Background

These are materials for the Time Series Analysis Training Session offered as part of NMFS’ Office of Science and Technology’s Protected Species Assessment Workshop in La Jolla, CA from February 11-14, 2019.


Instructor

Mark Scheuerell
Fish Ecology Division, Northwest Fisheries Science Center, Seattle WA USA


Date & Location

Monday, February 11, 2019

Eckart Sea Cave, Scripps Institute of Oceanography, La Jolla, CA


Schedule & Topics

Links are included after each topic for both the knitted slide deck and the RMarkdown code used to generate them.

Session 1: Introduction to time series analysis

8:30 - 10:00

  • Characteristics, autocorrelation, cross-correlation | slides | Rmd

  • White noise, random walks and biased random walks | slides | Rmd

  • AR(p), MA(q), ARMA(p,q) models | slides | Rmd

Break

10:00 - 10:15

Session 2: Introduction to state-space models

10:15 - 11:15

  • Univariate state-space models | slides | Rmd

  • Multivariate state-space models | slides | Rmd

Break

11:15 - 11:30

Session 3: Additional state-space models

11:30 - 12:30

  • Regression with auto-correlated errors | slides | Rmd

  • Dynamic Factor Analysis (DFA) | slides | Rmd

  • Dynamic Linear Models (DLMs) | slides | Rmd


Additional information

Here is some additional information on the following topics:

Background material

  • Backshift and Difference operators | slides | Rmd

  • Identifying stationary AR(p) models | slides | Rmd

  • Invertible MA(q) models | slides | Rmd

Other resources