Chapter 4 Basic Time Series Analysis

The main purpose of all time series analysis is to quantify patterns in time ordered data. Sometimes these patterns can be derived from by fitting statistical models of change processes to the data, but such analyses will not be the topic of this chapter We will focus on time series analyses that can provide hints about the nature of the data generating process, and not test whether some known model will fit the data.

Most of the techniques we’ll discuss can be considered nonlinear time series analyses, we’ll start though by looking at the most important linear tools for studying temporal patterns (correlation functions).

First, here is some very important advice you should consider before you get started with time series analysis…