I recently presented at the OR59 conference my views and current work (with colleagues) on uncertainty in predictive modelling. I think this is a topic that deserves quite a bit of research attention, as it has substnatial implications for estimation, model selection and eventually decision making. The talk has three parts: Argue (as others before… Read More »
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 »
Temporal Hierarchies In the previous post we saw how the Multiple Aggregation Prediction Algortihm (MAPA) implements the ideas of MTA. We also saw that it has some limitations, particularly requiring splitting forecasts into subcomponents (level, trend and seasonality). Although some forecasting methods provide such outputs naturally, for example Exponential Smoothing and Theta, others do not.… Read More »
This is joint work with Devon K. Barrow and Bahman Rostami-Tabar and is an initial exploration of the benefits of using Multiple Temporal Aggregation, as implemented in MAPA for call centre forecasting. The preliminary results are encouraging. More details in the attached presentation. Abstract With thousands of call centres worldwide employing millions and serving billions… Read More »
Multiple Aggregation Prediction Algorithm (MAPA) In this third post about modelling with Multiple Temporal Aggregation (MTA), I will explain how the Multiple Aggregation Prediction Algorithm (MAPA) works, which was the first incarnation of MTA for forecasting. MAPA is quite simple in its logic: a time series is temporally aggregated into multiple levels, at each level… Read More »
In the very enjoyable and stimulating International Symposium on Forecasting that just finished in Cairns, Australia, the International Journal of Forecasting (IJF) best paper award for the years 2014-2015 (list of past papers can be found here) was given to one of my papers: Improving forecasting by estimating time series structural components across multiple frequencies!… Read More »
N. Kourentzes, B. Rostami-Tabar and D.K. Barrow, 2017, Journal of Business Research. http://doi.org/10.1016/j.jbusres.2017.04.016
G. Athanasopoulos, R. J. Hyndman, N. Kourentzes and F. Petropoulos, 2017, European Journal of Operational Research. http://doi.org/10.1016/j.ejor.2017.02.046
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 »
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 »