integrated moving average (ARIMA) models. The
autoregressive fractionally integrated moving average (ARFIMA) model generalizes the former three.
Extensions of these classes to deal with vector-valued data are available under the heading of multivariate
time-series models and sometimes the preceding acronyms are extended by including an initial "V" for
"vector", as in VAR for vector autoregression. An additional set of extensions of these models is available
for use where the observed time-series is driven by some "forcing" time-series (which may not have a
causal effect on the observed series): the distinction from the multivariate case is that the forcing series may
be deterministic or under the experimenter's control. For these models, the acronyms are extended with a
final "X" for "exogenous".

Non-linear dependence of the level of a series on previous data points is of interest, partly because of the
possibility of producing a chaotic time series. However, more importantly, empirical investigations can
indicate the advantage of using predictions derived from non-linear models, over those from linear models,
as for example in nonlinear autoregressive exogenous models. Further references on nonlinear time series
analysis: (Kantz and Schreiber),[32] and (Abarbanel)[33]

Among other types of non-linear time series models, there are models to represent the changes of variance
over time (heteroskedasticity). These models represent autoregressive conditional heteroskedasticity
(ARCH) and the collection comprises a wide variety of representation (GARCH, TARCH, EGARCH,
FIGARCH, CGARCH, etc.). Here changes in variability are related to, or predicted by, recent past values
of the observed series. This is in contrast to other possible representations of locally varying variability,
where the variability might be modelled as being driven by a separate time-varying process, as in a doubly
stochastic model.
In recent work on model-free analyses, wavelet transform based methods (for example locally stationary
wavelets and wavelet decomposed neural networks) have gained favor. Multiscale (often referred to as
multiresolution) techniques decompose a given time series, attempting to illustrate time dependence at
multiple scales. See also Markov switching multifractal (MSMF) techniques for modeling volatility
evolution.

A Hidden Markov model (HMM) is a statistical Markov model in which the system being modeled is
assumed to be a Markov process with unobserved (hidden) states. An HMM can be considered as the
simplest dynamic Bayesian network. HMM models are widely used in speech recognition, for translating a
time series of spoken words into text.

Notation

A number of different notations are in use for time-series analysis. A common notation specifying a time
series X that is indexed by the natural numbers is written

X = (X1, X2, ...).

Another common notation is

Y = (Yt: t ∈ T),

where T is the index set.

Conditions

There are two sets of conditions under which much of the theory is built:

Stationary process
Ergodic process

Ergodicity implies stationarity, but the converse is not necessarily the case. Stationarity is usually classified
into strict stationarity and wide-sense or second-order stationarity. Both models and applications can be
developed under each of these conditions, although the models in the latter case might be considered as
only partly specified.

In addition, time-series analysis can be applied where the series are seasonally stationary or non-stationary.
Situations where the amplitudes of frequency components change with time can be dealt with in time-
frequency analysis which makes use of a time–frequency representation of a time-series or signal.[34]

Tools

Tools for investigating time-series data include:

Consideration of the autocorrelation function and the spectral density function (also cross-
correlation functions and cross-spectral density functions)
Scaled cross- and auto-correlation functions to remove contributions of slow components[35]
Performing a Fourier transform to investigate the series in the frequency domain
Discrete, continuous or mixed spectra of time series, depending on whether the time series
contains a (generalized) harmonic signal or not
 Use of a filter to remove unwanted noise
Principal component analysis (or empirical orthogonal function analysis)
Singular spectrum analysis
"Structural" models:
General State Space Models
Unobserved Components Models
Machine Learning
Artificial neural networks
Support vector machine
Fuzzy logic
Gaussian process
Genetic Programming
Gene expression programming
Hidden Markov model
Multi expression programming
Queueing theory analysis
Control chart
Shewhart individuals control chart
CUSUM chart
EWMA chart
Detrended fluctuation analysis
Nonlinear mixed-effects modeling
Dynamic time warping[36]
Dynamic Bayesian network
Time-frequency analysis techniques:
Fast Fourier transform
Continuous wavelet transform
Short-time Fourier transform
Chirplet transform
Fractional Fourier transform
Chaotic analysis
Correlation dimension
Recurrence plots
Recurrence quantification analysis
Lyapunov exponents
Entropy encoding

Measures

Time series metrics or features that can be used for time series classification or regression analysis:[37]

Univariate linear measures

 Moment (mathematics)
Spectral band power
Spectral edge frequency
Accumulated Energy (signal processing)
Characteristics of the autocorrelation function
Hjorth parameters
FFT parameters
Autoregressive model parameters
Mann–Kendall test
Univariate non-linear measures
Measures based on the correlation sum
Correlation dimension
Correlation integral
Correlation density
Correlation entropy
Approximate entropy[38]
Sample entropy
Fourier entropyuk
Wavelet entropy
Dispersion entropy
Fluctuation dispersion entropy
Rényi entropy
Higher-order methods
Marginal predictability
Dynamical similarity index
State space dissimilarity measures
Lyapunov exponent
Permutation methods
Local flow
Other univariate measures
Algorithmic complexity
Kolmogorov complexity estimates
Hidden Markov Model states
Rough path signature[39]
Surrogate time series and surrogate correction
Loss of recurrence (degree of non-stationarity)
Bivariate linear measures
Maximum linear cross-correlation
Linear Coherence (signal processing)
Bivariate non-linear measures
Non-linear interdependence
Dynamical Entrainment (physics)
Measures for Phase synchronization
 Measures for Phase locking
Similarity measures:[40]
Cross-correlation
Dynamic Time Warping[36]
Hidden Markov Models
Edit distance
Total correlation
Newey–West estimator
Prais–Winsten transformation
Data as Vectors in a Metrizable Space
Minkowski distance
Mahalanobis distance
Data as time series with envelopes
Global standard deviation
Local standard deviation
Windowed standard deviation
Data interpreted as stochastic series
Pearson product-moment correlation coefficient
Spearman's rank correlation coefficient
Data interpreted as a probability distribution function
Kolmogorov–Smirnov test
Cramér–von Mises criterion

Visualization
Time series can be visualized with two categories of chart: Overlapping Charts and Separated Charts.
Overlapping Charts display all-time series on the same layout while Separated Charts presents them on
different layouts (but aligned for comparison purpose)[41]

Overlapping charts
Braided graphs
Line charts
Slope graphs
GapChartfr

Separated charts
Horizon graphs
Reduced line chart (small multiples)
Silhouette graph
 Circular silhouette graph

See also
Anomaly time series
Chirp
Decomposition of time series
Detrended fluctuation analysis
Digital signal processing
Distributed lag
Estimation theory
Forecasting
Frequency spectrum
Hurst exponent
Least-squares spectral analysis
Monte Carlo method
Panel analysis
Random walk
Scaled correlation
Seasonal adjustment
Sequence analysis
Signal processing
Time series database (TSDB)
Trend estimation
Unevenly spaced time series

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Further reading
De Gooijer, Jan G.; Hyndman, Rob J. (2006). "25 Tears of Time Series Forecasting".
International Journal of Forecasting. Twenty Five Years of Forecasting. 22 (3): 443–473.
CiteSeerX 10.1.1.154.9227 (https://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.154.
9227). doi:10.1016/j.ijforecast.2006.01.001 (https://doi.org/10.1016%2Fj.ijforecast.2006.01.0
01). S2CID 14996235 (https://api.semanticscholar.org/CorpusID:14996235).
Box, George; Jenkins, Gwilym (1976), Time Series Analysis: forecasting and control, rev.
ed., Oakland, California: Holden-Day
Durbin J., Koopman S.J. (2001), Time Series Analysis by State Space Methods, Oxford
University Press.
Gershenfeld, Neil (2000), The Nature of Mathematical Modeling, Cambridge University
Press, ISBN 978-0-521-57095-4, OCLC 174825352 (https://www.worldcat.org/oclc/1748253
52)
Hamilton, James (1994), Time Series Analysis, Princeton University Press, ISBN 978-0-691-
04289-3
Priestley, M. B. (1981), Spectral Analysis and Time Series, Academic Press. ISBN 978-0-12-
564901-8
Shasha, D. (2004), High Performance Discovery in Time Series, Springer, ISBN 978-0-387-
00857-8
Shumway R. H., Stoffer D. S. (2017), Time Series Analysis and its Applications: With R
Examples (ed. 4), Springer, ISBN 978-3-319-52451-1
Weigend A. S., Gershenfeld N. A. (Eds.) (1994), Time Series Prediction: Forecasting the
Future and Understanding the Past. Proceedings of the NATO Advanced Research
Workshop on Comparative Time Series Analysis (Santa Fe, May 1992), Addison-Wesley.
Wiener, N. (1949), Extrapolation, Interpolation, and Smoothing of Stationary Time Series,
MIT Press.
Woodward, W. A., Gray, H. L. & Elliott, A. C. (2012), Applied Time Series Analysis, CRC
Press.
Auffarth, Ben (2021). Machine Learning for Time-Series with Python: Forecast, predict, and
detect anomalies with state-of-the-art machine learning methods (https://www.packtpub.com/
product/machine-learning-for-time-series-with-python/9781801819626) (1st ed.). Packt
Publishing. ISBN 978-1801819626. Retrieved 5 November 2021.

External links
Introduction to Time series Analysis (Engineering Statistics Handbook) (http://www.itl.nist.go
v/div898/handbook/pmc/section4/pmc4.htm) — A practical guide to Time series analysis.

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