Forecasting with R

EURANDOM-SIKS Masterclass by Rob Hyndman

Date and Time: 19-20-21 October 2016, 10 am - 5 pm
Location: Eurandom, Metaforum Building MF 11 - 12
Department of Mathematics and Computer Science, TU Eindhoven, the Netherlands


Predicting the future is an ambitious endeavor. However, in many situations reliable forecasts are necessary and it is possible to obtain them: deciding whether to build another power generation plant in the next five years requires forecasts of future demand; scheduling staff in a call centre next week requires forecasts of call volumes; stocking an inventory requires forecasts of stock requirements. Forecasts can be required several years in advance (for the case of capital investments), or only a few minutes beforehand (for telecommunication routing). Whatever the circumstances or time horizons involved, forecasting is an important aid to effective and efficient planning. In this course Rob Hyndman offers an introduction to forecasting including pitfalls and challenges.

Wednesday 19 Oct 2016 Forecasting tools, time series graphics, seasonality and trends, exponential smoothing.
Thursday20 Oct 2016 State space models, stationarity, transformations, differencing, ARIMA models.
Friday21 Oct 2016 Time series cross-validation, dynamic regression, hierarchical forecasting, nonlinear models.

The course will involve a mixture of lectures and practical sessions using R. Each participant must bring their own laptop with R installed, along with the fpp package and its dependencies.

Participants will be assumed to be familiar with basic statistical tools such as multiple regression, but no knowledge of time series or forecasting will be assumed. Some prior experience in R is highly desirable.

PhD students enrolled in the SIKS research school can take this course as a SIKS Masterclass and receive 1 ECTS.


Rob J Hyndman is Professor of Statistics in the Department of Econometrics and Business Statistics at Monash University, and Editor-in-Chief of the International Journal of Forecasting. Rob is well-known for his ground-breaking research in the theory of forecasting and draws from a long-term experience in giving advice to companies and national agencies. On his blog, he writes about doing research in statistics. Rob is joining TU/e this academic year as KNAW visiting professor. For more information about his work or to check out his blog please visit his website

Registration and Cancellation

The capacity of the course is limited. Registration is free, but required for participants. Please follow this link to register. Registration is on a first-come-first-serve basis and will close on 3 October. The course is booked out and registration is not possible anymore. Should you need to cancel, please contact Patty Koorn, the Eurandom Workshop Officer.

For SIKS PhD-students: There is a fixed number of free seats for all fully registered SIKS PhD-students. Should you wish to take advantage of this, then please indicate SIKS-membership during registration. Applications will be served in a first come first serve manner.

Follow-up meeting

On 18 April 2017 we are organizing a follow-up meeting to this course. Please register here (Registration is free, but required for participants). The preliminary schedule is as follows

10.00 -- 11.00 New developments in forecasting using R
  • forecast v8.0
  • prophet
  • forecastHybrid
  • opera
Coffee break
11.15 -- 12.15 Open discussion of forecasting problems and questions
Lunch break
13.00 -- 14.00 Brainstorm about features in the forecasting package that would be useful

Travel Information

Eurandom is located on the campus of Eindhoven University of Technology, in the Metaforum building (4th floor). Link to googlemaps.

Arriving by Train: The university is located at 10 minutes walking distance from Eindhoven main railway station (take the exit north side and walk towards the tall building on the right with the sign TU/e).

Arriving by Car: The adress is De Groene Loper 5, 5612 AZ EINDHOVEN, The Netherlands, see also this map for access via highways.


Anne Driemel, Assistant Professor at TU Eindhoven,


The organizers acknowledge the financial support/sponsorship of: