Blog Archives

New Australian data on the HMD

November 27, 2014
By
New Australian data on the HMD

The Human Mortality Database is a wonderful resource for anyone interested in demographic data. It is a carefully curated collection of high quality deaths and population data from 37 countries, all in a consistent format with consistent definitions. I have used it many times and never cease to be amazed at the care taken to maintain […]

Read more »

Visualization of probabilistic forecasts

November 21, 2014
By
Visualization of probabilistic forecasts

This week my research group discussed Adrian Raftery’s recent paper on “Use and Communication of Probabilistic Forecasts” which provides a fascinating but brief survey of some of his work on modelling and communicating uncertain futures. Coincidentally, today I was also sent a copy of David Spiegelhalter’s paper on “Visualizing Uncertainty About the Future”. Both are […]

Read more »

IJF review papers

November 11, 2014
By
IJF review papers

Review papers are extremely useful for new researchers such as PhD students, or when you want to learn about a new research field. The International Journal of Forecasting produced a whole review issue in 2006, and it contains some of the most highly cited papers we have ever published. Now, beginning with the latest issue […]

Read more »

Seasonal periods

November 7, 2014
By
Seasonal periods

I get questions about this almost every week. Here is an example from a recent comment on this blog: I have two large time series data. One is separated by seconds intervals and the other by minutes. The length of each time series is 180 days. I’m using R (3.1.1) for forecasting the data. I’d […]

Read more »

ABS seasonal adjustment update

November 5, 2014
By
ABS seasonal adjustment update

Since my last post on the seasonal adjustment problems at the Australian Bureau of Statistics, I’ve been working closely with people within the ABS to help them resolve the problems in time for tomorrow’s release of the October unemployment figures. Now that the ABS has put out a statement about the problem, I thought it […]

Read more »

Jobs at Amazon

October 31, 2014
By
Jobs at Amazon

I do not normally post job adverts, but this was very specifically targeted to “applied time series candidates” so I thought it might be of sufficient interest to readers of this blog. Here is an excerpt from an email I received from someone at Amazon: Amazon is aggressively recruiting in the data sciences, and we […]

Read more »

Prediction intervals too narrow

October 22, 2014
By
Prediction intervals too narrow

Almost all prediction intervals from time series models are too narrow. This is a well-known phenomenon and arises because they do not account for all sources of uncertainty. In my 2002 IJF paper, we measured the size of the problem by computing the actual coverage percentage of the prediction intervals on hold-out samples. We found […]

Read more »

hts with regressors

October 20, 2014
By
hts with regressors

The hts package for R allows for forecasting hierarchical and grouped time series data. The idea is to generate forecasts for all series at all levels of aggregation without imposing the aggregation constraints, and then to reconcile the forecasts so they satisfy the aggregation constraints. (An introduction to reconciling hierarchical and grouped time series is […]

Read more »

Congratulations to Dr Souhaib Ben Taieb

October 15, 2014
By
Congratulations to Dr Souhaib Ben Taieb

Souhaib Ben Taieb has been awarded his doctorate at the Université libre de Bruxelles and so he is now officially Dr Ben Taieb! Although Souhaib lives in Brussels, and was a student at the Université libre de Bruxelles, I co-supervised his doctorate (along with Professor Gianluca Bontempi). Souhaib is the 19th PhD student of mine to […]

Read more »

Explaining the ABS unemployment fluctuations

October 10, 2014
By
Explaining the ABS unemployment fluctuations

Although the Guardian claimed yesterday that I had explained “what went wrong” in the July and August unemployment figures, I made no attempt to do so as I had no information about the problems. Instead, I just explained a little about the purpose of seasonal adjustment. However, today I learned a little more about the ABS unemployment […]

Read more »


Subscribe

Email:

  Subscribe