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Abstract

Time-series analysis is about the study of data collected through time. The field of time series is a vast one that pervades many areas of science and engineering, particularly statistics and signal processing: this short paper can only be an advertisement.

Hence, the first thing to note is that there are several excellent texts on time-series analysis. Most statistical books concentrate on stationary time series and some texts have good coverage of ‘globally non-stationary’ series such as those often used in financial time series. For a general, elementary introduction to time-series analysis the author highly recommends the book by Chatfield (2003). The core of Chatfield’s book is a highly readable account of various topics in time-series including time-series models, forecasting, time series in the frequency domain and spectrum estimation, and also linear systems. More recent editions contain useful, well-presented and well-referenced information on important new research areas. Of course, there are many other books: ones the author finds useful are those by Priestley (1983), Diggle (1990), Brockwell & Davis (1991) and Hamilton (1994). The book by Hannan (1960) is concise (but concentrated) and that by Pole et al. (1994) is a good introduction to a Bayesian way of doing time-series analysis. There are undoubtedly many more books.This paper is a brief survey of several kinds of time-series model and analysis. The ï—rst section covers stationary time series, which, loosely speaking, are those whose statistical properties

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