Introduction

Abstract

In attempts to understand the world around us, observations are frequently made sequentially over time. Values in the future depend, usually in a stochastic manner, on the observations available at present. Such dependence makes it worthwhile to predict the future from its past. Indeed, we will depict the underlying dynamics from which the observed data are generated and will therefore forecast and possibly control future events. This chapter introduces some examples of time series data and probability models for time series processes. It also gives a brief overview of the fundamental ideas that will be introduced in this book.