• Rob J. Hyndman
  • Anne B. Koehler
  • J. Keith Ord
  • Ralph D. Snyder
Forecasting with Exponential Smoothing
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The State Space Approach

R packages

The forecast package for R implements the methods described in the book. The expsmooth package contains the data for the exercises and most of the examples in the book. Both packages are available on CRAN.

Data

The data are available in two forms: as part of the expsmooth package for R and as individual csv files. This zip file contains all csv files, or you can download individual csv files below.

Annual data

freight
Annual US new freight cars, 1947-1993. Freight cars, new (excl. rebuilt), new orders, equip. mfrers. Series N0193 from the M3 competition.
usnetelec
Annual US net electricity generation (billion kwh) for 1949-2003.

Hourly data

utility
Hourly utility demand, mid western USA from 1 Jan 2003.
vehicles
Hourly vehicle counts on Monash Freeway, outside Melbourne in Victoria, Australia, beginning August 1995.

M3 competition

M3 competition data

Monthly data

visitors
Monthly Australian short-term overseas vistors. May 1985-April 2005.
canadagas
Monthly Canadian gas production, billions of cubic metres, January 1960–February 2005.
mcopper
Monthly copper prices. Copper, grade A, electrolytic wire bars/cathodes,LME,cash (£/t) Source: UNCTAD (http://stats.unctad.org/Handbook).
dji
Monthly Dow Jones index. Jan 1990 - Mar 2007.
djiclose
Monthly Dow Jones index. Closing values on first day of each month. Oct 1928 - Dec 2007.
xrates
Monthly exchange rates. Australian dollar/US dollar and Australian dollar/UK pound. Jan 2000 - May 2006.
hospital
Monthly hospital patient count for products used in medical procedures. Jan 2000 - Dec 2006.
carparts
Monthly sales car parts, Jan 1998 - Mar 2002.
msales
Monthly sales for a product with shortage indicators.
partx
Monthly sales of an automobile part.
unemp.cci
Monthly US civilian unemployment and consumer confidence, Jun 1997 - Sep 2005.
enplanements
Monthly US domestic enplanements. (millions). Jan 1979 - Jun 2002. Source: Department of Transportation, Bureau of Transportation Statistics, Air Carrier Traffic Statistic Monthly
gasprice
Monthly US retail gasoline price (the average price per gallon, in dollars) and the spot price of a barrel of West Texas Intermediate (WTI) oil in dollars as traded at Cushing, Oklahoma. These series are available from the US Energy Information Administration website http://www.eia.doe.gov.
bonds
Monthly US government bond yields (%pa) from Jan 1994 to May 2004.

Quarterly data

ausgdp
Quarterly Australian GDP per capita 1971:1 - 1998:1.
frexport
Quarterly exports of a French company. (in thousands of francs) taken from Makridakis et al. (1998, p.162).
ukcars
Quarterly UK passenger car production (thousands of cars). 1997:1-2005:1.
usgdp
Quarterly US GDP. 1947:1 - 2006:1.

Weekly data

fmsales
Weekly FM sales. (Sales of a product for 62 weeks starting in early 2003.)
jewelry
Weekly jewelry sales. (Weekly sales of 314 costume jewelry items over the period week 5, 1998 to week 24, 2000.)