3.3 Statistical analyses of time series

Most statistical analyses are concerned with estimating properties of a population from a sample. For example, we use fish caught in a seine to infer the mean size of fish in a lake. Time series analysis, however, presents a different situation:

  • Although we could vary the length of an observed time series, it is often impossible to make multiple observations at a given point in time

For example, one can’t observe today’s closing price of Microsoft stock more than once. Thus, conventional statistical procedures, based on large sample estimates, are inappropriate.