Time series
Topic of Dependence along a series, part of Time series
Time series
| Type | Topic |
| Taught in | Dependence along a series |
| Part | Time series |
| Questions using it | 1 |
Observations of one quantity in time order, X_1,X_2,\ldots,X_T. Neighbouring values are dependent, so a series is one realisation of a process, not an independent sample, and stationarity is what makes the dependence estimable.
In Dependence along a series
Clustered data are dependent because they share a block. A time series is dependent because it is ordered. Today’s observation can depend on yesterday’s observation, or on yesterday’s surprise. The aim is less “describe this sample” than “say what happens next”. A perfect fit to the past, with one parameter per time point, does not forecast.
Used in
- Taught in Dependence along a series
- Also used in Forecasting
- Questions that use it (1) — C42
- All 7 questions on Dependence along a series
See also
Stationarity of a time series · Wold decomposition · Autoregression and moving averages · Random walk with drift · White noise · Variogram · Gaussian process · Autocorrelation function