Articles by Ivan Svetunkov

Methods for the smooth functions in R

October 10, 2024 | Ivan Svetunkov

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 ...
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Detecting patterns in white noise

April 10, 2024 | Ivan Svetunkov

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 ... [Read more...]

smooth & greybox under LGPLv2.1

September 19, 2023 | Ivan Svetunkov

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 ...
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smooth & greybox under LGPLv2.1

September 19, 2023 | Ivan Svetunkov

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 ...
[Read more...]

iETS: State space model for intermittent demand forecasting

September 8, 2023 | Ivan Svetunkov

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 ...
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iETS: State space model for intermittent demand forecasting

September 8, 2023 | Ivan Svetunkov

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 ...
[Read more...]

Multi-step Estimators and Shrinkage Effect in Time Series Models

August 9, 2023 | Ivan Svetunkov

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 ...
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Multi-step Estimators and Shrinkage Effect in Time Series Models

August 9, 2023 | Ivan Svetunkov

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 ...
[Read more...]

smooth v3.2.0: what’s new?

January 30, 2023 | Ivan Svetunkov

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 ...
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smooth v3.2.0: what’s new?

January 30, 2023 | Ivan Svetunkov

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 ...
[Read more...]

Smooth forecasting with the smooth package in R

January 4, 2023 | Ivan Svetunkov

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 ...
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Smooth forecasting with the smooth package in R

January 4, 2023 | Ivan Svetunkov

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 ...
[Read more...]

Complex Exponential Smoothing

August 2, 2022 | Ivan Svetunkov

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 ...
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Complex Exponential Smoothing

August 2, 2022 | Ivan Svetunkov

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 ... [Read more...]

ISF2022: How to make ETS work with ARIMA

July 20, 2022 | Ivan Svetunkov

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+...
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ISF2022: How to make ETS work with ARIMA

July 20, 2022 | Ivan Svetunkov

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+... [Read more...]

Introducing scale model in greybox

January 23, 2022 | Ivan Svetunkov

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 ...
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