Time Series Analysis

Abstract

This chapter summarizes the fundamental concepts and tools for analyzing time series data. Time series analysis is a branch of applied mathematics developed mostly in the fields of signal processing and statistics. Contributions to this field, from an astronomical perspective, have predominantly focused on unevenly sampled data, low signal-to-noise data, and heteroscedastic errors. The chapter starts with a brief introduction to the main concepts in time series analysis. It then discusses the main tools from the modeling toolkit for time series analysis. Despite being set in the context of time series, many tools and results are readily applicable in other domains, and for this reason the examples presented will not be strictly limited to time-domain data. Armed with the modeling toolkit, the chapter goes on to discuss the analysis of periodic time series, search for temporally localized signals, and concludes with a brief discussion of stochastic processes.