The FPP resources page has recently been updated with several new additions including
- R code for all examples in the book. This was already available within each chapter, but the examples have been collected into one file per chapter to save copying and pasting the various code fragments.
- Slides from a course on Predictive Analytics from the University of Sydney.
- Slides from a course on Economic Forecasting from the University of Hawaii.
If any one using the book has other material that could be made available, please send them to me. For example, recorded lectures, slides, additional examples, assignments, exam questions, solutions, etc.
On 23–25 September, I will be running a 3-day workshop in Perth on “Forecasting: principles and practice” mostly based on my book of the same name.
Workshop participants will be assumed to be familiar with basic statistical tools such as multiple regression, but no knowledge of time series or forecasting will be assumed. Some prior experience in R is highly desirable.
Venue: The University Club, University of Western Australia, Nedlands WA.
- Day 1:
- Forecasting tools, seasonality and trends, exponential smoothing.
- Day 2:
- State space models, stationarity, transformations, differencing, ARIMA models.
- Day 3:
- Time series cross-validation, dynamic regression, hierarchical forecasting, nonlinear models.
The course will involve a mixture of lectures and practical sessions using R. Each participant must bring their own laptop with R installed, along with the fpp package and its dependencies.
For costs and enrolment details, go to
At the IIF annual board meeting last month in Rotterdam, I suggested that we provide awards to the top students studying forecasting at university level around the world, to the tune of $100 plus IIF membership for a year. I’m delighted that the idea met with enthusiasm, and that the awards are now available. Even better, my second year forecasting subject has been approved for an award.
The IIF have agreed to fund awards for 20 forecasting courses to start with. I believe they have already had several applications, so any other forecasting lecturers out there will need to be quick if they want to be part of it.
I’m about to head off on a speaking tour to Europe (more on that in another post) and one of my hosts has asked for my powerpoint slides so they can print them. They have made two false assumptions: (1) that I use powerpoint; (2) that my slides are static so they can be printed.
Instead, I produced a cut-down version of my beamer slides, leaving out some of the animations and other features that will not print easily. Then I produced a pdf file with several slides per page. Continue reading →
When watching the TV news, or reading newspaper commentary, I am frequently amazed at the attempts people make to interpret random noise.
For example, the latest tiny fluctuation in the share price of a major company is attributed to the CEO being ill. When the exchange rate goes up, the TV finance commentator confidently announces that it is a reaction to Chinese building contracts. No one ever says “The unemployment rate has dropped by 0.1% for no apparent reason.”
What is going on here is that the commentators are assuming we live in a noise-free world. They imagine that everything is explicable, you just have to find the explanation. However, the world is noisy — real data are subject to random fluctuations, and are often also measured inaccurately. So to interpret every little fluctuation is silly and misleading. Continue reading →
The leave-one-out cross-validation statistic is given by
where , are the observations, and is the predicted value obtained when the model is estimated with the th case deleted. This is also sometimes known as the PRESS (Prediction Residual Sum of Squares) statistic.
It turns out that for linear models, we do not actually have to estimate the model times, once for each omitted case. Instead, CV can be computed after estimating the model once on the complete data set. Continue reading →
Users of my new online forecasting book have asked about having a facility for personal highlighting of selected sections, as students often do with print books. We have plans to make this a built-in part of the platform, but for now it is possible to do it using a simple browser extension. This approach allows any website to be highlighted, so is even more useful than if we only had the facility on OTexts.org.
There are several possible tools available. One of the simplest tools that allows both highlighting and annotations is Diigo. Continue reading →
Earo Wang recently interviewed me for the Chinese website Capital of Statistics. The English transcript of the intervew is on Earo’s personal website.
This is the third interview I’ve done in the last 18 months. The others were for:
Hastie, Tibshirani and Friedman’s Elements of Statistical Learning first appeared in 2001 and is already a classic. It is my go-to book when I need a quick refresher on a machine learning algorithm. I like it because it is written using the language and perspective of statistics, and provides a very useful entry point into the literature of machine learning which has its own terminology for statistical concepts. A free downloadable pdf version is available on the website.
Recently, a simpler related book appeared entitled Introduction to Statistical Learning with applications in R by James, Witten, Hastie and Tibshirani. It “is aimed for upper level undergraduate students, masters students and Ph.D. students in the non-mathematical sciences”. This would be a great textbook for our new 3rd year subject on Business Analytics. The R code is a welcome addition in showing how to implement the methods. Again, a free downloadable pdf version is available on the website.
There is also a new, free book on Statistical foundations of machine learning by Bontempi and Ben Taieb available on the OTexts platform. This is more of a handbook and is written by two authors coming from a machine learning background. R code is also provided. Being an OTexts book, it is continually updated and revised, and is freely available to anyone with a browser.
Thanks to the authors for being willing to make these books freely available.