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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

Authors: Ivan Svetunkov Published at: Open Forecast 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 ...

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 ...

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 ...

This time ISF took place in Oxford. I acted as a programme chair of the event and was quite busy with schedule and some other minor organisational things, but I still found time to present something new. Specifically, I talked about one specific part of ADAM, the part implementing ETS+...

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 ...

At the end of June 2021, I released the greybox package version 1.0.0. This was a major release, introducing new functionality, but I did not have time to write a separate post about it because of the teaching and lack of free time. Finally, Christmas has arrived, and I could spend several ...