Rob Hyndman on Forecasting

January 24, 2014

(This article was first published on Econometrics Beat: Dave Giles' Blog, and kindly contributed to R-bloggers)

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!

© 2014, David E. Giles

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