ESSential Time Series Analysis

210232, Fall 2010

Joachim Vogt

Contents of this web page


Course description

In geosciences and space physics, data often come in the form of time series. This course covers important approaches to time series analysis such the statistical description of data, correlation and regression, auto-correlation and cross-correlation functions, Fourier analysis, spectrum estimation, filtering, and modeling of data. Short reviews of the underlying theory are embedded in hands-on computer lab sessions where the students familiarize with the practice of time series analysis and interpretation. They learn to assess the potential and the limitations of the analysis methods, and apply them to measurements.

Course organization and grading

In Fall 2010 we meet on Mondays and Tuesdays at 14:15-18:30 in the Computer Teaching Lab of the CLAMV (Computational Laboratory for Analysis, Modeling, and Visualization) located in the basement of West Hall. The first mandatory computer lab session of this course will take place on Tuesday, 7 September 2010 when the students will get an introduction to the LaTeX typesetting system.

To solve the computer assignments, basic experience with IDL is required. Students who want to refresh their IDL knowledge or do not have any experience with IDL at all are invited to participate in the introductory session on Monday, 6 September 2010.

Regarding the organization and the grading scheme of the course, we distinguish two phases.

Guided lab session phase (six sessions, calendar weeks 37-39).
The guided lab sessions contribute 50% towards the final grade. Here the students are exposed to a spectrum of analysis tools, and they have to apply them in order to solve their computer assignments. Attendance and active participation is mandatory in five guided lab sessions, each of them contributing 10% towards the final grade. Attendance will be checked at the beginning of each session. Active participation will have to be reported by submitting a completed lab participation sheet at the end of the sessions.

Examination phase (two sessions).
This part of the course consists of two exams.

Each exam contributes 25% towards the final grade.

Course schedule

Class dates Topics (tentative) Instructions/information sheet Participation sheet Remarks
September 6 Getting started with IDL PDF --- ---
September 7 The LaTeX typesetting system PDF PDF, LaTeX ---
September 13 Data file preparation and preprocessing PDF PDF, LaTeX ---
September 14 Statistical description of data PDF PDF, LaTeX ---
September 20 Fourier transformation PDF PDF, LaTeX ---
September 21 Spectral analysis PDF PDF, LaTeX ---
September 27 Basic aspects of time series filtering PDF PDF, LaTeX ---
September 28 Modeling of data and least squares PDF PDF, LaTeX ---
October 4 Computer assignments review and sample exam PDF PDF, LaTeX ---
October 5 No lab session --- --- ---
October 11 Computer assignments exam PDF PDF, LaTeX ---
October 12 Data analysis theory review PDF --- West Hall 2 & 1
October 26 Data analysis theory exam --- --- West Hall 2

Literature and web links

The theoretical foundations of the analysis techniques addressed here are summarized in the document entitled Theoretical Concepts in Time Series Analysis, available from this website in PDF.

The recommended textbook for this computer lab course is

David Gubbins, Time Series Analysis and Inverse Theory for Geophysicists, Cambridge University Press (first published 2004, third printing 2008).

Here is a small selection of additional literature.


Data repositories

The data analysis techniques taught in the course can be applied to a variety of data in the Earth and Space Sciences. Here is a selection of links to data repositories and the like.

Public data archives of geospace indices and spacecraft data

The Space Physics Data Facility hosted at the NASA Goddard Space Flight Center comprises a number of public data archives, analysis interfaces, and visualization tools.

For individual missions, there exist more specific achives and services such as the Ulysses Data Archive, the IMAGE Data Delivery System, and the Cluster Active Archive.

Climate indices and other geophysical time series

A large number of different climate indices are provided by the National Oceanographic and Atmospheric Administration (NOAA), see also the web page of their National Climatic Data Center (NCDC). Part of these data is free for all users, see their Most Popular Products page.

German Astrophysical Virtual Observatory (GAVO)

GAVO is a BMBF sponsored data archiving project to support modern astronomical research in Germany. The Millenium Run Database allows to carry out searches (SQL queries) in the output files of cosmological simulations. The results may be visualized using IDL.

Generic Mapping Tools (GMT)

The GMT system to apply the basic analysis techniques taught in the guided lab session phase of these course to spatially distributed data, in particular, to geographic and Cartesian data sets. See, for example, section 7.3 of the GMT documentation on spectral estimation which uses the GRDFFT routine in GMT to perform Fourier filtering.

Publishing Network for Geoscientific and Environmental Data (PANGEA)

The PANGEA system offers access to a wealth of geochemical sediment-core, ice-core as well as water column and atmospheric data. Go to About for more information about the PANGEA system.

World Data Centers

The network of World Data Centers (WDC) has its roots in the observational campaigns of the 1957-1958 International Geophysical Year (IGY). Currently more than 50 WDCs are spread over 12 countries. They offer a broad spectrum of solar, geophysical, and environmental data, see the list of WDCs.


Created: Wednesday 1 September 2010