Univariate time series analysis

1. Univariate time series analysis

A univariate time series deals with only one individual variable.

2. Univariate time series analysis

In describing the observations of the individual series, there are three basic properties that are of interest: - the location of the observations along the time line,

3. Univariate time series analysis

- the dispersion of the observations or how spread out are the observations along the time line

4. Univariate time series analysis

and the distribution of the observations: this is a characterization of the frequency of occurrence of values of the variable usually presented in the form of an histogram. You will find out more about histograms later in this course. Univariate plots are designed to learn as much as possible about those three characteristics.

5. Amazon stock price

Without getting into too much statistical details, most times series require to be transformed prior to be analyzed. The reason being that in their standard form, most time series do not exhibit the right statistical properties. Let's take an example. This is the stock price of Amazon from January 2015 to March 2017. As you can see there is a significant upward slope this is commonly refereed as an upward trend. This is what makes the series improper to standard statistical analysis. In this form your best bet to forecast tomorrow's value, is just to say that it will be more than today. Is this really helpful? Well not really. What you really want is to uncover the feature of the time series hidden behind the obvious upward trend. How do we do that? The very first thing to do, is to transform the series of price into a series of return.

6. Amazon stock return

Returns are simply the difference between today's price and yesterday's price divided by yesterday's price. As you can see the return series has no trend and it is centered around 0. In this form the time series is much more suitable for analysis.

7. Let's practice!

Now it's your turn to explore univariate time series in the exercises!

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