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 […]
Univariate models
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, […]
The creation of ADAM – next step in statistical forecasting
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 […]
International Symposium on Forecasting 2019
The ISF2019 took place in Thessaloniki, Greece. This time I presented a spin-off of my research on intermittent demand in retail, entitled as “What about those sweet melons? Using mixture models for demand forecasting in retail”. The idea is quite trivial and simple: use mixture distribution regressions (e.g. logistic and log-normal distributions) in order to […]
SMUG2019
I was recently invited to attend the SMUG2019 conference (SMoothie Users Group), organised by Demand Works company in New York. They asked me to present two topics: State space ARIMA for Supply Chain Forecasting, based on which I have developed a module for Smoothie a couple of years ago, Artificial Intelligence in Business, one of […]
A simple combination of univariate models
Fotios Petropoulos and I have participated last year in M4 competition. Our approach performed well, finishing as 6th in the competition. This paper in International Journal of Forecasting explains what we used in our approach and why. Here’s the abstract: This paper describes the approach that we implemented for producing the point forecasts and prediction […]