Yesterday I gave a lecture to the master students of Higher School Economics, Saint Petersburg (“Marketing Analytics” programme). This was a very general lecture on “Modern Forecasting”, covering forecasting problems in practice, the solutions to these problems and modern scientific directions in the field. It seems that the lecture was well received and brought up […]

# theory

# Naughty APEs and the quest for the holy grail

Today I want to tell you a story of naughty APEs and the quest for the holy grail in forecasting. The topic has already been known for a while in academia, but is widely ignored by practitioners. APE stands for Absolute Percentage Error and is one of the simplest error measures, which is supposed to […]

# 19th IIF Workshop presentation

An IIF workshop “Supply Chain Forecasting for Operations” took place at Lancaster University on 28th and 29th of June. I have given a presentation on a topic that John Boylan and I are currently working on. We suggest a universal statistical model, that allows uniting standard methods of forecasting (for example, for fast moving products) […]

# True model

In the modern statistical literature there is a notion of “true model”, by which people usually mean some abstract mathematical model, presumably lying in the core of observed process. Roughly saying, it is implied that data we have has been generated by some big guy with a white beard sitting in mathematical clouds using some […]

# Visit of Stephan Kolassa

This Wednesday Stephan Kolassa (Senior Research Expert at SAP) has visited Lancaster Centre for Forecasting. He gave a couple of very interesting talks and attended the presentation of PhD topics by Ivan Svetunkov, Yves Sagaert and Oliver Schaer (organised by Nikolaos Kourentzes). My topic was “Trace Forecast Likelihood”, some parts of which I have presented […]

# Complex Exponential Smoothing (Working paper)

Some time ago I have published the working paper on Complex Exponential Smoothing on ResearchGate website. This is the paper written by Nikolaos Kourentzes and I in 2015. It explains a new approach in time series modelling and in forecasting, based on a notion of “information potential”. The model, resulting from this idea, allows to […]