We are currently advertising for three academic positions, suitable for recent PhD graduates. Lecturer (Applied Statistics or Operations Research) Five-year position with MAXIMA and the School of Mathematical Sciences Two positions available. Applications close 31 October. More information. Lecturer (Econometrics/Business Statistics) Continuing position with the Department of Econometrics and Business Statistics Applications close 31 January 2014. More information. Please don’t send any questions to me. Click the “More information” links and follow the instructions.
Posts Tagged ‘R’:
I’ve been getting emails asking questions about my upcoming course on Forecasting using R. Here are some answers.
The following video has been produced to advertise my upcoming course on Forecasting with R, run in partnership with Revolution Analytics.
I’ve had several emails recently asking how to forecast daily data in R. Unless the time series is very long, the easiest approach is to simply set the frequency attribute to 7. y < — ts(x, frequency=7) Then any of the usual time series forecasting methods should produce reasonable forecasts. For example library(forecast) fit < — ets(y) fc <- forecast(fit) plot(fc)
I am teaming up with Revolution Analytics to teach an online course on forecasting with R. Topics to be covered include seasonality and trends, exponential smoothing, ARIMA modelling, dynamic regression and state space models, as well as forecast accuracy methods and forecast evaluation techniques such as cross-validation. I will talk about some of my consulting experiences, and explain the tools in the forecast package for R. The course will run from 21 October to 4 December, for two hours each week. Participants can network and interact with other practitioners through an online community.
This week I’ve been at the R Users conference in Albacete, Spain. These conferences are a little unusual in that they are not really about research, unlike most conferences I attend. They provide a place for people to discuss and exchange ideas on how R can be used. Here are some thoughts and highlights of the conference, in no particular order.
Akaike’s Information Criterion (AIC) is a very useful model selection tool, but it is not as well understood as it should be. I frequently read papers, or hear talks, which demonstrate misunderstandings or misuse of this important tool. The following points should clarify some aspects of the AIC, and hopefully reduce its misuse.
This question was posed on crossvalidated.com: I have a monthly time series (for 2009–2012 non-stationary, with seasonality). I can use ARIMA (or ETS) to obtain point and interval forecasts for each month of 2013, but I am interested in forecasting the total for the whole year, including prediction intervals. Is there an easy way in R to obtain interval forecasts for the total for 2013? I’ve come across this problem before in my consulting work, although I don’t think I’ve ever published my solution. So here it is.
My new online forecasting book (written with George Athanasopoulos) is now completed. I previously described it on this blog nearly a year ago. In reality, an online book is never complete, and we plan to continually update it. But it is now at the point where it is suitable for course work, and contains exercises and references. We hope that users (especially other lecturers) will submit materials such as slides and exercises, that can be shared on the website. For those wanting a print version, we will be selling it via Amazon in the next few months. The online version will remain freely available. If other authors are interested in this publishing model, please see this page. The book is being published by OTexts, a new innovative publishing company I am establishing. The forecasting book is our first publication, but we have three others that should be online within the next month or two.
The ETS modelling framework developed in my 2002 IJF paper (with Koehler, Snyder and Grose), and in my 2008 Springer book (with Koehler, Ord and Snyder), is now available in EViews 8. I had no idea they were even working on it, so it was quite a surprise to be told that EViews now includes ETS models.