Blog Archives

Batch forecasting in R

January 6, 2013
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I sometimes get asked about forecasting many time series automatically. Here is a recent email, for example: I have looked but cannot find any info on generating forecasts on multiple data sets in sequence. I have been using analysis services for sql server to generate fitted time series but it is too much of a black box (or I...

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forecast package v4.0

December 2, 2012
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forecast package v4.0

A few days ago I released version 4.0 of the forecast package for R. There were quite a few changes and new features, so I thought it deserved a new version number. I keep a list of changes in the Changelog for the package, but I doubt that many people look at it. So for the record, here are...

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SimpleR tips, tricks and tools

November 20, 2012
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I gave this talk last night to the Melbourne Users of R Network. Examples

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Makefiles for R/LaTeX projects

October 30, 2012
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Updated: 21 November 2012 Make is a marvellous tool used by programmers to build software, but it can be used for much more than that. I use make whenever I have a large project involving R files and LaTeX files, which means I use it for almost all of the papers I write, and almost of the consulting reports...

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Why are some things easier to forecast than others?

September 17, 2012
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Forecasters are often met with skepticism. Almost every time I tell someone that I work in forecasting, they say something about forecasting the stock market, or forecasting the weather, usually suggesting that such forecasts are hopelessly inaccurate. In fact, forecasts of the weather are amazingly accurate given the complexity of the system, while anyone claiming to forecast the stock...

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COMPSTAT2012

August 28, 2012
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This week I’m in Cyprus attending the COMPSTAT2012 conference. There’s been the usual interesting collection of talks, and interactions with other researchers. But I was struck by two side comments in talks this morning that I’d like to mention. Stephen Pollock: Don’t imagine your model is the truth Actually, Stephen said something like “economists (or was it econometricians?) have...

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Flat forecasts

August 19, 2012
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About once a week someone will tell me there is a bug in my forecast package for R because it gives forecasts that are the same for all future horizons. To save answering the same question repeatedly, here is my response. A point forecast is (usually) the mean of the distribution of a future observation in the time series,...

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Interviews

August 9, 2012
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I’ve been interviewed twice in the last year:For DecisionStats, 9 August 2012. For Data Mining Research, 21 October 2011. Republished in Amstat News, 1 December 2011.Some readers of this blog might find them interesting. I said a few things in t...

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Forecasting the Olympics

July 30, 2012
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Forecasting sporting events is a growing research area. The International Journal of Forecasting even had a special issue on sports forecasting a couple of years ago. The London 2012 Olympics has attracted a few forecasters trying to predict medal counts, world records, etc. Here are some of the articles I’ve seen. Which Olympic records get shattered?, Nate Silver, New...

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Time Series Data Library now on DataMarket

June 19, 2012
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The Time Series Data Library is a collection of about 800 time series that I have maintained since about 1992, and hosted on my personal website. It includes data from a lot of time series textbooks, as well as many other series that I’ve either collected for student projects or helpful people have sent to me. I’ve now moved...

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