UNR * STAT 758 * Fall 2006

1
Time Series Analysis
Lecture 1
UNR STAT 758 Fall 2006
2
Data Plot
UNR STAT 758 Fall 2006
3
UNR STAT 758 Fall 2006
4
UNR STAT 758 Fall 2006
5
UNR STAT 758 Fall 2006
6
Theory of Probabilities Statistics
Probability (a fair coin will show about 50 of
tails)
Model
Observations
Statistics (a coin that shows 90 tails out of
100 throws is probably not fair)
UNR STAT 758 Fall 2006
7
Seasonal Analysis
UNR STAT 758 Fall 2006
8
What is the period?
R-code
par(bg'yellow') plot(co2,lwd2,col4,xlab'Time,
years',ylab'CO2 in parts per million
(ppm)', main'Mauna Loa Atmospheric CO2
Concentration') abline(vseq(1950,2006,by10),lty
2) abline(hseq(320,360,by10),lty2)
UNR STAT 758 Fall 2006
9
R-code
This line adds yearly grid abline(vseq(1950,200
6,by1),lty2)
UNR STAT 758 Fall 2006
10
R-code
Filter with 1-year window and plot a
trend flt-filter(co2,rep(1,12)/12) points(f,col2,t
ype'l',lwd2)
UNR STAT 758 Fall 2006
11
R-code
Plot series minus trend plot(co2-f,ldw2,col4,l
wd2, xlab'Time, years',ylab'CO2-trend',main'De
trended CO2 series') abline(hseq(-4,4,by2),lty2
) abline(vseq(1950,2006,by1),lty2)
UNR STAT 758 Fall 2006
12
R-code
Perform seasonal analysis and plot season
component mltdecompose(co2) plot(mfigure,lwd2,typ
e'p',pch19,col4, xlab'Month',ylab'Seasonal
component') axis(1,atseq(1,12)) grid(col'black',
lty2)
UNR STAT 758 Fall 2006
13
R-code
mltdecompose(co2) plot(m)
UNR STAT 758 Fall 2006