ABSTRACT
This chapter turns attention directly to the topic which is the prime
focus of this book, namely forecasting the future values of a time series.
In particular, this chapter describes a variety of univariate forecasting
methods. Suppose we have observations on a single time series denoted
by x
; x
; : : : ; x
N
and wish to forecast x
N+h
for h = 1; 2; : : :. A univariate
forecasting method is a procedure for computing a point forecast, x^
N
(h),
based only on past and present values of the given series (possibly
augmented with a function of time such as a linear trend).
