Blog Archives

Seasonal decomposition of short time series

July 13, 2018
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Many users have tried to do a seasonal decomposition with a short time series, and hit the error “Series has less than two periods”. The problem is that the usual methods of decomposition (e.g., decompose and stl) estimate seasonality using at least as many degrees of freedom as there are seasonal periods. So you need at least two observations per...

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A useful forecast combination benchmark

June 23, 2018
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Forecasting benchmarks are very important when testing new forecasting methods, to see how well they perform against some simple alternatives. Every week I get sent papers proposing new forecasting methods that fail to do better than even the simplest benchmark. They are rejected without review. Typical benchmarks include the naïve method (especially for finance and economic data), the seasonal naïve...

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Upcoming talks: May-July 2018

April 22, 2018
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First semester teaching is nearly finished, and that means conference season for me. Here are some talks I’m giving in the next two months. Click the links for more details. Melbourne, Australia. 28 May: Panel discussion: Forecasting models, the...

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Forecasting in NYC: 25-27 June 2018

April 22, 2018
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In late June, I will be in New York to teach my 3-day workshop on Forecasting using R. Tickets are available at Eventbrite. This is the first time I’ve taught this workshop in the US, having previously run it in the Netherlands and Australia. It ...

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forecast v8.3 now on CRAN

April 13, 2018
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The latest version of the forecast package for R is now on CRAN. This is the version used in the 2nd edition of my forecasting textbook with George Athanasopoulos. So readers should now be able to replicate all examples in the book using only CRAN pack...

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A brief history of time series forecasting competitions

April 10, 2018
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Prediction competitions are now so widespread that it is often forgotten how controversial they were when first held, and how influential they have been over the years. To keep this exercise manageable, I will restrict attention to time series forecast...

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R package for M4 Forecasting Competition

March 25, 2018
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The M4 forecasting competition is well under-way, and a few of my PhD students have been working on submissions. Pablo Montero-Manso, Carla Netto, and Thiyanga Talagala have made an R package containing all of the data (100,000 time series), which shou...

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M4 Forecasting Competition update

December 21, 2017
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The official guidelines for the M4 competition have now been published, and there have been several developments since my last post on this. There is now a prize for prediction interval accuracy using a scaled version of the Mean Interval Score. If th...

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Some new time series packages

November 28, 2017
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This week I have finished preliminary versions of two new R packages for time series analysis. The first (tscompdata) contains several large collections of time series that have been used in forecasting competitions; the second (tsfeatures) is designed...

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M4 Forecasting Competition: response from Spyros Makridakis

November 19, 2017
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Following my post on the M4 competition yesterday, Spyros Makridakis sent me these comments for posting here. I would like to thank Rob, my friend and co-author, for his insightful remarks concerning the upcoming M4 competition. As Rob says, the two of...

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