Time series analysis and forecasting
Amithirigala Widhanelage Jayawardena · 2020
This chapter starts with descriptions of the basic properties of a time series including the statistical parameters followed by various tests for stationarity, homogeneity, trend and randomness and periodicity. It then describes the stochastic component and various stochastic models that can be used. Next the residual series is tested for independence, normality and parsimony followed by forecasting, synthetic data generation, ARMAX modeling and Kalman filtering.