Automatic robust estimation for exponential smoothing: perspectives from statistics and machine learning
Devon Barrow, Nikolaos Kourentzes, Rickard Sandberg, and Jacek Niklewski, 2020. Expert Systems with Applications.
Tag Archives: optimisation
Optimising forecasting models for inventory planning
Nikolaos Kourentzesa, Juan R. Trapero, and Devon K. Barrow, 2020. International Journal of Production Economics. https://doi.org/10.1016/j.ijpe.2019.107597
Visit at Universitat Politècnica de València
I was recently invited to a workshop focused on forecasting and supply chain management at Valencia Polytechnic University. Many thanks to Ester Guijarro for organising the workshop and helping to bring together forecasters and supply chain experts! I presented on optimising forecasting model parameters for inventory management. You can find the presentation here, and a… Read More »
OR59 Keynote: Uncertainty in predictive modelling
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 »
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 »
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.
Trace likelihood and shrinkage in estimation of the forecasting models
I. Svetunkov, N. Kourentzes, 2015, 27th European Conference on operational Research, Glasgow.