Blog Archives

Errors on percentage errors

April 16, 2014
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Errors on percentage errors

The MAPE (mean absolute percentage error) is a popular measure for forecast accuracy and is defined as     where denotes an observation and denotes its forecast, and the mean is taken over . Armstrong (1985, p.348) was the first (to my knowledge) to point out the asymmetry of the MAPE saying that “it has a bias favoring estimates that are below the actual values”. A few years later, Armstrong…

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Generating tables in LaTeX

April 14, 2014
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Generating tables in LaTeX

Typing tables in LaTeX can get messy, but there are some good tools to simplify the process. One I discovered this week is tablesgenerator.com, a web-based tool for generating LaTeX tables. It also allows the table to saved in other formats including HTML and Markdown. The interface is simple, but it does most things. For complicated tables, some additional formatting may be necessary.     Similar functionality is available via…

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My forecasting book now on Amazon

April 9, 2014
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My forecasting book now on Amazon

For all those people asking me how to obtain a print version of my book “Forecasting: principles and practice” with George Athanasopoulos, you now can. Order on Amazon.com Order on Amazon.co.uk Order on Amazon.fr The online book will continue to b...

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Job at Center for Open Science

April 7, 2014
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Job at Center for Open Science

This looks like an interesting job. Dear Dr. Hyndman, I write from the Center for Open Science, a non-profit organization based in Charlottesville, Virginia in the United States, which is dedicated to improving the alignment between scientific values and scientific practices. We are dedicated to open source and open science. We are reaching out to you to find out if you know anyone who might be interested in our Statistical…

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Interpreting noise

April 6, 2014
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Interpreting noise

When watching the TV news, or reading newspaper commentary, I am frequently amazed at the attempts people make to interpret random noise. For example, the latest tiny fluctuation in the share price of a major company is attributed to the CEO being ill. When the exchange rate goes up, the TV finance commentator confidently announces that it is a reaction to Chinese building contracts. No one ever says “The unemployment…

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Getting a LaTeX system set up

April 4, 2014
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Getting a LaTeX system set up

Today I was teaching the honours students in econometrics and economics about LaTeX. Here are some brief instructions on how to set up a LaTeX system on different operating systems. MS-Windows Download and run the setup program for MikTeX. Choose the “basic” system. Download and run the installer program for TeXstudio. Then run TeXstudio and start typing. Mac OS Download and install MacTeX. Then run TeXshop and start typing. Ubuntu…

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Cover of my forecasting textbook

March 18, 2014
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Cover of my forecasting textbook

We now have a cover for the print version of my forecasting book with George Athanasopoulos. It should be on Amazon in a couple of weeks. The book is also freely available online. This is a variation of the most popular one in the poll conducted a mon...

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Fast computation of cross-validation in linear models

March 17, 2014
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Fast computation of cross-validation in linear models

The leave-one-out cross-validation statistic is given by     where , are the observations, and is the predicted value obtained when the model is estimated with the th case deleted. This is also sometimes known as the PRESS (Prediction Residual Sum of Squares) statistic. It turns out that for linear models, we do not actually have to estimate the model times, once for each omitted case. Instead, CV can be…

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Probabilistic forecasting by Gneiting and Katzfuss (2014)

March 14, 2014
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Probabilistic forecasting by Gneiting and Katzfuss (2014)

The IJF is introducing occasional review papers on areas of forecasting. We did a whole issue in 2006 reviewing 25 years of research since the International Institute of Forecasters was established. Since then, there has been a lot of new work in application areas such as call center forecasting and electricity price forecasting. In addition, there are areas we did not cover in 2006 including new product forecasting and forecasting…

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Testing for trend in ARIMA models

March 12, 2014
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Testing for trend in ARIMA models

Today’s email brought this one: I was wondering if I could get your opinion on a particular problem that I have run into during the reviewing process of an article. Basically, I have an analysis where I am looking at a couple of time-series and I wanted to know if, over time there was an upward trend in the series. Inspection of the raw data suggests there is, but we…

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