I was recently asked how to implement time series cross-validation in R. Time series people would normally call this “forecast evaluation with a rolling origin” or something similar, but it is the natural and obvious analogue to leave-one-out cross-validation for cross-sectional data, so I prefer to call it “time series ... [Read more...]

The forecast package for R has undergone a major upgrade, and I’ve given it version number 3 as a result. Some of these changes were suggestions from the forecasting workshop I ran in Switzerland a couple of months ago, and some have been on the drawing board for a long ... [Read more...]

I’ll be giving a talk on Forecasting time series using R for the Melbourne Users of R Network (MelbURN) on Thursday 27 October 2011 at 6pm. I will look at the various facilities for time series forecasting available in R, concentrating on the forecast package. This package implements several automatic methods ... [Read more...]

I received this email today: I have a question about the ets() function in R, which I am trying to use for Holt-Winters exponential smoothing. My problem is that I am getting very different estimates of the alpha, beta and gamma parameters using ets() compared to HoltWinters(), and I can’... [Read more...]

I received an email today with the following comment: I’m using ARIMA with Intervention detection and was planning to use your package to identify my initial ARIMA model for later iteration, however I found that sometimes the auto.arima function returns a model where AR/MA coefficients are not ... [Read more...]

For many years I used RWinEdt as my text editor for R code, but when WinEdt 6.0 came out, RWinEdt stopped working. So I’ve been looking for something to replace it. I’ve tried Tinn-R, NppToR, Eclipse with StatET and a couple of other editors, but nothing was quite right. ... [Read more...]

I don’t normally post job ads except when they are within my own research group. But this one is close to my research interests, and I’d like to help the institution find someone good for the role, so I’m making an exception. It is a position for ... [Read more...]

There are six places left for the forecasting workshop I am giving in Switzerland in June. If you were thinking of going, book in fast! [Read more...]

Journal Clubs are a great way to learn new research ideas and to keep up with the literature. The idea is that a group of people get together every week or so to discuss a paper of joint interest. This can happen within your own research group or department, or ... [Read more...]

I will be running a workshop on Statistical Forecasting: Principles and Practice in Switzerland, 20-22 June 2011. Check out the venue: Waldhotel Doldenhorn, Kandersteg! So if you fancy a trip to the beautiful Swiss Alps next June, read on… Outline Forecasting is required in many situations: deciding whether to build another ... [Read more...]

Probably everyone has seen Hans Rosling’s famous TED talk by now. I recently came across a couple of other exceptional talks on data visualization: Hans Rosling again: Let my dataset change your mindset. If only all statistics lecturers were this dynamic! David McCandless: The beauty of data visualization. Not ... [Read more...]

The Holt-Winters method is a popular and effective approach to forecasting seasonal time series. But different implementations will give different forecasts, depending on how the method is initialized and how the smoothing parameters are selected. In this post I will discuss various initialization methods. Suppose the time series is denoted ... [Read more...]

I’ve had a few emails lately about forecast evaluation and estimation criteria. Here is one I received today, along with some comments. I have a rather simple question regarding the use of MSE as opposed to MAD and MAPE. If the parameters of a time series model are estimated ... [Read more...]

The CrossValidated Q&A site is now out of beta and the new design and site name is live. New design The new design looks great, thanks to Jin Yang, our designer-in-residence. Note the normal density icon for accepted answers and the site icon depicting a 5-fold cross-validation (light green ... [Read more...]

I’ve had a few questions on this topic lately. Here is an email received today: I use Eviews to estimate time series, but I have been checking out R recently, and your Forecast package. I cannot understand why 2 similar equations in Eviews and R are giving different estimated output. ... [Read more...]

It’s not a good idea to annoy the referees of your paper. They make recommendations to the editor about your work and it is best to keep them happy. There is an interesting discussion on stats.stackexchange.com on this subject. This inspired my own list below. Explain what ... [Read more...]

The United Nations has declared today “World Statistics Day”. I’ve no idea what that means, or why we need a WSD. Perhaps it is because the date is 20.10.2010 (except in North America where it is 10.20.2010). But then, what happens from 2013 to 2099? And do we just forget the whole idea ... [Read more...]

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There is often confusion about how to include covariates in ARIMA models, and the presentation of the subject in various textbooks and in R help files has not helped the confusion. So I thought I’d give my take on the issue. To keep it simple, I will only describe ... [Read more...]