Blog Archives

Cross-validation for time series

December 5, 2016
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Cross-validation for time series

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 autoregressions, which includes many machine learning

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Q&A time

October 23, 2016
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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 understanding the math. The main benefit

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Tourism forecasting competition data as an R package

October 22, 2016
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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 together. He has also

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Hadley Wickham Master R Developer course coming to Melbourne

October 5, 2016
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Hadley Wickham’s popular R developer course is coming to Melbourne on 12-13 December 2016. Bookings can be made via Eventbrite. Hadley, of course, is the developer of the wonderful tidyverse set of R packages including ggplot2, dplyr, tidyr, readr, purrr, tibble, and many more. He is the author of several books including the new “R for

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RStudio just keeps getting better

December 10, 2015
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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 the console and plots on

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Who’s downloading the forecast package?

December 9, 2015
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Who’s downloading the forecast package?

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 the world. Here are the

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The hidden benefits of open-source software

November 29, 2015
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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 little or nothing to do with the university that nurtured the

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Piecewise linear trends

October 27, 2015
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Piecewise linear trends

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 nonlinear trend

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forecast package v6.2

October 20, 2015
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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. The full ChangeLog is

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Stanford seminar

October 7, 2015
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Stanford seminar

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 essentially the same talk at UC Davis on

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