Any astronomer can predict just where every star will be at half past eleven tonight; he can make no such prediction about his daughter. James Truslow Adams, American historian, 1878-1949. In time series analysis, forecasting future values plays an important role. Depending on the application area, it can be used as a planning and control aid, as an indicator of negative developments, for early detection and warning, but also for speculation. Furthermore, most forecasting techniques allow for the replacement of missing values within the observation period. Statistical forecasting methods are used in many scientific disciplines, such as economics and social sciences, medicine, environmental research, and hydrology. If the observed time series values stem from a Gaussian process, they can be characterized by specifying their means.