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 […]
Univariate models
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 v3.2.0: what’s new?
smooth package has reached version 3.2.0 and is now on CRAN. While the version change from 3.1.7 to 3.2.0 looks small, this has introduced several substantial changes and represents a first step in moving to the new C++ code in the core of the functions. In this short post, I will outline the main new […]
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 […]
ISF2022: How to make ETS work with ARIMA
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 […]
The first draft of “Forecasting and Analytics with ADAM”
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 […]
Introducing scale model in greybox
At the end of June 2021, I released the greybox package version 1.0.0. This was a major release, introducing new functionality, but I did not have time to write a separate post about it because of the teaching and lack of free time. Finally, Christmas has arrived, and I could spend several hours preparing the […]
An Integrated Method for Estimation and Optimisation
My PhD student, Congzheng Liu (co-supervised with Adam Letchford) has written a paper, entitled “Newsvendor Problems: An Integrated Method for Estimation and Optimisation“. This paper has recently been published in EJOR. In this paper we build upon the existing Ban & Rudin (2019) approach for newsvendor problem, showing that in case of the linear model, […]