Let's say that I do not know what software to use, what type of regression to use. Is there any automatic software, or everything about time-series is manual? How do I interpret the results? What are the most-common parameters/indicators used in time-series analysis?
Time series analysis begins with the time-plot. Features to look for are (i) trend (ii) seasonality. The traditional approach involves estimating these movements and assembling them for forecasting purposes.
The stochastic approach involves testing for stationarity and fitting a stochastic model of the ARIMA family based on the autocorrelation structure.For instance if the autocorrelation function cuts off at lag q then a moving average component of order q us suggestive. If the partial autocorrelation function cuts off at lag p then an autoregressive component of order p is suggestive. There are software like Minitab, Eviews and R that may be used.
Start with linear regression and the statistical interpretation of the parameters. The book by Bain and Englehardt (Introduction to Probability and Mathematical Statistics) helped me a lot.
- Badges
- Science topic
- Similar topics
- Computer Science and Engineering
- Software