Data obtained from observations collected sequentially over time are extremely common. In business, we observe weekly interest rates, daily closing stock prices, monthly price indices, yearly sales figures, and so forth. In meteorology, we observe daily high and low temperatures, annual precipitation and drought indices, and hourly wind speeds. In agriculture, we record annual figures for crop and livestock production, soil erosion, and export sales. In the biological sciences, we observe the electrical activity of the heart at millisecond intervals. In ecology, we record the abundance of an animal species. The list of areas in which time series are studied is virtually endless. The purpose of time series analysis is generally twofold: to understand or model the stochastic mechanism that gives rise to an observed series and to predict or forecast the future values of a series based on the history of that series and, possibly, other related series or factors.
This chapter will introduce a variety of examples of time series from diverse areas of application. A somewhat unique feature of time series and their models is that we usually cannot assume that the observations arise independently from a common population (or from populations with different means, for example). Studying models that incorporate dependence is the key concept in time series analysis.
KeywordsTime Series Soil Erosion Time Series Analysis Drought Index Color Property
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