Articles by Rob J Hyndman

TBATS with regressors

October 5, 2014 | Rob J Hyndman

I’ve received a few emails about including regression variables (i.e., covariates) in TBATS models. As TBATS models are related to ETS models, tbats() is unlikely to ever include covariates as explained here. It won’t actually complain if you include an xreg argument, but it will ignore it. ... [Read more...]

FPP now available as a downloadable e-book

September 20, 2014 | Rob J Hyndman

My forecasting textbook with George Athanasopoulos is already available online (for free), and in print via Amazon (for under $40). Now we have made it available as a downloadable e-book via Google Books (for $15.55). The Google Books version is identical to the print version on Amazon (apart from a few typos ... [Read more...]

Generating quantile forecasts in R

September 7, 2014 | Rob J Hyndman

From today’s email: I have just finished reading a copy of ‘Forecasting:Principles and Practice’ and I have found the book really interesting. I have particularly enjoyed the case studies and focus on practical applications. After finishing the book I have joined a forecasting competition to put what I’... [Read more...]

Resources for the FPP book

September 2, 2014 | Rob J Hyndman

The FPP resources page has recently been updated with several new additions including R code for all examples in the book. This was already available within each chapter, but the examples have been collected into one file per chapter to save copying and pasting the various code fragments. Slides from ... [Read more...]

A new candidate for worst figure

August 31, 2014 | Rob J Hyndman

Today I read a paper that had been submitted to the IJF which included the following figure along with several similar plots. (Click for a larger version.) I haven’t seen anything this bad for a long time. In fact, I think I would find it very difficult to reproduce ... [Read more...]

Forecasting with R in WA

August 24, 2014 | Rob J Hyndman

On 23–25 September, I will be running a 3-day workshop in Perth on “Forecasting: principles and practice” mostly based on my book of the same name. Workshop participants will be assumed to be familiar with basic statistical tools such as multiple regression, but no knowledge of time series or forecasting will ... [Read more...]

GEFCom 2014 energy forecasting competition is underway

August 17, 2014 | Rob J Hyndman

GEFCom 2014 is the most advanced energy forecasting competition ever organized, both in terms of the data involved, and in terms of the way the forecasts will be evaluated. So everyone interested in energy forecasting should head over to the competition webpage and start forecasting: This time, the ... [Read more...]

Visit of Di Cook

August 12, 2014 | Rob J Hyndman

Next week, Professor Di Cook from Iowa State University is visiting my research group at Monash University. Di is a world leader in data visualization, and is especially well-known for her work on interactive graphics and the XGobi and GGobi software. See her book with Deb Swayne for details. For ... [Read more...]

Minimal reproducible examples

August 10, 2014 | Rob J Hyndman

I occasionally get emails from people thinking they have found a bug in one of my R packages, and I usually have to reply asking them to provide a minimal reproducible example (MRE). This post is to provide instructions on how to create a MRE. Bug reports on github, not ... [Read more...]

Coherent population forecasting using R

July 23, 2014 | Rob J Hyndman

This is an example of how to use the demography package in R for stochastic population forecasting with coherent components. It is based on the papers by Hyndman and Booth (IJF 2008) and Hyndman, Booth and Yasmeen (Demography 2013). I will use Australian data from 1950 to 2009 and forecast the next 50 years. In ... [Read more...]

Variations on rolling forecasts

July 15, 2014 | Rob J Hyndman

Rolling forecasts are commonly used to compare time series models. Here are a few of the ways they can be computed using R. I will use ARIMA models as a vehicle of illustration, but the code can easily be adapted to other univariate time series models. One-step forecasts without re-estimation ... [Read more...]

Varian on big data

June 15, 2014 | Rob J Hyndman

Last week my research group discussed Hal Varian’s interesting new paper on “Big data: new tricks for econometrics”, Journal of Economic Perspectives, 28(2): 3–28. It’s a nice introduction to trees, bagging and forests, plus a very brief entree to the LASSO and the elastic net, and to slab and spike ... [Read more...]

Specifying complicated groups of time series in hts

June 14, 2014 | Rob J Hyndman

With the latest version of the hts package for R, it is now possible to specify rather complicated grouping structures relatively easily. All aggregation structures can be represented as hierarchies or as cross-products of hierarchies. For example, a hierarchical time series may be based on geography: country, state, region, store. ... [Read more...]

European talks. June-July 2014

June 14, 2014 | Rob J Hyndman

For the next month I am travelling in Europe and will be giving the following talks. 17 June. Challenges in forecasting peak electricity demand. Energy Forum, Sierre, Valais/Wallis, Switzerland. 20 June. Common functional principal component models for mortality forecasting. International Workshop on Functional and Operatorial Statistics. Stresa, Italy. 24–25 June. Functional time ... [Read more...]

ARIMA models with long lags

May 7, 2014 | Rob J Hyndman

Today’s email question: I work within a government budget office and sometimes have to forecast fairly simple time series several quarters into the future. Auto.arima() works great and I often get something along the lines of: ARIMA(0,0,1)(1,1,0)[12] with drift as the lowest AICc. However, my boss (who does ... [Read more...]

New jobs in business analytics at Monash

May 4, 2014 | Rob J Hyndman

We have an exciting new initiative at Monash University with some new positions in business analytics. This is part of a plan to strengthen our research and teaching in the data science/computational statistics area. We are hoping to make multiple appointments, at junior and senior levels. These are five-year ... [Read more...]

Seven forecasting blogs

April 21, 2014 | Rob J Hyndman

There are several other blogs on forecasting that readers might be interested in. Here are seven worth following: No Hesitations by Francis Diebold (Professor of Economics, University of Pennsylvania). Diebold needs no introduction to forecasters. He primarily covers forecasting in economics and finance, but also xkcd cartoons, graphics, research issues, ... [Read more...]

Errors on percentage errors

April 16, 2014 | Rob J Hyndman

The MAPE (mean absolute percentage error) is a popular measure for forecast accuracy and is defined as     where denotes an observation and denotes its forecast, and the mean is taken over . Armstrong (1985, p.348) was the first (to my knowledge) to point out the asymmetry of the MAPE saying that “it ... [Read more...]
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