This year I participated the Informs Society for Marketing Science Conference in Philadelphia. I presented a research that I work on together with Victoria Grigorieva, Yana Salihova and Florian Dost. This is an ongoing research, and we are trying to capture the dynamics of ecosystems on the market of mobile devices in order to see, […]
greybox package for R
I am delighted to announce a new package on CRAN. It is called “greybox”. I know, what my American friends will say, as soon as they see the name – they will claim that there is a typo, and that it should be “a” instead of “e”. But in fact no mistake was made – […]
Comparing additive and multiplicative regressions using AIC in R
One of the basic things the students are taught in statistics classes is that the comparison of models using information criteria can only be done when the models have the same response variable. This means, for example, that when you have \(\log(y_t)\) and calculate AIC, then this value is not comparable with AIC from a […]
“smooth” package for R. Common ground. Part IV. Exogenous variables. Advanced stuff
Previously we’ve covered the basics of exogenous variables in smooth functions. Today we will go slightly crazy and discuss automatic variables selection. But before we do that, we need to look at a Santa’s little helper function implemented in smooth. It is called xregExpander(). It is useful in cases when you think that your exogenous […]
“smooth” package for R. Common ground. Part III. Exogenous variables. Basic stuff
One of the features of the functions in smooth package is the ability to use exogenous (aka “external”) variables. This potentially leads to the increase in the forecasting accuracy (given that you have a good estimate of the future exogenous variable). For example, in retail this can be a binary variable for promotions and we […]
smooth functions in 2017
Over the year 2017 the smooth package has grown from v1.6.0 to v2.3.1. Now it is much more mature and has more downloads. It even now has its own hex (thanks to Fotios Petropoulos): A lot of changes happened in 2017, and it is hard to mention all of them, but the major ones are: […]
Conferences 2018
Next year I’m going to attend several forecasting-related conferences. I’ve decided to make a list in order not to forget what to attend. Here it is: International Symposium on Forecasting, 17-20 June, 2018, Boulder, Colorado, USA. This is the key event in forecasting, which any self-respecting forecaster should not miss. I don’t know what to […]
“smooth” package for R. Common ground. Part II. Estimators
UPDATE: Starting from the v2.5.1 the cfType parameter has been renamed into loss. This post has been updated since then in order to include the more recent name. A bit about estimates of parameters Hi everyone! Today I want to tell you about parameters estimation of smooth functions. But before going into details, there are […]
Multiplicative State-Space Models for Intermittent Time Series
John Boylan and I have been working on a paper about state-space models for intermittent data. We have had some good progress in that direction and have submitted the paper to IJF. Although it is still under review, we decided to publish the working paper in order to promote the thing. Here’s the abstract: Intermittent […]
Lecture in HSE, Saint Petersburg
Yesterday I gave a lecture to the master students of Higher School Economics, Saint Petersburg (“Marketing Analytics” programme). This was a very general lecture on “Modern Forecasting”, covering forecasting problems in practice, the solutions to these problems and modern scientific directions in the field. It seems that the lecture was well received and brought up […]