Archive for the ‘Books’ Category:

Forecasting: principles and practice

Published on 1 January 2014 in Books

A new online forecasting textbook by Rob J Hyndman and George Athanasopoulos


Forecasting with exponential smoothing: the state space approach

Published on 17 August 2008 in Books

Hyndman, Koehler, Ord and Snyder (2008), Forecasting with exponential smoothing: the state space approach, Springer.


Forecasting: methods and applications

Published on 17 January 1998 in Books

Makridakis, Wheelwright and Hyndman (1998), Forecasting: methods and applications, Wiley: New York.


ITSM for Windows: a user’s guide to time series modelling and forecasting

Published on 17 July 1994 in Books

Continuous-time threshold autoregressive modelling

Published on 17 December 1992 in Books

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