Introduction to Time-Series Analysis
The chapter comprises a brief introduction to time-series analysis, which is also a central topic in different contexts. A time-series is simply a sequence of values produced by a stochastic system over time. Contrary to regression, which often operates with stateless systems, time-series are based on an evolution that is based on the memory of the underlying process. For example, the level of water in a tank can be modeled by a time-series because the changes can be fully described only knowing the initial conditions (for example, if the tank is half full, it could have been empty and then half-filled, or full and then half-emptied). In this chapter, we are going to briefly describe some techniques that allow us to model time-series and make predictions about future states.
In particular, we are going to discuss:
- The main concepts of stochastic processes and time-series
- Autocorrelation and smoothing
- AR, MA, ARMA, and ARIMA...