Automatic Time Series Forecasting: The<b>forecast</b>Package for<i>R</i>
Rob J. Hyndman, Yeasmin Khandakar
Abstract
Automatic forecasts of large numbers of univariate time series are often needed in business and other contexts. We describe two automatic forecasting algorithms that have been implemented in the forecast package for R. The first is based on innovations state space models that underly exponential smoothing methods. The second is a step-wise algorithm for forecasting with ARIMA models. The algorithms are applicable to both seasonal and non-seasonal data, and are compared and illustrated using four real time series. We also briefly describe some of the other functionality available in the forecast package.
Topics & Concepts
Exponential smoothingUnivariateAutoregressive integrated moving averageComputer scienceSeries (stratigraphy)Time seriesR packageState spaceData miningAlgorithmEconometricsMachine learningStatisticsMathematicsMultivariate statisticsComputational sciencePaleontologyBiologyComputer visionForecasting Techniques and ApplicationsStock Market Forecasting MethodsAdvanced Statistical Methods and Models