In Lancaster University, I teach the module called “Statistics and Descriptive Analytics”, which is compulsory for master students of the programme “Business Analytics“. This year, the module has been delivered by Alisa Yusupova and me, and I have prepared a flowchart that should (hopefully) help students decide, which of the statistical tests to use in … Read more
My PhD student, Congzheng Liu (co-supervised with Adam Letchford) has written a paper, entitled “Newsvendor Problems: An Integrated Method for Estimation and Optimisation“. This paper has recently been published in EJOR. In this paper we build upon the existing Ban & Rudin (2019) approach for newsvendor problem, showing that in case of the linear model, … Read more
My student (co-supervised with Nikos Kourentzes), Kandrika F. Pritularga has written a paper on “Stochastic coherency in forecast reconciliation”, which has been recently published in International Journal of Production Economics (here it is). This paper contributes to the field of hierarchical forecasting, the main issue of which is that the forecasts produced on different levels … Read more
In order to help master students of Lancaster University Managemen Science department, I have developed a flow chart, that acts as a basic guide on what error measures to use in different circumstances. This is not a complete and far from perfect flow chart, and it assumes that the decision maker knows what intermittent demand … Read more
This year International Symposium on Forecasting was held online, although Centre for Marketing Analytics and Forecasting of Lancaster University had their own hub, where we would come and watch presentations together and even present to the others. I presented on the topic of Multiplicative ETS, based on this chapter of the ADAM textbook and on … Read more
Today I have made a presentation on the topic of “Multi-step Estimators and Shrinkage Effect in Time Series Models” for Center for Econometrics and Business Analytics (CEBA) of St.Petersburg State University. This presentation was based on the paper with the similar name written by Ivan Svetunkov, Nikolaos Kourentzes and Rebecca Killick. In the presentation, I … Read more
Since the previous post on “The Creation of ADAM“, I had difficulties finding time to code anything, but I still managed to fix some bugs, implement a couple of features and make changes, important enough to call the next version of package smooth “3.1.0”. Here is what’s new: A new algorithm for ARIMA order selection … Read more
Good news everyone! The future of statistical forecasting is finally here :). Have you ever struggled with ETS and needed explanatory variables? Have you ever needed to unite ARIMA and ETS? Have you ever needed to deal with all those zeroes in the data? What about the data with multiple seasonalities? All of this and … Read more
Previously we discussed how to measure accuracy of point forecasts and performance of prediction intervals in different cases. Now we look into the question how to tell the difference between competing forecasting approaches. Let’s imagine the situation, when we have four forecasting methods applied to 100 time series with accuracy measured in terms of RMSSE: … Read more
If you work in the field of statistics, analytics, data science or forecasting, then you probably have already noticed that some of the instruments that are used in your field are called “methods”, while the others are called “models”. The issue here is that the people, using these terms, usually know the distinction between them, … Read more