Blog Archives

Varian on big data

June 15, 2014
By

Last week my research group discussed Hal Varian’s interesting new paper on “Big data: new tricks for econometrics”, Journal of Economic Perspectives, 28(2): 3–28. It’s a nice introduction to trees, bagging and forests, plus a very brief entree to the LASSO and the elastic net, and to slab and spike regression. Not enough to be able to use them,...

Read more »

Specifying complicated groups of time series in hts

June 14, 2014
By

With the latest version of the hts package for R, it is now possible to specify rather complicated grouping structures relatively easily. All aggregation structures can be represented as hierarchies or as cross-products of hierarchies. For example, a hierarchical time series may be based on geography: country, state, region, store. Often there is also a separate product hierarchy: product...

Read more »

European talks. June-July 2014

June 14, 2014
By

For the next month I am travelling in Europe and will be giving the following talks. 17 June. Challenges in forecasting peak electricity demand. Energy Forum, Sierre, Valais/Wallis, Switzerland. 20 June. Common functional principal component models for mortality forecasting. International Workshop on Functional and Operatorial Statistics. Stresa, Italy. 24–25 June. Functional time series with applications in demography. Humboldt University,...

Read more »

ARIMA models with long lags

May 7, 2014
By
ARIMA models with long lags

Today’s email question: I work within a government budget office and sometimes have to forecast fairly simple time series several quarters into the future. Auto.arima() works great and I often get something along the lines of: ARIMA(0,0,1)(1,1,0) with drift as the lowest AICc. However, my boss (who does not use R) takes issue with low-order AR and MA because...

Read more »

New jobs in business analytics at Monash

May 4, 2014
By

We have an exciting new initiative at Monash University with some new positions in business analytics. This is part of a plan to strengthen our research and teaching in the data science/computational statistics area. We are hoping to make multiple appointments, at junior and senior levels. These are five-year appointments, but we hope that the positions will continue after...

Read more »

Publishing an R package in the Journal of Statistical Software

April 23, 2014
By
journal_logo

I’ve been an editor of JSS for the last few years, and as a result I tend to get email from people asking me about publishing papers describing R packages in JSS. So for all those wondering, here are some general comments. JSS prefers to publish papers about packages where the package is on CRAN and has been there...

Read more »

Seven forecasting blogs

April 21, 2014
By

There are several other blogs on forecasting that readers might be interested in. Here are seven worth following: No Hesitations by Francis Diebold (Professor of Economics, University of Pennsylvania). Diebold needs no introduction to forecasters. He primarily covers forecasting in economics and finance, but also xkcd cartoons, graphics, research issues, etc. Econometrics Beat by Dave Giles. Dave is a professor of...

Read more »

Errors on percentage errors

April 16, 2014
By
Errors on percentage errors

The MAPE (mean absolute percentage error) is a popular measure for forecast accuracy and is defined as     where denotes an observation and denotes its forecast, and the mean is taken over . Armstrong (1985, p.348) was the first (to my knowledge) to point out the asymmetry of the MAPE saying that “it has a bias favoring estimates...

Read more »

My forecasting book now on Amazon

April 8, 2014
By
My forecasting book now on Amazon

For all those people asking me how to obtain a print version of my book “Forecasting: principles and practice” with George Athanasopoulos, you now can. Order on Amazon.com Order on Amazon.co.uk Order on Amazon.fr The online book will continue to be freely available. The print version of the book is intended to help fund the development of the OTexts...

Read more »

Job at Center for Open Science

April 6, 2014
By

This looks like an interesting job. Dear Dr. Hyndman, I write from the Center for Open Science, a non-profit organization based in Charlottesville, Virginia in the United States, which is dedicated to improving the alignment between scientific values and scientific practices. We are dedicated to open source and open science. We are reaching out to you to find out...

Read more »