All Hyndsight posts by date
On 26-28 September 2017, I will be running my 3-day workshop in Perth on “Forecasting: principles and practice” based on my book of the same name.
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.
Workshop participants are expected to be familiar with basic statistical tools such as multiple regression, but no knowledge of time series or forecasting will be assumed.
At the recent International Symposium on Forecasting, I announced the awards for the best paper published in the International Journal of Forecasting in the period 2014–2015.
We make an award every two years to the best paper(s) published in the journal. There is always about 18 months delay after the publication period to allow time for reflection, citations, etc. The selected papers are selected by vote of the editorial board. The best paper wins an engraved bronze plaque and US$1000.
A generous donation from Professor Tao Hong has funded this new award for papers on energy forecasting published in the International Journal of Forecasting. The award for 2016 is for papers published within 2013–2014. Next year we will award a paper published in 2015–2016, and we will make the award every two years after that.
The award decision was made by a committee consisting of Professors Pierre Pinson, James Mitchell and Rob J Hyndman.
At the International Symposium on Forecasting last week, my friend and colleague Ralph Snyder was made a Fellow of the International Institute of Forecasters.
I’ve caved in to the hex sticker craze, and produced some hex stickers for the forecast package for R. If you attend a workshop I teach, I’ll give you one.
Once every year, the journal citation reports are released including journal impact factors. This year, the International Journal of Forecasting 2-year impact factor has increased to 2.642 which is the highest it has been in the journal’s history, and puts the journal higher than such notable titles as Journal of the American Statistical Association and just below Management Science.
The 2-year impact factor is the average number of citations for articles published in the previous 2 years.
For the past few months I’ve been working on a new DataCamp course teaching Forecasting using R. I’m delighted that it is now available for anyone to do.
Course blurb Forecasting involves making predictions about the future. It is required in many situations such as deciding whether to build another power generation plant in the next ten years requires forecasts of future demand; scheduling staff in a call center next week requires forecasts of call volumes; stocking an inventory requires forecasts of stock requirements.
The nnetar function in the forecast package for R fits a neural network model to a time series with lagged values of the time series as inputs (and possibly some other exogenous inputs). So it is a nonlinear autogressive model, and it is not possible to analytically derive prediction intervals. Therefore we use simulation.
Suppose we fit a NNETAR model to the famous Canadian lynx data:
library(forecast) (fit <- nnetar(lynx, lambda=0.
Recently I was privileged to sit on the committee that selects the winner of the Karl Pearson Prize. KP was, of course, an early mathematical statistician, famous for many commonly-used statistical methods and tools including histograms, the correlation coefficient, the method of moments, p-values, the chi-squared test and principal components analysis. He is also infamous for his highly racist views, support for eugenics, anti-semitism and for refusing a knighthood.
All that aside, the job of the committee was to select an English-language article or book published in the last 30 years that has made a stand-alone research contribution, and which has had major influence on one or more of statistical theory, statistical methodology, statistical practice and application.
We are hiring again, at all academic levels. While all fields of specialisation within econometrics and statistics are open, expertise in any of Business Analytics, Data Science, Applied Econometrics and Actuarial Science is particularly encouraged.
All positions are full-time and continuing (i.e., tenured after a probation period).
Applications close at 11:55pm AEST, Friday 30 June 2017.
Please direct initial questions to Liam Mahon.
Lecturer Suitable for someone just completing a PhD or a post-doc.