Blog Archives

ETS models now in EViews 8

February 28, 2013
By
ETS models now in EViews 8

The ETS modelling framework developed in my 2002 IJF paper (with Koehler, Snyder and Grose), and in my 2008 Springer book (with Koehler, Ord and Snyder), is now available in EViews 8. I had no idea they were even working on it, so it was quite a surprise to be told that EViews now includes ETS models. Here is the blurb...

Read more »

Removing white space around R figures

February 21, 2013
By

When I want to insert figures generated in R into a LaTeX document, it looks better if I first remove the white space around the figure. Unfortunately, R does not make this easy as the graphs are generated to look good on a screen, not in a document. There are two things that can be done to fix this...

Read more »

Out-of-sample one-step forecasts

February 13, 2013
By

It is common to fit a model using training data, and then to evaluate its performance on a test data set. When the data are time series, it is useful to compute one-step forecasts on the test data. For some reason, this is much more commonly done by people trained in machine learning rather than statistics. If you are...

Read more »

Batch forecasting in R

January 6, 2013
By

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...

Read more »

forecast package v4.0

December 2, 2012
By
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...

Read more »

SimpleR tips, tricks and tools

November 20, 2012
By

I gave this talk last night to the Melbourne Users of R Network. Examples

Read more »

Makefiles for R/LaTeX projects

October 30, 2012
By

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...

Read more »

Why are some things easier to forecast than others?

September 17, 2012
By

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...

Read more »

COMPSTAT2012

August 28, 2012
By

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...

Read more »

Flat forecasts

August 19, 2012
By

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,...

Read more »