Time series

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Originally, in statistical literature, a series of observations at various moments of time (e.g. an economic time series, a weather time series). In the Soviet literature on economics, the term dynamic series is also employed. Since the middle of the 1920s the term has frequently denoted a stochastic process realized in practice through observations. Time series analysis means the statistical analysis of stochastic processes (cf. Statistical problems in the theory of stochastic processes).



[a1] D.R. Brillinger, "Time series. Data analysis and theory" , Holt, Rinehart & Winston (1974)
[a2] T.W. Anderson, "The statistical analysis of time series" , Wiley (1971)
[a3] M.B. Priestley, "Spectral analysis and time series" , 1–2 , Acad. Press (1981)
How to Cite This Entry:
Time series. I.A. Ibragimov (originator), Encyclopedia of Mathematics. URL:
This text originally appeared in Encyclopedia of Mathematics - ISBN 1402006098