Articles by Rob J Hyndman

Software for honours students

April 4, 2017 | Rob J Hyndman

I spoke to our new crop of honours students this morning. Here are my slides, example files and links.   Managing References Mendeley Zotero Paperpile Data analysis and computation Download R Download Rstudio Online R tutorial R packages for time series R packages for econometrics R packages for finance Writing your ... [Read more...]

Follow-up forecasting forum in Eindhoven

March 7, 2017 | Rob J Hyndman

Last October I gave a 3-day masterclass on “Forecasting with R” in Eindhoven, Netherlands. There is a follow-up event planned for Tuesday 18 April 2017. It is particularly designed for people who attended the 3-day class, but if anyone else wants to attend they would be welcome. Please register here if you ... [Read more...]

forecast 8.0

February 28, 2017 | Rob J Hyndman

In what is now a roughly annual event, the forecast package has been updated on CRAN with a new version, this time 8.0. A few of the more important new features are described below. Check residuals A common task when building forecasting models is to check that the residuals satisfy some ... [Read more...]

Simulating from a specified seasonal ARIMA model

January 26, 2017 | Rob J Hyndman

From my email today You use an illustration of a seasonal arima model: ARIMA(1,1,1)(1,1,1)4 I would like to simulate data from this process then fit a model… but I am unable to find any information as to how this can be conducted… if I set phi1, Phi1, theta1, and Theta1 ... [Read more...]

Cross-validation for time series

December 5, 2016 | Rob J Hyndman

I’ve added a couple of new functions to the forecast package for R which implement two types of cross-validation for time series. K-fold cross-validation for autoregression The first is regular k-fold cross-validation for autoregressive models. Although cross-validation is sometimes not valid for time series models, it does work for ... [Read more...]

Q&A time

October 23, 2016 | Rob J Hyndman

Someone sent me some questions by email, and I decided to answer some of them here. How important is it that I know and understand the underlying mathematical framework to forecasting methods? I understand conceptually how most of them work, but I feel as if I may benefit from truly ... [Read more...]

Tourism forecasting competition data as an R package

October 22, 2016 | Rob J Hyndman

The data used in the tourism forecasting competition, discussed in Athanasopoulos et al (2011), have been made available in the Tcomp package for R. The objects are of the same format as for Mcomp package containing data from the M1 and M3 competitions. Thanks to Peter Ellis for putting the package ... [Read more...]

RStudio just keeps getting better

December 10, 2015 | Rob J Hyndman

RStudio has been a life-changer for the way I work, and for how I teach data analysis. I still have a couple of minor frustrations with it, but they are slowly disappearing as RStudio adds features. I use dual monitors and I like to code on one monitor and have ... [Read more...]

Who’s downloading the forecast package?

December 9, 2015 | Rob J Hyndman

The github page for the forecast package currently shows the following information Note the downloads figure: 264K/month. I know the package is popular, but that seems crazy. Also, the downloads figure on github only counts the downloads from the RStudio mirror, and ignores downloads from the other 125 mirrors around ... [Read more...]

The hidden benefits of open-source software

November 29, 2015 | Rob J Hyndman

I’ve been having discussions with colleagues and university administration about the best way for universities to manage home-grown software. The traditional business model for software is that we build software and sell it to everyone willing to pay. Very often, that leads to a software company spin-off that has ... [Read more...]

Piecewise linear trends

October 27, 2015 | Rob J Hyndman

I prepared the following notes for a consulting client, and I thought they might be of interest to some other people too. Let denote the value of the time series at time , and suppose we wish to fit a trend with correlated errors of the form     where represents the possibly ... [Read more...]

forecast package v6.2

October 20, 2015 | Rob J Hyndman

It is a while since I last updated the CRAN version of the forecast package, so I uploaded the latest version (6.2) today. The github version remains the most up-to-date version and is already two commits ahead of the CRAN version. This update is mostly bug fixes and additional error traps. ... [Read more...]

Stanford seminar

October 7, 2015 | Rob J Hyndman

I gave a seminar at Stanford today. Slides are below. It was definitely the most intimidating audience I’ve faced, with Jerome Friedman, Trevor Hastie, Brad Efron, Persi Diaconis, Susan Holmes, David Donoho and John Chambers all present (and probably other famous names I’ve missed). I’ll be giving ... [Read more...]

Reproducibility in computational research

September 25, 2015 | Rob J Hyndman

Jane Frazier spoke at our research team meeting today on “Reproducibility in computational research”. We had a very stimulating and lively discussion about the issues involved. One interesting idea was that reproducibility is on a scale, and we can all aim to move further along the scale towards making our ... [Read more...]

Chinese R conference

September 24, 2015 | Rob J Hyndman

I will be speaking at the Chinese R conference in Nanchang, to be held on 24–25 October, on “Forecasting Big Time Series Data using R”. Details (for those who can read Chinese) are at [Read more...]

Upcoming talks in California

September 22, 2015 | Rob J Hyndman

I’m back in California for the next couple of weeks, and will give the following talk at Stanford and UC-Davis. Optimal forecast reconciliation for big time series data Time series can often be naturally disaggregated in a hierarchical or grouped structure. For example, a manufacturing company can disaggregate total ... [Read more...]

Mathematical annotations on R plots

September 2, 2015 | Rob J Hyndman

I’ve always struggled with using plotmath via the expression function in R for adding mathematical notation to axes or legends. For some reason, the most obvious way to write something never seems to work for me and I end up using trial and error in a loop with far ... [Read more...]

Murphy diagrams in R

July 16, 2015 | Rob J Hyndman

At the recent International Symposium on Forecasting, held in Riverside, California, Tillman Gneiting gave a great talk on “Evaluating forecasts: why proper scoring rules and consistent scoring functions matter”. It will be the subject of an IJF invited paper in due course. One of the things he talked about was ... [Read more...]

Useful tutorials

June 30, 2015 | Rob J Hyndman

There are some tools that I use regularly, and I would like my research students and post-docs to learn them too. Here are some great online tutorials that might help. ggplot tutorial from Winston Chang Writing an R package from Karl Broman Rmarkdown from RStudio Shiny from RStudio git/github ... [Read more...]
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