Understanding time series
A time series is a set of data. Keep in mind that a time series does not have to contain time or date data in it – time and date data usually come in the form of timestamps. So, a time series might contain timestamps, but usually, it does not. In fact, most of the time series in this book do not contain timestamps. In practice, what we really need is ordered data – this is what makes a bunch of values a time series.
Strictly speaking, a time series (T) of size n is an ordered list of data points: T = { t 0, t 1, t 2, … t n−1}. Data points can be timestamped and store a single value, a set of values, or a list of values. The index of a time series might begin with 1 instead of 0 – in this case, T = { t 1, t 2, t 3, … t n}. What is truly important here is that the length of the time series is n in both cases. So, each element has an index value associated with it, which replaces...