Applied Forecasting and Time Series with R
This github repo shares some of the material used for teaching Applied Forecasting (5 ECTS) in Trinity College Dublin (2008-2020) for Sophisters. Please cite the following if you find any of these materials useful:
Applied Forecasting, Rozenn Dahyot, Lecturenotes, Trinity College Dublin Ireland 2020. (https://github.com/Roznn/Forecasting-with-R/)
Keywords: time series, time series visualisation, Holt-Winters algorithms, ARIMA models, forecasting, prediction intervals
Lecturenotes (*.tex and pdf)
R and Rmd Files
Rmd file for teaching forecasting
- TemplateForecasting.Rmd is an example of Rmd file that can be processed with RStudio. It is an example of analysis of a time series with Holt-Winters algorithms.
- The output file is in html format (TemplateForecasting.html) that is readable with any browser (e.g. Chrome / Internet explorer / Qwant/…).
- some help is provided in the file HelpTemplateForecastingRmd.pdf
Other Rmd files (with their corresponding html file)
- TSD.Rmd and TSD.html time series differencing: illustrations using arima.sim
- DowjonesAR1D1.Rmd and DowjonesAR1D1.html selecting an ARIMA(p,d,q) for a time series and computing forecasts.
- MAmodels.Rmd and MAmodels.html MA(1) models using arima.sim
- LinearRegression.Rmd and LinearRegression.html Example of Linear Regression
- LinearRegressionForecasting.Rmd and LinearRegressionForecasting.html Example of Linear Regression for time series
R file for teaching forecasting
- SimulationSeasonalArima.R allows to create seasonal arima time series and see their resulting ACF and PACF plots.
- Forecasting: principles and practice by R. Hyndman and G. Athanasopoulos (online book)
- The Holt-Winters Approach to Exponential Smoothing: 50 Years Old and Going Strong, Paul Goodwin, Foresight: The International Journal of Applied Forecasting 2010