Posts Tagged ‘ forecasting ’

Is it that stupid to make extremely long term forecast when studying mortality ?

December 14, 2010
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Is it that stupid to make extremely long term forecast when studying mortality ?

I received recently a comment by FCA (here) who raised an important question, about forecast in dynamic mortality models. (S)he mentioned that from his(her) point of view, the econometric models I considered were "good to predict for the next, say,...

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Forecasting workshop: Switzerland, June 2011

December 6, 2010
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Forecasting workshop: Switzerland, June 2011

I will be running a workshop on Statistical Forecasting: Principles and Practice in Switzerland, 20-22 June 2011. Check out the venue: Waldhotel Doldenhorn, Kandersteg! So if you fancy a trip to the beautiful Swiss Alps next June, read on… Outline Forecasting is required in many situations: deciding whether to build another power generation plant in

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Initializing the Holt-Winters method

November 29, 2010
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Initializing the Holt-Winters method

The Holt-Winters method is a popular and effective approach to forecasting seasonal time series. But different implementations will give different forecasts, depending on how the method is initialized and how the smoothing parameters are selected. In this post I will discuss various initialization methods. Suppose the time series is denoted by and the seasonal period

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Forecast estimation, evaluation and transformation

November 9, 2010
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Forecast estimation, evaluation and transformation

I’ve had a few emails lately about forecast evaluation and estimation criteria. Here is one I received today, along with some comments. I have a rather simple question regarding the use of MSE as opposed to MAD and MAPE. If the parameters of a time series model are estimated by minimizing MSE, why do we

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Different results from different software

October 26, 2010
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I’ve had a few questions on this topic lately. Here is an email received today: I use Eviews to estimate time series, but I have been checking out R recently, and your Forecast package. I cannot understand why 2 similar equations in Eviews and R are giving different estimated output. Your insights will be invaluable

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The ARIMAX model muddle

October 4, 2010
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The ARIMAX model muddle

There is often confusion about how to include covariates in ARIMA models, and the presentation of the subject in various textbooks and in R help files has not helped the confusion. So I thought I’d give my take on the issue. To keep it simple, I will only describe non-seasonal ARIMA models although the ideas

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Forecasting with long seasonal periods

September 28, 2010
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Forecasting with long seasonal periods

I am often asked how to fit an ARIMA or ETS model with data having a long seasonal period such as 365 for daily data or 48 for half-hourly data. Generally, seasonal versions of ARIMA and ETS models are designed for shorter periods such as 12 for monthly data or 4 for quarterly data. The

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Baseball, basketball, and (not) getting better as time marches on

June 2, 2010
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Baseball, basketball, and (not) getting better as time marches on

PROS ARE NOT GETTING BETTER AT FREE THROWS Rick Larrick recently told Decision Science News that baseball players have been getting better over the years in a couple ways. First, home runs and strikeouts have increased. The careless or clueless reader might note that this is curious, for from the batter’s perspective home runs are

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You won, but how much was luck and how much was skill?

May 4, 2010
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You won, but how much was luck and how much was skill?

In baseball, what are the chances the winner will win again against the same opponent the very next day?

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