Chapter9.TimeSeries.docxVIP

Chapter9.TimeSeriesFromBusinessIntelligenceBookbyVercellisQiangYang,forCOMP43321DefinitionsData:{x_i,y_i,i=1,2…}Discrete:x_iarediscrete:day1,day2,…Continuousx_iarecontinuousvaluesExamples:Quraterlyemploymentrates(Fig9.1)Bimonthlyelectricityconsumption(Fig9.2)AustralianWineSales(Fig9.3)2PredictionPredictivemodelsf_tisapredictionofrandomvalueY_tforperiodtofthetimeseriesy_t,valuesofy_t,y_{t-1},…y_t-{k+1}areknownf_{t+1}=F(y_t,y_{t-1},…y_{t-k+1})Ourjob:SelecttheformofF(.)LearntheparametersofF(.)3IndexNumbersLettherebertimeseriesLetw_1,w_2,…w_rbetherweightsonthetimeseriesy_{1t},y_{2t},…y_{rt}.Lety_t