time series description analysis

Time series description analysis is a statistical method employed to scrutinize and elucidate the features
of a time series comprehensively. This analytical approach delves into the examination of patterns,
trends, and seasonality inherent in the temporal data. The primary objective is to unveil insights into the
intrinsic structure of the data and detect any noteworthy patterns or relationships that may exist.

This analytical method finds versatile applications across diverse data types, encompassing financial,
economic, environmental, and medical data. It is notably prevalent in fields such as statistics,
econometrics, and signal processing.

Various techniques can be leveraged for time series description analysis, including:

Graphical Methods: Visualization techniques involve plotting the time series data to intuitively discern
patterns and trends.

Autocorrelation Analysis: This method quantifies the correlation between the present value of a time
series and its past values, aiding in the identification of temporal dependencies.

Spectral Analysis: This analytical approach dissects the time series into its frequency components,
facilitating the identification of periodic patterns embedded in the data.

Wavelet Analysis: Utilizing wavelets, this method analyzes the time series at distinct scales, offering
insights into both local and global patterns present in the data.

Time series description analysis serves as a robust tool for unraveling the intricacies of temporal data
and uncovering meaningful patterns and relationships. Widely embraced across various disciplines, it
provides valuable insights into the underlying structure of data, contributing to informed decision-
making and understanding dynamic trends over time.

Time Series Decomposition.

INTRODUCTION.

The emergence of time series models through the linear combinations of components is a pivotal
concept in state space modelling and the Bayesian time series analysis using dynamic linear models the
reverse process of decomposing the time series to the constituent hidden subseries is a key technique in
older time series analysis. In time series analysis much of the focus is placed on the application of
dynamic models to the representation of time varying trends seasonal and regression effects with
relatively little attention paid to autoregressive and related components that are of wide interest in
physical and biomedical time series applications. Dynamic linear model theory naturally inclines itself to
a constructive and practicable approach to decomposing a dynamic linear model into latent subseries
thus gives the opportunity for inference about patterns that change overtime in what may be physically
interpretable latent processes underlying the data.

COMPONENTS OF A TIME SERIES.

In time-series decomposition, the data are divided into the components: trend, irregular, cyclical and
seasonal. Trend refers to the general upward or downward movement that characterizes a time series
over an extended period of time. The form of the trend may be linear or non-linear. Irregular refers to
any component of a time series that is unpredictable. This is what remains after the predictable
components have been removed. Cyclical refers to a pattern in the time series that repeats itself. A cycle
is defined by the repetition of its pattern. Its length may be fixed or variable, the magnitude of change in
the pattern may vary from one repetition to the next, and the pattern itself may gradually change over
time. Seasonal is a cycle that repeats itself a whole number of times in one year and thus forms a pattern
that repeats itself annually. Cyclical patterns, whether seasonal or not, can change over time. For
example, sales in December for a particular company may consistently be the highest for any month in
the year, but December’s relative position in terms of magnitude may not be exactly repeated from year
to year and may, in fact, be slowly changing, up or down, over time. Although the seasonal component is
presented here as a special case of the cyclical component, seasonality has traditionally been regarded
as a separate component for two reasons. First, the seasonal component is very common in time series
data. Second, the seasonal component is easy to estimate and use in forecasting because the length

TYPES OF TIME SERIES DECOMPOSITION.

1. Additive decomposition: In the additive decomposition method, the time series is represented
as the summation of its components: Y(t) = Trend(t) + Seasonal(t) + Residual(t). This approach is
appropriate when the extent of seasonality remains constant, regardless of the magnitude of the
overall time series.
2. Multiplicative decomposition: In multiplicative decomposition, the time series is articulated as
the product of its components: Y(t) = Trend(t) * Seasonal(t) * Residual(t). This method is
applicable when the magnitude of seasonality varies in proportion to the magnitude of the
entire time series.

METHODES OF DECOMPOSITION:

1. Moving averages: Encompass the computation of the mean for a specific number of preceding
data points, aiding in the mitigation of fluctuations and accentuation of trends. This technique is
particularly valuable in the context of Seasonal Decomposition of Time Series.
2. The Seasonal and Trend decomposition using Loess (STL): Represents a widely employed
decomposition technique that utilizes a blend of local regression (Loess) to extract both trend
and seasonality components.
3. Exponential smoothing Space model: This approach entails the utilization of the ETS (Error,
Trend, Seasonal) framework to gauge and estimate the trend and seasonal components within a
time series.