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Time Series Analysis

The document discusses time-series analysis and its components. A time series is a series of data points indexed in time order. It can be measured at regular intervals like yearly, monthly, etc. The main components of a time series are trend, seasonality, cyclical patterns, and irregular/random fluctuations. Smoothing techniques like moving averages are used to identify these components by removing random noise from the data. The moving average is calculated by taking the average of the last few data points. This helps predict future values and identify underlying patterns in the time series.

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0% found this document useful (0 votes)
91 views25 pages

Time Series Analysis

The document discusses time-series analysis and its components. A time series is a series of data points indexed in time order. It can be measured at regular intervals like yearly, monthly, etc. The main components of a time series are trend, seasonality, cyclical patterns, and irregular/random fluctuations. Smoothing techniques like moving averages are used to identify these components by removing random noise from the data. The moving average is calculated by taking the average of the last few data points. This helps predict future values and identify underlying patterns in the time series.

Uploaded by

Josh Sada
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPT, PDF, TXT or read online on Scribd
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Time-Series Analysis

By: Danilo Singson Makiling, LPT, PPL, MM.PSM

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2
What is Time Series?
 Any variable that is measured over a
successive point of time.
 Numerical data obtained at regular time
intervals
 Yearly, Monthly, Quarterly, Daily, and
Hourly.

3
Time Series example
 Yearly numbers of enrollees
 Monthly number of Population
 Quarterly sales of a company product

4
What is the use of Time Series Analysis?

 We analyze time series to detect patterns.


 The patterns help in forecasting future
values of the time series
Time Series Plot
 The vertical axis measures the variable of interest
 The horizontal axis corresponds to the time periods

U.S. Inflation Rate


In f la t io n R a t e ( % )

16.00
14.00
12.00
10.00
8.00
6.00
4.00
2.00
0.00
1975

1977

1979

1981

1983

1991

1993

1995

1997

1999

2001
1985

1987

1989

Y e ar

6
Time-Series Components
Time-Series

Trend Seasonal Cyclical Irregular


Component Component Component Component

7
Trend Component
 Overall or persistent, long-term upward
or downward pattern of movement.
 Changes in Technology, Consumers
reference, Population.
 Observe in several years.

8
Trend Component

rd t rend
Sales U pw a

Time
9
Trend Component Pattern(continued)
 Trend can be upward or downward linear

Sales Sales

Time Time
Downward linear trend Upward linear trend
10
Trend Component Pattern
 Trend can be linear or non-linear

Sales
Sales

Time Time
Downward nonlinear trend Upward nonlinear trend
11
Trend Component Pattern
 No trend
 It has no consistent increase and decrease

Sales

Time
No trend
12
Seasonal Component
 Fairly regular periodic fluctuations.
 Weather conditions
 Social customs
 Observe within 12 months (Quarterly or
Monthly)
Seasonal Component

Sales Summer Summer


Season Season

Rainy Season Rainy Season

Repetition
of Pattern

14
Cyclical Component
 Repeated up and down swings
 Regularly occur but may vary in length
 Often measured by Peak (Prosperity) and
Contraction (Recession).
 Results of a long term factors influencing
economy.
Cyclical Component
Sales
Peak Peak

Contraction

Years
Irregular Component
 Unpredictable, random, “residual”
fluctuations
 Due to the following reasons:
 Strikes
 Hurricanes or any natural occurrences
 “Noise” in the time series
Irregular Component
Sales

Unpredictable

Time

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Smoothing Techniques
 To produce a better forecast we need to
determine which components are present in a
time series.
 To identify the components present in the
time series, we need first to remove the
random variation.
 This can be done by smoothing techniques.

19
Moving Averages
• The Term Moving indicates that as new
observation is available, it replace the old
observation.
• L or the Length to identify the integer value of the
average length of the data.

20
Moving Average: Example
Week Sales (1000s of
 12 Weeks Gallons)

Gasoline Sales 1 17
2 21
3 19
4 23
5 18
6 16
7 20
8 18
9 22
10 20
11 15
12 22

21
Moving Average: Gasoline Sales Graph

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Moving Average: Example
Week Sales (1000s of
Gallons)
MA(L) = S1 + S2 + S3
L 1 17
2 21
3 19
4 23
MA(3) = 17 + 21 + 19 = 19 5 18
6 16
3 7 20
8 18
9 22
10 20
11 15
12 22

23
Moving Average: 3 period
Week Sales (1000s of
Gallons)

1 17
2 21 3 period moving
3 19 average
4 23 19 (17+21+19)/3 = 19
5 18 21 (21+19+23)/3 = 21
6 16 20
7 20 19
8 18 18
9 22 18
10 20 20
11 15 20 Predicted Value
12 22 19
13 19
24
Moving Average: 3 period moving period
moving average graph

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