Friday, January 24, 2014

Rob Hyndman on Forecasting


If you have an interest in forecasting, especially economic forecasting, the Rob Hyndman's name will be familiar to you. Hailing from my old stamping ground - Monash University - Rob is one of the world's top forecasting experts. 
Without going into all of the details, Rob is very widely published, and also has a great blog, Hyndsight. He's author of the well-known  "forecast" package for R (version 5 just released); and the co-author of several important books.

Last year, Rob taught an on-line forecasting course, titled, "Time Series Forecasting Using R". It comprised 12 one-hour lectures, on the following topics (with exercises):

  • Introduction to forecasting 
  • The forecaster's toolbox 
  • Autocorrelation and seasonality 
  • White noise and time series decomposition 
  • Exponential smoothing methods 
  • ETS models 
  • Transformations and adjustments 
  • Stationarity and differencing 
  • Non-seasonal ARIMA models 
  • Seasonal ARIMA models 
  • Dynamic regression 
  • Advanced methods
The really good news? You can access these presentations right here!



© 2014, David E. Giles

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