You have probably seen my post about the STI classification of Hans Levenbach (this one). Well, I’ve decided to implement it, and it has landed in the greybox package for R/Python. What’s greybox? It is a package for statistical modelling focusing on forecasting and time series analysis. I created it back in 2018 to split … Read more
So, you know quite well that the normal distribution is one of the most popular distributions in statistics. The reasons are manifold, including convenience for the academic community and the fact that it is taught in every single statistics course in the world. But what if we don’t want to be normal? There are situations … Read more
Here is a curious idea: if we can somehow estimate the importance of trend/seasonal components for your data, you can use this in model building and forecasting. But how can we do this first step? Hans Levenbach has an answer with his simple EDA technique. Let me explain. The core idea is simple and neat. … Read more
Another interesting case in demand forecasting is the high frequency data. For example, if you work with demand on daily level, you might notice that demand increases every Monday but also exhibits proper seasonal fluctuations (e.g. decline every Winter). What do you do in this case? One of the solutions (old but gold) is the … Read more
We continue our series of posts on the functions from the smooth package for Python/R. Today we will see how to enhance your exponential smoothing with explanatory variables. What? Yes, you heard me! Let’s dive in! We all know that in real life sales don’t just evolve over time on their own. Any univariate model, … Read more
As some of you have heard, the smooth package is now on PyPI. So, I’ve decided to write a series of posts showcasing how some of its functions work. We start with the basics, ETS. ETS stands for the “Error-Trend-Seasonal” model or ExponenTial Smoothing. It is a statistical model that relies on time series decomposition … Read more
Many of you have seen this image on the Internet — I’ve seen it myself a few times on LinkedIn lately. People say it depicts the “Dunning-Kruger” effect… But did you know this is actually an internet meme with little to do with the original paper? Here is one of the recent examples, a screenshot … Read more
Sometimes I see people referring to a “deterministic” forecast, and I have some personal issues with this. Because if you apply a model to data then there is nothing deterministic about your forecasts! In many contexts, “deterministic” has a precise meaning: no randomness, no uncertainty. A deterministic solution to an optimisation problem (e.g. linear programming) … Read more
Apparently, we need to talk about scaling of error measures because this is not as obvious as it seems. In forecasting literature, since early days of the area, there has been a general consensus that the forecast errors from the individual time series should not be analysed and aggregated as is. This is because you … Read more
Here is one small, unexpected piece of news: I now have my first package on PyPI! It’s called fcompdata, and let me tell you a little bit about it. When I test my functions in R, I usually use the M1, M3, and tourism competition datasets because they are diverse enough, containing seasonal, non-seasonal, trended, … Read more