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Preface

This textbook uses two packages from R, namely greybox, which focuses on forecasting using regression models, and smooth, which implements Single Source of Error (SSOE) state space models for purposes of time series analysis and forecasting. The textbook focuses on explaining how ADAM ("ADAM is Dynamic Adaptive Model" - recursive acronym), one of the smooth functions (introduced in v3.0.0) works, also showing how it can be used in practice with examples from R. ADAM is a state space model based on exponential smoothing in ETS form and ARIMA. It encompasses both models and is expanded by introducing:

  1. Explanatory variables (including time varying parameters);
  2. Multiple frequencies;
  3. Handling intermittent data (data with natural zeroes);
  4. Handling missing data;
  5. Variables and components selection and combination;
  6. Analysis of parameters of the model;
  7. And other minor features.

All these extentions are needed in order to solve specific real life problems, so we will have examples and case studies later in the book, in order to see how all of this can be used.

If you want to run exampels from the textbook, two packages are needed (I. Svetunkov 2020a; I. Svetunkov 2020b):

install.packages("greybox")
install.packages("smooth")

Some explanations of functions from the packages are given in my blog: Package greybox for R, Package smooth for R.

A very important thing to note is that this textbook does not use tidyverse packages. I like base R, and, to be honest, I am sure that tidyverse packages are great, but I have never needed them in my research. So, I will not use pipeline operators, tibble or tsibble objects and ggplot2. It is assumed throughout the textbook that you can do all those nice tricks on your own if you want to.

If you want to get in touch with me, there are lots of ways to do that: comments section on any page of my website, my Russian website, vk.com, Facebook, Linkedin, Twitter.

You can also find me on ResearchGate, StackExchange and StackOverflow, although I’m not really active there. Finally, I also have GitHub account.


You can use the following to cite the online version of this book:

  • Svetunkov, I. (2020) Time Series Analysis and Forecasting with ADAM: Lancaster, UK. openforecast.org/adam. Accessed on [current date].

References

Svetunkov, Ivan. 2020a. Greybox: Toolbox for Model Building and Forecasting. https://github.com/config-i1/greybox.

Svetunkov, Ivan. 2020b. Smooth: Forecasting Using State Space Models. https://github.com/config-i1/smooth.