Time series cross-validation using fable
Time series cross-validation is handled in the fable package using the stretch_tsibble() function to generate the data folds. In this post I will give two examples of how to use it, one without covariates and one with covariates. Quarterly Australian beer production Here is a simple example using quarterly Australian beer production from 1956 Q1 to 2010 Q2. First we create a data object containing many training sets starting with 3 years (12 observations), and adding one quarter at a time until all data are included.Forecasting podcasts
I’ve been interviewed for several podcasts over the last year or so. It’s always fun to talk about my work, and I hope there is enough differences between them to make it interesting for listeners. Here is a full list of them.
| Date | Podcast | Episode |
|---|---|---|
| 12 April 2021 | Seriously Social | Forecasting the future: the science of prediction |
| 6 February 2021 | Forecasting Impact | Rob Hyndman |
| 19 July 2020 | The Curious Quant | Forecasting COVID, time series, and why causality doesnt matter as much as you think |
| 27 May 2020 | The Random Sample | Forecasting the future & the future of forecasting |
| 9 October 2019 | Thought Capital | Forecasts are always wrong (but we need them anyway) |
Call for papers: Innovations in hierarchical forecasting
There is a new call for papers for a special issue of the International Journal of Forecasting on “Innovations in hierarchical forecasting”.
Guest editors: George Athanasopoulos, Rob J Hyndman, Anastasios Panagiotelis, and Nikolaos Kourentzes.
Submission deadline: 31 August 2021.
Recent papers
- Rob J Hyndman (2021) Quantile forecasting with ensembles and combinations. Chapter in Business Forecasting: The Emerging Role of Artificial Intelligence and Machine Learning, eds. Gilliland, Tashman & Sglavo. pp.371-375, John Wiley & Sons. Abstract Amazon pdf code
- Pablo Montero-Manso, Rob J Hyndman (2021) Principles and Algorithms for Forecasting Groups of Time Series: Locality and Globality. International J Forecasting, to appear. Abstract pdf
- Rob J Hyndman, Yijun Zeng, Han Lin Shang (2021) Forecasting the old-age dependency ratio to determine a sustainable pension age. Australian & New Zealand Journal of Statistics, to appear. Abstract pdf code
- Sevvandi Kandanaarachchi, Rob J Hyndman (2021) Dimension reduction for outlier detection using DOBIN. J Computational & Graphical Statistics, 30(1), 204-219. Abstract DOI pdf code
- Bahman Rostami-Tabar, Mohammad M Ali, Tao Hong, Rob J Hyndman, Michael D Porter, Aris Syntetos (2021) Forecasting for Social Good. International Journal of Forecasting, to appear. Abstract pdf
Recent and upcoming seminars
- Forecasting elements that stand the test of time. (6 May 2021) YouTube More info...
- Seriously social podcast. (12 April 2021) More info...
- Developing good research habits. (23 March 2021) More info...
- Forecasting impact podcast. (6 February 2021) More info...
- ASSA New Fellows Presentations. (25 November 2020) YouTube More info...