[R] Diff. between time series and stochastic process

Duncan Murdoch murdoch at stats.uwo.ca
Mon Oct 1 14:52:25 CEST 2007

On 10/1/2007 8:39 AM, Megh Dal wrote:
> Hi, Can anyone give me a good explanation about what is the difference between Stochastic Process and Time Series? In my knowledge Time series process is one type of Stochastic process. Am I right? I need a further explanation.

You're partly right.  When thinking in terms of probability theory, 
"time series" usually means a stochastic process with a discrete time 

But "time series" is also used to mean an observed series of 
observations indexed by time, and I think the closest thing for a 
stochastic process would be "a realization of a stochastic process".  So 
"time series" is not just a special case of "stochastic process".

Duncan Murdoch

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