Blog Archives

Coherent population forecasting using R

July 24, 2014
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Coherent population forecasting using R

This is an example of how to use the demography package in R for stochastic population forecasting with coherent components. It is based on the papers by Hyndman and Booth (IJF 2008) and Hyndman, Booth and Yasmeen (Demography 2013). I will use Australian data from 1950 to 2009 and forecast the next 50 years. In demography, “coherent” forecasts are where male and females (or other sub-groups) do not diverge over…

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Plotting the characteristic roots for ARIMA models

July 23, 2014
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Plotting the characteristic roots for ARIMA models

When modelling data with ARIMA models, it is sometimes useful to plot the inverse characteristic roots. The following functions will compute and plot the inverse roots for any fitted ARIMA model (including seasonal models). # Compute AR roots arroots <- function(object) { if(class(object) != "Arima" & class(object) != "ar") stop("object must be of class Arima or ar") if(class(object) == "Arima") parvec <- object$model$phi else parvec <- object$ar if(length(parvec) > 0)…

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I am not an econometrician

July 21, 2014
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I am not an econometrician

I am a statistician, but I have worked in a department of predominantly econometricians for the past 17 years. It is a little like an Australian visiting the United States. Initially, it seems that we talk the same language, do the same sorts of things, and have a very similar culture. But the longer you stay there, the more you realise there are differences that run deep and affect the…

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Variations on rolling forecasts

July 15, 2014
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Variations on rolling forecasts

Rolling forecasts are commonly used to compare time series models. Here are a few of the ways they can be computed using R. I will use ARIMA models as a vehicle of illustration, but the code can easily be adapted to other univariate time series models. One-step forecasts without re-estimation The simplest approach is to estimate the model on a single set of training data, and then compute one-step forecasts…

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SAS/IIF grants

July 14, 2014
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SAS/IIF grants

Every year, the International Institute of Forecasters in conjunction with SAS offer some small grants to help promote research in forecasting. There are two $5000 grants per year for research on forecasting methodology and applications. This year, app...

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Varian on big data

June 15, 2014
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Varian on big data

Last week my research group discussed Hal Varian’s interesting new paper on “Big data: new tricks for econometrics”, Journal of Economic Perspectives, 28(2): 3–28. It’s a nice introduction to trees, bagging and forests, plus a very brief entr...

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Specifying complicated groups of time series in hts

June 15, 2014
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Specifying complicated groups of time series in hts

With the latest version of the hts package for R, it is now possible to specify rather complicated grouping structures relatively easily. All aggregation structures can be represented as hierarchies or as cross-products of hierarchies. For example, a hierarchical time series may be based on geography: country, state, region, store. Often there is also a separate product hierarchy: product groups, product types, packet size. Forecasts of all the different types…

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European talks. June-July 2014

June 14, 2014
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European talks. June-July 2014

For the next month I am travelling in Europe and will be giving the following talks. 17 June. Challenges in forecasting peak electricity demand. Energy Forum, Sierre, Valais/Wallis, Switzerland. 20 June. Common functional principal component models for...

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Creating a handout from beamer slides

June 11, 2014
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Creating a handout from beamer slides

I’m about to head off on a speaking tour to Europe (more on that in another post) and one of my hosts has asked for my powerpoint slides so they can print them. They have made two false assumptions: (1) that I use powerpoint; (2) that my slides are static so they can be printed. Instead, I produced a cut-down version of my beamer slides, leaving out some of the…

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Data science market places

May 26, 2014
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Data science market places

Some new websites are being established offering “market places” for data science. Two I’ve come across recently are Experfy and SnapAnalytx. Experfy provides a way for companies to find statisticians and other data scientists, either for short-term consultancies, or to fill full-time positions. They describe their “providers” as “Data Engineers, Data Scientists, Data Mining Experts, Data Analyst/Modelers, Big Data Solutions Architects, Visualization Designers, Statisticians, Applied Physicists, Mathematicians, Econometricians and Bioinformaticians.”…

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