Model variance for ARIMA models

From today’s email:
I wanted to ask you about your R forecast package, in particular the Arima() function. We are using this function to fit an ARIMAX model and produce model estimates and standard errors, which in turn can be used to get p-valu…

Omitting outliers

Someone sent me this email today:
One of my colleagues said that you once said/wrote that you had encountered very few real outliers in your work, and that normally the “outlier-looking” data points were proper data points that should not …

What’s your Hall number?

Today I attended the funeral of Peter Hall, one of the finest mathematical statisticians ever to walk the earth and easily the best from Australia. One of the most remarkable things about Peter was his astonishing productivity, with over 600 papers. As…

ACEMS Business Analytics Prize 2016

We have established a new annual prize for research students at Monash University in the general area of business analytics, funded by the Australian Centre of Excellence in Mathematical and Statistical Frontiers (ACEMS). The rules of the award are lis…

Farewell Peter Hall (1951-2016)

Peter Hall passed away on Saturday after a long battle with illness over the last couple of years. No statistician will need reminding of Peter’s extensive contributions to the field. He had over 500 published papers, and had won every major awar…

Starting a career in data science

I received this email from one of my undergraduate students:
I’m writing to you asking for advice on how to start a career in Data Science. Other professions seem a bit more straight forward, in that accountants for example simply look for Inter…

Making data analysis easier

Di Cook and I are organizing a workshop on “Making data analysis easier” for 18-19 February 2016.
We are calling it WOMBAT2016, which an acronym for Workshop Organized by the Monash Business Analytics Team. Appropriately, it will be held at…

RStudio just keeps getting better

RStudio has been a life-changer for the way I work, and for how I teach data analysis. I still have a couple of minor frustrations with it, but they are slowly disappearing as RStudio adds features.
I use dual monitors and I like to code on one monitor…

Jobs at Monash University

We have two new continuing positions currently being advertised in our department: for lecturer and senior lecturer. Details are on the Monash website. (For those in North America, a lecturer is equivalent to your assistant professor, and a senior lect…

Piecewise linear trends

I prepared the following notes for a consulting client, and I thought they might be of interest to some other people too.
Let \(y_t\) denote the value of the time series at time \(t\), and suppose we wish to fit a trend with correlated errors of the fo…

forecast package v6.2

It is a while since I last updated the CRAN version of the forecast package, so I uploaded the latest version (6.2) today. The github version remains the most up-to-date version and is already two commits ahead of the CRAN version.
This update is mostl…

Stanford seminar

I gave a seminar at Stanford today. Slides are below. It was definitely the most intimidating audience I’ve faced, with Jerome Friedman, Trevor Hastie, Brad Efron, Persi Diaconis, Susan Holmes, David Donoho and John Chambers all present (and prob…