PPT11 Introduction to Time Series

PPT11 Introduction to Time Series - McGill University...

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McGill University Advanced Business Statistics MGSC-272
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Fall’09 Introduction to Time Series Read: Business Statistics (A Second Course) , Custom Edition for McGill University Chapter 9
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A time series is a collection of data obtained by observing a response variable at periodic points in time. If repeated observations on a variable produce a time series, the variable is called a time series variable . y t is used to denote the value of the variable at time t Time Series Data
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Longitudinal Studies (Time Series). .. The study of the evolution of a process over time It consists of: 1. Collecting measurements over time 2. Comparison of measurements from different time periods 3. Documentation of variation over time 4. Evaluation of change
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A Time Series Can Consist of Four Components: Trend (T) or Secular A long-term, relatively smooth pattern or direction demonstrated by the data Cyclical (C) A wavelike pattern exhibiting a long-term trend that is generally seen over a number of years Seasonal (S) A pattern that occurs over short repetitive calendar periods Random or Residual (R) The irregular changes in the time series that are not caused by any other component. It can hide the existence of other components
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Time Series Models Time series is usually expressed as an additive or multiplicative model. That is, y t = T t + C t + S t + R t or y t = T t × C t × S t × R t Trend Cyclical Seasonal Random
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Overview of Time Series Models
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Time Series Plots in Minitab
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Time Series Plots: Example 1: SALES35 data Retail sales in $1000 for Retail sales in $1000 for a Sporting Goods store. a Sporting Goods store.
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Example 2: Gasoline Sales (in 1000 litres) Time Period Year Quarters Sales 1 1 1 39 2 2 37 3 3 61 4 4 58 5 2 1 18 6 2 56 7 3 82 8 4 27 9 3 1 41 10 2 69 11 3 49 12 4 66 13 4 1 54 14 2 42 15 3 90 16 4 66
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Sequence (Time Series) Plot of Gas Sales 0 10 20 30 40 50 60 70 80 90 100 0 2 4 6 8 10 12 14 16 18 Sales (10 litres) Time Gasoline Sales
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PPT11 Introduction to Time Series - McGill University...

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