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 […]

Stochastic coherency in forecast reconciliation

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 […]

Multi-step Estimators and Shrinkage Effect in Time Series Models – presentation for CEBA

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 […]