Definition of Time Series

11/22/23, 12:00 PM Introduction to Time Series: Trend, Seasonality, Stationarity, Autocovariance | Module 4: Time Series | Data Analysis: Statistical
sis: Statistical Modeling and Computation in Applications | edX
MITx 6.419x Help

Data Analysis: Statistical Modeling and Computation in Applications
Course Progress Dates Discussion Resources
Course / Module 4: Time… / Introduction to Time Series: Trend, Seasonality, Stationari…

Previous Next
2. Definition of time series
Bookmark this page
https://learning.edx.org/course/course-v1:MITx+6.419x+2T2023/block-v1:MITx+6.419x+2T2023+type@sequential+block@timeseries_lec1/block-v1:MITx+6.419x+2T2023+type@vertical+block@timeseries_lec1-tab2 1/6
11/22/23, 12:00 PM Introduction to Time Series: Trend, Seasonality, Stationarity, Autocovariance | Module 4: Time Series | Data Analysis: Statistical Modeling and Computation in Applications | edX
Exercises due Nov 8, 2023 05:59 CST Completed

Definition of a time series
We'll talk about the important topic of
stationarity
and how we can make a time series
more stationary.
And then we'll talk more about
autocorrelation,
a very important concept, and how
this can actually help
us analyze time series.
 So let's think more formally, what is
actually a time series?
So formally, a time series is really
a collection of observations of
random variables
that is indexed in time.
So for example, if I take temperature
every day,
then temperature today, temperature
 0:00 / 0:00  1.0x     tomorrow,
all of these will be my measurements.
Video Transcripts
 Download video file 
Download SubRip (.srt) file
 Download Text (.txt) file
A time series is a special kind of statistical data, specifically, it is a collection of numerical measurements, called
observations
that are indexed by a time stamp . These time stamps must form a deterministic sequence and be
regularly spaced in time with equal intervals between any two adjacent stamps. For the purposes of statistical
inferences with these data, the observations are modeled mathematically as realizations of a corresponding
series (i.e., sequence) of random variables
that are defined on some common probability space . As with other types of statistical data, what is
observed by the statistician is a particular outcome of a specialized probability model:
for an outcome in some probability space .

The probability model is such that we have one random variable for each time stamp and one observation for
each random variable. All these random variables are defined on a common probability space, so we can speak
of probabilities of joint events that involve any number of these random variables. The realizations come from
the real world where they occur sequentially in time in the order of the time stamp index , so that is
observed before . Also, the observations arrive at a fixed time interval, so that the time that elapses
between observing and is the same for all .
Dependence in Time Series

The most important feature of time series data is that we make no assumption about independence of these
random variables. Recall that independence was our fundamental assumption in the context of cross-section
data that are obtained by random sampling from a fixed population, which we studied in e.g. 18.6501x. In fact,
most time series data are dependent , typically because past realizations influence future observations through
the nature of the real world phenomenon that produces these data. It is fair to say, that the main goal of time-
series analysis is to first model and then estimate from data (guided by the model) the dependence structure of
these random variables.
Statistical dependence in a time series is a double-edged sword. On the one hand, dependence helps us make
predictions about the future realizations from knowledge of the past realizations. E.g., if yesterday was warm,
today will probably be warm as well. On the other hand, dependence poses technical challenges in the
distributional analysis of estimators. This is because there is effectively less statistical information in dependent
data about the data generating process, as compared to the case of independent observations. E.g., the basic
laws of large numbers and central limit theorems do not even apply!
To gain some intuition for our discussion of time series, consider the following examples:
Economic data: stock prices, inflation rate, GDP, employment rate, interest rate, exchange rates;
Biometric data: heart rate, blood pressure, weight, fMRI;
Environmental data: temperature, precipitation, pressure, humidity, pollution;
Sound data: speech, music;
In all these examples, as well as in a general time series, data take the form of discrete measurements of a real
world phenomena that evolves continuously in time. A general probabilistic model to describe such phenomena
is called a stochastic process , which is simply a collection of random variables indexed by either a
continuous or discrete time parameter . So, a time series data set can be thought of as a single realization of a
stochastic process. Each random variable has a marginal distribution . The process as a whole
also has a probability law, which can be thought of as the joint distribution of all the 's. (Interestingly, this joint
distribution of the entire process, whether continuous or discrete, is completely characterized by the collection
of all the finite-dimensional marginal distributions of random vectors where ranges
over all integers and time indexes range over all distinct time stamps.)
Definition of time series

1/1 point (graded)
What is a time series?
A collection of realizations of one random variable (i.e. identically and independently distributed copies
of this random variable) at random points in time.
A collection of realizations of one random variable (i.e. identically and independently distributed copies
of this random variable) at equally spaced points in time.
A collection of realizations of distinct random variables (i.e. a different random variable at each time
index) at random points in time.
A collection of realizations of distinct random variables (i.e. a different random variable at each time
index) at equally spaced points in time.

Solution:
The last option is correct A time series is a collection of many distinct and dependent random variables There is
11/22/23, 12:00 PM
The last option is correct. A time series is a collection of many distinct and dependent random variables. There is
Introduction to Time Series: Trend, Seasonality, Stationarity, Autocovariance | Module 4: Time Series | Data Analysis: Statistical Modeling and Computation in Applications | edX
one random variable for each time stamp. The time stamps form a regular deterministic sequence, i.e. an
arithmetic progression.
Submit You have used 2 of 3 attempts
 Answers are displayed within the problem
Definition of time series I

1/1 point (graded)
For each example of data below, decide if it is a time series or not. (Select all time series.)
Prices of all stocks that are traded on a particular exchange at a particular moment in time.
Prices of a particular stock, say IBM, recorded at the closing of each day over several weeks.
Price limits of buy orders that arrive at a particular stock exchange throughout the day.
Temperatures recorded at different locations around the world at the same point in time.
Temperatures recorded at the same location and the same time every day over a year.
Temperatures of patients that are admitted to an emergency room.

Solution:
The first choice is not a time series because the indexes of the observations (and their corresponding random
variables) are not time stamps. This is an example of cross-section data.
The second choice is a time series, because the data are indexed by a time stamp. Note that these time stamps
are separated by a fixed number of trading hours (9.30 a.m. to 4 p.m. Eastern time for the U.S. stock market).
The third choice is not a time series because the time interval between two consecutive orders on a stock
exchange is itself a random variable. However, if we take the time parameter to be the order number, rather than
the actual physical time (e.g. the number of milliseconds since the opening of the trading day), then we do have
a time series.
The fourth choice is not a time series data because the indexes are locations, not time stamps. This is an
example of spatial data.
The fifth choice is a time series.
The sixth choice is not a time series because the intervals between arrivals of two consecutive patients is
random. Also, a time series would typically be a measurement taken from the same physical process, e.g. the
same patient, rather than independent physical processes.
Definition of time series

1/1 point (graded)
Suppose is a time series . How many observations of the random variable do you expect to
have in the dataset?
1 observation
100 observations
50 observations

Solution:
A time series is a collection of 100 distinct random variables. This means that s can have
different marginal distributions, and an arbitrary dependence structure. Since there is only one copy of , and
we observe only a single realization of the time series (because we cannot go back in time and replay the history
of the real world), there is typically only one single observation of in a time series data set.
Property of time series

0/1 point (graded)
Think about the examples of time series in the problem “Definition of time series" above. Which of the following
statements are true for these time series examples?
and are copies of the same random variable.
and are independent.
and are independent.
The time interval that elapsed between the observations of and were collected is the same as
the time interval that elapsed between observing realizations of and
and are necessarily correlated.
and are possibly correlated.
and are likely to be stronger correlated than and .

Discussion Hide Discussion

Topic: Module 4: Time Series:Introduction to Time Series: Trend, Seasonality,
Stationarity, Autocovariance / 2. Definition of time series
Add a Post
Previous Next
All Rights Reserved
edX
About
Affiliates
edX for Business
Open edX
Careers
News
Legal
Terms of Service & Honor Code
Privacy Policy
Accessibility Policy
Trademark Policy
Sitemap
Cookie Policy
Your Privacy Choices
Connect
Idea Hub
Contact Us
Help Center
Security
Media Kit
© 2023 edX LLC. All rights reserved.

深圳市恒宇博科技有限公司粤ICP备17044299号-2

Definition of Time Series

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Definition of Time Series

Uploaded by

Copyright:

Available Formats

11/22/23, 12:00 PM Introduction to Time Series: Trend, Seasonality, Stationarity, Autocovariance | Module 4: Time Series | Data Analysis: Statistical

sis: Statistical Modeling and Computation in Applications | edX

MITx 6.419x Help

Course / Module 4: Time… / Introduction to Time Series: Trend, Seasonality, Stationari…

Exercises due Nov 8, 2023 05:59 CST Completed

for an outcome in some probability space .

Dependence in Time Series

Definition of time series

Submit You have used 2 of 3 attempts

 Answers are displayed within the problem

Definition of time series I

Submit You have used 3 of 3 attempts

 Answers are displayed within the problem

Definition of time series

Submit You have used 1 of 3 attempts

 Answers are displayed within the problem

Property of time series

Submit You have used 2 of 3 attempts

Discussion Hide Discussion

All Rights Reserved

© 2023 edX LLC. All rights reserved.

You might also like