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Time Series: A Data
Analysis Approach
Using R
CHAPMAN & HALL/CRC

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Time Series: A Data
Analysis Approach
Using R

Robert H. Shumway
David S. Stoffer
CRC Press
Taylor & Francis Group
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 Contents

Preface xi

1 Time Series Elements 1

1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Time Series Data . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.3 Time Series Models . . . . . . . . . . . . . . . . . . . . . . . . . 9
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

2 Correlation and Stationary Time Series 17

2.1 Measuring Dependence . . . . . . . . . . . . . . . . . . . . . . 17
2.2 Stationarity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.3 Estimation of Correlation . . . . . . . . . . . . . . . . . . . . . . 27
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33

3 Time Series Regression and EDA 37

3.1 Ordinary Least Squares for Time Series . . . . . . . . . . . . . . 37
3.2 Exploratory Data Analysis . . . . . . . . . . . . . . . . . . . . . 47
3.3 Smoothing Time Series . . . . . . . . . . . . . . . . . . . . . . . 58
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

4 ARMA Models 67
4.1 Autoregressive Moving Average Models . . . . . . . . . . . . . . 67
4.2 Correlation Functions . . . . . . . . . . . . . . . . . . . . . . . . 76
4.3 Estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
4.4 Forecasting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95

5 ARIMA Models 99
5.1 Integrated Models . . . . . . . . . . . . . . . . . . . . . . . . . 99
5.2 Building ARIMA Models . . . . . . . . . . . . . . . . . . . . . 104
5.3 Seasonal ARIMA Models . . . . . . . . . . . . . . . . . . . . . . 111
5.4 Regression with Autocorrelated Errors * . . . . . . . . . . . . . 122
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126

vii
viii CONTENTS
6 Spectral Analysis and Filtering 129
6.1 Periodicity and Cyclical Behavior . . . . . . . . . . . . . . . . . 129
6.2 The Spectral Density . . . . . . . . . . . . . . . . . . . . . . . . 137
6.3 Linear Filters * . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144

7 Spectral Estimation 149

7.1 Periodogram and Discrete Fourier Transform . . . . . . . . . . . 149
7.2 Nonparametric Spectral Estimation . . . . . . . . . . . . . . . . . 153
7.3 Parametric Spectral Estimation . . . . . . . . . . . . . . . . . . . 165
7.4 Coherence and Cross-Spectra * . . . . . . . . . . . . . . . . . . . 168
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172

8 Additional Topics * 175

8.1 GARCH Models . . . . . . . . . . . . . . . . . . . . . . . . . . 175
8.2 Unit Root Testing . . . . . . . . . . . . . . . . . . . . . . . . . . 182
8.3 Long Memory and Fractional Differencing . . . . . . . . . . . . 185
8.4 State Space Models . . . . . . . . . . . . . . . . . . . . . . . . . 191
8.5 Cross-Correlation Analysis and Prewhitening . . . . . . . . . . . 194
8.6 Bootstrapping Autoregressive Models . . . . . . . . . . . . . . . 196
8.7 Threshold Autoregressive Models . . . . . . . . . . . . . . . . . 201
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205

Appendix A R Supplement 209

A.1 Installing R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
A.2 Packages and ASTSA . . . . . . . . . . . . . . . . . . . . . . . . 209
A.3 Getting Help . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210
A.4 Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
A.5 Regression and Time Series Primer . . . . . . . . . . . . . . . . . 217
A.6 Graphics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221

Appendix B Probability and Statistics Primer 225

B.1 Distributions and Densities . . . . . . . . . . . . . . . . . . . . . 225
B.2 Expectation, Mean, and Variance . . . . . . . . . . . . . . . . . . 225
B.3 Covariance and Correlation . . . . . . . . . . . . . . . . . . . . . 227
B.4 Joint and Conditional Distributions . . . . . . . . . . . . . . . . . 227

Appendix C Complex Number Primer 229

C.1 Complex Numbers . . . . . . . . . . . . . . . . . . . . . . . . . 229
C.2 Modulus and Argument . . . . . . . . . . . . . . . . . . . . . . . 231
C.3 The Complex Exponential Function . . . . . . . . . . . . . . . . 231
C.4 Other Useful Properties . . . . . . . . . . . . . . . . . . . . . . . 233
C.5 Some Trigonometric Identities . . . . . . . . . . . . . . . . . . . 234
CONTENTS ix
Appendix D Additional Time Domain Theory 235
D.1 MLE for an AR(1) . . . . . . . . . . . . . . . . . . . . . . . . . 235
D.2 Causality and Invertibility . . . . . . . . . . . . . . . . . . . . . 237
D.3 ARCH Model Theory . . . . . . . . . . . . . . . . . . . . . . . . 241

Hints for Selected Exercises 245

References 253

Index 257
 Preface

The goals of this book are to develop an appreciation for the richness and versatility
of modern time series analysis as a tool for analyzing data. A useful feature of
the presentation is the inclusion of nontrivial data sets illustrating the richness of
potential applications in medicine and in the biological, physical, and social sciences.
We include data analysis in both the text examples and in the problem sets.
The text can be used for a one semester/quarter introductory time series course
where the prerequisites are an understanding of linear regression and basic calculus-
based probability skills (primarily expectation). We assume general math skills at
the high school level (trigonometry, complex numbers, polynomials, calculus, and so
on).
All of the numerical examples use the R statistical package (R Core Team, 2018).
We do not assume the reader has previously used R, so Appendix A has an extensive
presentation of everything that will be needed to get started. In addition, there are
several simple exercises in the appendix that may help first-time users get more
comfortable with the software. We typically require students to do the R exercises as
the first homework assignment and we found this requirement to be successful.
Various topics are explained using linear regression analogies, and some estima-
tion procedures require techniques used in nonlinear regression. Consequently, the
reader should have a solid knowledge of linear regression analysis, including multiple
regression and weighted least squares. Some of this material is reviewed in Chapter 3
and Chapter 4.
A calculus-based introductory course on probability is an essential prerequisite.
The basics are covered briefly in Appendix B. It is assumed that students are familiar
with most of the content of that appendix and that it can serve as a refresher.
For readers who are a bit rusty on high school math skills, there are a number of
free books that are available on the internet (search on Wikibooks K-12 Mathematics).
For the chapters on spectral analysis (Chapter 6 and 7), a minimal knowledge of
complex numbers is needed, and we provide this material in Appendix C.
There are a few starred (*) items throughout the text. These sections and examples
are starred because the material covered in the section or example is not needed to
move on to subsequent sections or examples. It does not necessarily mean that the
material is more difficult than others, it simply means that the section or example
may be covered at a later time or skipped entirely without disrupting the continuity.
Chapter 8 is starred because the sections of that chapter are independent special

xi
xii PREFACE
topics that may be covered (or skipped) in any order. In a one-semester course, we
can usually cover Chapter 1 – Chapter 7 and at least one topic from Chapter 8.
Some homework problems have “hints” in the back of the book. The hints vary
in detail: some are nearly complete solutions, while others are small pieces of advice
or code to help start a problem.
The text is informally separated into four parts. The first part, Chapter 1 –
Chapter 3, is a general introduction to the fundamentals, the language, and the
methods of time series analysis. The second part, Chapter 4 – Chapter 5, presents
ARIMA modeling. Some technical details have been moved to Appendix D because,
while the material is not essential, we like to explain the ideas to students who know
mathematical statistics. For example, MLE is covered in Appendix D, but in the main
part of the text, it is only mentioned in passing as being related to unconditional least
squares. The third part, Chapter 6 – Chapter 7, covers spectral analysis and filtering.
We usually spend a small amount of class time going over the material on complex
numbers in Appendix C before covering spectral analysis. In particular, we make sure
that students see Section C.1 – Section C.3. The fourth part of the text consists of the
special topics covered in Chapter 8. Most students want to learn GARCH models, so
if we can only cover one section of that chapter, we choose Section 8.1.
Finally, we mention the similarities and differences between this text and Shumway
and Stoffer (2017), which is a graduate-level text. There are obvious similarities
because the authors are the same and we use the same R package, astsa, and con-
sequently the data sets in that package. The package has been updated for this text
and contains new and updated data sets and some updated scripts. We assume astsa
version 1.8.6 or later has been installed; see Section A.2. The mathematics level of
this text is more suited to undergraduate students and non-majors. In this text, the
chapters are short and a topic may be advanced over multiple chapters. Relative to the
coverage, there are more data analysis examples in this text. Each numerical example
has output and complete R code included, even if the code is mundane like setting up
the margins of a graphic or defining colors with the appearance of transparency. We
will maintain a website for the text at www.stat.pitt.edu/stoffer/tsda. A solutions manual
is available for instructors who adopt the book at www.crcpress.com.

Davis, CA Robert H. Shumway

Pittsburgh, PA David S. Stoffer
 Chapter 1

Time Series Elements

1.1 Introduction

The analysis of data observed at different time points leads to unique problems that
are not covered by classical statistics. The dependence introduced by the sampling
data over time restricts the applicability of many conventional statistical methods that
require random samples. The analysis of such data is commonly referred to as time
series analysis.
To provide a statistical setting for describing the elements of time series data,
the data are represented as a collection of random variables indexed according to
the order they are obtained in time. For example, if we collect data on daily high
temperatures in your city, we may consider the time series as a sequence of random
variables, x1 , x2 , x3 , . . . , where the random variable x1 denotes the high temperature
on day one, the variable x2 denotes the value for the second day, x3 denotes the
value for the third day, and so on. In general, a collection of random variables, { xt },
indexed by t is referred to as a stochastic process. In this text, t will typically be
discrete and vary over the integers t = 0, ±1, ±2, . . . or some subset of the integers,
or a similar index like months of a year.
Historically, time series methods were applied to problems in the physical and
environmental sciences. This fact accounts for the engineering nomenclature that
permeates the language of time series analysis. The first step in an investigation
of time series data involves careful scrutiny of the recorded data plotted over time.
Before looking more closely at the particular statistical methods, we mention that
two separate, but not mutually exclusive, approaches to time series analysis exist,
commonly identified as the time domain approach (Chapter 4 and 5) and the frequency
domain approach (Chapter 6 and 7).

1.2 Time Series Data

The following examples illustrate some of the common kinds of time series data as
well as some of the statistical questions that might be asked about such data.

1
2 1. TIME SERIES ELEMENTS
Johnson & Johnson Quarterly Earnings

1015
QEPS
5
0

1960 1965 1970 1975 1980

Time
2
log(QEPS)
0 1

1960 1965 1970 1975 1980

Time
Figure 1.1 Johnson & Johnson quarterly earnings per share, 1960-I to 1980-IV (top). The
same data logged (bottom).

Example 1.1. Johnson & Johnson Quarterly Earnings

Figure 1.1 shows quarterly earnings per share (QEPS) for the U.S. company Johnson
& Johnson and the data transformed by taking logs. There are 84 quarters (21 years)
measured from the first quarter of 1960 to the last quarter of 1980. Modeling such
series begins by observing the primary patterns in the time history. In this case, note
the increasing underlying trend and variability, and a somewhat regular oscillation
superimposed on the trend that seems to repeat over quarters. Methods for analyzing
data such as these are explored in Chapter 3 (see Problem 3.1) using regression
techniques.
If we consider the data as being generated as a small percentage change each year,
say rt (which can be negative), we might write xt = (1 + rt ) xt−4 , where xt is the
QEPS for quarter t. If we log the data, then log( xt ) = log(1 + rt ) + log( xt−4 ),
implying a linear growth rate; i.e., this quarter’s value is the same as last year plus a
small amount, log(1 + rt ). This attribute of the data is displayed by the bottom plot
of Figure 1.1.
The R code to plot the data for this example is,1
library(astsa) # we leave this line off subsequent examples
par(mfrow=2:1)
tsplot(jj, ylab="QEPS", type="o", col=4, main="Johnson & Johnson
Quarterly Earnings")
tsplot(log(jj), ylab="log(QEPS)", type="o", col=4)
♦

1We assume astsa version 1.8.6 or later has been installed; see Section A.2.
1.2. TIME SERIES DATA 3
Global Warming

1.5
Land Surface
1.0 Sea Surface
Temperature Deviations
0.0 0.5
−0.5

1880 1900 1920 1940 1960 1980 2000 2020

Time

Figure 1.2 Yearly average global land surface and ocean surface temperature deviations
(1880–2017) in ◦ C.

Example 1.2. Global Warming and Climate Change

Two global temperature records are shown in Figure 1.2. The data are (1) annual
temperature anomalies averaged over the Earth’s land area, and (2) sea surface tem-
perature anomalies averaged over the part of the ocean that is free of ice at all times
(open ocean). The time period is 1880 to 2017 and the values are deviations (◦ C) from
the 1951–1980 average, updated from Hansen et al. (2006). The upward trend in both
series during the latter part of the twentieth century has been used as an argument
for the climate change hypothesis. Note that the trend is not linear, with periods of
leveling off and then sharp upward trends. It should be obvious that fitting a simple
linear regression of the either series (xt ) on time (t), say xt = α + βt + et , would
not yield an accurate description of the trend. Most climate scientists agree the main
cause of the current global warming trend is human expansion of the greenhouse
effect; see https://climate.nasa.gov/causes/. The R code for this example is:
culer = c(rgb(.85,.30,.12,.6), rgb(.12,.65,.85,.6))
tsplot(gtemp_land, col=culer[1], lwd=2, type="o", pch=20,
ylab="Temperature Deviations", main="Global Warming")
lines(gtemp_ocean, col=culer[2], lwd=2, type="o", pch=20)
legend("topleft", col=culer, lty=1, lwd=2, pch=20, legend=c("Land
Surface", "Sea Surface"), bg="white")
♦
Example 1.3. Dow Jones Industrial Average
As an example of financial time series data, Figure 1.3 shows the trading day closings
and returns (or percent change) of the Dow Jones Industrial Average (DJIA) from
2006 to 2016. If xt is the value of the DJIA closing on day t, then the return is

rt = ( xt − xt−1 )/xt−1 .
4 1. TIME SERIES ELEMENTS

djia$Close 2006−04−20 / 2016−04−20

18000 18000

16000 16000

14000 14000

12000 12000

10000 10000

8000 8000

Apr 20 2006 Nov 01 2007 Jun 01 2009 Jan 03 2011 Jul 02 2012 Jan 02 2014 Jul 01 2015

djia_return 2006−04−21 / 2016−04−20

0.10 0.10

0.05 0.05

0.00 0.00

−0.05 −0.05

Apr 21 2006 Nov 01 2007 Jun 01 2009 Jan 03 2011 Jul 02 2012 Jan 02 2014 Jul 01 2015

Figure 1.3 Dow Jones Industrial Average (DJIA) trading days closings (top) and returns
(bottom) from April 20, 2006 to April 20, 2016.

This means that 1 + rt = xt /xt−1 and

log(1 + rt ) = log( xt /xt−1 ) = log( xt ) − log( xt−1 ) ,

just as in Example 1.1. Noting the expansion

r2 r3
log(1 + r ) = r − 2 + 3 −··· −1 < r ≤ 1,

we see that if r is very small, the higher-order terms will be negligible. Consequently,
because for financial data, xt /xt−1 ≈ 1, we have

log(1 + rt ) ≈ rt .

Note the financial crisis of 2008 in Figure 1.3. The data shown are typical of
return data. The mean of the series appears to be stable with an average return of
approximately zero, however, the volatility (or variability) of data exhibits clustering;
that is, highly volatile periods tend to be clustered together. A problem in the analysis
of these types of financial data is to forecast the volatility of future returns. Models
have been developed to handle these problems; see Chapter 8. The data set is an xts
data file, so it must be loaded.
1.2. TIME SERIES DATA 5

0.040.02
GDP Growth
0.00 −0.02

1950 1960 1970 1980 1990 2000 2010 2020

Time

Figure 1.4 US GDP growth rate calculated using logs (–◦–) and actual values (+).

library(xts)
djia_return = diff(log(djia$Close))[-1]
par(mfrow=2:1)
plot(djia$Close, col=4)
plot(djia_return, col=4)
You can see a comparison of rt and log(1 + rt ) in Figure 1.4, which shows the
seasonally adjusted quarterly growth rate, rt , of US GDP compared to the version
obtained by calculating the difference of the logged data.
tsplot(diff(log(gdp)), type="o", col=4, ylab="GDP Growth") # diff-log
points(diff(gdp)/lag(gdp,-1), pch=3, col=2) # actual return
It turns out that many time series behave like this, so that logging the data and
then taking successive differences is a standard data transformation in time series
analysis. ♦
Example 1.4. El Niño – Southern Oscillation (ENSO)
The Southern Oscillation Index (SOI) measures changes in air pressure related to sea
surface temperatures in the central Pacific Ocean. The central Pacific warms every
three to seven years due to the ENSO effect, which has been blamed for various global
extreme weather events. During El Niño, pressure over the eastern and western Pacific
reverses, causing the trade winds to diminish and leading to an eastward movement
of warm water along the equator. As a result, the surface waters of the central and
eastern Pacific warm with far-reaching consequences to weather patterns.
Figure 1.5 shows monthly values of the Southern Oscillation Index (SOI) and
associated Recruitment (an index of the number of new fish). Both series are for
a period of 453 months ranging over the years 1950–1987. They both exhibit an
obvious annual cycle (hot in the summer, cold in the winter), and, though difficult to
see, a slower frequency of three to seven years. The study of the kinds of cycles and
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