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Time Series Analysis - Auckland

Time Series AnalysisLecture Notes for IhakaStatistics DepartmentUniversity of AucklandApril 14, 2005iiContents1 Time Series .. Stationarity and Non-Stationarity .. Some Examples .. Annual Auckland Rainfall .. Nile River Flow .. Yield on British Government Securities .. Ground Displacement in an Earthquake .. United States Housing Starts .. Iowa City Bus Ridership .. 32 Vector Space Vectors In Two Dimensions .. Scalar Multiplication and Addition .. Norms and Inner Products.

model: Y t = β 0 +β 1t+ε t. Another common trend model assumes that the series is the sum of a periodic “seasonal” effect and stationary noise. There are many other variations. Integrated models : The time series we observe satisfies Y t+1 −Y t = ε t+1 where ε t is a stationary series. A particularly important model of this kind is ...

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