Package smooth for R

ISF2022: How to make ETS work with ARIMA

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This time ISF took place in Oxford. I acted as a programme chair of the event and was quite busy with schedule and some other minor organisational things, but I still found time to present something new. Specifically, I talked about one specific part of ADAM, the part implementing ETS+ARIMA. The idea is that the … Read more

The first draft of “Forecasting and Analytics with ADAM”

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After working on this for more than a year, I have finally prepared the first draft of my online monograph “Forecasting and Analytics with ADAM“. This is a monograph on the model that unites ETS, ARIMA and regression and introduces advanced features in univariate modelling, including: ETS in a new State Space form; ARIMA in … Read more

After the creation of ADAM: smooth v3.1.0

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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

The creation of ADAM – next step in statistical forecasting

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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

“smooth” package for R. Intermittent state-space model. Part I. Introducing the model

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UPDATE: Starting from smooth v 3.0.0, the occurrence part of the model has been removed from es() and other functions. The only one that implements this now is adam(). This post has been updated on 01 January 2021. UPDATE: Starting from smooth v 2.5.0, the model and the respective functions have changed. Now instead of … Read more

“smooth” package for R. Common ground. Part IV. Exogenous variables. Advanced stuff

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Previously we’ve covered the basics of exogenous variables in smooth functions. Today we will go slightly crazy and discuss automatic variables selection. But before we do that, we need to look at a Santa’s little helper function implemented in smooth. It is called xregExpander(). It is useful in cases when you think that your exogenous … Read more

“smooth” package for R. Common ground. Part III. Exogenous variables. Basic stuff

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One of the features of the functions in smooth package is the ability to use exogenous (aka “external”) variables. This potentially leads to the increase in the forecasting accuracy (given that you have a good estimate of the future exogenous variable). For example, in retail this can be a binary variable for promotions and we … Read more

“smooth” package for R. Common ground. Part II. Estimators

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UPDATE: Starting from the v2.5.1 the cfType parameter has been renamed into loss. This post has been updated since then in order to include the more recent name. A bit about estimates of parameters Hi everyone! Today I want to tell you about parameters estimation of smooth functions. But before going into details, there are … Read more