Melbourne Data Science Initiative 2016

In just over three weeks, the inaugural MeDaScIn event will take place. This is an initiative to grow the talent pool of local data scientists and to promote Melbourne as a world city of excellence in Data Science.

The main event takes place on Friday 6th May, with lots of interesting sounding titles and speakers from business and government. I’m the only academic speaker on the program, giving the closing talk on “Automatic FoRecasting”. Earlier in the day I am running a forecasting workshop where I will discuss forecasting issues and answer questions for about 90 minutes. There are still a few places left for the main event, and for the workshops. Book soon if you want to attend.

All the details are here.

Upcoming talks in California

I’m back in California for the next couple of weeks, and will give the following talk at Stanford and UC-Davis.

Optimal forecast reconciliation for big time series data

Time series can often be naturally disaggregated in a hierarchical or grouped structure. For example, a manufacturing company can disaggregate total demand for their products by country of sale, retail outlet, product type, package size, and so on. As a result, there can be millions of individual time series to forecast at the most disaggregated level, plus additional series to forecast at higher levels of aggregation.

A common constraint is that the disaggregated forecasts need to add up to the forecasts of the aggregated data. This is known as forecast reconciliation. I will show that the optimal reconciliation method involves fitting an ill-conditioned linear regression model where the design matrix has one column for each of the series at the most disaggregated level. For problems involving huge numbers of series, the model is impossible to estimate using standard regression algorithms. I will also discuss some fast algorithms for implementing this model that make it practicable for implementing in business contexts.

Stanford: 4.30pm, Tuesday 6th October.
UCDavis: 4:10pm, Thursday 8th October.

Data Science for Managers (short course)

I am teaching part of a short-course on Data Science for Managers from 10-12 October in Melbourne.

Course Overview

The impact of Data Science on modern business is second only to the introduction of computers. And yet, for many businesses the barrier of entry remains too high due to lack of knowhow, organisational inertia, difficulties in hiring the right manpower, an apparent need for upfront commitment, and more.

This course is designed to address these barriers, giving the necessary knowledge and skills to flesh out and manage Data Science functions within your organisation, taking the anxiety-factor out of the Big Data revolution and demonstrating how data-driven decision-making can be integrated into one’s organisation to harness existing advantages and to create new opportunities.

Assuming minimal prior knowledge, this course provides complete coverage of the key aspects, including data wrangling, modelling and analysis, predictive-, descriptive- and prescriptive-analytics, data management and curation, standards for data storage and analysis, the use of structured, semi-structured and unstructured data as well as of open public data, and the data-analytic value chain, all covered at a fundamental level.

More details available at

Early-bird bookings close in a few days.


Keeping up to date with my research papers

Many people ask me to let them know when I write a new research paper. I can’t do that as there are too many people involved, and it is not scalable.

The solution is simple. Take your pick from the following options. Each is automatic and will let you know whenever I produce a new paper.

  1. Subscribe to the rss feed on my website using feedly or some other rss reader.
  2. Subscribe to new papers via email from feedburner.
  3. Go to my Google scholar page and click “Follow” at the top of the page.

The latter method will work for anyone with a Google scholar page. The Google scholar option only includes research papers. The first two methods also include any new seminars I give or new software packages I write.

North American seminars: June 2015

For the next few weeks I am travelling in North America and will be giving the following talks.

  • 19 June: Southern California Edison, Rosemead CA.
    “Probabilistic forecasting of peak electricity demand”.
  • 23 June: International Symposium on Forecasting, Riverside CA.
    “MEFM: An R package for long-term probabilistic forecasting of electricity demand”.
  • 25 June: Google, Mountain View, CA.
    “Automatic algorithms for time series forecasting”.
  • 26 June: Yahoo, Sunnyvale, CA.
    “Exploring the boundaries of predictability: what can we forecast, and when should we give up?”
  • 30 June: Workshop on Frontiers in Functional Data Analysis, Banff, Canada.
    “Exploring the feature space of large collections of time series”.

The Yahoo talk will be streamed live.

I’ll post slides on my main site after each talk.