17 Pages Posted: 21 Oct 2008
This note describes the basics of time-series analysis and forecasting. It discusses the kinds of patterns found in time services (cycle, trend, and seasonality) and the most common time-series models: exponential smoothing, Holt's, and Winter's. It is written for the MBA audience.
Rev. May 3, 2013
What Is a Time Series?
A time series is a sequence of observations in time order. The observations are usually measured using an interval (numerical) scale with equal time gaps between successive observations. The chart below (Figure 1) shows an example of a time series: annual total returns from the S&P 500 from 1928 to 2005.
Figure 1. Example of a time series.
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Keywords: Time Series, Seasonality, Forecasting
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