Authors: Ivan Svetunkov, John E. Boylan Journal: IMA Journal of Management Mathematics Abstract: Exponential smoothing in state space form (ETS) is a popular forecasting technique, widely used in research and practice. While the additive error ETS models have been well studied, the multiplicative error ones have received much less attention in forecasting literature. Still, these […]
Papers
iETS: State space model for intermittent demand forecasting
Authors: Ivan Svetunkov, John E. Boylan Journal: International Journal of Production Economics Abstract: Inventory decisions relating to items that are demanded intermittently are particularly challenging. Decisions relating to termination of sales of product often rely on point estimates of the mean demand, whereas replenishment decisions depend on quantiles from interval estimates. It is in this […]
Multi-step Estimators and Shrinkage Effect in Time Series Models
Authors: Ivan Svetunkov, Nikos Kourentzes, Rebecca Killick Journal: Computational Statistics Abstract: Many modern statistical models are used for both insight and prediction when applied to data. When models are used for prediction one should optimise parameters through a prediction error loss function. Estimation methods based on multiple steps ahead forecast errors have been shown to […]
Story of “Probabilistic forecasting of hourly emergency department arrivals”
The paper Back in 2020, when we were all siting in the COVID lockdown, I had a call with Bahman Rostami-Tabar to discuss one of our projects. He told me that he had an hourly data of an Emergency Department from a hospital in Wales, and suggested writing a paper for a healthcare audience to […]
Probabilistic forecasting of hourly emergency department arrivals
Authors: Bahman Rostami-Tabar, Jethro Browell, Ivan Svetunkov Journal: Health Systems Abstract: An accurate forecast of Emergency Department (ED) arrivals by an hour of the day is critical to meet patients’ demand. It enables planners to match ED staff to the number of arrivals, redeploy staff, and reconfigure units. In this study, we develop a model […]
Smooth forecasting with the smooth package in R
Authors: Ivan Svetunkov Abstract: There are many forecasting related packages in R with varied popularity, the most famous of all being forecast, which implements several important forecasting approaches, such as ARIMA, ETS, TBATS and others. However, the main issue with the existing functionality is the lack of flexibility for research purposes, when it comes to […]
The Long and Winding Road: The Story of Complex Exponential Smoothing
About the paper. Disclaimer The idea of using complex variables in modelling and forecasting was originally proposed by my father, Sergey Svetunkov. Based on that, we developed several models, which were then used in some of our research. We worked together in this direction and published several articles in Russian. My father even published a […]
Complex Exponential Smoothing
Authors: Ivan Svetunkov, Nikolaos Kourentzes, Keith Ord. Journal: Naval Research Logistics Abstract: Exponential smoothing has been one of the most popular forecasting methods used to support various decisions in organisations, in activities such as inventory management, scheduling, revenue management and other areas. Although its relative simplicity and transparency have made it very attractive for research […]
A New Taxonomy for Vector Exponential Smoothing and Its Application to Seasonal Time Series
Authors: Ivan Svetunkov, Huijing Chen, John E. Boylan. Journal: European Journal of Operational Research Abstract: In short-term demand forecasting, it is often difficult to estimate seasonality accurately, owing to short data histories. However, companies usually have multiple products with similar seasonal demand patterns. A possible solution, in this case, is to use the components of […]
Vector Exponential Smoothing with PIC restrictions
About the paper. Introduction When you follow academics on social media, you typically see many success stories. This person published a paper in Management Science; another one published in EJOR; your colleague from a different university created a great package; and there is also an academic who is ten years younger than you and has […]