Data Mining

18

Autocorrelation and Time Series Analysis

Time series data consist of data observations over time. If data observations are correlated over time, time series data are autocorrelated. Time series analysis was introduced by Box and Jenkins (1976) to model and analyze time series data with autocorrelation. Time series analysis has been applied to real-world data in many fields, including stock prices (e.g., S&P 500 index), airline fares, labor force size, unemployment data, and natural gas price (Yaffee and McGee, 2000). There are stationary and nonstationary time series data that require different statistical inference procedures. In this chapter, autocorrelation is defined. Several types of stationarity and nonstationarity time series are ...