# Tag Archives: exponential smoothing

## Complex Exponential Smoothing

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 »

## ISIR 2016 research presentations

Last August I attended the International Symposium on Inventories, organised by the International Society for Inventory Research (ISIR 2016). This is the second time I had attended this conference and it has been again a very good experience. Interesting talks on a variety of relevant topics to forecasting research. I organised a special track on… Read More »

## A fundamental idea in extrapolative forecasting

Extrapolative forecasting, using models such as exponential smoothing, is arguably not very complicated from a mathematical point of view, but it requires a shift in logic in terms of what is a good forecast. For this discussion I will use a simple form of exponential smoothing to demontrate my point. 1. The forecasting model: single… Read More »

## Interactive simple exponential smoothing

Another interactive demo I created for the courses I teach. This one is about simple exponential smoothing and the main objective is to show the interaction between smoothing parameter and initial level in the fitting and holdout samples. A different interactive demo about exponential smoothing can be found here. A couple of points that may… Read More »

## Forecasting Solar Irradiance: True models, trace optimisation and shrinkage

This is a talk I am giving today at Tasmanian School of Business and Economics at University of Tasmania. It connects two different research areas I am currently working on: solar irradiance forecasting and parameter optimisation under model uncertainty. You can find the presentation here. Half of the presentation is based on this paper if… Read More »

## Forecasting with Temporal Hierarchies

This is a talk that I am giving today at the University of Sydney Business School. This research builds upon MAPA and cross-sectional hierarchical forecasting, in particular optimal combinations. Temporal hierarchies reconcile across time, resulting in accurate short and long-term forecasts that can lead to aligned plans and decisions. Temporal hierarchies can be used with… Read More »

## True models, trace optimisation and parameter shrinkage

This is a talk that I gave at Monash University, where I am currently visiting. The topic of this research is exploring ways to avoid the assumption that the postulated model we are using is true for the data generating process of the time series we want to forecast. From this starting point we proceed… Read More »

## Exponential smoothing parameter estimation for complex seasonal forms: the case solar irradiation forecasting

N. Kourentzes, J.R. Trapero, 2015, 27th European Conference on operational Research, Glasgow.