Have you heard of ARIMA? It is one of the benchmark forecasting models used in different academic experiments, although it is not always popular among practitioners. But why? What’s wrong with ARIMA? ARIMA has been a standard forecasting model in statistics for ages. It gained popularity with the famous Box & Jenkins (1970) book and […]
extrapolation methods
Why you should not use Holt-Winters method
Whenever I see results of an experiment that include Holt-Winters method, I shrug. You should not use it, and here is why. Holt-Winters was developed in 1960 by a student of Charles Holt, Peter Winters (Winters, 1960). He extended Holt’s exponential smoothing method (the method that introduced a trend component) to include a seasonal component. […]
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 […]
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 […]
Vector Exponential Smoothing with PIC restrictions
About the paper. Introduction When you follow academics on social media, you typically see many success stories. This person published a paper in Management Science; another one published in EJOR; your colleague from a different university created a great package; and there is also an academic who is ten years younger than you and has […]
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, […]
Stochastic coherency in forecast reconciliation
My student (co-supervised with Nikos Kourentzes), Kandrika F. Pritularga has written a paper on “Stochastic coherency in forecast reconciliation”, which has been recently published in International Journal of Production Economics (here it is). This paper contributes to the field of hierarchical forecasting, the main issue of which is that the forecasts produced on different levels […]
Multi-step Estimators and Shrinkage Effect in Time Series Models – presentation for CEBA
Today I have made a presentation on the topic of “Multi-step Estimators and Shrinkage Effect in Time Series Models” for Center for Econometrics and Business Analytics (CEBA) of St.Petersburg State University. This presentation was based on the paper with the similar name written by Ivan Svetunkov, Nikolaos Kourentzes and Rebecca Killick. In the presentation, I […]
Forecasting method vs forecasting model: what’s difference?
If you work in the field of statistics, analytics, data science or forecasting, then you probably have already noticed that some of the instruments that are used in your field are called “methods”, while the others are called “models”. The issue here is that the people, using these terms, usually know the distinction between them, […]
Seminar and presentation at Bath University
Last week I have visited Bath University, where Dr. Fotios Petropoulos works. He organised a scientific seminar, where I could present my recent research on topic “One for all: forecasting intermittent and non-intermittent demand using one model“. The presentation was well received and rose several interesting questions from the participants of the seminar, which will […]