Tag Archives: model selection

ISF2017 presentation: DIY forecasting – judgement, models & judgmental model selection

This is joint work with Fotios Petropoulos and Kostantinos Nikolopoulos and discusses the performance of experts selecting forecasting models, against automatic statistical model selection, as well as providing guidelines how to maximise the benefits. This is very exciting research, demonstrating the both some limitations of statistical model selection (and avenues for new research), as well… 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 »

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 »

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 »

ISF 2015 and invited session on “Forecasting with Combinations and Hierarchies”

The International Symposium on Forecasting (ISF 2015) was held this week in Riverside, CA. It was a very interesting conference, with stimulating talks and a wide variety of forecasting related topics, both for academics and practitioners. It is a highly recommended conference to attend. I organised the invited session on the topic of “Forecasting with… 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 »