Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Issues Related to the Use of Time Series in Model Building and Analysis: Review Article

  • Wei, William W.S. (Department of Statistics, Temple University)
  • Received : 2014.12.14
  • Accepted : 2015.01.28
  • Published : 2015.05.31
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Abstract

Time series are used in many studies for model building and analysis. We must be very careful to understand the kind of time series data used in the analysis. In this review article, we will begin with some issues related to the use of aggregate and systematic sampling time series. Since several time series are often used in a study of the relationship of variables, we will also consider vector time series modeling and analysis. Although the basic procedures of model building between univariate time series and vector time series are the same, there are some important phenomena which are unique to vector time series. Therefore, we will also discuss some issues related to vector time models. Understanding these issues is important when we use time series data in modeling and analysis, regardless of whether it is a univariate or multivariate time series.

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