120 citations · 279 across the 18 of their papers we have counts for
9 papers · 1 filter
Scaleable Dynamic Forecast Reconciliation
Ross Hollyman, Fotios Petropoulos, Michael E. Tipping
We introduce a dynamic approach to probabilistic forecast reconciliation at scale. Our model differs from the existing literature in this area in several important ways. Firstly we…
Hierarchies Everywhere -- Managing & Measuring Uncertainty in Hierarchical Time Series
Ross Hollyman, Fotios Petropoulos, Michael E. Tipping
We examine the problem of making reconciled forecasts of large collections of related time series through a behavioural/Bayesian lens. Our approach explicitly acknowledges and expl…
Model combinations through revised base-rates
Fotios Petropoulos, Evangelos Spiliotis, Anastasios Panagiotelis
Standard selection criteria for forecasting models focus on information that is calculated for each series independently, disregarding the general tendencies and performances of th…
Wielding Occam's razor: Fast and frugal retail forecasting
Fotios Petropoulos, Yael Grushka-Cockayne, Enno Siemsen +1
The algorithms available for retail forecasting have increased in complexity. Newer methods, such as machine learning, are inherently complex. The more traditional families of fore…
Forecast with Forecasts: Diversity Matters
Yanfei Kang, Wei Cao, Fotios Petropoulos +1
Forecast combinations have been widely applied in the last few decades to improve forecasting. Estimating optimal weights that can outperform simple averages is not always an easy…
Déjà vu: A data-centric forecasting approach through time series cross-similarity
Yanfei Kang, Evangelos Spiliotis, Fotios Petropoulos +3
Accurate forecasts are vital for supporting the decisions of modern companies. Forecasters typically select the most appropriate statistical model for each time series. However, st…
The uncertainty estimation of feature-based forecast combinations
Xiaoqian Wang, Yanfei Kang, Fotios Petropoulos +1
Forecasting is an indispensable element of operational research (OR) and an important aid to planning. The accurate estimation of the forecast uncertainty facilitates several opera…
Reconciliation of probabilistic forecasts with an application to wind power
Jooyoung Jeon, Anastasios Panagiotelis, Fotios Petropoulos
New methods are proposed for adjusting probabilistic forecasts to ensure coherence with the aggregation constraints inherent in temporal hierarchies. The different approaches neste…
The Optimised Theta Method
José Augusto Fioruci, Tiago Ribeiro Pellegrini, Francisco Louzada +1
Accurate and robust forecasting methods for univariate time series are very important when the objective is to produce estimates for a large number of time series. In this context,…