Nowcasting and structural breaks analysis techniques for smart

Now-casting and structural breaks analysis techniques for smart statistics Computer ASSisted ANalysis using Dynamic Regression Algorithms CASSANDRA JRC / EUROSTAT common activities on Big Data analytics

2 Cassandra goals: • Exploit new "big" data tools to extract more value from official statistics • Develop a platform for now-casting of infraannual indicators of policy relevance • Explore techniques to identify structural breaks in time series • Add value towards "Smart statistics"

The challenge … … … VVVs of data Evidence based policy making

Nowcasting: estimate current value of indicator

SARIMA approach

Now-casting = forecasting r periods after TS r=3 Conf. interval r=1 t Time series Current solution • Machine learning • Limited "new" sources • r between 1 and 6 • Confidence interval depends on use

Cassandra: Now-casting Flexible, modular structure

Finding structural breaks = "forecasting" last TS value Conf. interval r=1 t Time series (to t-1) Current solution • Only "simple" model • r is 1 • Confidence interval depends on how sensitive

9 Real life application: structural break in inflation?

10 Confirmed increase until Jan 2017

Cassandra: Tailored visualisation tools

Cassandra: flexibility in input, methods, output • New sources of data • Text mining

Cassandra team JRC EUROSTAT Panos Christidis Andris Peize Alexis Bolivar Álvaro Gomez Losada Dario Buono Bogomil Kovachev Loredana Di Consiglio Fernando Reis and growing! Contact: Panayotis. Christidis@ec. europa. eu