Time series analysis
Time series analysis is applied to data coming from a dynamical system, ie, where a variable changes over time. The goal is to understand the dynamical system (with a model) using the noisy data you have.
- Shumway and Stouffer's book on time series analysis.
Moving window statistics
These are calculated by selecting a window size for the statistic, then calculating the statistic for each point using that window. Three things to remember when coding these:
- First, the calculated statistic will likely be out of phase with the original timeseries by half the moving window size. Therefore, the statistic should be calculated with an odd number of points, and can then be shifted back into phase with the original data.
- Second, the calculated statistic will have a smaller window size at the edges of the timeseries, and is therefore less reliable in these areas. This may not be a significant problem if the dataset is large compared to the moving window.
- Third, missing data (NaN's) in a location will be propagated to the entire moving window. The simpler way to deal with this is to interpolate over the missing elements first. The other way is to exclude the missing elements, and thus use a variable number of points in calculating the statistic.`
filterin MATLAB if there is no missing data.
- moving_average MATLAB
medfilt1in MATLAB if there is not missing data.`
- Hampel filter implementation in Matlab(on Matlab Central).
- Robert Pearson's blogposts on data cleaning, particularly the Hampel filter.
- Another article by Ron Pearsonon different non-linear filtering methods.
Mean of multiple timeseries (aggregate)
This is useful when similar timeseries need to be averaged, such as one-year timeseries data for multiple sites, or generating an average timeseries from multiple years.
- In MATLAB,
accumarray()seems to work for this.
- In R, there are a few ways:
aggregate(), and maybe some functions in the
Is the value at some time (t) in the series statistically dependent on the value at another time (s)? Put another way, is there a time lag effect, or a memory effect, or does today depend on yesterday?
- the Autocorrelation function ('acf') can be applied in R.
- ARMA and ARIMA models are also useful.
Method for deconstructing a time series into notional components:
- A trend component
- Seasonal components - reflect seasonality
- Cyclical components - repeated, but non-periodic fluctuations
- Irregular components - random or stochastic influences - often a residual of the timeseries.
Prediction and forecasting
Time series regression
This is a way of construction a multiple regression model in which values of the dependent and/or independent variables at a previous timestep become independent variables in the model.