Statistical Visions in Time: A History of Time Series Analysis, 1662–1938

by Judy L. Klein

• ISBN13: 9780521023177
• ISBN10: 0521023173
• Format: Paperback
• Copyright: 2005-12-08
• Publisher: Cambridge University Press

Summary

This work documents the history of techniques that statisticians have used to manipulate economic, meteorological, biological, and physical data taken from observations recorded over time. The manipulation tools include percent change, index numbers, moving averages, and "first differences," i.e., subtracting one observation from the previous value. Professor Klein argues that nineteenth-century business journals, such as The Economist, were as important to the development of time series analysis as Latin treatises on probability theory. While examining the roots of mathematical statistics in commercial practice, she traces changes in analytical forms from table to graph to equation. This history is accessible to students with a basic knowledge of statistics as well as financial analysts, statisticians, and historians of economic thought and science.

Table of Contents

List of Figures and Tables	xi
Preface	xv
Acknowledgments	xviii
Introduction	1	(22)
The Metaphor and Reality of Target Practice	3	(5)
Process and Subject	8	(5)
Decomposition	13	(2)
The Pulling-Up versus the Trickle-Down Theory	15	(2)
Transitions from the Table to the Graph to the Equation	17	(2)
Measurement without History	19	(4)
PART I COMMERCIAL ARITHMETIC AND PRACTICAL DYNAMICS	23	(114)
Reckoning on Death and Chance with the Merchant's Rule	25	(29)
The Merchant's Rule	26	(1)
Political Arithmetic with the Rule of Three	27	(7)
Graunt's Epidemiology	34	(1)
Great Plagues	35	(6)
Population	41	(2)
Graunt's Statistical Structure in Time: The Life Table	43	(4)
Pearson's Statistical Structures in Time: Mortality Curves	47	(7)
Commercial Currents and First Differences	54	(19)
Monetary Algorithms: The Net Changes of Speculators	55	(4)
Political Arithmetic: The Statistics of Public Men	59	(3)
Scientific Arithmetic: The Serial Differences of the Statisticians	62	(7)
The Variate Difference Method of the Mathematicians	69	(1)
Yule's Study of Nonstationary Processes	70	(1)
Summary and Conclusion	71	(2)
The Interplay of Deception and Accountability in the Index Numbers and Moving Averages of the Bank of England	73	(30)
The Accountability of the Bank and the Secret of Its Treasure	75	(1)
Index Numbers and Scaled Series	76	(1)
The Bank's Response to the Panic of 1797	77	(1)
Keys to the Mystical Scales	78	(7)
Restless Money and Moving Averages	85	(6)
Jevons's Use of Index Numbers and Moving Averages	91	(4)
Terrestrial Magnetism and the Practice of Smoothing	95	(2)
Poynting's Studies of Drunkenness and Crop Fluctuations	97	(3)
From Fluctuations to Deviations via Smoothing	100	(2)
From a Tool of Deception to a Model of Reality	102	(1)
Seasons, Tides, and Structures in Cycle Time	103	(34)
Relative Time Frameworks	104	(3)
Reshaping Time Series in Commercial Practice	107	(2)
Jevons's Charts of Seasonal Variation	109	(2)
Economy and Weather; Economics and Meteorology	111	(8)
Lubbock's Study of Tides and Lunar Phases	119	(3)
Quetelet's Study of l'Homme Moyen	122	(9)
Galton's Connection of Means in Logical Time	131	(2)
Conclusion	133	(4)
PART II SUBJECT CONTEXT AND STATISTICAL THEORY	137	(152)
Laws of Chance and Error in the Observation Process	139	(22)
Games of Chance	140	(1)
Averages, Mathematical Expectation, and European Law	141	(4)
Relative Frequencies and the Stochastic Art	145	(3)
Time = Trials	148	(1)
The Treatment of Observational Errors	148	(6)
Combinations of Observations and Least Squares	154	(3)
The Russian Probability School	157	(3)
Conclusion	160	(1)
Laws of Deviation and the Capacity for Shifting Means in Early Statistical Models of Processes	161	(34)
The Law of Accidental Causes	162	(4)
The Kinetic Theory of Gases and Brownian Motion	166	(4)
Cross Sections in Temporal Processes	170	(2)
Biological Evolution by Natural Selection	172	(4)
The Law of Deviation	176	(1)
The Double-Humped Signature of Natural Selection	177	(6)
Replacing Forces of Inheritance with Laws of Inheritance	183	(1)
Eugenics	184	(2)
Correlation Surfaces and Laws of Inheritance	186	(4)
Different Interpretations of ``Variation''	190	(2)
Conclusion	192	(3)
A Funny Thing Happened on the Way to Equilibrium: Economic and Statistical Ways of Thinking around the Turn of the Century	195	(26)
Political Economy, Political Arithmetic, and Statistics	197	(3)
The Methods of Political Economists	200	(2)
Edgeworth's Connection of Probability and Utility	202	(3)
Flow, Motion, and Rest in Economic Theory	205	(1)
Normal Value versus Normal Distribution	206	(3)
Groping toward Equilibrium under Stationary Conditions	209	(3)
Disturbances to the Groping Process	212	(2)
Empirical Investigations and Trade Cycles	214	(2)
Lexis on the Stability and Decomposition of Time Series	216	(3)
Conclusion	219	(2)
Decomposition and Functions of Time	221	(38)
Correlation and Subject Context	224	(2)
Yule's Study of Pauperism	226	(2)
Correlation of Decomposed Time Series	228	(4)
Decomposition and Trade Cycles	232	(8)
Transforming Time Series with Percent Change	240	(1)
Trends and Long Waves	241	(5)
Seasonal Variation	246	(1)
Random Components	247	(2)
Variables as Functions of Time	249	(7)
Conclusion	256	(3)
Autoregression, Random Disturbances, Dangerous Series, and Stationary Stochastic Processes	259	(30)
Autoregression: The General Model	261	(1)
Autoregression: Biometry and Inheritance	261	(1)
Serial Correlation: Meteorology and Isobars in Time and Space	262	(2)
Autoregression: Yule's Specification	264	(6)
Random Walk	270	(4)
Markov Processes	274	(2)
Slutsky's Summation of Random Causes	276	(4)
The Active Random Elements in the Models of Yule and Frisch	280	(2)
Bringing It All Together in Wold's Stationary Process	282	(3)
Conclusion	285	(4)
Epilogue	289	(6)
Importance of Practice	290	(1)
Measurement without History	291	(4)
Appendix 1 Techniques of Time Series Analysis	295	(7)
Data Manipulation Techniques Covered in Part I	295	(4)
Statistical Concepts Covered in Part II	299	(3)
Appendix 2 Frequency Analysis of Worldwide Studies in Time Series and Stochastic Processes: 1847--1938	302	(11)
Language	302	(4)
Field of Application	306	(1)
Temporal Patterns	306	(7)
References	313	(22)
Index	335