Time Series Analysis

We now explore various methods for forecasting (i.e. predicting) the next value(s) in a time series. A time series is a sequence of observations y1, …, yn. We usually think of the subscripts as representing evenly spaced time intervals (seconds, minutes, months, seasons, years, etc.).

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For those of you doing financial analysis, the Deriscope website provides access to a wealth of free financial data to Excel.

4 Responses to Time Series Analysis

  1. Adi says:

    Hi Charles,

    Very nice blog.
    I was wondering whether you could help me understand lag removal in time series analysis. I am dealing with a time series data that has multiple parameters. I understand that we need to remove lag before any modeling is performed.

    Thanks
    Adi

  2. Mohammed Alsabbry says:

    Hi Charles,

    Have you published the time series analysis in a book.

    • Charles says:

      Mohammed,
      No I haven’t. I expect to publish the first of a series of books shortly. I plan to publish a book on time series analysis as well, but that won’t happen this year.
      Charles

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