Curve fitting

Hello /prog/
I've been talking to Xarn about curve fitting and I wanted to know your opinions on this as well.
Is anyone here familiar with curve fitting?
http://bbs.readsicp.org/kareha.pl/1468337795/

>>2

I already know R and MATLAB, but I can learn any tool needed.
The problem I face is to choose a method to fit a curve to certain data. Most methods require you to know the distribution of the data, something I rarely know with real world data. And then there are the non-parametric algorithms. But which one to choose is a mystery...

And then it comes the issue with extrapolation. Which method will better predict the future if you set the curve for a time that has not been yet observed?

>>3
I'll read those slides, thanks a lot for sharing. I hope it brings some light to my doubts.