Introduction to time series

Time series data is nearly ubiquitous but can be a pain point in many analyses. For example, suppose you are asked to forecast sales for a retail store and are given daily sales figures for the last 6 months. When you review the data, you realize the store is usually open 5 days a week but sometimes has sales on Saturdays and even some Sundays. This makes most weekend days have missing values, and the time interval of the data is inconsistent. Also, when you consider estimating a monthly forecast, you realize months are of different lengths and have varying numbers of sales days. As simple and obvious as the issues are, they create a number of issues in analyzing and modeling the data over time.

The machine learning literature and popular articles are heavily biased toward classification problems, with little mention of time series. Yet much of the data we deal with is time series or at least starts out that way. Time series is a general term used to...