The focus of this chapter was on understanding the fundamental tools that are useful in studying time series. Time series analysis is a very large field, but in this brief synopsis, we explored the basic concepts that are essential to further study. We started off by looking at some properties of time series such as the autocorrelation function and saw how this, along with the partial autocorrelation function, can provide important clues about the underlying process involved.
Next, we introduced stationarity, which is a very useful property of some time series that in a nutshell says that the statistical behavior of the underlying process does not change over time. We introduced white noise as a stochastic process that forms the basis of many other processes. In particular, it appears in the random walk process, the moving average (MA) process, as well as the autoregressive process (AR). These, in turn, we saw can be combined to yield even more complex time series.
In order to handle...
