Tag Archives: automatic specification

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 »

Talk on `Advances in promotional modelling and demand forecasting’

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 »

Academia vs. Business: Two Sides of the Same Coin

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 »

How to fit an elephant?

I was looking for an intuitive way to demonstrate to my students the need for parsimony in model building, as well as the problem of overfitting and I remembered the humorous paper by James Wel: showing that elephants are obviously created by Fourier sine series! I went a step further and implemented some popular selection… Read More »

Additive and multiplicative seasonality – can you identify them correctly?

Seasonality is a common characteristic of time series. It can appear in two forms: additive and multiplicative. In the former case the amplitude of the seasonal variation is independent of the level, whereas in the latter it is connected. The following figure highlights this: Note that in the example of multiplicative seasonality the season is… Read More »

Choosing parameters for Croston’s method and its variants

Although Croston’s method and its variants are popular for intermittent demand time series, there have been limited advances in identifying how to select appropriate smoothing parameters and initial values. From the one hand this complicates forecasting for organisations, and from the other hand it does not permit automation. Recent research investigated various cost functions for… Read More »