Chapter 5. Time Series

Time series typically consist of a sequence of data points coming from measurements taken over time. This kind of data is very common and occurs in a multitude of fields.

A business executive is interested in stock prices, prices of goods and services or monthly sales figures. A meteorologist takes temperature measurements several times a day and also keeps records of precipitation, humidity, wind direction and force. A neurologist can use electroencephalography to measure electrical activity of the brain along the scalp. A sociologist can use campaign contribution data to learn about political parties and their supporters and use these insights as an argumentation aid. More examples for time series data can be enumerated almost endlessly.

Time series primer

In general, time series serve two purposes. First, they help us to learn about the underlying process that generated the data. On the other hand, we would like to be able to forecast future values of the...