I have been asked recently by a colleague of mine how to extract the variance from a model estimated using adam() function from the smooth package in R. The problem was that that person started reading the source code of the forecast.adam() and got lost between the lines (this happens to me as well sometimes). […]
Back in 2022, my father asked me to help him in amending and editing a monograph he wrote on the topic of “Complex-Valued Econometrics”. The original book focused on dynamic models, but after looking through the material and a thorough discussion, we decided to write something more fundamental. The monograph is based on the research […]
Back in 2015, when I was working on my paper on Complex Exponential Smoothing, I conducted a simple simulation experiment to check how ARIMA and ETS select components/orders in time series. And I found something interesting… One of the important steps in forecasting with statistical models is identifying the existing structure. In the case of […]
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 […]
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 […]
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 […]
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 […]
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 […]
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 […]
After working on this for more than a year, I have finally prepared the first draft of my online monograph “Forecasting and Analytics with ADAM“. This is a monograph on the model that unites ETS, ARIMA and regression and introduces advanced features in univariate modelling, including: ETS in a new State Space form; ARIMA in […]