Blog Archives

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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Constants and ARIMA models in R

June 5, 2012
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Constants and ARIMA models in R

This post is from my new book Forecasting: principles and practice, available freely online at OTexts.com/fpp/. A non-seasonal ARIMA model can be written as (1)   or equivalently as (2)   where is the backshift operator, and is the mean of . R uses the parametrization of equation (2). Thus, the inclusion of a constant in a non-stationary ARIMA...

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My new forecasting textbook

May 22, 2012
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After years of saying that I was going to write a book to replace Makridakis, Wheelwright and Hyndman (1998), I’m finally ready to make an announcement! My new book is Forecasting: principles and practice, co-authored with George Athanasopoulos. It is available online and free-of-charge. We have written about 2/3 of the book so far (all of which is already...

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Blog aggregators

May 15, 2012
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A very useful way of keeping up with blogs in a particular area is to subscribe to a blog aggregator. These will syndicate posts from a large number of blogs and provide links back to the original sources. So you only need to subscribe once to get all the good stuff in that area. There are now several blog...

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Measuring time series characteristics

May 2, 2012
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Measuring time series characteristics

A few years ago, I was working on a project where we measured various characteristics of a time series and used the information to determine what forecasting method to apply or how to cluster the time series into meaningful groups. The two main papers to come out of that project were: Wang, Smith and Hyndman (2006) Characteristic-​​based clustering for...

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Forecasts and ggplot

March 22, 2012
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The forecast package uses the base R graphics for all plots, but some people may prefer to use the nice graphics available using the ggplot2 package. In the following two posts, Frank Davenport shows how it can be done: Plotting forecast() objects in ...

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Data visualization

March 4, 2012
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For those who have not read the seminal works of Tufte and Cleveland, please hang your heads in shame. To salvage some sense of self-worth, you can then head over to Solomon Messing’s blog where he is starting a series on data visualization based on ...

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Exponential smoothing and regressors

February 28, 2012
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I have thought quite a lot about including regressors (i.e. covariates) in exponential smoothing (ETS) models, and I have done it a couple of times in my published work. See my 2008 exponential smoothing book (chapter 9) and my 2008 Tourism Management paper. However, there are some theoretical issues with these approaches, which have come to light through the research of...

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Internet surveys

January 18, 2012
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I received the following email today: I am preparing a thesis … I need to conduct the widest possible poll, and it occurred to me that perhaps you could guide me toward an internet-based way in which this can be done easily. I have a ten-question questionnaire prepared, that I wish to have an random sample of the population...

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The art of R programming

November 29, 2011
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The art of R programming

This is a gem of a book. It will become the book I give PhD students when they are learning how to write good R code. That is, if I ever see it again. I had hoped to write a review of it, but I haven’t seen it since it arrived in the mail a

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