I seem to be doing a lot of forecasting work these days. My challenge is generally to predict demand or utilization in the future, knowing only previous values and the accompanying dates/times. I'm also working on a few forecasting demos in R for the OpenBI website.
I had the privilege in grad school many years ago of taking a time series course taught by eminent statistician George Box, co-originator of the Box-Jenkins forecast modeling methodologies. A lot's changed in the statistical world in the 30 years since, but the BJ autoregressive/moving average (ARIMA) models that use past values of a series to predict the future have stood the test of time. A review of the table of contents of the excellent text “Time Series Analysis With Applications in R” provides quick affirmation.
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