Temporal Big Data for Tire Industry Tactical Sales Forecasting
Y.R. Sagaert, E-H. Aghezzaf, N. Kourentzes and B. Desmet, 2017, Interfaces. https://doi.org/10.1287/inte.2017.0901
Can neural networks predict trended time series?
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 »
Congratulations Dr. Svetunkov!
A couple of days ago it was the graduation ceremony for MSc and PhD students at Lancaster University. Ivan Svetunkov, one of my ex-PhD students officially graduated; well done Ivan! In a previous post I described briefly part of his research. He is also working on the excellent smooth package for R. You can find… 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 »
MAPAx available for R & new MAPA package on CRAN
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 »
MAPA package for R on GitHub
Here is the link: https://github.com/trnnick/mapa It has been a long time I wanted to rework the MAPA package for R, but I could not find the time. Finally I got around starting it. There are three objectives in this: Clean up code and introduce S3methods. MAPA was the first package that I wrote! Incorporate the… Read More »
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 »
TStools recent changes
We have been re-working the TStools package over the past couple of weeks. The major changes are: The es function that is an alternative to the ets function from the forecast package has been removed. Now it is published separately in the smooth package, which contains a collection of interesting implementations for exponential smoothing, ARIMA… Read More »
Research visit at Stockholm School of Economics
I started this month my sabbatical leave and I am currently visiting the Center for Economic Statistics at the Stockholm School of Economics until the end of December, 2016. My thanks to Rickard Sandberg, who is hosting me and is also the director of the centre. The focus of our research will be on business… Read More »