PowerPoint Presentation - Time Series Analysis.PPTVIP

 Lecture 1 Good afternoon! Time Series Analysis What do we study? Marketing example:wine sales of a certain company A medical example: Human Electrocardiogramme (ECG) A biological example:position of a point on the surface of Isolated Frog’s Heart A mechanical example System, Process and Signal Time Series Example of time series:blood pressure of a rat Aims of Time Series Analysis Example of description Example of explanation Example of prediction Example of control 1 Example of control 2 Example of control 3 How time series can arise Outline of the course Homework * Lecturer: Dr. Natalia Janson Department of Mathematical Sciences Loughborough University Loughborough Office: W205 Tel: (01509) 22 2874 E-mail: n.b.janson@lboro.ac.uk Module: MAC272 “Time Series Analysis” 2 lectures and 1 tutorial per week during weeks 1-12 of Semester 2, 2004/05 Coursework: 20% Exams: 80% Time Series Analysis by N. Janson 0 Lecture 1: Introduction Processes, state variables Signals and their examples Time series: definition Aims of Time Series Analysis Time Series Analysis by N. Janson 1 Whatever is going on around us are processes occurring in certain systems. Some obvious examples are: the change of weather (system: Earth atmospehere) the change of illumination during the day (system: Earth atmospehere) the daily change in exchange rates (system: financial market) the change in monthly amount of beer drunk by a certain person (system: person) In lay terms: process is the change in time of the state of the system. Note: the state of the same system can be characterized by one or several variables. Examples: weather at the current moment can be characterized by air temperature, humidity, wind velocity, atmosphere pressure, etc. state of the person can be characterized by his/her body temperature, average heart rate, average respiration frequency, blood pressure, appetite, etc. One may record and observe the change in time of several, or of just one variable characteri