My new forecasting textbook

After years of say­ing that I was going to write a book to replace Makri­dakis, Wheel­wright and Hyn­d­man (1998), I’m finally ready to make an announcement!

My new book is Fore­cast­ing: prin­ci­ples and prac­tice, co-​​authored with George Athana­sopou­los. It is avail­able online and free-​​of-​​charge. We have writ­ten about 23 of the book so far (all of which is already avail­able online), and we plan to fin­ish it by the end of 2012. We hope to make a print ver­sion of the book avail­able on Ama­zon in early 2013.

This text­book is intended to pro­vide a com­pre­hen­sive intro­duc­tion to fore­cast­ing meth­ods and present enough infor­ma­tion about each method for read­ers to use them sen­si­bly. We don’t attempt to give a thor­ough dis­cus­sion of the the­o­ret­i­cal details behind each method, although the ref­er­ences at the end of each chap­ter will fill in many of those details. We use R through­out the book and we intend stu­dents to learn how to fore­cast with R.

The book has it’s own R pack­age: fpp. This con­tains all the data sets used in the book, and also loads a few other pack­ages that are nec­es­sary to com­plete the examples.

The book is dif­fer­ent from other fore­cast­ing text­books in sev­eral ways.

  • It is free and online, mak­ing it acces­si­ble to a wide audience.
  • It is based around the fore­cast pack­age for R.
  • It is con­tin­u­ously updated. You don’t have to wait until the next edi­tion for errors to be removed or new meth­ods to be dis­cussed. We will update the book frequently.
  • There are dozens of real data exam­ples taken from our own con­sult­ing prac­tice. We have worked with hun­dreds of busi­nesses and orga­ni­za­tions help­ing them with fore­cast­ing issues, and this expe­ri­ence has con­tributed directly to many of the exam­ples given here, as well as guid­ing our gen­eral phi­los­o­phy of forecasting.
  • We empha­sise graph­i­cal meth­ods more than most fore­cast­ers. We use graphs to explore the data, analyse the valid­ity of the mod­els fit­ted and present the fore­cast­ing results.


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  • Tal Galili

    Con­grat­u­la­tions Rob, thank you for writ­ing such a book (this is far from my cur­rent research — but I am happy it exists for when I will need it)


  • Andrew Z

    Thank you! I am learn­ing sta­tis­tics and hope to dig into fore­cast­ing and time series to apply at the non-​​profit where I work.

  • imben­zene

    Look­ing for the sec­ond book. Seems to be as promis­ing as the first one.

  • Abiao

    Con­grat­u­la­tions! This is the first R pack­age on fore­cast­ing that I find com­pre­hen­sive, well done.

  • Jean­nie Chirayus

    I have read cou­ple of the chap­ters well writ­ten, can’t wait until it’s completed

  • Chris­t­ian

    Won­der­ful resource for learn­ing fore­cast­ing and R. Thanks a ton; I’ll be back to this site frequently.

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  • Tal Galili

    Con­grat­u­la­tions Rob, and good luck!

  • R lover

    Well done Rob, keep work­ing hard!

  • Hol­ger K. von Jouanne-​​Diedrich

    Con­grats! Will there be a kin­dle ver­sion? This would be great!

    • Rob J Hyndman

      I would love to pub­lish a kin­dle ver­sion, but cur­rently kin­dle does a very poor job of han­dling math­e­mat­ics. So unless Ama­zon improves the for­mat, or I learn how to get around the lim­i­ta­tions, it is unlikely to hap­pen in the near future.

      • Schultz

        Is the book out yet? I’ve seen a few Kin­dle books that do a good job of dis­play­ing both math and code.

        • Rob J Hyndman

          The print ver­sion is still on track to come out this year. The kin­dle ver­sion may fol­low if it looks ok. Ama­zon may have improved things since I last looked.

  • Narasimhan KV

    A great book sir!

  • A.M.jaber

    I am new to time series area I would like to ask about, How I can extract trend from stock mar­ket data using wavelet with R cod

  • Prasanna

    Would like to see a “sub­ject index” at the end of the book. Excel­lent book!!

  • Gon­zalo Andrés Moreno Gómez

    Regards from Colom­bia. Great book. I do not know about fore­cast­ing, but I am learn­ing. How­ever, I have a ques­tion about the metodol­ogy or pro­ce­dure to find the best fore­cast­ing: If I want to get the best fore­cast, why to look for if the model has trend or cycles, when I can choose the model with the low­est RMSE?

    • Rob J Hyndman

      The model with the low­est RMSE will not nec­es­sar­ily give you the best fore­casts. This is dis­cussed in the book.