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Practical Time Series Analysis by Dr. PKS Prakash, Dr. Avishek Pal

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Run sequence plot

A simple run sequence plot of the original time series with time on x-axis and the variable on y-axis is good for indicating the following properties of the time series:

  • Movements in mean of the series
  • Shifts in variance
  • Presence of outliers

The following figure is the run sequence plot of a hypothetical time series that is obtained from the mathematical formulation xt = (At + B) sin(t) + Є(t) with a time-dependent mean and error Є(t) that varies with a normal distribution N(0, at + b) variance. Additionally, a few exceptionally high and low observations are also included as outliers.

In cases such as this, a run sequence plot is an effective way of identifying shifting mean and variance of the series as well as outliers. ...

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