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; 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!