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Time Series Forecasting – Part I

Time Series Forecasting – Part I presents about What is a Time Series? Components of Time Series, Evaluation Methods of Forecast, Smoothing Methods of Time Series, Time series models, Components of a time series, Trend component. | Time Series Forecasting– Part I What is a Time Series ? Components of Time Series Evaluation Methods of Forecast Smoothing Methods of Time Series by Duong Tuan Anh Faculty of Computer Science and Engineering September 2011 What is a Time series ? A time series is a collection of observations made sequentially in time. 0 50 100 150 200 250 300 350 400 450 500 23 24 25 26 27 28 29 Examples: Financial time series, scientific time series Time series models Regression models Predict the response over time of the variable under study to changes in one or more of the explanatory variables. Deterministic models of time series Stochastic models of time series All the three kinds of models can be used for forecasting. Components of a time series The pattern or behavior of the data in a time series has several components. Theoretically, any time series can be decomposed into: Trend Cyclical Seasonal Irregular However, this decomposition is often not straight-forward because these factors interact. Trend component The trend component accounts for the gradual shifting of the time series to relatively higher or lower values over a long period of time. Trend is usually the result of long-term factors such as changes in the population, demographics, technology, or consumer preferences. Seasonal component The seasonal component accounts for regular patterns of variability within certain time periods, such as a year. The variability does not always correspond with the seasons of the year (i.e. winter, spring, summer, fall). There can be, for example, within-week or within-day “seasonal” behavior. Cyclical component Any regular pattern of sequences of values above and below the trend line lasting more than one year can be attributed to the cyclical component. Usually, this component is due to multiyear cyclical movements in the economy. Evaluating Methods of forecasts Forecasting method is selected - many times by intuition, previous experience, or . | Time Series Forecasting– Part I What is a Time Series ? Components of Time Series Evaluation Methods of Forecast Smoothing Methods of Time Series by Duong Tuan Anh Faculty of Computer Science and Engineering September 2011 What is a Time series ? A time series is a collection of observations made sequentially in time. 0 50 100 150 200 250 300 350 400 450 500 23 24 25 26 27 28 29 Examples: Financial time series, scientific time series Time series models Regression models Predict the response over time of the variable under study to changes in one or more of the explanatory variables. Deterministic models of time series Stochastic models of time series All the three kinds of models can be used for forecasting. Components of a time series The pattern or behavior of the data in a time series has several components. Theoretically, any time series can be decomposed into: Trend Cyclical Seasonal Irregular However, this decomposition is often not straight-forward because these