Category Archives: Blog

Multiple temporal aggregation: the story so far. Part I

Over the last years I have been working (with my co-authors!) on the idea of Multiple Temporal Aggregation (MTA) for time series forecasting. A number of papers have been published introducing and developing the idea further, or testing its effectiveness for forecasting. In this series of blog posts I will try to summarise the progress… Read More »

Can you spot trend in time series?

Past experiments have demonstrated that humans (with or without formal training) are quite good at visually identifying the structure of time series. Trend is a key component, and arguably the most relevant to practice, as many of the forecasts that affect our lives have to do with potential increases or decreases of economic variables. Forecasters… Read More »

Congratulations Dr. Svetunkov!

A couple of days ago it was the graduation ceremony for MSc and PhD students at Lancaster University. Ivan Svetunkov, one of my ex-PhD students officially graduated; well done Ivan! In a previous post I described briefly part of his research. He is also working on the excellent smooth package for R. You can find… Read More »

The difference between in-sample fit and forecast performance

One of the fundamental differences in conventional model building, for example they way textbooks introduce regression modelling, and forecasting is how the in-sample fit statistics are used. In forecasting our focus is not a good description of the past, but a (hopefully) good prediction of the yet unseen values. One does not necessarily imply the… Read More »

MAPAx available for R & new MAPA package on CRAN

The previous version of the MAPA package implemented only the univariate aspect of the algorithm. Version 2.0.1 implements MAPAx as well, which allows incorporating regressors in your forecasts. In this paper we demonstrated the usefulness of temporal aggregation in the case of forecasting demand in the presence of promotions. In particular, we showed that MAPAx… Read More »

MAPA package for R on GitHub

Here is the link: https://github.com/trnnick/mapa It has been a long time I wanted to rework the MAPA package for R, but I could not find the time. Finally I got around starting it. There are three objectives in this: Clean up code and introduce S3methods. MAPA was the first package that I wrote! Incorporate the… Read More »

TStools recent changes

We have been re-working the TStools package over the past couple of weeks. The major changes are: The es function that is an alternative to the ets function from the forecast package has been removed. Now it is published separately in the smooth package, which contains a collection of interesting implementations for exponential smoothing, ARIMA… Read More »