Blog Archives

New jobs in business analytics at Monash

May 4, 2014
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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...

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Publishing an R package in the Journal of Statistical Software

April 23, 2014
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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...

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Seven forecasting blogs

April 21, 2014
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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...

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Errors on percentage errors

April 16, 2014
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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...

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My forecasting book now on Amazon

April 8, 2014
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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...

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Job at Center for Open Science

April 6, 2014
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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...

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Cover of my forecasting textbook

March 18, 2014
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Cover of my forecasting textbook

We now have a cover for the print version of my forecasting book with George Athanasopoulos. It should be on Amazon in a couple of weeks. The book is also freely available online. This is a variation of the most popular one in the poll conducted a mon...

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Fast computation of cross-validation in linear models

March 17, 2014
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Fast computation of cross-validation in linear models

The leave-one-out cross-validation statistic is given by     where , are the observations, and is the predicted value obtained when the model is estimated with the th case deleted. This is also sometimes known as the PRESS (Prediction Residual Sum of Squares) statistic. It turns out that for linear models, we do not actually have to estimate the...

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Testing for trend in ARIMA models

March 12, 2014
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Testing for trend in ARIMA models

Today’s email brought this one: I was wondering if I could get your opinion on a particular problem that I have run into during the reviewing process of an article. Basically, I have an analysis where I am looking at a couple of time-series and I wanted to know if, over time there was an upward trend in the...

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Unit root tests and ARIMA models

March 12, 2014
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An email I received today: I have a small problem. I have a time series called x : - If I use the default values of auto.arima(x), the best model is an ARIMA(1,0,0) - However, I tried the function ndiffs(x, test=“adf”) and ndiffs(x, test=“kpss”) as the KPSS test seems to be the default value, and the number of difference...

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