A new online forecasting textbook by Rob J Hyndman and George Athanasopoulos
Archive for the ‘Books’ Category:
Hyndman, Koehler, Ord and Snyder (2008), Forecasting with exponential smoothing: the state space approach, Springer.
Makridakis, Wheelwright and Hyndman (1998), Forecasting: methods and applications, Wiley: New York.
Rob J Hyndman (1992) PhD thesis, The University of Melbourne. Abstract: This thesis considers continuous time autoregressive processes defined by stochastic differential equations and develops some methods for modelling time series data by such processes. The first part of the thesis looks at continuous time linear autoregressive (CAR) processes defined by linear stochastic differential equations. These processes are well-understood and there is a large body of literature devoted to their study. I summarise some of the relevant material and develop some further results. In particular, I propose a new and very fast method of estimation using an approach analogous to