Theoretical stuff Last time we talked about pure additive models, today I want to discuss multiplicative ones. There is a general scepticism about pure multiplicative exponential smoothing models in the forecasters society, because it is not clear why level, trend, seasonality and error term should be multiplied. Well, when it comes to seasonality, then there […]
Univariate models
“smooth” package for R. es() function. Part II. Pure additive models
A bit of statistics As mentioned in the previous post, all the details of models underlying functions of “smooth” package can be found in extensive documentation. Here I want to discuss several basic, important aspects of statistical model underlying es() and how it is implementated in R. Today we will have a look at basic […]
“smooth” package for R. es() function. Part I
Good news, everyone! “smooth” package is now available on CRAN. And it is time to look into what this package can do and why it is needed at all. The package itself contains some documentation that you can use as a starting point. For example, there are vignettes, which show included functions and what they […]
Complex Exponential Smoothing (Working paper)
Some time ago I have published the working paper on Complex Exponential Smoothing on ResearchGate website. This is the paper written by Nikolaos Kourentzes and I in 2015. It explains a new approach in time series modelling and in forecasting, based on a notion of “information potential”. The model, resulting from this idea, allows to […]
International Symposium on Forecasting 2015
I have given a presentation on ISF2015 in Riverside, USA. The topic of presentation was Complex Exponential Smoothing for Time Series Forecasting. This is based on a paper submitted to International Journal on Forecasting, which is currently under review. Here’s the presentation.
Presentation on Management Science seminar at Lancaster University
Today I have given a presentation on the topic of Complex Exponential Smoothing on Management Science seminar at Lancaster University. Lecturers and PhD students of the department attended the presentation and seemed to like it. However, only in the morning of the day I realised that I have prepared a wrong presentation (it should have […]