Seasonal periods

I get questions about this almost every week. Here is an example from a recent comment on this blog:
I have two large time series data. One is separated by seconds intervals and the other by minutes. The length of each time series is 180 days. I’m usi…

ABS seasonal adjustment update

Since my last post on the seasonal adjustment problems at the Australian Bureau of Statistics, I’ve been working closely with people within the ABS to help them resolve the problems in time for tomorrow’s release of the October unemployment…

Jobs at Amazon

I do not normally post job adverts, but this was very specifically targeted to “applied time series candidates” so I thought it might be of sufficient interest to readers of this blog.Here is an excerpt from an email I received from someone…

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 ac…

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 t…

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 t…

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 Sc…

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…

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 y…

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 talke…

Generating quantile forecasts in R

From today’s email:
I have just finished reading a copy of ‘Forecasting:Principles and Practice’ and I have found the book really interesting. I have particularly enjoyed the case studies and focus on practical applications.
After finishing the book I…

Resources for the FPP book

The FPP resources page has recently been updated with several new additions including
R code for all examples in the book. This was already available within each chapter, but the examples have been collected into one file per chapter to save copying a…

A new candidate for worst figure

Today I read a paper that had been submitted to the IJF which included the following figure

along with several similar plots. (Click for a larger version.) I haven’t seen anything this bad for a long time. In fact, I think I would find it very d…

Forecasting with R in WA

On 23-25 September, I will be running a 3-day workshop in Perth on “Forecasting: principles and practice” mostly based on my book of the same name.
Workshop participants will be assumed to be familiar with basic statistical tools such as mu…

biblatex for statisticians

I am now using biblatex for all my bibliographic work as it seems to have developed enough to be stable and reliable. The big advantage of biblatex is that it is easy to format the bibliography to conform to specific journal or publisher styles. It is …

Visit of Di Cook

Next week, Professor Di Cook from Iowa State University is visiting my research group at Monash University. Di is a world leader in data visualization, and is especially well-known for her work on interactive graphics and the XGobi and GGobi software. …