Consider a time series, generated using set.seed(1) E=rnorm(240) X=rep(NA,240) rho=0.8 X[1]=0 for(t in 2:240){X[t]=rho*X[t-1]+E[t]} The idea is to assume that an autoregressive model can be considered, but we don't know the value of the parameter. ... [Read more...]

I recently received an email about forecasting and rules of thumb. "Dans la profession [...] se transmet une règle empirique qui voudrait que l'on prenne un historique du double de l'horizon de prévision : 20 ans de données pour une prévision [Read more...]

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50 days ago (here), I was supposed to be very optimistic about the probability that I could reach a million viewed pages on that blog (over a bit more than two years). Unfortunately, the wind has changed and today, the probability is quite low... ... [Read more...]

In the previous post (here) discussing forecasts of actuarial quantities, I did not mention much how to forecast the temporal component in the Lee-Carter model. Actually, many things can be done. Consider here some exponential smoothing techniques ... [Read more...]

The final course (since courses end this week in Montréal) can be watched here and there. The drawings from the course can be downloaded here (including last week's). First, to come back on last week's course , we considered Lee-carter model, i.e.... [Read more...]

As Mark Twain said "the art of prophecy is very difficult, especially about the future" (well, actually I am not sure Mark Twain was the  first one to say so, but if you're interested by that sentence, you can look here). I have been rather su... [Read more...]

50 days ago, I published a post, here, on forecasting techniques. I was wondering what could be the probability to have, by the end of this year, one million pages viewed (from Google Analytics) on this blog. Well, initially, it was on my blog at t... [Read more...]