About sequential data analysis
Fisher, C. and Sanderson, P. (1996): Exploratory Sequential Data Analysis: Exploring continuous observational data, ACM interactions, 3(2), pp. 25 - 34. The paper is an overview of the sequential data analysis that are available with an exploratory perspective. It's a very broad description but it gives some valuable hints. They refer to "Exploratory Sequential Data Analysis" with this "ESDA" acronym.
Analysis techniques that use sequential information include conversation analysis, interaction analysis, verbal and nonverbal protocol analysis, process tracing, cognitive task analysis, and discourse analysis. In addition, there are many powerful sequential data analysis techniques that deal with sequential information statistically, such as Markov analysis, lag sequential analysis, and grammatically based techniques. (...) all empirical ways of seeking answers to research or design questions; they all use systems, environmental, and behavioral data in which the ordering of events is preserved, and they all involve data exploration at critical points in analysis, especially the outset.
The paper then presents three broad traditions of observational research traditions (behavioral, cognitive and social) and discussed them:
In his work on design meetings, Tang  implicitly distinguished the behavioral, cognitive, and social traditions when justifying his choice of interaction analysis—a naturalistic social technique—over a formal experimental approach or a cognitive approach. He reasoned that factors influencing design were not known well enough to develop a fully controlled experiment, and that designers probably were not sufficiently aware of how they made design decisions to provide a valid verbal report. As this example shows, the best approach to use depends on the question being asked, the kind of data that have been collected, and the form of statement eventually required.
Why do I blog this? Even though it's a bit old, therd are some good references about seminal work (which was what I was looking for). More about that in Human-Computer Interaction, 9, 3 (1994) which was a special issue about that.