The Daily Shaarli

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Statistical forecasting: notes on regression and time series analysis

This web site contains notes and materials for an advanced elective course on statistical forecasting that is taught at the Fuqua School of Business, Duke University. It covers linear regression and time series forecasting models as well as general principles of thoughtful data analysis.

The time series material is illustrated with output produced by Statgraphics, a statistical software package that is highly interactive and has good features for testing and comparing models, including a parallel-model forecasting procedure that I designed many years ago.

The material on multivariate data analysis and linear regression is illustrated with output produced by RegressIt, a free Excel add-in which I also designed. However, these notes are platform-independent. Any statistical software package ought to provide the analytical capabilities needed for the various topics covered here.