Welcome to Time Series!

The lecture slides and code here are heavily drawn from examples in book I have selected for this course: Time Series Analysis: A Data Analysis Approach Using R. I am extremely grateful to the authors for doing the heavy lifting of curating the data sets, code, and problem sets. Please consider purchasing this book for reference— it’s wonderful, and there’s a more technical graduate version as well for those of you that yearn for more technical detail.

The cover of Time Series: A Data analysis approach By Robert H Shumway and David S Stoffer. The cover is red with a time series plot of Monthly Carbon Dioxide readings at Mauna Loa Observatory. The time series shows an increasing trend with seasonan oscillations.

I have also added some additional examples from my own work and visualizations of simulations, covariance functions, etc., that I think would be helpful for learning these important concepts.

Also, big thanks to our Lab Assistant, Bena Smith, for serving as editor for these notes (assuming I get them to her in time. Don’t blame Bena for missed typos).