12 Introduction

What Is a Time Series?

A sequence of data points organized in time order

A univariate time series is a sequence of measurements of the same variable collected over time. Most often, the measurements are made at regular time intervals.

  • One difference from standard linear regression is that the data are not necessarily independent and not necessarily identically distributed.
  • One defining characteristic of a time series is that it is a list of observations where the ordering matters.
  • Ordering is very important because there is dependency and changing the order could change the meaning of the data.

Time-series data is common across many industries.

  • Finance: stock prices, asset prices, macroeconomic factors
  • E-Commerce: page views, new users, searches
  • Business: transactions, revenue, inventory levels