Optimal Properties of Exponentially Weighted Forecasts
ABSTRACT The exponentially weighted average can be interpreted as the expected value of a time series made up of two kinds of random components: one lasting a single time period (transitory) and the other lasting through all subsequent periods (permanent). Such a time series may, therefore, be regarded as a random walk with “noise” superimposed. It is also shown that, for this series, the best forecast for the time period immediately ahead is the best forecast for any future time period, because both give estimates of the permanent component. The estimate of the permanent component is imperfect, and so the estimate of a regression coefficient is inconsistent in a relation involving the permanent (e.g. consumption as a function of permanent income). Its bias is small, however.
- SourceAvailable from: Stephen M. Disney
Conference Paper: Bullwhip behavior in the Order-Up-To policy with ARIMA demand[Show abstract] [Hide abstract]
ABSTRACT: This paper analyses the bullwhip effect produced by the Order-Up-To (OUT) policy for ARIMA demand processes. Areas in the parametrical space are identified where a bullwhip effect increases or decreases as function of the lead time. In remaining areas the bullwhip effect might be increasing, decreasing or fluctuating, depending upon the parameter values of the demand process.4th World Production and Operations Management Conference, Amsterdam, The Netherlads; 05/2012
- SPECIAL ISSUE ON GRANGER ECONOMETRICS AND STATISTICAL MODELING, Edited by Hamparsum Bozdogan, 01/2010; European Journal of Pure and Applied Mathematics (EJPAM).
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ABSTRACT: We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these journals concerned time series forecasting. We also review highly influential works on time series forecasting that have been published elsewhere during this period. Enormous progress has been made in many areas, but we find that there are a large number of topics in need of further development. We conclude with comments on possible future research directions in this field.SSRN Electronic Journal 01/2005; DOI:10.2139/ssrn.748904