Cross-validation for time series

I’ve added a couple of new functions to the forecast package for R which implement two types of cross-validation for time series.K-fold cross-validation for autoregression The first is regular k-fold cross-validation for autoregressive models. Al…

We’re still hiring at Monash

We have another position available, this time for a lecturer (equivalent to an assistant professor tenure track in the US). The department covers a wide range of areas in statistics and econometrics, but for this position we are looking for someone wit…

Q&A: predictive analytics

A major news outlet interviewed me on predictive analytics. Here were my responses. Data mining is not just for tech companies, in fact it can be especially useful for industries which are not typically thought of to be ‘innovative’ such as…

Q&A time

Someone sent me some questions by email, and I decided to answer some of them here. How important is it that I know and understand the underlying mathematical framework to forecasting methods? I understand conceptually how most of them work, but I feel…

Forecast intervals for aggregates

A common problem is to forecast the aggregate of several time periods of data, using a model fitted to the disaggregated data. For example, you may have monthly data but wish to forecast the total for the next year. Or you may have weekly data, and wan…

R package forecast v7.2 now on CRAN

I’ve pushed a minor update to the forecast package to CRAN. Some highlights are listed here.
Plotting time series with ggplot2 You can now facet a time series plot like this:
library(forecast) library(ggplot2) lungDeaths <- cbind(mdeaths, fdeaths) a…

R packages for forecast combinations

It has been well-known since at least 1969, when Bates and Granger wrote their famous paper on “The Combination of Forecasts”, that combining forecasts often leads to better forecast accuracy.
So it is helpful to have a couple of new R packages which d…

Tourism time series repository

A few years ago, I wrote a paper with George Athanasopoulos and others about a tourism forecasting competition. We originally made the data available as an online supplement to the paper, but that has unfortunately since disappeared although the paper …