Solved – A list of common time series tests

hypothesis testingtime series

I am reviewing my time series knowledge and looking for a document that has the commonly-used time series tests, what they are used for, how to use them, etc. e.g. Augmented Dickey–Fuller test, PACF tests, etc.

I found a wikipedia page of common statistical tests, but I am looking for a list of such that is specific for time series analysis.

http://en.wikipedia.org/wiki/Statistical_hypothesis_testing#Common_test_statistics

Thanks!

Best Answer

I think the Time Series task view in R and this list of time series functions will get you most of the way there.

Just read the corresponding documentation to learn how to use them. As Michael mentioned, there are many books that describe these methods in depth.

http://cran.r-project.org/doc/contrib/Ricci-refcard-ts.pdf

http://cran.r-project.org/web/views/TimeSeries.html

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