Forecasting workshop: Switzerland, June 2011

December 6, 2010 | Rob J Hyndman

I will be running a workshop on Statistical Forecasting: Principles and Practice in Switzerland, 20-22 June 2011. Check out the venue: Waldhotel Doldenhorn, Kandersteg! So if you fancy a trip to the beautiful Swiss Alps next June, read on… Outline Forecasting is required in many situations: deciding whether to build another ... [Read more...]

Initializing the Holt-Winters method

November 29, 2010 | Rob J Hyndman

The Holt-Winters method is a popular and effective approach to forecasting seasonal time series. But different implementations will give different forecasts, depending on how the method is initialized and how the smoothing parameters are selected. In this post I will discuss various initialization methods. Suppose the time series is denoted ... [Read more...]

Different results from different software

October 26, 2010 | Rob J Hyndman

I’ve had a few questions on this topic lately. Here is an email received today: I use Eviews to estimate time series, but I have been checking out R recently, and your Forecast package. I cannot understand why 2 similar equations in Eviews and R are giving different estimated output. ... [Read more...]

The ARIMAX model muddle

October 4, 2010 | Rob J Hyndman

There is often confusion about how to include covariates in ARIMA models, and the presentation of the subject in various textbooks and in R help files has not helped the confusion. So I thought I’d give my take on the issue. To keep it simple, I will only describe ... [Read more...]

Forecasting with long seasonal periods

September 28, 2010 | Rob J Hyndman

I am often asked how to fit an ARIMA or ETS model with data having a long seasonal period such as 365 for daily data or 48 for half-hourly data. Generally, seasonal versions of ARIMA and ETS models are designed for shorter periods such as 12 for monthly data or 4 for quarterly data. ... [Read more...]
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