Can an ordinary least squares regression be used with time-series data?

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Can an ordinary least squares regression be used with time-series data?

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Answer 1 · 2016-03-03T20:50:25

Yes.

Explanation:

Least-squares regression is as applicable to time-series data as it is to data which is dependent on any other variable. One can use least-squares to find a best fit of a function of time to data gathered in a time series.

For example, imagine a pendulum swinging back a forth, and a measurement apparatus which gathers data on the position of the pendulum. This data has a time, $t$ $t$ , and a position, $x$ $x$ .

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We can use a least-squares approach to determine the coefficients of a fit function, in this case we may be using the following function:

$x (t) = c_{1} \cdot sin (c_{2} x - c_{3})$ $x(t) = c_1*sin(c_2x-c_3)$

Where we adjust the coefficients $c_{1}, c_{2},$ $c_1, c_2,$ and $c_{3}$ $c_3$ to minimize the sum of squares of the error between the points and the function evaluated at those time values.

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Can an ordinary least squares regression be used with time-series data?

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