Blog Archives

Kaggle on TV

September 22, 2011
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It is good to see forecasting algorithms getting some mainstream exposure on ABC Catalyst.

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Time series cross-validation: an R example

August 25, 2011
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Time series cross-validation: an R example

I was recently asked how to implement time series cross-validation in R. Time series people would normally call this “forecast evaluation with a rolling origin” or something similar, but it is the natural and obvious analogue to leave-one-out cross-validation for cross-sectional data, so I prefer to call it “time series cross-validation”. Here is some example

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Major changes to the forecast package

August 25, 2011
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Major changes to the forecast package

The forecast package for R has undergone a major upgrade, and I’ve given it version number 3 as a result. Some of these changes were suggestions from the forecasting workshop I ran in Switzerland a couple of months ago, and some have been on the drawing board for a long time. Here are the main

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Forecasting time series using R

August 24, 2011
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I’ll be giving a talk on Forecasting time series using R for the Melbourne Users of R Network (MelbURN) on Thursday 27 October 2011 at 6pm. I will look at the various facilities for time series forecasting available in R, concentrating on the forecast package. This package implements several automatic methods for forecasting time series

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Comparing HoltWinters() and ets()

May 29, 2011
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I received this email today: I have a question about the ets() function in R, which I am trying to use for Holt-Winters exponential smoothing. My problem is that I am getting very different estimates of the alpha, beta and gamma parameters using ets() compared to HoltWinters(), and I can’t figure out why. This is

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Statistical tests for variable selection

March 14, 2011
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I received an email today with the following comment: I’m using ARIMA with Intervention detection and was planning to use your package to identify my initial ARIMA model for later iteration, however I found that sometimes the auto.arima function returns a model where AR/MA coefficients are not significant. So my question is: Is there a

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RStudio: just what I’ve been looking for

February 28, 2011
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RStudio: just what I’ve been looking for

For many years I used RWinEdt as my text editor for R code, but when WinEdt 6.0 came out, RWinEdt stopped working. So I’ve been looking for something to replace it. I’ve tried Tinn-R, NppToR, Eclipse with StatET and a couple of other editors, but nothing was quite right. Then yesterday, out of the blue,

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Research position in forecasting renewable energy

February 4, 2011
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I don’t normally post job ads except when they are within my own research group. But this one is close to my research interests, and I’d like to help the institution find someone good for the role, so I’m making an exception. It is a position for a post-doctoral researcher at the Centre for Energy

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Six places left for the forecasting workshop

January 10, 2011
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There are six places left for the forecasting workshop I am giving in Switzerland in June. If you were thinking of going, book in fast!

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CrossValidated Journal Club

December 21, 2010
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Journal Clubs are a great way to learn new research ideas and to keep up with the literature. The idea is that a group of people get together every week or so to discuss a paper of joint interest. This can happen within your own research group or department, or virtually online. There is now

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