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 […]
Papers
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 […]
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 […]
Multiplicative State-Space Models for Intermittent Time Series, 2019
More than 2 years ago I published on this website a working paper entitled “Multiplicative State-Space Models for Intermittent Time Series“, written by John Boylan and I. This was an early version of the paper, which we submitted to International Journal of Forecasting on 31st January 2017. More than two years later (on 11th July […]
Multiplicative State-Space Models for Intermittent Time Series
John Boylan and I have been working on a paper about state-space models for intermittent data. We have had some good progress in that direction and have submitted the paper to IJF. Although it is still under review, we decided to publish the working paper in order to promote the thing. Here’s the abstract: Intermittent […]
Old dog, new tricks: a modelling view of simple moving averages
Fotios Petropoulos and I have recently written a paper about a statistical model, underlying Simple Moving Average. Although we are usually taught in Forecasting courses, that there is no such thing, we found one. We have submitted this paper to International Journal of Production Research, and it has been recently accepted (took us ~4 months). […]