Blog Archives

Prediction intervals too narrow

October 22, 2014
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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 […]

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hts with regressors

October 20, 2014
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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 […]

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Congratulations to Dr Souhaib Ben Taieb

October 15, 2014
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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 […]

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Explaining the ABS unemployment fluctuations

October 10, 2014
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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 […]

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Seasonal adjustment in the news

October 9, 2014
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Seasonal adjustment in the news

It’s not every day that seasonal adjustment makes the front page of the newspapers, but it has today with the ABS saying that the recent seasonally adjusted unemployment data would be revised. I was interviewed about the underlying concepts for the Guardian in this piece. Further comment from me about users paying for the ABS data […]

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Connect with local employers

October 7, 2014
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Connect with local employers

I keep telling students that there are lots of jobs in data science (including statistics), and they often tell me they can’t find them advertised. As usual, you do have to do some networking, and one of the best ways of doing it is via a Data Science Meetup. Many cities now have them including […]

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IIF Sponsored Workshops

October 6, 2014
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IIF Sponsored Workshops

The International Institute of Forecasters sponsors workshops every year, each of which focuses on a specific theme. The purpose of these workshops is to facilitate small, informal meetings where experts in a particular field of forecasting can discuss forecasting problems, research, and solutions. Over the years, our workshops have covered topics from Predicting Rare Events, […]

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TBATS with regressors

October 6, 2014
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TBATS with regressors

I’ve received a few emails about including regression variables (i.e., covariates) in TBATS models. As TBATS models are related to ETS models, tbats() is unlikely to ever include covariates as explained here. It won’t actually complain if you include an xreg argument, but it will ignore it. When I want to include covariates in a […]

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FPP now available as a downloadable e-book

September 21, 2014
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FPP now available as a downloadable e-book

My forecasting textbook with George Athanasopoulos is already available online (for free), and in print via Amazon (for under $40). Now we have made it available as a downloadable e-book via Google Books (for $15.55). The Google Books version is identical to the print version on Amazon (apart from a few typos that have been fixed). To use […]

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Tim Harford on forecasting

September 8, 2014
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Tim Harford on forecasting

A few weeks ago I had a Skype chat with Tim Harford, the “Undercover Economist” for Britain’s Financial Times. He was working on an article for the FT on forecasting, and wanted my perspective as an academic forecaster. I mostly talked about what makes some things more predictable than others, as discussed in this blog […]

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