Here is a confession. I don’t like the idea of “forecastability”. I think it does not bring value and can be harmful in some cases. Let me explain. One of the definitions I see on the internet: “A measure of the degree to which something may be forecast with accuracy”. This definition is so disturbing … Read more
You probably have already noticed that we are in a pandemic of COVID-19 these days (breaking news: the UK has just announced a lockdown due to the virus). The number of news, memes and noise on the topic coming from around the world is astonishing! What is also astonishing is the number of posts on … Read more
UPDATE: I have also written a short post on “The role of M competitions in forecasting“, which gives historical perspective and a brief overview of the main findings of the previous competitions. Some of you might have noticed that the guidelines for the M5 competition have finally been released. Those of you who have previously … Read more
In the modern statistical literature there is a notion of “true model”, by which people usually mean some abstract mathematical model, presumably lying in the core of observed process. Roughly saying, it is implied that data we have has been generated by some big guy with a white beard sitting in mathematical clouds using some … Read more