Forecasting - Principles & Practice

Sep 18, 2026

Uploaded by Adam

Course notes and teaching material on forecasting for time series data, covering core principles, practical workflow, and hands-on lab sessions. The content introduces basic forecasting methods, graphical and diagnostic tools (autocorrelation, residual analysis, white noise), and exponential smoothing approaches including ETS and state space views. It further covers decomposition, stationarity and unit root testing, ARIMA models (non-seasonal and seasonal), state space and Kalman filtering, dynamic regression, hierarchical forecasting, and modern methods for complex seasonality such as TBATS.

LanguageEnglish

CategoryResearch & Report

FormatPDF

Pages138

Reading Time5 h 48 min

AccessFree to download

Introduction to forecasting

Some simple forecasting methods

Lab Session 1

The forecaster's toolbox

Evaluating forecast accuracy

Lab Session 2

Exponential smoothing

Taxonomy of exponential smoothing methods

ETS in R

Time series decomposition

Seasonal adjustment

Time series cross-validation

Cross-validation

Making time series stationary

Unit root tests

Non-seasonal ARIMA models

Estimation and order selection

Seasonal ARIMA models

ACF and PACF of seasonal ARIMA models

State space models

Kalman filter

Dynamic regression models

Regression with ARIMA errors

Hierarchical forecasting

Optimal forecasts

Neural network models

Forecasting complex seasonality

TBATS model

Forecasting: Principles & Practice Leader: Rob J Hyndman 23-25 September 2014 University of Western Australia [robjhyndman.com/uwa](robjhyndman.com/uwa) Contents 1 Introduction to forecasting 5 1.1 Introduction ............................ 5 1.2 Some case studies ......................... 7 1.3 Time series data .......................... 8 1.4 Some simple forecasting methods ................ 11 1.5 Lab Session 1 ............................ 13 2 The forecaster's toolbox 14 2.1 Time series graphics ........................ 14 2.2 Seasonal or cyclic? ......................... 17 2.3 Autocorrelation .......................... 20 2.4 Forecast residuals ......................... 24 2.5 White noise ............................. 26 2.6 Evaluating forecast accuracy ................... 29 2.7 Lab Session 2 ............................ 32 3 Exponential smoothing 34 3.1 The state space perspective .................... 34 3.2 Simple exponential smoothing .................. 34 3.3 Trend methods ........................... 36 3.4 Seasonal methods ......................... 39 3.5 Lab Session 3 ............................ 40 3.6 Taxonomy of exponential smoothing methods ......... 41 3.7 Innovations state space models ................. 41 3.8 ETS in R .............................. 46 3.9 Forecasting with ETS models ................... 50 3.10 Lab Session 4 ............................ 51 4 Time series decomposition 52 4.1 Example: Euro electrical equipment ............... 52 4.2 Seasonal adjustment ........................ 54 4.3 STL decomposition ........................ 54 4.4 Forecasting and decomposition ................. 55 4.5 Lab Session 5a ........................... 57 5 Time series cross-validation 58 5.1 Cross-validation .......................... 58 5.2 Example: Pharmaceutical sales ................. 59 5.3 Lab Session 5b ........................... 62 6 Making time series stationary 63 6.1 Transformations .......................... 63 6.2 Stationarity ............................. 65 6.3 Ordinary di􀀋erencing ....................... 67 6.4 Seasonal di􀀋erencing ....................... 68 6.5 Unit root tests ........................... 69 6.6 Backshift notation ......................... 70 6.7 Lab Session 6 ............................ 71 7 Non-seasonal ARIMA models 72 7.1 Autoregressive models ...................... 72 7.2 Moving average models ...................... 73 7.3 ARIMA models .......................... 73 7.4 Estimation and order selection .................. 77 7.5 ARIMA modelling in R ...................... 78 7.6 Forecasting ............................. 81 7.7 Lab Session 7 ............................ 83 8 Seasonal ARIMA models 84 8.1 Common ARIMA models ..................... 85 8.2 ACF and PACF of seasonal ARIMA models ........... 85 8.3 Example: European quarterly retail trade ........... 85 8.4 Example: Cortecosteroid drug sales ............... 89 8.5 ARIMA vs ETS ........................... 92 8.6 Lab Session 8 ............................ 93 9 State space models 94 9.1 Simple structural models ..................... 94 9.2 Linear Gaussian state space models ............... 96 9.3 Kalman ﬁlter ............................ 97 9.4 ARIMA models in state space form ............... 99 9.5 Kalman smoothing ........................ 100 9.6 Time varying parameter models ................. 103 9.7 Lab Session 9 ............................ 104 10 Dynamic regression models 105 10.1 Regression with ARIMA errors .................. 105 10.2 Example: US personal consumption & income ......... 107 10.3 Forecasting ............................. 109 10.4 Stochastic and deterministic trends ............... 110 10.5 Periodic seasonality ........................ 112 10.6 Dynamic regression models ................... 113 10.7 Rational transfer function models ................ 114

FAQs

What are the main topics covered in these forecasting notes?

The notes cover forecasting principles, time series tools and diagnostics, exponential smoothing (including ETS), decomposition, stationarity, ARIMA (non-seasonal and seasonal), state space models with Kalman filtering, dynamic regression, hierarchical forecasting, and complex seasonality methods like TBATS.

How is forecast accuracy evaluated in the course material?

The forecaster's toolbox section includes methods for evaluating forecast accuracy, alongside diagnostics such as autocorrelation, residuals, and checks for white noise.

Do the notes include practical exercises or labs?

Yes. Multiple lab sessions are listed throughout the outline (e.g., Lab Session 1 through Lab Session 12), with applied examples and model-focused practice in R.

Sep 18, 2026

Uploaded by Adam

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