Research tips


August 9, 2012 | Rob J Hyndman

I’ve been interviewed twice in the last year: For DecisionStats, 9 August 2012. For Data Mining Research, 21 October 2011. Republished in Amstat News, 1 December 2011. Some readers of this blog might find them interesting. I said a few things in t... [Read more...]

Forecasting the Olympics

July 30, 2012 | Rob J Hyndman

Forecasting sporting events is a growing research area. The International Journal of Forecasting even had a special issue on sports forecasting a couple of years ago. The London 2012 Olympics has attracted a few forecasters trying to predict medal counts, world records, etc. Here are some of the articles I’ve ... [Read more...]

Time Series Data Library now on DataMarket

June 19, 2012 | Rob J Hyndman

The Time Series Data Library is a collection of about 800 time series that I have maintained since about 1992, and hosted on my personal website. It includes data from a lot of time series textbooks, as well as many other series that I’ve either collected for student projects or helpful ... [Read more...]

Constants and ARIMA models in R

June 5, 2012 | Rob J Hyndman

This post is from my new book Forecasting: principles and practice, available freely online at A non-seasonal ARIMA model can be written as (1)   or equivalently as (2)   where is the backshift operator, and is the mean of . R uses the parametrization of equation (2). Thus, the inclusion of a ... [Read more...]

My new forecasting textbook

May 22, 2012 | Rob J Hyndman

After years of saying that I was going to write a book to replace Makridakis, Wheelwright and Hyndman (1998), I’m finally ready to make an announcement! My new book is Forecasting: principles and practice, co-authored with George Athanasopoulos. It is available online and free-of-charge. We have written about 2/3 of the ... [Read more...]

Blog aggregators

May 15, 2012 | Rob J Hyndman

A very useful way of keeping up with blogs in a particular area is to subscribe to a blog aggregator. These will syndicate posts from a large number of blogs and provide links back to the original sources. So you only need to subscribe once to get all the good ... [Read more...]

Measuring time series characteristics

May 2, 2012 | Rob J Hyndman

A few years ago, I was working on a project where we measured various characteristics of a time series and used the information to determine what forecasting method to apply or how to cluster the time series into meaningful groups. The two main papers to come out of that project ... [Read more...]

Forecasts and ggplot

March 22, 2012 | Rob J Hyndman

The forecast package uses the base R graphics for all plots, but some people may prefer to use the nice graphics available using the ggplot2 package. In the following two posts, Frank Davenport shows how it can be done: Plotting forecast() objects in ... [Read more...]

Exponential smoothing and regressors

February 28, 2012 | Rob J Hyndman

I have thought quite a lot about including regressors (i.e. covariates) in exponential smoothing (ETS) models, and I have done it a couple of times in my published work. See my 2008 exponential smoothing book (chapter 9) and my 2008 Tourism Management paper. However, there are some theoretical issues with these approaches, ... [Read more...]

Internet surveys

January 18, 2012 | Rob J Hyndman

I received the following email today: I am preparing a thesis … I need to conduct the widest possible poll, and it occurred to me that perhaps you could guide me toward an internet-based way in which this can be done easily. I have a ten-question questionnaire prepared, that I wish ... [Read more...]

Time series cross-validation: an R example

August 25, 2011 | Rob J Hyndman

I was recently asked how to implement time series cross-validation in R. Time series people would normally call this “forecast evaluation with a rolling origin” or something similar, but it is the natural and obvious analogue to leave-one-out cross-validation for cross-sectional data, so I prefer to call it “time series ... [Read more...]

Comparing HoltWinters() and ets()

May 29, 2011 | Rob J Hyndman

I received this email today: I have a question about the ets() function in R, which I am trying to use for Holt-Winters exponential smoothing. My problem is that I am getting very different estimates of the alpha, beta and gamma parameters using ets() compared to HoltWinters(), and I can’... [Read more...]

Stack exchange for statistical analysis needs you!

June 17, 2010 | Rob J Hyndman

The proposal to create a StackExchange site for statistical analysis is steadily moving forward. We have now completed the scoping stage which involved finding enough people willing to express an interest in the idea, and voting on some example questions to define what is allowed and what is not allowed ... [Read more...]

Learning R by video

March 9, 2010 | Rob J Hyndman

For those people who prefer to be shown how to do something rather than read the instructions, there are some videos on using R available online. Here are the ones I know about. Please add links to other similar resources in the comments. R videos Learn R Toolkit What is ... [Read more...]

Using Google Reader

February 15, 2010 | Rob J Hyndman

Google Reader is a fantastic way to keep track of new papers that are appearing in many different journals, and also to follow some of the interesting research blogs (and blogs on other topics) that are out there. Google Reader checks websites for you and lets you know of any ...
[Read more...]

Workflow in R

September 17, 2009 | Rob J Hyndman

This came up recently on StackOverflow. One of the answers was particularly helpful and I plan to adopt this for my future work. In fact, it is close to what I already do, but is a little more structured. The idea is to break the code into four files, ... [Read more...]

Finding an R function

September 13, 2009 | Rob J Hyndman

Suppose you want a function to fit a neural network. What’s the best way to find it? Here are three steps that help to find the elusive function relatively quickly. First, use"neural") or the shorthand ??neural. This will search the help... [Read more...]

R help on StackOverflow

August 23, 2009 | Rob J Hyndman

Ever since I began using R about ten years ago, the best place to find R help was on the R-help mailing list. But it is time-consuming searching through the archives trying to find something from a long time ago, and there is no way to sort out the goo... [Read more...]

Building R packages for Windows

July 13, 2009 | Rob J Hyndman

1. Installing the required tools To build an R package in Windows, you will need to install some additional software tools. These are summarized at 1.1 Essential: Rtools This is a collection of unix-like tools... [Read more...]

Time series packages on R

October 16, 2008 | Rob J Hyndman

There is now an official CRAN Task View for Time Series. This will replace my earlier list of time series packages for R, and provide a more visible and useful entry point for people wanting to use R for time series analysis. If I have missed anything ... [Read more...]
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