Fotios Petropoulos and I have participated last year in M4 competition. Our approach performed well, finishing as 6th in the competition. This paper in International Journal of Forecasting explains what we used in our approach and why. Here’s the abstract: This paper describes the approach that we implemented for producing the point forecasts and prediction […]

# ETS

# OR60 presentation. Forecasting using exponential smoothing: the past, the present, the future

Robert Fildes asked me to prepare a review of exponential smoothing for OR60. I thought that it would be boring just to look in the past, so I decided to do past + present + future, adding a model that Nikos and I have started working on some time ago (GUM – Generalised Univariate Model). […]

# International Symposium on Forecasting 2018

This year I have presented an extension of the research from ISF2017, called “Forecasting intermittent data with complex patterns”. This time we developed the model with “logistic probability”, which allows capturing complex patterns in demand occurrence part of the data. I also tried making the presentation more entertaining and easier to understand by a wider […]

# “smooth” package for R. Common ground. Part III. Exogenous variables. Basic stuff

One of the features of the functions in smooth package is the ability to use exogenous (aka “external”) variables. This potentially leads to the increase in the forecasting accuracy (given that you have a good estimate of the future exogenous variable). For example, in retail this can be a binary variable for promotions and we […]

# “smooth” package for R. Common ground. Part II. Estimators

A bit about estimates of parameters Hi everyone! Today I want to tell you about parameters estimation of smooth functions. But before going into details, there are several things that I want to note. In this post we will discuss bias, efficiency and consistency of estimates of parameters, so I will use phrases like “efficient […]

# Multiplicative State-Space Models for Intermittent Time Series

John Boylan and I have been working on a paper about state-space models for intermittent data. We have had some good progress in that direction and have submitted the paper to IJF. Although it is still under review, we decided to publish the working paper in order to promote the thing. Here’s the abstract: Intermittent […]

# “smooth” package for R. Common ground. Part I. Prediction intervals

We have spent previous six posts discussing basics of es() function (underlying models and their implementation). Now it is time to move forward. Starting from this post we will discuss common parameters, shared by all the forecasting functions implemented in smooth. This means that the topics that we discuss are not only applicable to es(), […]

# “smooth” package for R. es() function. Part VI. Parameters optimisation

Now that we looked into the basics of es() function, we can discuss how the optimisation mechanism works, how the parameters are restricted and what are the initials values for the parameters in the optimisation of the function. This will be fairly technical post for the researchers who are interested in the inner (darker) parts […]

# “smooth” package for R. es() function. Part V. Essential parameters

While the previous posts on es() function contained two parts: theory of ETS and then the implementation – this post will cover only the latter. We won’t discuss anything new, we will mainly look into several parameters that the exponential smoothing function has and what they allow us to do. We start with initialisation of […]

# “smooth” package for R. es() function. Part IV. Model selection and combination of forecasts

Mixed models In the previous posts we have discussed pure additive and pure multiplicative exponential smoothing models. The next logical step would be to discuss mixed models, where some components have additive and the others have multiplicative nature. But we won’t spend much time on them because I personally think that they do not make […]