Timeseries

FromWikipedia,thefreeencyclopedia

Atimeseriesisaseriesofdatapointsindexed(orlistedor
graphed)intimeorder.Mostcommonly,atimeseriesisasequence
takenatsuccessiveequallyspacedpointsintime.Thusitisa
sequenceofdiscretetimedata.Examplesoftimeseriesareheights
ofoceantides,countsofsunspots,andthedailyclosingvalueof
theDowJonesIndustrialAverage.
Timeseriesareveryfrequentlyplottedvialinecharts.Timeseries
areusedinstatistics,signalprocessing,patternrecognition,
econometrics,mathematicalfinance,weatherforecasting,
intelligenttransportandtrajectoryforecasting,[1]earthquake
prediction,electroencephalography,controlengineering,
astronomy,communicationsengineering,andlargelyinany
domainofappliedscienceandengineeringwhichinvolves
temporalmeasurements.

Timeseries:randomdataplustrend,with
bestfitlineanddifferentappliedfilters

Timeseriesanalysiscomprisesmethodsforanalyzingtimeseriesdatainordertoextractmeaningfulstatistics
andothercharacteristicsofthedata.Timeseriesforecastingistheuseofamodeltopredictfuturevalues
basedonpreviouslyobservedvalues.Whileregressionanalysisisoftenemployedinsuchawayastotest
theoriesthatthecurrentvaluesofoneormoreindependenttimeseriesaffectthecurrentvalueofanothertime
series,thistypeofanalysisoftimeseriesisnotcalled"timeseriesanalysis",whichfocusesoncomparing
valuesofasingletimeseriesormultipledependenttimeseriesatdifferentpointsintime.[2]
Timeseriesdatahaveanaturaltemporalordering.Thismakestimeseriesanalysisdistinctfromcrosssectional
studies,inwhichthereisnonaturalorderingoftheobservations(e.g.explainingpeople'swagesbyreferenceto
theirrespectiveeducationlevels,wheretheindividuals'datacouldbeenteredinanyorder).Timeseries
analysisisalsodistinctfromspatialdataanalysiswheretheobservationstypicallyrelatetogeographical
locations(e.g.accountingforhousepricesbythelocationaswellastheintrinsiccharacteristicsofthehouses).
Astochasticmodelforatimeserieswillgenerallyreflectthefactthatobservationsclosetogetherintimewill
bemorecloselyrelatedthanobservationsfurtherapart.Inaddition,timeseriesmodelswilloftenmakeuseof
thenaturalonewayorderingoftimesothatvaluesforagivenperiodwillbeexpressedasderivinginsome
wayfrompastvalues,ratherthanfromfuturevalues(seetimereversibility.)
Timeseriesanalysiscanbeappliedtorealvalued,continuousdata,discretenumericdata,ordiscretesymbolic
data(i.e.sequencesofcharacters,suchaslettersandwordsintheEnglishlanguage[3]).

Contents
1 Methodsfortimeseriesanalysis
2 TimeSeriesandPanelData
3 Analysis
3.1 Motivation
3.2 Exploratoryanalysis
3.3 Curvefitting
3.4 FunctionApproximation
3.5 Predictionandforecasting
3.6 Classification
3.7 Regressionanalysis
3.8 Signalestimation
3.9 Segmentation

3.9 Segmentation
4 Models
4.1 Notation
4.2 Conditions
4.3 Models
4.4 Measures
5 Visualization
5.1 OverlappingCharts
5.2 SeparatedCharts
6 Applications
7 Software
8 Seealso
9 References
10 Furtherreading
11 Externallinks

Methodsfortimeseriesanalysis
Methodsfortimeseriesanalysismaybedividedintotwoclasses:frequencydomainmethodsandtimedomain
methods.Theformerincludespectralanalysisandwaveletanalysisthelatterincludeautocorrelationand
crosscorrelationanalysis.Inthetimedomain,correlationandanalysescanbemadeinafilterlikemanner
usingscaledcorrelation,therebymitigatingtheneedtooperateinthefrequencydomain.
Additionally,timeseriesanalysistechniquesmaybedividedintoparametricandnonparametricmethods.The
parametricapproachesassumethattheunderlyingstationarystochasticprocesshasacertainstructurewhich
canbedescribedusingasmallnumberofparameters(forexample,usinganautoregressiveormovingaverage
model).Intheseapproaches,thetaskistoestimatetheparametersofthemodelthatdescribesthestochastic
process.Bycontrast,nonparametricapproachesexplicitlyestimatethecovarianceorthespectrumofthe
processwithoutassumingthattheprocesshasanyparticularstructure.
Methodsoftimeseriesanalysismayalsobedividedintolinearandnonlinear,andunivariateandmultivariate.

TimeSeriesandPanelData
AtimeseriesisonetypeofPaneldata.Paneldataisthegeneralclass,amultidimensionaldataset,whereasa
timeseriesdatasetisaonedimensionalpanel(asisacrosssectionaldataset).Adatasetmayexhibit
characteristicsofbothpaneldataandtimeseriesdata.Onewaytotellistoaskwhatmakesonedatarecord
uniquefromtheotherrecords.Iftheansweristhetimedatafield,thenthisisatimeseriesdatasetcandidate.If
determiningauniquerecordrequiresatimedatafieldandanadditionalidentifierwhichisunrelatedtotime
(studentID,stocksymbol,countrycode),thenitispaneldatacandidate.Ifthedifferentiationliesonthenon
timeidentifier,thenthedatasetisacrosssectionaldatasetcandidate.

Analysis
Thereareseveraltypesofmotivationanddataanalysisavailablefortimeserieswhichareappropriatefor
differentpurposesandetc.

Motivation
Inthecontextofstatistics,econometrics,quantitativefinance,seismology,meteorology,andgeophysicsthe
primarygoaloftimeseriesanalysisisforecasting.Inthecontextofsignalprocessing,controlengineeringand
communicationengineeringitisusedforsignaldetectionandestimation,whileinthecontextofdatamining,

patternrecognitionandmachinelearningtimeseriesanalysiscanbeusedforclustering,classification,queryby
content,anomalydetectionaswellasforecasting.

Exploratoryanalysis
Theclearestwaytoexaminearegulartimeseriesmanuallyiswitha
linechartsuchastheoneshownfortuberculosisintheUnitedStates,
madewithaspreadsheetprogram.Thenumberofcaseswas
standardizedtoarateper100,000andthepercentchangeperyearin
thisratewascalculated.Thenearlysteadilydroppinglineshowsthat
theTBincidencewasdecreasinginmostyears,butthepercentchange
inthisratevariedbyasmuchas+/10%,with'surges'in1975and
aroundtheearly1990s.Theuseofbothverticalaxesallowsthe
comparisonoftwotimeseriesinonegraphic.Othertechniquesinclude:

TuberculosisincidenceUS19532009

Autocorrelationanalysistoexamineserialdependence
Spectralanalysistoexaminecyclicbehaviorwhichneednotbe
relatedtoseasonality.Forexample,sunspotactivityvariesover11yearcycles.[4][5]Othercommon
examplesincludecelestialphenomena,weatherpatterns,neuralactivity,commodityprices,and
economicactivity.
Separationintocomponentsrepresentingtrend,seasonality,slowandfastvariation,andcyclical
irregularity:seetrendestimationanddecompositionoftimeseries

Curvefitting
Curvefitting[6][7]istheprocessofconstructingacurve,ormathematicalfunction,thathasthebestfittoa
seriesofdatapoints,[8]possiblysubjecttoconstraints.[9][10]Curvefittingcaninvolveeitherinterpolation,[11][12]
whereanexactfittothedataisrequired,orsmoothing,[13][14]inwhicha"smooth"functionisconstructedthat
approximatelyfitsthedata.Arelatedtopicisregressionanalysis,[15][16]whichfocusesmoreonquestionsof
statisticalinferencesuchashowmuchuncertaintyispresentinacurvethatisfittodataobservedwithrandom
errors.Fittedcurvescanbeusedasanaidfordatavisualization,[17][18]toinfervaluesofafunctionwhereno
dataareavailable,[19]andtosummarizetherelationshipsamongtwoormorevariables.[20]Extrapolationrefers
totheuseofafittedcurvebeyondtherangeoftheobserveddata,[21]andissubjecttoadegreeof
uncertainty[22]sinceitmayreflectthemethodusedtoconstructthecurveasmuchasitreflectstheobserved
data.
Theconstructionofeconomictimeseriesinvolvestheestimationofsomecomponentsforsomedatesby
interpolationbetweenvalues("benchmarks")forearlierandlaterdates.Interpolationisestimationofan
unknownquantitybetweentwoknownquantities(historicaldata),ordrawingconclusionsaboutmissing
informationfromtheavailableinformation("readingbetweenthelines").[23]Interpolationisusefulwherethe
datasurroundingthemissingdataisavailableanditstrend,seasonality,andlongertermcyclesareknown.This
isoftendonebyusingarelatedseriesknownforallrelevantdates.[24]Alternativelypolynomialinterpolationor
splineinterpolationisusedwherepiecewisepolynomialfunctionsarefitintotimeintervalssuchthattheyfit
smoothlytogether.Adifferentproblemwhichiscloselyrelatedtointerpolationistheapproximationofa
complicatedfunctionbyasimplefunction(alsocalledregression).Themaindifferencebetweenregressionand
interpolationisthatpolynomialregressiongivesasinglepolynomialthatmodelstheentiredataset.Spline
interpolation,however,yieldapiecewisecontinuousfunctioncomposedofmanypolynomialstomodelthe
dataset.
Extrapolationistheprocessofestimating,beyondtheoriginalobservationrange,thevalueofavariableonthe
basisofitsrelationshipwithanothervariable.Itissimilartointerpolation,whichproducesestimatesbetween
knownobservations,butextrapolationissubjecttogreateruncertaintyandahigherriskofproducing
meaninglessresults.

FunctionApproximation
Ingeneral,afunctionapproximationproblemasksustoselectafunctionamongawelldefinedclassthat
closelymatches("approximates")atargetfunctioninataskspecificway.Onecandistinguishtwomajor
classesoffunctionapproximationproblems:First,forknowntargetfunctionsapproximationtheoryisthe
branchofnumericalanalysisthatinvestigateshowcertainknownfunctions(forexample,specialfunctions)can
beapproximatedbyaspecificclassoffunctions(forexample,polynomialsorrationalfunctions)thatoften
havedesirableproperties(inexpensivecomputation,continuity,integralandlimitvalues,etc.).
Second,thetargetfunction,callitg,maybeunknowninsteadofanexplicitformula,onlyasetofpoints(a
timeseries)oftheform(x,g(x))isprovided.Dependingonthestructureofthedomainandcodomainofg,
severaltechniquesforapproximatinggmaybeapplicable.Forexample,ifgisanoperationonthereal
numbers,techniquesofinterpolation,extrapolation,regressionanalysis,andcurvefittingcanbeused.Ifthe
codomain(rangeortargetset)ofgisafiniteset,oneisdealingwithaclassificationprobleminstead.Arelated
problemofonlinetimeseriesapproximation[25]istosummarizethedatainonepassandconstructan
approximaterepresentationthatcansupportavarietyoftimeseriesquerieswithboundsonworstcaseerror.
Tosomeextentthedifferentproblems(regression,classification,fitnessapproximation)havereceivedaunified
treatmentinstatisticallearningtheory,wheretheyareviewedassupervisedlearningproblems.

Predictionandforecasting
Instatistics,predictionisapartofstatisticalinference.Oneparticularapproachtosuchinferenceisknownas
predictiveinference,butthepredictioncanbeundertakenwithinanyoftheseveralapproachestostatistical
inference.Indeed,onedescriptionofstatisticsisthatitprovidesameansoftransferringknowledgeabouta
sampleofapopulationtothewholepopulation,andtootherrelatedpopulations,whichisnotnecessarilythe
sameaspredictionovertime.Wheninformationistransferredacrosstime,oftentospecificpointsintime,the
processisknownasforecasting.
Fullyformedstatisticalmodelsforstochasticsimulationpurposes,soastogeneratealternativeversions
ofthetimeseries,representingwhatmighthappenovernonspecifictimeperiodsinthefuture
Simpleorfullyformedstatisticalmodelstodescribethelikelyoutcomeofthetimeseriesinthe
immediatefuture,givenknowledgeofthemostrecentoutcomes(forecasting).
Forecastingontimeseriesisusuallydoneusingautomatedstatisticalsoftwarepackagesand
programminglanguages,suchasR,S,SAS,SPSS,Minitab,Pandas(Python)andmanyothers.

Classification
Assigningtimeseriespatterntoaspecificcategory,forexampleidentifyawordbasedonseriesofhand
movementsinsignlanguage

Regressionanalysis
Estimatingfuturevalueofasignalbasedonitspreviousbehavior,e.g.predictthepriceofAAPLstockbased
onitspreviouspricemovementsforthathour,dayormonth,orpredictpositionofApollo11spacecraftata
certainfuturemomentbasedonitscurrenttrajectory(i.e.timeseriesofitspreviouslocations).[26]Regression
analysisisusuallybasedonstatisticalinterpretationoftimeseriespropertiesintimedomain,pioneeredby
statisticiansGeorgeBoxandGwilymJenkinsinthe1950s:seeBoxJenkins

Signalestimation
ThisapproachisbasedonharmonicanalysisandfilteringofsignalsinthefrequencydomainusingtheFourier
transform,andspectraldensityestimation,thedevelopmentofwhichwassignificantlyacceleratedduring
WorldWarIIbymathematicianNorbertWiener,electricalengineersRudolfE.Klmn,DennisGaborand

othersforfilteringsignalsfromnoiseandpredictingsignalvaluesatacertainpointintime.SeeKalmanfilter,
Estimationtheory,anddigitalsignalprocessing

Segmentation
Splittingatimeseriesintoasequenceofsegments.Itisoftenthecasethatatimeseriescanberepresentedasa
sequenceofindividualsegments,eachwithitsowncharacteristicproperties.Forexample,theaudiosignal
fromaconferencecallcanbepartitionedintopiecescorrespondingtothetimesduringwhicheachpersonwas
speaking.Intimeseriessegmentation,thegoalistoidentifythesegmentboundarypointsinthetimeseries,
andtocharacterizethedynamicalpropertiesassociatedwitheachsegment.Onecanapproachthisproblem
usingchangepointdetection,orbymodelingthetimeseriesasamoresophisticatedsystem,suchasaMarkov
jumplinearsystem.

Models
Modelsfortimeseriesdatacanhavemanyformsandrepresentdifferentstochasticprocesses.Whenmodeling
variationsinthelevelofaprocess,threebroadclassesofpracticalimportancearetheautoregressive(AR)
models,theintegrated(I)models,andthemovingaverage(MA)models.Thesethreeclassesdependlinearly
onpreviousdatapoints.[27]Combinationsoftheseideasproduceautoregressivemovingaverage(ARMA)and
autoregressiveintegratedmovingaverage(ARIMA)models.Theautoregressivefractionallyintegratedmoving
average(ARFIMA)modelgeneralizestheformerthree.Extensionsoftheseclassestodealwithvectorvalued
dataareavailableundertheheadingofmultivariatetimeseriesmodelsandsometimestheprecedingacronyms
areextendedbyincludinganinitial"V"for"vector",asinVARforvectorautoregression.Anadditionalsetof
extensionsofthesemodelsisavailableforusewheretheobservedtimeseriesisdrivenbysome"forcing"
timeseries(whichmaynothaveacausaleffectontheobservedseries):thedistinctionfromthemultivariate
caseisthattheforcingseriesmaybedeterministicorundertheexperimenter'scontrol.Forthesemodels,the
acronymsareextendedwithafinal"X"for"exogenous".
Nonlineardependenceofthelevelofaseriesonpreviousdatapointsisofinterest,partlybecauseofthe
possibilityofproducingachaotictimeseries.However,moreimportantly,empiricalinvestigationscanindicate
theadvantageofusingpredictionsderivedfromnonlinearmodels,overthosefromlinearmodels,asfor
exampleinnonlinearautoregressiveexogenousmodels.Furtherreferencesonnonlineartimeseriesanalysis:
(KantzandSchreiber),[28]and(Abarbanel)[29]
Amongothertypesofnonlineartimeseriesmodels,therearemodelstorepresentthechangesofvarianceover
time(heteroskedasticity).Thesemodelsrepresentautoregressiveconditionalheteroskedasticity(ARCH)and
thecollectioncomprisesawidevarietyofrepresentation(GARCH,TARCH,EGARCH,FIGARCH,
CGARCH,etc.).Herechangesinvariabilityarerelatedto,orpredictedby,recentpastvaluesoftheobserved
series.Thisisincontrasttootherpossiblerepresentationsoflocallyvaryingvariability,wherethevariability
mightbemodelledasbeingdrivenbyaseparatetimevaryingprocess,asinadoublystochasticmodel.
Inrecentworkonmodelfreeanalyses,wavelettransformbasedmethods(forexamplelocallystationary
waveletsandwaveletdecomposedneuralnetworks)havegainedfavor.Multiscale(oftenreferredtoas
multiresolution)techniquesdecomposeagiventimeseries,attemptingtoillustratetimedependenceatmultiple
scales.SeealsoMarkovswitchingmultifractal(MSMF)techniquesformodelingvolatilityevolution.
AHiddenMarkovmodel(HMM)isastatisticalMarkovmodelinwhichthesystembeingmodeledisassumed
tobeaMarkovprocesswithunobserved(hidden)states.AnHMMcanbeconsideredasthesimplestdynamic
Bayesiannetwork.HMMmodelsarewidelyusedinspeechrecognition,fortranslatingatimeseriesofspoken
wordsintotext.

Notation

Anumberofdifferentnotationsareinusefortimeseriesanalysis.Acommonnotationspecifyingatimeseries
Xthatisindexedbythenaturalnumbersiswritten
X={X1,X2,...}.
Anothercommonnotationis
Y={Yt:tT},
whereTistheindexset.

Conditions
Therearetwosetsofconditionsunderwhichmuchofthetheoryisbuilt:
Stationaryprocess
Ergodicprocess
However,ideasofstationaritymustbeexpandedtoconsidertwoimportantideas:strictstationarityandsecond
orderstationarity.Bothmodelsandapplicationscanbedevelopedundereachoftheseconditions,althoughthe
modelsinthelattercasemightbeconsideredasonlypartlyspecified.
Inaddition,timeseriesanalysiscanbeappliedwheretheseriesareseasonallystationaryornonstationary.
Situationswheretheamplitudesoffrequencycomponentschangewithtimecanbedealtwithintimefrequency
analysiswhichmakesuseofatimefrequencyrepresentationofatimeseriesorsignal.[30]

Models
Thegeneralrepresentationofanautoregressivemodel,wellknownasAR(p),is

wherethetermtisthesourceofrandomnessandiscalledwhitenoise.Itisassumedtohavethefollowing
characteristics:

Withtheseassumptions,theprocessisspecifieduptosecondordermomentsand,subjecttoconditionsonthe
coefficients,maybesecondorderstationary.
Ifthenoisealsohasanormaldistribution,itiscallednormalorGaussianwhitenoise.Inthiscase,theAR
processmaybestrictlystationary,againsubjecttoconditionsonthecoefficients.

Toolsforinvestigatingtimeseriesdatainclude:
Considerationoftheautocorrelationfunctionandthespectraldensityfunction(alsocrosscorrelation
functionsandcrossspectraldensityfunctions)
Scaledcrossandautocorrelationfunctionstoremovecontributionsofslowcomponents[31]
PerformingaFouriertransformtoinvestigatetheseriesinthefrequencydomain
Useofafiltertoremoveunwantednoise

Principalcomponentanalysis(orempiricalorthogonalfunctionanalysis)
Singularspectrumanalysis
"Structural"models:
GeneralStateSpaceModels
UnobservedComponentsModels
MachineLearning
Artificialneuralnetworks
SupportVectorMachine
FuzzyLogic
GaussianProcesses
HiddenMarkovmodel
QueueingTheoryAnalysis
Controlchart
Shewhartindividualscontrolchart
CUSUMchart
EWMAchart
Detrendedfluctuationanalysis
Dynamictimewarping[32]
Crosscorrelation[33]
DynamicBayesiannetwork
Timefrequencyanalysistechniques:
FastFourierTransform
Continuouswavelettransform
ShorttimeFouriertransform
Chirplettransform
FractionalFouriertransform
Chaoticanalysis
Correlationdimension
Recurrenceplots
Recurrencequantificationanalysis
Lyapunovexponents
Entropyencoding

Measures
Timeseriesmetricsorfeaturesthatcanbeusedfortimeseriesclassificationorregressionanalysis:[34]
Univariatelinearmeasures
Moment(mathematics)
Spectralbandpower
Spectraledgefrequency
AccumulatedEnergy(signalprocessing)
Characteristicsoftheautocorrelationfunction
Hjorthparameters
FFTparameters
Autoregressivemodelparameters
MannKendalltest
Univariatenonlinearmeasures
Measuresbasedonthecorrelationsum
Correlationdimension
Correlationintegral
Correlationdensity
Correlationentropy
Approximateentropy[35]
Sampleentropy
Fourierentropy
Waveletentropy

Rnyientropy
Higherordermethods
Marginalpredictability
Dynamicalsimilarityindex
Statespacedissimilaritymeasures
Lyapunovexponent
Permutationmethods
Localflow
Otherunivariatemeasures
Algorithmiccomplexity
Kolmogorovcomplexityestimates
HiddenMarkovModelstates
Surrogatetimeseriesandsurrogatecorrection
Lossofrecurrence(degreeofnonstationarity)
Bivariatelinearmeasures
Maximumlinearcrosscorrelation
LinearCoherence(signalprocessing)
Bivariatenonlinearmeasures
Nonlinearinterdependence
DynamicalEntrainment(physics)
MeasuresforPhasesynchronization
MeasuresforPhaselocking
Similaritymeasures:[36]
Crosscorrelation
DynamicTimeWarping[32]
HiddenMarkovModels
Editdistance
Totalcorrelation
NeweyWestestimator
PraisWinstentransformation
DataasVectorsinaMetrizableSpace
Minkowskidistance
Mahalanobisdistance
DataasTimeSerieswithEnvelopes
GlobalStandardDeviation
LocalStandardDeviation
WindowedStandardDeviation
DataInterpretedasStochasticSeries
Pearsonproductmomentcorrelationcoefficient
Spearman'srankcorrelationcoefficient
DataInterpretedasaProbabilityDistributionFunction
KolmogorovSmirnovtest
CramrvonMisescriterion

Visualization
Timeseriescanbevisualizedwithtwocategoriesofchart:OverlappingChartsandSeparatedCharts.
OverlappingChartsdisplayalltimeseriesonthesamelayoutwhileSeparatedChartspresentsthemon
differentlayouts(butalignedforcomparisonpurpose)[37]

OverlappingCharts
BraidedGraphs
LineCharts
SlopeGraphs
GapChart

SeparatedCharts
HorizonGraphs
ReducedLineCharts(smallmultiples)
SilhouetteGraph
CircularSilhouetteGraph

Applications
Fractalgeometry,usingadeterministicCantorstructure,isusedtomodelthesurfacetopography,whererecent
advancementsinthermoviscoelasticcreepcontactofroughsurfacesareintroduced.Variousviscoelastic
idealizationsareusedtomodelthesurfacematerials,forexample,Maxwell,KelvinVoigt,StandardLinear
SolidandJeffreymedia.Asymptoticpowerlaws,throughhypergeometricseries,wereusedtoexpressthe
surfacecreepasafunctionofremoteforces,bodytemperaturesandtime.[38]

Software
WorkingwithTimeSeriesdataisarelativelycommonuseforstatisticalanalysissoftware.Asaresultofthis,
therearemanyofferingsbothcommercialandopensource.Someexamplesinclude:
CRANsupplementarystatisticspackageforR[39]
AnalysisandForecastingwithWeka[40]
PredictivemodelingwithGMDHShell[41]
FunctionsandModelingintheWolframLanguage[42]
TimeSeriesObjectsinMATLAB[43]
SAS/ETSinSASsoftware[44]
ExpertModelerinIBMSPSSStatisticsandIBMSPSSModeler
AutomaticTimeseriesForecastingwithLDT[45]
EViewsisastatisticalpackageforWindows,usedmainlyfortimeseriesorientedeconometricanalysis.

Seealso
Anomalytimeseries
Chirp
Decompositionoftimeseries
Detrendedfluctuationanalysis
Digitalsignalprocessing
Distributedlag
Estimationtheory
Forecasting
Hurstexponent
MonteCarlomethod

Panelanalysis
Randomwalk
Scaledcorrelation
Seasonaladjustment
Sequenceanalysis
Signalprocessing
Trendestimation
Unevenlyspacedtimeseries
Timeseriesdatabase

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www.mathworks.com.Retrieved20160707.

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Furtherreading
Box,GeorgeJenkins,Gwilym(1976),TimeSeriesAnalysis:forecastingandcontrol,rev.ed.,Oakland,
California:HoldenDay
CowpertwaitP.S.P.,MetcalfeA.V.(2009),IntroductoryTimeSerieswithR,Springer.
DurbinJ.,KoopmanS.J.(2001),TimeSeriesAnalysisbyStateSpaceMethods,OxfordUniversityPress.
Gershenfeld,Neil(2000),TheNatureofMathematicalModeling,CambridgeUniversityPress,
ISBN9780521570954,OCLC174825352
Hamilton,James(1994),TimeSeriesAnalysis,PrincetonUniversityPress,ISBN0691042896
Priestley,M.B.(1981),SpectralAnalysisandTimeSeries,AcademicPress.ISBN9780125649018
Shasha,D.(2004),HighPerformanceDiscoveryinTimeSeries,Springer,ISBN0387008578
ShumwayR.H.,Stoffer(2011),TimeSeriesAnalysisanditsApplications,Springer.
WeigendA.S.,GershenfeldN.A.(Eds.)(1994),TimeSeriesPrediction:ForecastingtheFutureand
UnderstandingthePast.ProceedingsoftheNATOAdvancedResearchWorkshoponComparativeTime
SeriesAnalysis(SantaFe,May1992),AddisonWesley.
Wiener,N.(1949),Extrapolation,Interpolation,andSmoothingofStationaryTimeSeries,MITPress.
Woodward,W.A.,Gray,H.L.&Elliott,A.C.(2012),AppliedTimeSeriesAnalysis,CRCPress.

Externallinks
Timeseries(https://www.encyclopediaofmath.org/index.php/Time_series)atEncyclopaediaof
Mathematics.
AFirstCourseonTimeSeriesAnalysis(http://statistik.mathematik.uniwuerzburg.de/timeseries/)An
opensourcebookontimeseriesanalysiswithSAS.
IntroductiontoTimeseriesAnalysis(EngineeringStatisticsHandbook)(http://www.itl.nist.gov/div898/h
andbook/pmc/section4/pmc4.htm)ApracticalguidetoTimeseriesanalysis.
MATLABToolkitforComputationofMultipleMeasuresonTimeSeriesDataBases(http://www.jstatsof
t.org/v33/i05/paper).
AMatlabtutorialonpowerspectra,waveletanalysis,andcoherence(https://www.nbtwiki.net/doku.php?
id=tutorial:power_spectra_wavelet_analysis_and_coherence)onwebsitewithmanyothertutorials.
TimeVizsurvey(http://survey.timeviz.net/:)
GaussianProcessesforMachineLearning:Bookwebpage(http://www.gaussianprocess.org/gpml/)
CRANTimeSeriesTaskViewTimeSeriesinR(https://cran.rproject.org/web/views/TimeSeries.html)
TimeSeriesAnalysiswithPandas(http://earthpy.org/pandasbasics.html)
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