Forecasting time series is an important tool in quantitative business analysis. This chapter is primarily about linear regression. We begin with simple regression, meaning one independent variable. This is very often useful in time series analysis, with Time as the independent variable. Our focus is on linear regression, but we will compare with moving average because it is a simple approach that often does better than linear regression if seasonality or cyclical components are present in the data. Regression is a basic statistical tool. In data mining, it is one of the basic tools for analysis, used in classification applications through logistic regression and discriminant analysis, as well as prediction of continuous ...
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