Last February Facebook open sourced its Prophet forecasting tool. Since, it had appeared in quite a few discussions online. A good thing about Prophet is that it one can use it very easily through R (and Python). This gave me the opportunity to benchmark it against some more standard – and not! – forecasting models… Read More »
Y.R. Sagaert, E-H. Aghezzaf, N. Kourentzes and B. Desmet, 2017. European Journal of Operational Research.
N. Kourentzes, B. Rostami-Tabar and D.K. Barrow, 2017, Journal of Business Research. http://doi.org/10.1016/j.jbusres.2017.04.016
Y.R. Sagaert, E-H. Aghezzaf, N. Kourentzes and B. Desmet, 2017, Interfaces.
Yes and… no! First, I should say that I am thinking of the common types of neural networks that are comprised by neurons that use some type of sigmoid transfer function, although the arguments discussed here are applicable to other types of neural networks. Before answering the question, let us first quickly summarise how typical… Read More »
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 »
On 16/11/2016 I gave a talk at the Stockholm School of Economics on the topic of advances in modelling and demand forecasting. Given the diversity of the audience I avoided going into the details of the mathematical formulations, some of which can be found in the appendix of the presentation. The presentation summarises three different… Read More »
A couple of days ago my ex-student Ivan Svetunkov successfully defended his PhD. My thanks to both Siem Jan Koopman and Rebecca Killick who were his examiners and with their questions led to a very interesting discussion. Ivan’s PhD topic is a new model, the Complex Exponential Smoothing (CES). In this post I will very… Read More »
Issue 41 of Foresight featured a short commentary by Sujit Singh on the gaps between academia and business. Together with Fotios Petropoulos, motivated by our focus to produce and disseminate research that is directly applicable to practice, in this commentary we present our views on some of the very useful and interesting points raised by… Read More »
Choosing the most appropriate forecasting method for your time series is not a trivial task and even though there has been scientific forecasting for so many decades, how to best do it is still an open research question. Nonetheless, there are some reasonable ways to deal with the problem, which although they may not be… Read More »