Time Series and Forecasting

Time series data is very common. This makes time series data analysis an important and highly relevant topic. It also means that time series analysis is an enormous topic and one that we can’t fully cover here – see point 1 in the Notes and further reading section at the end of the chapter. Consequently, our focus in this chapter will be on introducing and explaining the key math concepts that are at the heart of any time series data. These concepts are also what underpin the dominant classical approach to time series modeling – ARIMA modeling. Therefore, we will unapologetically focus overwhelmingly on introducing and explaining ARIMA models. This is not to say that there aren’t alternative time series modeling techniques out there. However, any well-founded time series modeling technique has to deal with the core concepts that ARIMA modeling focuses on. Therefore, ARIMA modeling serves as a concise and useful way of explaining...