Techniques and Applications of Time Series Analysis

Included above are samples of notebooks demonstrating random process simulations, as well as implementations of time series analyses.

• bbm.ipynb: a two-dimensional branching Brownian motion simulation, including functions to compute density autocorrelation and particle clustering
• fft.ipynb: comparison of physical and Fourier space convolution methods on speed and accuracy
• pca.ipynb: a one-dimensional diffusion simulation, with an application of principal component analysis

This repository draws on work from Spring 2017 Time Series Analysis and Stochastic Processes.