Good news, everyone! I’ve recently released major versions of my packages smooth and greybox, v4.0.0 and v2.0.0 respectively, on CRAN. Has something big happened? Yes and no. Let me explain. Starting from these versions, the packages will be licensed under LGPLv2.1 instead of the very restrictive GPLv2. This does not change anything to the everyday […]
iETS: State space model for intermittent demand forecasting
Authors: Ivan Svetunkov, John E. Boylan Journal: International Journal of Production Economics Abstract: Inventory decisions relating to items that are demanded intermittently are particularly challenging. Decisions relating to termination of sales of product often rely on point estimates of the mean demand, whereas replenishment decisions depend on quantiles from interval estimates. It is in this […]
Multi-step Estimators and Shrinkage Effect in Time Series Models
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 […]
John E. Boylan
I met John in 2014 when he joined the Department of Management Science at Lancaster University. Back then, I was in my second year of PhD, and as a teaching assistant, I helped deliver workshops for some modules. We met at the departmental Christmas party, and John asked me whether I was the very same […]
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 […]
Smooth forecasting with the smooth package in R
Authors: Ivan Svetunkov Abstract: There are many forecasting related packages in R with varied popularity, the most famous of all being forecast, which implements several important forecasting approaches, such as ARIMA, ETS, TBATS and others. However, the main issue with the existing functionality is the lack of flexibility for research purposes, when it comes to […]
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 […]