Time Series

17 Pages Posted: 21 Oct 2008

See all articles by Phillip E. Pfeifer

Phillip E. Pfeifer

University of Virginia - Darden School of Business

Abstract

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.

Excerpt

UVA-QA-0695

Rev. May 3, 2013

TIME SERIES

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.

. . .

Keywords: Time Series, Seasonality, Forecasting

Suggested Citation

Pfeifer, Phillip E., Time Series. Darden Case No. UVA-QA-0695, Available at SSRN: https://ssrn.com/abstract=1284268

Phillip E. Pfeifer (Contact Author)

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-4803 (Phone)

HOME PAGE: http://www.darden.virginia.edu/faculty/Pfeifer.htm

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