Time Series Analysis

readings

  • Ch. 3-5 of https://otexts.com/fpp3/decomposition.html
  • Ch. 2-5.3 of Shmueli, Galit, and Kenneth C. Lichtendahl. Practical Time Series Forecasting with R: A Hands-on Guide. Second edition. Erscheinungsort nicht ermittelbar: Axelrod Schnall Publishers, 2018.
  • 3-5 of Rob J., and George Athanasopoulos. Forecasting: Principles and Practice. Third print edition. Melbourne, Australia: Otexts, Online Open-Access Textbooks, 2021. https://otexts.com/fpp3/#.
  • ss 1.2, 1.8, 1.11, 1.3, 1.4, 1.5, 1.14, 1.15 of tsa3

  • Visualisation

  • Time Series Decomposition

    • Components (Trend, Cycle, Season)
    • Classical
      • Additive
      • Multiplicative
    • Decomposition by Statistical Agencies, we won't cover these
      • X-11
      • SEATS
    • STL Decomposition

  • Autocorrelation

    • ACF
    • PACF

  • Functions in Time Series

    • Mean and Variance
    • Covariance
    • Auto-Covariance
    • Autocorrelation

  • Processes

    • Stationary Time Series
    • White Noise
    • Random Walk
      • Drift
    • Moving Average
    • Auto Regressive

  • Simple Forecasting Methods

    • Naive Method
    • Mean Method
    • Residual Diagnostics 
      google_2015 |>
  model(NAIVE(Close)) |>
  gg_tsresiduals()

  • Checklist:

    • Merge old notes 06.docx
    • Merge Stoffer's TSA3
    • Merge Lecture Slides SP2020.pptx
      • Start with ~/Studies/Teaching/2023/Spring/Env_Info/environmental-informatics_private/New_Material/06/todo/6_Time Series and Autocorrelation (Wk 6)/Lecture 6.docx, much of the slides are built off that.
    • Merge fpp3