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Time Series and Forecasting

Time Series and Forecasting

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Published by trideepsahu

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Published by: trideepsahu on Sep 11, 2009
Copyright:Attribution Non-commercial

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09/21/2010

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1
Time Series and ForecastingTime Series
A time series is a sequence ofmeasurements over time, usually obtainedat equally spaced intervals
 –Daily –Monthly –Quarterly –Yearly
 
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Dow Jones Industrial Average
7000800090001000011000120001/3/00 5/3/00 9/3/00 1/3/01 5/3/01 9/3/01 1/3/02 5/3/02 9/3/02 1/3/03 5/3/03 9/3/03
Date
   C   l  o  s   i  n  g   V  a   l  u  e
Time Series Example
Components of a Time Series
Secular Trend
 –Linear –Nonlinear
Cyclical Variation
 –Rises and Falls over periods longer thanone year
Seasonal Variation
 –Patterns of change within a year, typicallyrepeating themselves
Residual Variation
 
3
Components of a Time Series
ttttt
Y=T+C+S+R
Time Series with Linear Trend
Y
t
= a + b t + e
t

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