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Time Series Analysis



Section 2 Correlation

3.5 Summary of important functions

Section 4 Basic Stochastic Models

Section 5 Regression

Section 6 Stationarity

Datasets (massey.ac.nz)


wine.dat #Australian wines

global.dat

CBE.dat #chocolate,Beer and electricity

Herald.dat #Carbon dioixde emissions at Herald Square, Manhattan.


Section 1

1.1 Purpose of Time Series Data

1.2 Time series

1.3 The R language

R can be insalled free of charge from www.r-project.org

An online guide "An Introduction to R" can be access by typing

help.start() at the command prompt to access this.

R is case sensitive.

A convention is to use define a variable name with a capital letter.

This reduces the chance of overwriting inbuild R functions, which are

usually written in lowercase letters.

Functions in R can be treated as "objects" that can be manipulated or

used recursively.

R shares many aspects with both Object orietnated and Functional

programming langguages.

all data in R is stored an objects, which have a range of "methods" available.

The "class" of an object can be found using the class() function.

1.4 Plots Trends and Seasonal Variation

dataset: Air Passengers

#########################

data(AirPassengers)

AP<-Air.Passengers

AP

######################################

plot(decompose(Elec.ts))

Elec.decom <- decompose(Elec.ts, type = "mult")

plot(Elec.decom)

Trend<-Elec.decom$trend

Seasonal<-Elec.decom$seasonal

ts.plot(cbind(Trend,Trend*Seasonal),lty =1:2)


Section 2 Correlation

Correllelograms

2.2.2 The ensemble and stationarity

The mean function of a time series model is a function of $t$.

(t) =E(xt)

2.2.3 ergodic series

2.2.5 Summary of useful function

cor

cov


Section 3 Forecasting strategies

3.3 The Bass Model

f(t) density

F(t)cumulative distribution function

h(t) hazard function

3.4 Exponential Smoothing and Holt-Winters

3.4.1. Exponential smoothing

3.5 Summary of important functions

nls()

predict()

coef()

ts.union() union of two time series analysis

The CCf

################################

ccf


Section 4 Basic Stochastic Models

4.3 Random Walks

xt=xt-1+wt

The backward shift operator

B.xt=xt-1

The differenceoperator


Section 5 Regression


Section 6 Stationarity


Section 7