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 […]
theory
Visit of Stephan Kolassa
This Wednesday Stephan Kolassa (Senior Research Expert at SAP) has visited Lancaster Centre for Forecasting. He gave a couple of very interesting talks and attended the presentation of PhD topics by Ivan Svetunkov, Yves Sagaert and Oliver Schaer (organised by Nikolaos Kourentzes). My topic was “Trace Forecast Likelihood”, some parts of which I have presented […]
Complex Exponential Smoothing (Working paper)
Some time ago I have published the working paper on Complex Exponential Smoothing on ResearchGate website. This is the paper written by Nikolaos Kourentzes and I in 2015. It explains a new approach in time series modelling and in forecasting, based on a notion of “information potential”. The model, resulting from this idea, allows to […]