A simple combination of univariate models

Fotios Petropoulos and I have participated last year in M4 competition. Our approach performed well, finishing as 6th in the competition. This note 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 […]

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. 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 […]