Time Series Analysis Wright State University（时间序列分析莱特州立大学）.pdfVIP

1 April 9, 2013 Time Series Analysis This chapter presents an introduction to the branch of statistics known as time series analysis. Often the data we collect in environmental studies is collected sequentially over time – this type of data is known as time series data. For instance, we may mon- itor wind speed or water temperatures at regularly spaced time intervals (e.g. every hour or once per day). Collecting data sequentially over time induces a correlation between measurements because observations near each other in time will tend to be more similar, and hence more correlated to observations made further apart in time. Often in our data analysis, we assume our observations are independent, but with time series data, this assumption is often false and we would like to account for this temporal correlation in our statistical analysis. 1 Introduction Figure 1 shows a plot of average monthly air temperatures (in Celsius) at Recife, Brazil over the period from 1953 to 1962 (Chatfield 2004). The data in Figure 1 looks like a random scatter of points. However, the data was collected as a time series over consecutive months. If we connect the dots consecutively over time we get the picture shown in Figure 2 and in this plot a very distinctive annual pattern reveals itself. The following R code generates these figures: The “scan” command reads in the data set and the “as.ts” tells R to treat the data set as a time series object. As we have seen previously, the “plot” command plots the data as seen in Figure 2. the “xlab” and “ylab” stand for the x and y axis labels and the “main=” gives a title for the plot. Another example of a time series with a seasonal pattern as well