Forecast

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{\phpg\posx2891\pvpg\posy3678\absw6764\absh2993 \b \f20 \fs60 \cf0 \fi189 \b \f2
0 \fs60 \cf0 Forecasting Methods
\par}{\phpg\posx2891\pvpg\posy3678\absw6764\absh2993 \sl-436 \par\par\b \f20 \fs
60 \cf0 {\f0\fs39 \bullet }{\b0 \f10 \fs30 }{\b0 \fs30 What}{\b0 \fs30 is}{\b0
\fs30 forecasting}{\b0 \fs30 ? }
\par}{\phpg\posx2891\pvpg\posy3678\absw6764\absh2993 \sl-422 \b \f20 \fs60 \cf0
{\f0\fs39 \bullet }{\b0 \f10 \fs30 }{\b0 \fs30 Why}{\b0 \fs30 is}{\b0 \fs30 f
orecasting}{\b0 \fs30 important}{\b0 \fs30 ? }
{\f0\fs39 \bullet }{\b0 \f10 \fs30 }{\b0 \fs30 How}{\b0 \fs30 can}{\b0 \fs30
we}{\b0 \fs30 evaluate}{\b0 \fs30 a}{\b0 \fs30 future}{\b0 \fs30 demand}{\b0
\fs30 ? }
{\f0\fs39 \bullet }{\b0 \f10 \fs30 }{\b0 \fs30 How}{\b0 \fs30 do}{\b0 \fs30 w
e}{\b0 \fs30 make}{\b0 \fs30 mistakes}{\b0 \fs30 ? }\par
}
{\phpg\posx2212\pvpg\posy14689\absw1226\absh203 \f20 \fs16 \cf0 \f20 \fs16 \cf0
Prod 2100-2110 \par
}
Forecasting Methods \par
}
{\phpg\posx9947\pvpg\posy14689\absw110\absh203 \f20 \fs16 \cf0 \f20 \fs16 \cf0 0
\par
}
\sect\sectd\pard\plain
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}}\par}{\phpg\posx2212\pvpg\posy1352\absw7819\absh6313 \f10 \fs16 \cf0 \f10 \fs1
6 \cf0 Contents
\par}{\phpg\posx2212\pvpg\posy1352\absw7819\absh6313 \sl-331 \f10 \fs16 \cf0 {\b
\f20 1.}{\b \f20 FRAMEWORK}{\b \f20 OF}{\b \f20 PLANNING}{\b \f20 DECISIONS
...............................................................................2
}
\par}{\phpg\posx2212\pvpg\posy1352\absw7819\absh6313 \sl-223 \par\f10 \fs16 \cf0
{\b \f20 2.}{\b \f20 FORECASTING..............................................
................................................................................
...3 }
\par}{\phpg\posx2212\pvpg\posy1352\absw7819\absh6313 \sl-328 \f10 \fs16 \cf0 {\f
20 2.1}{\f20 C}{\f20 \fs13 HARACTERISTICS}{\f20 ...............................
................................................................................
................3 }
20 2.2}{\f20 T}{\f20 \fs13 YPE}{\f20 \fs13 OF}{\f20 F}{\f20 \fs13 ORECASTS}{\
f20 :}{\f20 ...................................................................
.......................................................4 }
\f20 3.}{\b \f20 TIME}{\b \f20 SERIES}{\b \f20 METHODS......................
................................................................................
.........5 }
20 3.1}{\f20 E}{\f20 \fs13 XAMPLES}{\f20 ......................................
................................................................................
.....................5 }
20 3.2}{\f20 P}{\f20 \fs13 RINCIPLES}{\f20 ....................................
................................................................................
......................7 }
\f20 4}{\b \f20 STATIONARY}{\b \f20 TIME}{\b \f20 SERIES....................
................................................................................
......8 }
20 4.1}{\f20 M}{\f20 \fs13 OVING}{\f20 A}{\f20 \fs13 VERAGE}{\f20 :...........
................................................................................
..................................8 }

20 4.2}{\f20 W}{\f20 \fs13 EIGHTED}{\f20 A}{\f20 \fs13 VERAGE}{\f20 :.........
................................................................................
................................9 }
20 4.3}{\f20 E}{\f20 \fs13 XP}{\f20 .}{\f20 S}{\f20 \fs13 MOOTHING}{\f20 :....
................................................................................
...........................................9 }
20 4.4}{\f20 C}{\f20 \fs13 OMPARISON}{\f20 \fs13 BETWEEN}{\f20 MA}{\f20 \fs13
AND}{\f20 ES}{\f20 .........................................................
.......................................10 }
\f20 5}{\b \f20 TREND-BASED}{\b \f20 TIME}{\b \f20 SERIES...................
................................................................................
...11 }
20 5.1}{\f20 L}{\f20 \fs13 INEAR}{\f20 R}{\f20 \fs13 EGRESSION}{\f20 ........
................................................................................
.................................12 }
20 5.2}{\f20 D}{\f20 \fs13 OUBLE}{\f20 E}{\f20 \fs13 XP}{\f20 .}{\f20 S}{\f20
\fs13 MOOTHING}{\f20 (H}{\f20 \fs13 OLT}{\f20 )...............................
.....................................................................13 }
20 5.3}{\f20 C}{\f20 \fs13 OMPARISON}{\f20 (}{\f20 L}{\f20 \fs13 IN}{\f20 .}{
\f20 R}{\f20 \fs13 EGRESSION}{\f20 -}{\f20 2ES)..............................
.............................................................15 }
\f20 6.}{\b \f20 SEASONAL}{\b \f20 TIME}{\b \f20 SERIES.....................
................................................................................
.......16 }
20 6.1}{\f20 CMA}{\f20 \fs13 METHOD}{\f20 ...................................
................................................................................
...............17 }
20 6.2}{\f20 W}{\f20 \fs13 INTERS}{\f20 '}{\f20 M}{\f20 \fs13 ETHOD}{\f20 ...
................................................................................
........................................21 }
\f20 7.}{\b \f20 EVALUATION}{\b \f20 OF}{\b \f20 FORECAST...................
................................................................................
.22 }
{\b \f20 8.}{\b \f20 OTHER}{\b \f20 METHODS}{\b \f20 .......................
................................................................................
.................23 }
{\b \f20 9.}{\b \f20 WHICH}{\b \f20 METHOD}{\b \f20 TO}{\b \f20 USE}{\b \f2
0 ?............................................................................
............................23 }\par
}
{\phpg\posx2212\pvpg\posy8881\absw7821\absh405 \f10 \fs16 \cf0 \f10 \fs16 \cf0 M
akridakis S. and S.C. Wheelwright,{\i Forecasting}{\i Methods}{\i for}
{\i Management}, John Wiley &
\par}{\phpg\posx2212\pvpg\posy8881\absw7821\absh405 \sl-218 \f10 \fs16 \cf0 Sons
, 1989. \par
}
Prod 2100-2110 \par

}
}
\par
}
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0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
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31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
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0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
}}\par}{\phpg\posx2212\pvpg\posy1385\absw7459\absh529 \b \f20 \fs40 \cf0 \b \f20
\fs40 \cf0 1. Framework of planning decisions \par
}
Let us first remember where the inventory control decisions may take place.
\par}{\phpg\posx2212\pvpg\posy1945\absw6275\absh1655 \sl-398 \f10 \fs16 \cf0 \fi
3364 {\f20 \fs30 Corporate }
3439 {\f20 \fs30 Strategic }
3439 {\f20 \fs30 Planning }
3940 {\fs30 }\par
}
{\phpg\posx3093\pvpg\posy3874\absw2047\absh724 \f20 \fs30 \cf0 \fi379 \f20 \fs30
\cf0 Business
\par}{\phpg\posx3093\pvpg\posy3874\absw2047\absh724 \sl-395 \f20 \fs30 \cf0 Fore
casting{\f10 }\par
}
\cf0 Financial
\par}{\phpg\posx7298\pvpg\posy3874\absw1939\absh749 \sl-419 \f20 \fs30 \cf0 {\f4
0 {\f63 \u8656\'3f}} Planning \par
}
{\phpg\posx3261\pvpg\posy5573\absw1566\absh367 \f20 \fs30 \cf0 \f20 \fs30 \cf0 A
ggregate \par
}
Product and
326 Market
213 Planning
715 {\f10 }
107 Aggregate \par
}
Production{\f40
{\f63 \u8656\'3f} }
Forecasting{\f10 }
2558 Planning
3059 {\f10 }
962 Item
Master \par
}
Resource
Planning
Rough-cut \par
}
{\phpg\posx3093\pvpg\posy7661\absw5948\absh397 \f20 \fs30 \cf0 \f20 \fs30 \cf0 F
orecasting{\f10 }
Production{\f40
{\f63 \u8656\'3f}} Capacity \par
}
{\phpg\posx3904\pvpg\posy8967\absw895\absh367 \f20 \fs30 \cf0 \f20 \fs30 \cf0 Sp
are \par
}
Scheduling
662 {\f10 }
187 Material \par
}
Planning
Capacity \par
}
0 \cf0 Forecasting{\f10 } Requirement{\f40 {\f63 \u8656\'3f}} Requirement
3439 Planning
Planning
10 \fs16 Here}{\f10 \fs16 are}{\f10 \fs16 the}{\f10 \fs16 successive}{\f10
\fs16 decision}{\f10 \fs16 steps}{\f10 \fs16 by}{\f10 \fs16 which}{\f10
\fs16 a}{\f10 \fs16 company}{\f10 \fs16 finally}{\f10 \fs16 manufactures
}{\f10 \fs16 a}{\f10 \fs16 product. }
10 \fs16 These}{\f10 \fs16 steps}{\f10 \fs16 have}{\f10 \fs16 been}{\f10 \
fs16 analyzed}{\f10 \fs16 in}{\f10 \fs16 details}{\f10 \fs16 in}{\f10 \f
s16 the}{\f10 \fs16 previous}{\f10 \fs16 chapters.}{\f10 \fs16 Roughly,}
{\f10 \fs16 the}{\f10 \fs16 strategic }
10 \fs16 planning}{\f10 \fs16 defines}{\f10 \fs16 which}{\f10 \fs16 produc
ts}{\f10 \fs16 to}{\f10 \fs16 manufacture,}{\f10 \fs16 how}{\f10 \fs16 a
nd}{\f10 \fs16 where.}{\f10 \fs16 The}{\f10 \fs16 aggregate}{\f10 \fs16
planning }
10 \fs16 looks}{\f10 \fs16 at}{\f10 \fs16 the}{\f10 \fs16 intermediate}{\f
10 \fs16 term}{\f10 \fs16 and}{\f10 \fs16 selects}{\f10 \fs16 the}{\f10
\fs16 best}{\f10 \fs16 policy}{\f10 \fs16 to}{\f10 \fs16 cope}{\f10 \fs1
6 with}{\f10 \fs16 the}{\f10 \fs16 fluctuation}{\f10 \fs16 of}{\f10 \fs1
6 the }
10 \fs16 global}{\f10 \fs16 demand.}{\f10 \fs16 Finally,}{\f10 \fs16 the}{
\f10 \fs16 master}{\f10 \fs16 production}{\f10 \fs16 schedule}{\f10 \fs16
defines}{\f10 \fs16 the}{\f10 \fs16 production}{\f10 \fs16 activities}{\
f10 \fs16 in }
10 \fs16 shorter}{\f10 \fs16 terms}{\f10 \fs16 (a}{\f10 \fs16 few}{\f10 \fs16
weeks)}{\f10 \fs16 and}{\f10 \fs16 per}{\f10 \fs16 products. }
10 \fs16 Each}{\f10 \fs16 of}{\f10 \fs16 these}{\f10 \fs16 planning}{\f10
\fs16 steps}{\f10 \fs16 requires}{\f10 \fs16 some}{\f10 \fs16 kind}{\f10
\fs16 of}{\f10 \fs16 forecasting}{\f10 \fs16 which}{\f10 \fs16 differs}
{\f10 \fs16 by}{\f10 \fs16 the}{\f10 \fs16 term }
10 \fs16 which}{\f10 \fs16 is}{\f10 \fs16 considered}{\f10 \fs16 and}{\f10 \f
s16 the}{\f10 \fs16 product}{\f10 \fs16 scope. }
10 \fs16 The}{\f10 \fs16 business}{\f10 \fs16 forecasting}{\f10 \fs16 consid
ers}{\f10 \fs16 the}{\f10 \fs16 long}{\f10 \fs16 term.}{\f10 \fs16 It}{\f10
\fs16 focuses}{\f10 \fs16 on}{\f10 \fs16 product}{\f10 \fs16 lines.}{\f10
\fs16 The}{\f10 \fs16 aggregate }
10 \fs16 forecasting}{\f10 \fs16 considers}{\f10 \fs16 the}{\f10 \fs16 agg
regated}{\f10 \fs16 (in}{\f10 \fs16 terms}{\f10 \fs16 of}{\f10 \fs16 pro
ducts)}{\f10 \fs16 demand}{\f10 \fs16 for}{\f10 \fs16 each}{\f10 \fs16 o
f}{\f10 \fs16 the}{\f10 \fs16 12}{\f10 \fs16 -24 }
10 \fs16 coming}{\f10 \fs16 months.}{\f10 \fs16 The}{\f10 \fs16 item}{\f10
\fs16 forecasting}{\f10 \fs16 is}{\f10 \fs16 an}{\f10 \fs16 estimation}
{\f10 \fs16 of}{\f10 \fs16 the}{\f10 \fs16 demand}{\f10 \fs16 for}{\f10
\fs16 each}{\f10 \fs16 item}{\f10 \fs16 in}{\f10 \fs16 the }
10 \fs16 coming}{\f10 \fs16 weeks.}{\f10 \fs16 The}{\f10 \fs16 need}{\f10 \fs
16 for}{\f10 \fs16 spares}{\f10 \fs16 is}{\f10 \fs16 also}{\f10 \fs16 requi
red}{\f10 \fs16 for}{\f10 \fs16 the}{\f10 \fs16 MRP. }
2289 {\f0\fs39 \bullet }{\f10 } Demand Forecasting
10 \fs16 The}{\f10 \fs16 independent}{\f10 \fs16 demand}{\f10 \fs16 is}{\f10

\fs16 driven}{\f10 \fs16 by}{\f10 \fs16 the}{\f10 \fs16 market.}{\f10 \fs16
You}{\f10 \fs16 do}{\f10 \fs16 not}{\f10 \fs16 know}{\f10 \fs16 exactly}{\f
10 \fs16 how}{\f10 \fs16 many}{\f10 \fs16 cars}{\f10 \fs16 will }
10 \fs16 be}{\f10 \fs16 sold}{\f10 \fs16 in}{\f10 \fs16 the}{\f10 \fs16 next
}{\f10 \fs16 period.}{\f10 \fs16 Here}{\f10 \fs16 you}{\f10 \fs16 need}{\f10
\fs16 some}{\f10 \fs16 forecasting. }
10 \fs16 The}{\f10 \fs16 dependent}{\f10 \fs16 demand}{\f10 \fs16 is}{\f10
\fs16 driven}{\f10 \fs16 by}{\f10 \fs16 the}{\f10 \fs16 demand}{\f10 \f
s16 of}{\f10 \fs16 another}{\f10 \fs16 product.}{\f10 \fs16 You}{\f10 \f
s16 do}{\f10 \fs16 not}{\f10 \fs16 know}{\f10 \fs16 how }
10 \fs16 many}{\f10 \fs16 wheels}{\f10 \fs16 you}{\f10 \fs16 need,}{\f10 \fs1
6 but}{\f10 \fs16 it}{\f10 \fs16 is}{\f10 \fs16 always}{\f10 \fs16 5}{\f10
\fs16 times}{\f10 \fs16 the}{\f10 \fs16 number}{\f10 \fs16 of}{\f10 \fs16 c
ars. }\par
}
Prod 2100-2110 \par
}
}
\par
}
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0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 2. Forecasting \par
}
{\phpg\posx2212\pvpg\posy1945\absw3959\absh208 \f10 \fs16 \cf0 \f10 \fs16 \cf0 H
ere are listed the main features of forecasting. \par
}
{\phpg\posx2212\pvpg\posy2160\absw3967\absh529 \b \f20 \fs40 \cf0 \b \f20 \fs40
\cf0 2.1 Characteristics \par
}
First, a causal relationship is needed. If what happens is purely random and do
es not depend
\par}{\phpg\posx2212\pvpg\posy2720\absw7880\absh1841 \sl-213 \f10 \fs16 \cf0 on
anything, you cannot predict what will happen.
\par}{\phpg\posx2212\pvpg\posy2720\absw7880\absh1841 \sl-213 \f10 \fs16 \cf0 On
the other hand, if you observed some correlations between some variables, you co
uld use
\par}{\phpg\posx2212\pvpg\posy2720\absw7880\absh1841 \sl-215 \f10 \fs16 \cf0 the
se correlations to make some forecasts.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 based}{\b \f20 \fs30 on}{\b \f20 \
fs30 causal}{\b \f20 \fs30 relationship }
If a student got A grades only during his/her first two years, the probability
that he/she fails an
\par}{\phpg\posx2212\pvpg\posy2720\absw7880\absh1841 \sl-213 \f10 \fs16 \cf0 exa
m is smaller than the average.
\par}{\phpg\posx2212\pvpg\posy2720\absw7880\absh1841 \sl-215 \f10 \fs16 \cf0 If
the weather gets hot, the ice cream sales will increase. \par
}
\cf0 Forecasting \par
}
0 \fs30 \cf0 Previous data
\par}{\phpg\posx2212\pvpg\posy5196\absw3332\absh990 \sl-329 \par\b \f20 \fs30 \c
f0 {\f0\fs39 \bullet }{\b0 \f40 } usually wrong \par
}
{\phpg\posx5855\pvpg\posy5206\absw334\absh312 \f10 \fs30 \cf0 {\f0\fs39 \bullet
}\f10 \fs30 \cf0 \par
}
\cf0 Future data \par
}
The sentence: "Forecasting is difficult, especially about the future" is clear.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 requires}{\b \f20 \fs30 more}{\b \
f20 \fs30 than}{\b \f20 \fs30 one}{\b \f20 \fs30 number }
The forecast is the value which is looked for, but some idea about its probabil
ity distribution is
\par}{\phpg\posx2212\pvpg\posy6366\absw7846\absh5142 \sl-215 \f10 \fs16 \cf0 nec
essary.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 aggregate}{\b \f20 \fs30 is}{\b \f
20 \fs30 better }
If you have to forecast some demand, you might find that it has th
e distribution of Gauss
\par}{\phpg\posx2212\pvpg\posy6366\absw7846\absh5142 \sl-227 \f10 \fs16 \cf0 (no
rmal) with average{\f40 } and standard deviation{\f40 {\field{\*\fldinst SYMBOL
115 \\f Symbol }}}. The coefficient of variation of the prediction
\par}{\phpg\posx2212\pvpg\posy6366\absw7846\absh5142 \sl-227 \f10 \fs16 \cf0 is
thus{\f40 {\field{\*\fldinst SYMBOL 115 \\f Symbol }}}/{\f40 }. If you have
to predict the sum of two such demands, you will find a coefficient
of
\par}{\phpg\posx2212\pvpg\posy6366\absw7846\absh5142 \sl-227 \f10 \fs16 \cf0 var
iation 0.71{\f40 {\field{\*\fldinst SYMBOL 115 \\f Symbol }}}/{\f40 }, where 0.7
1 = sqrt(2)/2. The sum of three such demands has a coefficient of
iation 0.58{\f40 {\field{\*\fldinst SYMBOL 115 \\f Symbol }}}/{\f40 }, etc.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 long}{\b \f20 \fs30 horizon}{\fs30
}{\b \f20 \fs30 large}{\b \f20 \fs30 errors }
So many things can happen.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 use}{\b \f20 \fs30 different}{\b \
f20 \fs30 approaches }
You gain confidence in your forecast if you can find it by different ways.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 use}{\b \f20 \fs30 any}{\b \f20 \f
s30 other}{\b \f20 \fs30 known}{\b \f20 \fs30 information }
Any additional information must be incorporated. You cannot estimate t
he future demand
\par}{\phpg\posx2212\pvpg\posy6366\absw7846\absh5142 \sl-213 \f10 \fs16 \cf0 acc
urately if you do not take into account facts which influence the demand. Two ex
amples:
679 - an advertising or promotion campaign has been launched;
679 - a new product which replaces the old one is now available. \par
}
Prod 2100-2110 \par
}
}
\par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 2.2 Type of Forecasts: \par
}
Forecasts can be obtained in different ways.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 qualitative }
These approaches are based on judgments and opinions. Here are four examples.
\par}{\phpg\posx2212\pvpg\posy1911\absw7820\absh2703 \sl-215 \f10 \fs16 \cf0 1.
Ask the guy in contact with the customers. Compile the results level by level.
Ask a panel of people from a variety of positions. Derive the forecasts and subm
it again. An
mple is the Delphi method used by the Rand Corporation in the 1950s.
Perform a customer survey (questionnaire or phone calls).
Look how similar products were sold. For example, the demand for CDs and for CD
players
\par}{\phpg\posx2212\pvpg\posy1911\absw7820\absh2703 \sl-213 \f10 \fs16 \cf0 are
correlated. Washing machine and dryers are also related.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 time}{\b \f20 \fs30 series}{\b \f2
0 \fs30 analysis }
What we will analyze in details. The idea is that the evolution in the past wil
l continue into the \par
}
{\phpg\posx2212\pvpg\posy4897\absw552\absh208 \f10 \fs16 \cf0 \f10 \fs16 \cf0 fu
ture. \par
}

\cf0 Time series: \par
}
\cf0 stationary
trend-based
seasonal \par
}
{\phpg\posx2212\pvpg\posy6517\absw7826\absh401 \f10 \fs16 \cf0 \f10 \fs16 \cf0 D
ifferent time series will be considered: stationary, trend-based and se
asonal. They differ by
shape of the line which best fits the observed data. \par
}
\cf0 Methods : \par
}
\cf0 moving average
regression
exponential smoothing \par
}
The methods which can be used are (linear) regressions, moving average
s and exponential
\par}{\phpg\posx2212\pvpg\posy8348\absw7856\absh3253 \sl-215 \f10 \fs16 \cf0 smo
othings. They differ by the importance they give to the data and by their comple
xity.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 causal}{\b \f20 \fs30 relationship
}
Here one tries to verify whether there is some causal relationship between some
variables and
demand. If this is the case and if the variable is known in advance, it can be
used to make
\par}{\phpg\posx2212\pvpg\posy8348\absw7856\absh3253 \sl-213 \f10 \fs16 \cf0 som
e forecast. For example, there is a correlation between the number of
building permits
\par}{\phpg\posx2212\pvpg\posy8348\absw7856\absh3253 \sl-215 \f10 \fs16 \cf0 whi
ch are delivered and the demand for wall paper.
0\fs39 \bullet }{\f40 \fs30 }{\b \f20 \fs30 simulation }
Here a dynamic model which incorporates all the relevant vari
ables is designed and
\par}{\phpg\posx2212\pvpg\posy8348\absw7856\absh3253 \sl-213 \f10 \fs16 \cf0 pro
grammed. This model is supposed to incorporate all the internal and e
xternal important
iables. The model is then used to test different alternatives such as
what happens: if the
\par}{\phpg\posx2212\pvpg\posy8348\absw7856\absh3253 \sl-213 \f10 \fs16 \cf0 pri
ce is reduced by so much or if an advertisement campaign is started?
20 \fs30 Notations }\par

}
{\phpg\posx3007\pvpg\posy11935\absw1011\absh810 \i \f20 \fs30 \cf0 \i \f20 \fs30
\cf0 D{\dn006 \fs27 t }
\par}{\phpg\posx3007\pvpg\posy11935\absw1011\absh810 \sl-410 \i \f20 \fs30 \cf0
{\fs30 F}{\i0 \fs27 ,t }{\fs27 t}{\fs27 +}{\i0 \f40 \fs27 {\field{\*\fldinst S
YMBOL 116 \\f Symbol }} }\par
}
{\phpg\posx2985\pvpg\posy12792\absw291\absh847 \i \f20 \fs30 \cf0 \fi21 \i \f20
\fs30 \cf0 F{\dn006 \fs27 t }
\par}{\phpg\posx2985\pvpg\posy12792\absw291\absh847 \sl-448 \i \f20 \fs30 \cf0 e
{\dn006 \fs27 t }\par
}
\cf0 ={\i \f20 F }
496 {\i \f20 \fs27 t}{\fs27 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\f20 \fs
27 1,}{\i \f20 \fs27 t }
s30 =}{\i \f20 F }{\i\dn006 \f20 \fs27 t}{\fs30 {\field{\*\fldinst SYMBOL 45
\\f Symbol }}}{\i \f20 D}{\i \f20 \fs27 t }\par
}
Observed demand in period{\i t }
\par}{\phpg\posx4852\pvpg\posy11967\absw4838\absh1542 \sl-434 \f20 \fs30 \cf0 Fo
recast made at{\i t} for period{\i t}+{\f40 {\field{\*\fldinst SYMBOL 116 \\f
Symbol }} }
recast made at{\i \fs30 t-1} for period{\i \fs30 t }
recast error in period{\i \fs30 t }\par
}
These are the notations that we will use. \par
}
Prod 2100-2110 \par
}
}
\par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 3. Time series methods \par
}
{\phpg\posx2212\pvpg\posy1945\absw2864\absh208 \f10 \fs16 \cf0 \f10 \fs16 \cf0 L
et us first look at some examples \par
}
\cf0 3.1 Examples \par
}
Look at the demand in the past, how would you characterize these values ?
\fi835 {\fs16 2 }
\par}{\phpg\posx2212\pvpg\posy2720\absw6238\absh2600 \sl-186 \par\par\f10 \fs16
\cf0 \fi655 {\fs16 1,5 }
\cf0 \fi835 {\fs16 1 }
\cf0 \fi655 {\fs16 0,5 }
\cf0 \fi835 {\fs16 0 }\par
}
{\shp\shpleft2454\shptop3962\shpright2690\shpbottom4077
\shpz0\shpfhdr0\shpbxpage\shpbypage\shpwr3\shpwrk0\shpfblwtxt0
{\*\shpinst {\sp{\sn fLine}{\sv 0}}{\sp{\sn shapeType}{\sv 202}}
{\sp{\sn dxTextLeft}{\sv 0}}{\sp{\sn dxTextRight}{\sv 0}}
{\sp{\sn dyTextTop}{\sv 0}}{\sp{\sn dyTextBottom}{\sv 0}}
{\sp{\sn fFilled}{\sv 0}}
{\sp{\sn txflTextFlow}{\sv 2}}}{\shptxt \b \f10 \fs16 \cf0 d \par}}
{\sp{\sn txflTextFlow}{\sv 2}}}{\shptxt \b \f10 \fs16 \cf0 n \par}}

{\sp{\sn txflTextFlow}{\sv 2}}}{\shptxt \b \f10 \fs16 \cf0 a \par}}
{\sp{\sn txflTextFlow}{\sv 2}}}{\shptxt \b \f10 \fs16 \cf0 m \par}}
{\sp{\sn txflTextFlow}{\sv 2}}}{\shptxt \b \f10 \fs16 \cf0 e \par}}
{\sp{\sn txflTextFlow}{\sv 2}}}{\shptxt \b \f10 \fs16 \cf0 D \par}}
3
5
7
9 \par
}
\cf0 11
\par}{\phpg\posx5735\pvpg\posy5670\absw470\absh566 \sl-196 \par\f10 \fs16 \cf0 {
\b Days }\par
}
\par
}
\par
}
\par
}
\par
}
All the numbers seem distributed between 1 and 2, that is around 1,5 with some
variation. We
\par}{\phpg\posx2212\pvpg\posy6565\absw7875\absh5258 \sl-215 \f10 \fs16 \cf0 cou
ld say that the demand at time t, D(t), should be given by a constant (here, 1,5
) plus some
\par}{\phpg\posx2212\pvpg\posy6565\absw7875\absh5258 \sl-213 \f10 \fs16 \cf0 err
or term varying in [-0.5 , +0.5].
\par}{\phpg\posx2212\pvpg\posy6565\absw7875\absh5258 \sl-227 \f10 \fs16 \cf0 The
model in this case is{\i \fs16 D(t)}{\i \fs16 =}{\i \fs16 a}{\i \fs1
6 +}{\f40 \fs17 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\i \fs16 (t)}
with{\f40 \fs17 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\i \fs16 (t)} un
iformly distributed in [-0.5 , +0.5] and{\i \fs16 a }
\par}{\phpg\posx2212\pvpg\posy6565\absw7875\absh5258 \sl-218 \f10 \fs16 \cf0 con
stant. In the chart below, as in all the next ones, the chart axis
(days, demand) will be

\par}{\phpg\posx2212\pvpg\posy6565\absw7875\absh5258 \sl-213 \f10 \fs16 \cf0 omi
tted for space reasons.
\fi136 {\fs16 2,5 }
\cf0 \fi319 {\fs16 2 }
\cf0 \fi136 {\fs16 1,5 }
\cf0 \fi319 {\fs16 1 }
\cf0 \fi136 {\fs16 0,5 }
\cf0 \fi319 {\fs16 0 }
518 {\fs16 1}{\fs16
2}{\fs16
3}{\fs16
4}{\fs16
5}{\fs16
6}{\fs16
7}{\fs16
8}{\fs16
9}{\fs16
10}{\fs16
11
}{\fs16
12}{\fs16
13}{\fs16
14}{\fs16
15}{\fs16
16}{\fs16
1
7}{\fs16
18}{\fs16
19}{\fs16
20 }
{\fs16 Here}{\fs16 the}{\fs16 demand}{\fs16 seems}{\fs16 to}{\fs16 indicat
e}{\fs16 a}{\fs16 trend.}{\fs16 It}{\fs16 increases}{\fs16 like}{\fs16 a}{
\fs16 straight}{\fs16 line}{\fs16 with}{\fs16 some}{\fs16 variation }
s16 around}{\fs16 it.}{\fs16 The}{\fs16 model}{\fs16 in}{\fs16 this}{\fs16
case}{\fs16 is}{\i \fs16 D(t)}{\i \fs16 =}{\i \fs16 a}{\i \fs16 +}{\i \fs1
6 bt}{\i \fs16 +}{\f40 \fs17 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\i
\fs16 (t)}{\fs16 where}{\fs16 (}{\i \fs16 a}{\i \fs16 +}{\i \fs16 bt}{\fs16
)}{\fs16 is}{\fs16 the}{\fs16 equation}{\fs16 of}{\fs16 the}{\fs16 line }
s16 and}{\f40 \fs17 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\i \fs16 (t)}{
\fs16 is}{\fs16 the}{\fs16 error}{\fs16 term. }\par
}
Prod 2100-2110 \par
}
}
\par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 Examples \par
}
\cf0 5
\par}{\phpg\posx2349\pvpg\posy2326\absw310\absh2880 \sl-295 \f10 \fs16 \cf0 4,5
\par}{\phpg\posx2349\pvpg\posy2326\absw310\absh2880 \sl-297 \f10 \fs16 \cf0 \fi1
82 4
82 3
82 2
82 1
82 0 \par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
0
11
12 13
14
15
16 17
18
19
20 \par
}
Here the demand seems to indicate a quadratic growth. The model in this case is{
\i \fs16 D(t)}{\i \fs16 =}{\i \fs16 a}{\i \fs16 +}{\i \fs16 bt }
\par}{\phpg\posx2212\pvpg\posy5969\absw7847\absh5650 \sl-230 \f10 \fs16 \cf0 {\i
\fs16 +ct}{\i\dn006 \fs15 2}{\i \fs16 +}{\f40 \fs17 {\field{\*\fldinst SYMBO
L 101 \\f Symbol }}}{\i \fs16 (t)} where{\f40 \fs17 {\field{\*\fldinst SYMBOL 1
01 \\f Symbol }}}{\i \fs16 (t)} is the error term.
\par}{\phpg\posx2212\pvpg\posy5969\absw7847\absh5650 \sl-230 \f10 \fs16 \cf0 An
exponential model{\i \fs16 D(t)}{\i \fs16 =}{\i \fs16 a}{\i \fs16 e}{\i\dn00
6 \fs15 bt}{\i \fs16
+}{\f40 \fs17 {\field{\*\fldinst SYMBOL 101 \\f Symbol
}}}{\i \fs16 (t)} could be correct too. In this case, we find the relation
\par}{\phpg\posx2212\pvpg\posy5969\absw7847\absh5650 \sl-215 \f10 \fs16 \cf0 (ne
glecting the error term){\i \fs16 D(t+1)}{\i \fs16 =}{\i \fs16 e }{\i\dn006 \
fs15 b}{\i \fs16 D(t),} that is the demand is multiplied by some constant
\par}{\phpg\posx2212\pvpg\posy5969\absw7847\absh5650 \sl-218 \f10 \fs16 \cf0 at
each time period.
\fi319 3
\fi136 2,5
\fi319 2
\fi136 1,5
\fi319 1
\fi136 0,5
\fi319 0
518 1
2
3
4
5
6
7
8
9
10 11 12
13 14
15 16
17
18 19
20
The seasonal model is characterized by some periodic term. For this example, th
e model{\i \fs16 D(t) }
\fs16 =}{\i \fs16 a}{\i \fs16 c(t}{\i \fs16 mod}{\i \fs16 T)}{\i \fs16 +}{
\f40 \fs17 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\i \fs16 (t)} correspon
d to a stationary time series with a seasonal coefficient c{\i \fs16 (t}{\i \fs1
6 mod }
\fs16 T)}. The coefficient is seasonal since c{\i \fs16 (t}{\i \fs16 mod}{\i \
fs16 T)}{\i \fs16 =}{\i \fs16 c(t+T}{\i \fs16 mod}{\i \fs16 T)}{\i \fs16 =
}{\i \fs16 c(t+2T}{\i \fs16 mod}{\i \fs16 T)}. For example,
\par}{\phpg\posx2212\pvpg\posy5969\absw7847\absh5650 \sl-218 \f10 \fs16 \cf0 if
T is one week and t is a precise day, then there is a seasonal coe
fficient for each day. For
mple, c(Monday)=2.0 means that the demand on Mondays is always twice

the average.
seasonal coefficients are chosen so that they sum up to the length of the perio
d T. \par
}
Prod 2100-2110 \par
}
}
\par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 3.2 Principles \par
}
Forecasts based on time series analysis are based on a 3-step procedure.
\par}{\phpg\posx2212\pvpg\posy1911\absw8120\absh10192 \sl-364 \f10 \fs16 \cf0 {\
b \f20 \fs30 1.}{\b \f20 \fs30 Select}{\b \f20 \fs30 the}{\b \f20 \fs30 model
}
\par}{\phpg\posx2212\pvpg\posy1911\absw8120\absh10192 \sl-472 \f10 \fs16 \cf0 \f

i804 {\b \f20 \fs27 Question: }
i1356 {\b \f20 \fs27 Is}{\b \f20 \fs27 it}{\b \f20 \fs27 reasonable}{\b \f20 \
fs27 to}{\b \f20 \fs27 assume}{\b \f20 \fs27 a}{\b \f20 \fs27 constant,}{\b
\f20 \fs27 an }
i1356 {\b \f20 \fs27 increasing,}{\b \f20 \fs27 a}{\b \f20 \fs27 decreasing}{\
b \f20 \fs27 or}{\b \f20 \fs27 a}{\b \f20 \fs27 seasonal}{\b \f20 \fs27 dema
nd}{\b \f20 \fs27 ? }
i804 {\b \f20 \fs27 Answer: }
i1356 {\b \f20 \fs27 A}{\b \f20 \fs27 mathematical}{\b \f20 \fs27 {\ul m}{\ul
o}{\ul d}{\ul e}{\ul l}}{\b \f20 \fs27 (a}{\b \f20 \fs27 curve): }
i1356 {\b\i \f20 \fs27 D(t)}{\b\i \f20 \fs27 =}{\b\i \f20 \fs27 (a}{\b\i \f20
\fs27 +}{\b\i \f20 \fs27 bt}{\b\i \f20 \fs27 +dt}{\b\i\dn006 \f20 \fs15 2}{\
b\i \f20 \fs27 )}{\b \f20 \fs27 c}{\b\i \f20 \fs27 (t}{\b\i \f20 \fs27 mod}{\
b\i \f20 \fs27 T)}{\b\i \f20 \fs27 +}{\f40 \fs28 {\field{\*\fldinst SYMBOL 10
1 \\f Symbol }}}{\b\i \f20 \fs27 (t) }
\par}{\phpg\posx2212\pvpg\posy1911\absw8120\absh10192 \sl-177 \par\f10 \fs16 \cf
0 The answer to this question depends of the product and of the mark
et. It is reasonable to
\par}{\phpg\posx2212\pvpg\posy1911\absw8120\absh10192 \sl-213 \f10 \fs16 \cf0 as
sume a constant demand pattern if several conditions are satisfied: ol
d classical product,
\par}{\phpg\posx2212\pvpg\posy1911\absw8120\absh10192 \sl-215 \f10 \fs16 \cf0 sa
turated market, no new competitor or competitor's move, etc.
\par}{\phpg\posx2212\pvpg\posy1911\absw8120\absh10192 \sl-213 \f10 \fs16 \cf0 He
re below we will review the stationary, the trend-based and the seasonal models.
b \f20 \fs30 2.}{\b \f20 \fs30 Parametrize}{\b \f20 \fs30 the}{\b \f20 \fs30
model }
i1356 {\b \f20 \fs27 How}{\b \f20 \fs27 to}{\b \f20 \fs27 find}{\b \f20 \fs27
values}{\b \f20 \fs27 for}{\b \f20 \fs27 the}{\b \f20 \fs27 parameters:}{\b\
i \f20 \fs27 a}{\b \f20 \fs27 ,}{\b\i \f20 \fs27 b}{\b \f20 \fs27 ,}{\b \f20 \
fs27 ...}{\b \f20 \fs27 ? }
i804 {\b \f20 \fs27 Answer: }
i1356 {\b \f20 \fs27 Use}{\b \f20 \fs27 a}{\b \f20 \fs27 method}{\b \f20 \fs27
which}{\b \f20 \fs27 tunes}{\b \f20 \fs27 the}{\b \f20 \fs27 parameters}{\b
\f20 \fs27 in }
i1356 {\b \f20 \fs27 order}{\b \f20 \fs27 to}{\b \f20 \fs27 fit}{\b \f20 \fs27
the}{\b \f20 \fs27 curve}{\b \f20 \fs27 with}{\b \f20 \fs27 the}{\b \f20 \f
s27 observations }
0 Here below different methods will be reviewed. They differ by their co
mplexity (simple or not)
\par}{\phpg\posx2212\pvpg\posy1911\absw8120\absh10192 \sl-213 \f10 \fs16 \cf0 an
d by their sensitivity to the data. We will also give some
hints for the tuning of the
\par}{\phpg\posx2212\pvpg\posy1911\absw8120\absh10192 \sl-215 \f10 \fs16 \cf0 pa
rameters of these methods.
\par}{\phpg\posx2212\pvpg\posy1911\absw8120\absh10192 \sl-213 \f10 \fs16 \cf0 At

this point, we have a mathematical curve which fits the past data (quite well).
b \f20 \fs30 3.}{\b \f20 \fs30 Make}{\b \f20 \fs30 a}{\b \f20 \fs30 forecast}
{\b \f20 \fs30 and}{\b \f20 \fs30 estimate}{\b \f20 \fs30 confidence }
i804 {\b \f20 \fs27 Forecast}{\b \f20 \fs27 =}{\b \f20 \fs27 model}{\b \f20 \f
s27 extrapolated}{\b \f20 \fs27 in}{\b \f20 \fs27 the}{\b \f20 \fs27 future
}
i1356 {\b \f20 \fs27 How}{\b \f20 \fs27 confident}{\b \f20 \fs27 are}{\b \f20
\fs27 we}{\b \f20 \fs27 in}{\b \f20 \fs27 this}{\b \f20 \fs27 forecast}{\b \
f20 \fs27 ? }
i804 {\b \f20 \fs27 Answer: }
i1356 {\b \f20 \fs27 If}{\b \f20 \fs27 the}{\b \f20 \fs27 errors}{\b \f20 \fs2
7 made}{\b \f20 \fs27 with}{\b \f20 \fs27 this}{\b \f20 \fs27 model}{\b \f20
\fs27 in}{\b \f20 \fs27 the}{\b \f20 \fs27 past}{\b \f20 \fs27 are }
i1355 {\b \f20 \fs27 small,}{\b \f20 \fs27 the}{\b \f20 \fs27 error}{\b \f20 \
fs27 we}{\b \f20 \fs27 will}{\b \f20 \fs27 make}{\b \f20 \fs27 will}{\b \f20
\fs27 be}{\b \f20 \fs27 small}{\b \f20 \fs27 too. }
0 We will describe a technique for building a confidence interval around the for
ecast. \par
}
Prod 2100-2110 \par
}
}
\par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 4 Stationary time series \par
}
ere, we assume that the underlying model is stationary. \par
}
ssume :
\par}{\phpg\posx2212\pvpg\posy2165\absw1625\absh754 \sl-429 \f20 \fs30 \cf0 wher
e
: \par
}
{\phpg\posx4276\pvpg\posy2165\absw358\absh431 \i \f20 \fs30 \cf0 \i \f20 \fs30 \
cf0 D{\fs27 t }\par
}
{\phpg\posx4687\pvpg\posy2116\absw1253\absh524 \f40 \fs30 \cf0 \f40 \fs30 \cf0 =
{\i \f20 \fs30 a} +{\fs32 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\i\dn00
6 \f20 \fs27 t }\par
}
\cf0 a{\i0 \fs30 is}{\i0 \fs30 an}{\i0 \fs30 unknown}{\i0 \fs30 constant; }
\par}{\phpg\posx4247\pvpg\posy2594\absw6420\absh862 \sl-238 \par\i \f20 \fs30 \c
f0 {\i0 \f40 \fs30 {\field{\*\fldinst SYMBOL 101 \\f Symbol }} }{\dn006 \fs23 t
}{\i0 \fs30 is}{\i0 \fs30 a}{\i0 \fs30 random}{\i0 \fs30 var:}{\i0 \fs30 E
[}{\i0 \f40 \fs30 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\dn006 \fs23 t}{
\i0 \f40 \fs30 ]=0,}{\i0 \fs30
StDev[}{\i0 \f40 \fs30 {\field{\*\fldinst SYM
BOL 101 \\f Symbol }} }{\fs23 t}{\i0 \f40 \fs30 ]={\field{\*\fldinst SYMBOL 115
\\f Symbol }} }\par
}
The random variable D(t) has thus a mean equal to{\i \fs16 a} and a standard de
viation equal to{\f40 \fs16 {\field{\*\fldinst SYMBOL 115 \\f Symbol }}}. This
\par}{\phpg\posx2212\pvpg\posy3410\absw7939\absh4156 \sl-218 \f10 \fs16 \cf0 is
an assumption. In reality we do not know whether the demand is distributed like
this. We just
\par}{\phpg\posx2212\pvpg\posy3410\absw7939\absh4156 \sl-213 \f10 \fs16 \cf0 thi
nk here, it is constant. The problem then is to determine the constant{\i \fs16
a}.
\fi319 2
136 1,8
136 1,6
136 1,4
136 1,2
319 1
136 0,8
136 0,6
136 0,4
136 0,2
319 0
518 1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16 17
18
19
20
The moving average assumes that the constant is given by the average
of the last N values.
\par}{\phpg\posx2212\pvpg\posy3410\absw7939\absh4156 \sl-227 \f10 \fs16 \cf0 Ind
eed, this average is a random variable with mean{\i \fs16 a} and sta
ndard deviation{\f40 \fs16 {\field{\*\fldinst SYMBOL 115 \\f Symbol }}}/sqrt(
N).
\par}{\phpg\posx2212\pvpg\posy3410\absw7939\absh4156 \sl-218 \f10 \fs16 \cf0 Lar
ger N will thus lead to more stable (and thus also less dynamic) estimation. \pa
r
}
.1 Moving Average{\b : }\par
}
cf0 F \par
}
cf0 t{\i0 \f40 \fs27 = }\par
}
{\phpg\posx7634\pvpg\posy8070\absw293\absh704 \f20 \fs27 \cf0 \fi33 \f20 \fs27 \
cf0 1
\par}{\phpg\posx7634\pvpg\posy8070\absw293\absh704 \sl-422 \f20 \fs27 \cf0 {\i N
}\par
}
cf0 N{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 1 }
\par}{\phpg\posx8121\pvpg\posy7984\absw964\absh574 \sl-321 \i \f20 \fs23 \cf0 \f
i105 {\i0 \f10 \fs30 {\f63 \u402\'3f}}{\fs27
D }\par
}
cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 1}{\i0 \f40 {\fi
eld{\*\fldinst SYMBOL 45 \\f Symbol }}}i \par
}
cf0 i{\i0 \f40 =}{\i0 0 }\par
}
\cf0 Moving Average \par
}
\cf0 2

79 1
79 0 \par
}
{\phpg\posx6607\pvpg\posy10947\absw549\absh733 \f10 \fs16 \cf0 \f10 \fs16 \cf0 d
ata
\par}{\phpg\posx6607\pvpg\posy10947\absw549\absh733 \sl-290 \f10 \fs16 \cf0 MA(4
)
\par}{\phpg\posx6607\pvpg\posy10947\absw549\absh733 \sl-292 \f10 \fs16 \cf0 MA(6
) \par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
9
10 11 12 13 14 15 16 17 18 19 20 21 \par
}
Prod 2100-2110 \par
}
}
\par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 Stationary time series \par
}
The moving average is moving because we look each time at the last
N values. All these
\par}{\phpg\posx2212\pvpg\posy1911\absw7820\absh1087 \sl-215 \f10 \fs16 \cf0 val
ues have the same importance. For example, D(t-N) and D(t-1) have equ
al importance in
computation of the moving average. We could find this inappropriate
and want to give
\par}{\phpg\posx2212\pvpg\posy1911\absw7820\absh1087 \sl-215 \f10 \fs16 \cf0 hig
her weights to more recent data. This leads to the weighted moving average:
4948 {\i \f20 \fs27 N}{\f40 \fs27 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\
f20 \fs27 1 }\par
}
.2 Weighted Average:{\i\dn006 \fs27 tF}{\i \fs30 }{\f40 \fs30 =}{\f10 \fs30
{\f63 \u402\'3f}}{\i \fs30
w }{\i \fs27 t}{\f40 \fs27 {\field{\*\fldinst
SYMBOL 45 \\f Symbol }}}{\fs27 1}{\f40 \fs27 {\field{\*\fldinst SYMBOL 45 \\f S
ymbol }}}{\i \fs30 Di }{\i \fs27 t}{\i \fs27
{\field{\*\fldinst SYMBOL 45 \\
f Symbol }}}{\f40 \fs27 1}{\fs27 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\f4
0 \fs27 i }\par
}
cf0 i{\i0 \f40 =}{\i0 0 }\par

}
The weights should of course sum up to one. Here is an example.
2743 {\f20 \fs30 ...}{\f20 \fs30
w(t-4)}{\f20 \fs30 w(t-3)}{\f20 \fs30 w(
t-2)}{\f20 \fs30 w(t-1) }
2659 {\f20 \fs30 0.0}{\f20 \fs30
0.1}{\f20 \fs30
0.2}{\f20 \fs30
0.3}{\f20 \fs30
0.4 }
\par}{\phpg\posx2212\pvpg\posy3764\absw7822\absh1760 \sl-285 \f10 \fs16 \cf0 Her
e are two other examples to introduce the exponential smoothing. Assum
e we look at all
past data and give them decreasing weights as in this table.
1663 {\f20 \fs30 w(t-k)}{\f20 \fs30
...}{\f20 \fs30
w(t-4)}{\f20 \fs30
w(t-3)}{\f20 \fs30 w(t-2)}{\f20 \fs30 w(t-1) }\par
}
\cf0 (1/2)k
\par}{\phpg\posx3847\pvpg\posy5665\absw1015\absh788 \sl-410 \f20 \fs30 \cf0 9 10
-k \par
}
{\phpg\posx4955\pvpg\posy5722\absw308\absh367 \f20 \fs30 \cf0 \f20 \fs30 \cf0 ..
. \par
}
{\phpg\posx5853\pvpg\posy5722\absw723\absh367 \f20 \fs30 \cf0 \f20 \fs30 \cf0 1/
16 \par
}
8 \par
}
\cf0 1/4
\par}{\phpg\posx7735\pvpg\posy5722\absw706\absh737 \sl-410 \f20 \fs30 \cf0 0.09
\par
}
2
\par}{\phpg\posx8803\pvpg\posy5722\absw530\absh737 \sl-410 \f20 \fs30 \cf0 0.9 \
par
}
\cf0 4.3 Exp. Smoothing:{\b0\i \fs30 F }{\b0\i\dn006 \fs27 t}{\b0 \f40 \fs30
=}{\b0 \f40 \fs32 {\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\b0 \f10 \fs30
{\f63 \u402\'3f}}{\b0 \fs30 (}{\b0 \fs30 1}{\b0 \f40 \fs30 {\field{\*\fldinst
SYMBOL 45 \\f Symbol }}}{\b0 \f40 \fs32 {\field{\*\fldinst SYMBOL 97 \\f Symbo
l }}}{\b0\i\up006 \fs27 i)}{\b0 \fs30 }{\b0\i \fs30 D }
\fi4999 {\b0\i \fs27 i}{\b0 \f40 \fs27 =}{\b0 \fs27 0 }
{\b0 \f10 \fs16 The}{\b0 \f10 \fs16 two}{\b0 \f10 \fs16 above}{\b0 \f10 \fs16
examples}{\b0 \f10 \fs16 correspond}{\b0 \f10 \fs16 to}{\b0 \f40 \fs16 {\fie
ld{\*\fldinst SYMBOL 97 \\f Symbol }}}{\b0 \f10 \fs16 equal}{\b0 \f10 \fs16 to
}{\b0 \f10 \fs16 0.5}{\b0 \f10 \fs16 and}{\b0 \f10 \fs16 to}{\b0 \f10 \fs16
0.9}{\b0 \f10 \fs16 respectively.}{\b0 \f10 \fs16 Expressing}{\b0 \f10 \fs16
F(t) }
{\b0 \f10 \fs16 in}{\b0 \f10 \fs16 terms}{\b0 \f10 \fs16 of}{\b0 \f10 \fs16 F
(t-1)}{\b0 \f10 \fs16 leads}{\b0 \f10 \fs16 to}{\b0 \f10 \fs16 the}{\b0 \f10
\fs16 following}{\b0 \f10 \fs16 recursive}{\b0 \f10 \fs16 expression: }
\fi708 {\b0\i \fs30 F}{\b0\i\dn006 \fs27 t}{\b0 \f40 \fs30 =}{\b0 \f40 \fs32 {
\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\b0\i \fs30 D}{\b0 \fs30
(
}{\b0 \fs30 1}{\b0 \f40 \fs30 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\b0 \
f40 \fs32 {\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\b0 \fs30 )}{\b0\i \fs30
F}{\b0 \f40 \fs30
=}{\b0\i \fs30 F}{\b0 \f40 \fs30
+}{\b0 \f40 \fs3
2 {\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\b0 \fs30 (}{\b0\i \fs30 D}{\b0
\f40 \fs30
{\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\b0\i \fs30 F }
{\b0 \f10 \fs16 This}{\b0 \f10 \fs16 can}{\b0 \f10 \fs16 be}{\b0 \f10 \fs16 s
een}{\b0 \f10 \fs16 on}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 table}{\b0 \f10 \f
s16 of}{\b0 \f10 \fs16 weights}{\b0 \f10 \fs16 too.}{\b0 \f10 \fs16 Assume}{
\b0 \f10 \fs16 you}{\b0 \f10 \fs16 computed}{\b0 \f10 \fs16 at}{\b0 \f10 \fs1
6 time}{\b0 \f10 \fs16 (t-2),}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 forecast }
{\b0 \f10 \fs16 F(t-1)}{\b0 \f10 \fs16 using}{\b0 \f10 \fs16 the}{\b0 \f10 \fs
16 last}{\b0 \f10 \fs16 row}{\b0 \f10 \fs16 of}{\b0 \f10 \fs16 weights.}{\b0
\f10 \fs16 The}{\b0 \f10 \fs16 weight}{\b0 \f10 \fs16 was}{\b0 \f10 \fs16 0
.9}{\b0 \f10 \fs16 for}{\b0 \f10 \fs16 D(t-2),}{\b0 \f10 \fs16 0.09}{\b0 \f10
\fs16 for}{\b0 \f10 \fs16 D(t-3),}{\b0 \f10 \fs16 etc.}{\b0 \f10 \fs16 Then
,}{\b0 \f10 \fs16 at }
{\b0 \f10 \fs16 time}{\b0 \f10 \fs16 (t-1),}{\b0 \f10 \fs16 you}{\b0 \f10 \fs1
6 got}{\b0 \f10 \fs16 D(t-1),}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 real}{\b0
\f10 \fs16 demand.}{\b0 \f10 \fs16 You}{\b0 \f10 \fs16 then}{\b0 \f10 \fs16
want}{\b0 \f10 \fs16 to}{\b0 \f10 \fs16 compute}{\b0 \f10 \fs16 your}{\b0 \f1
0 \fs16 next}{\b0 \f10 \fs16 forecast}{\b0 \f10 \fs16 F(t). }
{\b0 \f10 \fs16 This}{\b0 \f10 \fs16 is}{\b0 \f10 \fs16 similar}{\b0 \f10 \f
s16 to}{\b0 \f10 \fs16 adding}{\b0 \f10 \fs16 a}{\b0 \f10 \fs16 column}{
\b0 \f10 \fs16 at}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 right}{\b0 \f10 \fs1
6 of}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 table.}{\b0 \f10 \fs16 You}{\b0
\f10 \fs16 will}{\b0 \f10 \fs16 multiply}{\b0 \f10 \fs16 all}{\b0 \f10 \f
s16 the}{\b0 \f10 \fs16 previous }
{\b0 \f10 \fs16 data}{\b0 \f10 \fs16 by}{\b0 \f10 \fs16 1/10}{\b0 \f10 \fs16
so}{\b0 \f10 \fs16 that,}{\b0 \f10 \fs16 for}{\b0 \f10 \fs16 example,}{\b
0 \f10 \fs16 the}{\b0 \f10 \fs16 weight}{\b0 \f10 \fs16 for}{\b0 \f10 \fs16
D(t-2)}{\b0 \f10 \fs16 changes}{\b0 \f10 \fs16 from}{\b0 \f10 \fs16 0.9
}{\b0 \f10 \fs16 to}{\b0 \f10 \fs16 0.09}{\b0 \f10 \fs16 and}{\b0 \f10 \fs16
you}{\b0 \f10 \fs16 will }
{\b0 \f10 \fs16 give}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 weight}{\b0 \f10 \fs1
6 0.9}{\b0 \f10 \fs16 to}{\b0 \f10 \fs16 D(t-1).}{\b0 \f10 \fs16 This}{\b0 \
f10 \fs16 is}{\b0 \f10 \fs16 your}{\b0 \f10 \fs16 next}{\b0 \f10 \fs16 forec
ast}{\b0 \f10 \fs16 F(t). }
{\b0 \f10 \fs16 On}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 previous}{\b0 \f10 \f
s16 chart,}{\b0 \f10 \fs16 you}{\b0 \f10 \fs16 see}{\b0 \f10 \fs16 the}{
\b0 \f10 \fs16 curves}{\b0 \f10 \fs16 corresponding}{\b0 \f10 \fs16 to}{\b
0 \f10 \fs16 the}{\b0 \f10 \fs16 forecasts}{\b0 \f10 \fs16 obtained}{\b0 \
f10 \fs16 using}{\b0 \f10 \fs16 the }
{\b0 \f10 \fs16 exponential}{\b0 \f10 \fs16 smoothing}{\b0 \f10 \fs16 method}{
\b0 \f10 \fs16 with}{\b0 \f10 \fs16 a}{\b0 \f10 \fs16 factor}{\b0 \f40 \fs16
{\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\b0 \f10 \fs16 equal}{\b0 \f10 \fs
16 to}{\b0 \f10 \fs16 0.25}{\b0 \f10 \fs16 and}{\b0 \f10 \fs16 to}{\b0 \f10
\fs16 0.1. }

{\b0 \f10 \fs16 It}{\b0 \f10 \fs16 is}{\b0 \f10 \fs16 very}{\b0 \f10 \fs16 im
portant}{\b0 \f10 \fs16 to}{\b0 \f10 \fs16 understand}{\b0 \f10 \fs16 the}{\b
0 \f10 \fs16 equation}{\b0 \f10 \fs16 F(t)}{\b0 \f10 \fs16 =}{\b0 \f40 \fs16
{\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\b0 \f10 \fs16 D(t-1)}{\b0 \f10 \f
s16 +}{\b0 \f10 \fs16 (1-}{\b0 \f40 \fs16 {\field{\*\fldinst SYMBOL 97 \\f Sym
bol }}}{\b0 \f10 \fs16 )}{\b0 \f10 \fs16 F(t-1)}{\b0 \f10 \fs16 as}{\b0 \f10 \
fs16 follows. }
{\b0 \f10 \fs16 A}{\b0 \f10 \fs16 forecast}{\b0 \f10 \fs16 F(t-1)}{\b0 \f10 \f
s16 has}{\b0 \f10 \fs16 been}{\b0 \f10 \fs16 made}{\b0 \f10 \fs16 at}{\b0 \f
10 \fs16 time}{\b0 \f10 \fs16 (t-2).}{\b0 \f10 \fs16 At}{\b0 \f10 \fs16 time
}{\b0 \f10 \fs16 (t-1),}{\b0 \f10 \fs16 some}{\b0 \f10 \fs16 observation}{\b0
\f10 \fs16 D(t-1)}{\b0 \f10 \fs16 has}{\b0 \f10 \fs16 been }
{\b0 \f10 \fs16 performed.}{\b0 \f10 \fs16
You}{\b0 \f10 \fs16
decide}{\b0
\f10 \fs16
then}{\b0 \f10 \fs16
that}{\b0 \f10 \fs16
your}{\b0 \f10 \f
s16
next}{\b0 \f10 \fs16
forecast}{\b0 \f10 \fs16
F(t)}{\b0 \f10 \fs16
will}{\b0 \f10 \fs16
be}{\b0 \f10 \fs16
between}{\b0 \f10 \fs16
what
}{\b0 \f10 \fs16
you}{\b0 \f10 \fs16
had }
{\b0 \f10 \fs16 forecast,}{\b0 \f10 \fs16 F(t-1),}{\b0 \f10 \fs16 and}{\b0 \
f10 \fs16 what}{\b0 \f10 \fs16 you}{\b0 \f10 \fs16 observed,}{\b0 \f10 \fs
16 D(t-1).}{\b0 \f10 \fs16 If}{\b0 \f40 \fs16 {\field{\*\fldinst SYMBOL 97
\\f Symbol }}}{\b0 \f10 \fs16 equals}{\b0 \f10 \fs16 0,}{\b0 \f10 \fs16 t
hen}{\b0 \f10 \fs16 you}{\b0 \f10 \fs16 never}{\b0 \f10 \fs16 modify}{\b0
\f10 \fs16 your }
{\b0 \f10 \fs16 forecast.}{\b0 \f10 \fs16 If}{\b0 \f40 \fs16 {\field{\*\fldi
nst SYMBOL 97 \\f Symbol }}}{\b0 \f10 \fs16 equals}{\b0 \f10 \fs16 1,}{\b0 \f
10 \fs16 then}{\b0 \f10 \fs16 you}{\b0 \f10 \fs16 set}{\b0 \f10 \fs16 your}{
\b0 \f10 \fs16 forecast}{\b0 \f10 \fs16 equal}{\b0 \f10 \fs16 to}{\b0 \f10 \
fs16 what}{\b0 \f10 \fs16 you}{\b0 \f10 \fs16 just}{\b0 \f10 \fs16 observed}
{\b0 \f10 \fs16 D(t-1).}{\b0 \f10 \fs16 For }
{\b0 \f10 \fs16 0<}{\b0 \f40 \fs16 {\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\
b0 \f10 \fs16 <1,}{\b0 \f10 \fs16 your}{\b0 \f10 \fs16 forecast}{\b0 \f10 \fs1
6 is}{\b0 \f10 \fs16 a}{\b0 \f10 \fs16 compromise}{\b0 \f10 \fs16 between}{\
b0 \f10 \fs16 F(t-1)}{\b0 \f10 \fs16 and}{\b0 \f10 \fs16 D(t-1). }\par
}
cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 1}{\i0 \f40 {\fie
ld{\*\fldinst SYMBOL 45 \\f Symbol }}}i \par
}
cf0 t{\i0 \f40 \fs27 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 \fs27 1}{\i
0 \f40 \fs30 + }\par
}
cf0 t{\i0 \f40 \fs27 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 \fs27 1 }\p
ar
}
cf0 t{\i0 \f40 \fs27 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 \fs27 1 }\p
ar
}
\cf0 t{\i0 \f40 \fs27 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 \fs27 1 }\
par
}

cf0 t{\i0 \f40 \fs27 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 \fs30 )1
}\par
}
.0009 0.009
\fi1799 {\f40 \fs27 {\field{\*\fldinst SYMBOL 165 \\f Symbol }} }\par
}
Prod 2100-2110 \par
}
}
\par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 4.4 Comparison between MA and ES \par
}
\cf0 Exponential Smoothing \par
}
\cf0 2
82 1
82 0 \par
}
ata
\par}{\phpg\posx6537\pvpg\posy4611\absw1744\absh997 \sl-292 \f10 \fs16 \cf0 es(0
.25); f(1)= D(1)
.1); f(1)= D(1)
.25); f(1)= 1 \par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
0
11
12
13
14
15
16
17
18
19
20 \par
}
\cf0 Similarities
\fi340 {\b0 \fs30 1.}{\b0 \fs30 assume}{\b0 \fs30 stationary}{\b0 \fs30 proce
ss }

\fi340 {\b0 \fs30 2.}{\b0 \fs30 single}{\b0 \fs30 method}{\b0 \fs30 parameter
}
{\b0 \f10 \fs16 N}{\b0 \f10 \fs16 for}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 MA}
{\b0 \f10 \fs16 and}{\b0 \f40 \fs16 {\field{\*\fldinst SYMBOL 97 \\f Symbol }}
}{\b0 \f10 \fs16 for}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 exponential}{\b0 \f1
0 \fs16 smoothing. }
\fi340 {\b0 \fs30 3.}{\b0 \fs30 lag}{\b0 \fs30 behind}{\b0 \fs30 trend }
{\b0 \f10 \fs16 If}{\b0 \f10 \fs16 there}{\b0 \f10 \fs16 is}{\b0 \f10 \fs16 a
}{\b0 \f10 \fs16 general}{\b0 \f10 \fs16 trend,}{\b0 \f10 \fs16 both}{\b0 \f1
0 \fs16 approach}{\b0 \f10 \fs16 will}{\b0 \f10 \fs16 follow}{\b0 \f10 \fs16
but}{\b0 \f10 \fs16 with}{\b0 \f10 \fs16 some}{\b0 \f10 \fs16 delay. }
Differences
{\b0 \f10 \fs16 By}{\b0 \f10 \fs16 their}{\b0 \f10 \fs16 definition,}{\b0 \f10
\fs16 the}{\b0 \f10 \fs16 two}{\b0 \f10 \fs16 approaches}{\b0 \f10 \fs16 do
}{\b0 \f10 \fs16 not}{\b0 \f10 \fs16 incorporate}{\b0 \f10 \fs16 the}{\b0 \f1
0 \fs16 same}{\b0 \f10 \fs16 amount}{\b0 \f10 \fs16 of}{\b0 \f10 \fs16 data.
}
\fi340 {\b0 \fs30 1.}{\b0 \fs30 number}{\b0 \fs30 of}{\b0 \fs30 data}{\b0 \fs
30 taken}{\b0 \fs30 into}{\b0 \fs30 account }
{\b0 \f10 \fs16 Although}{\b0 \f10 \fs16 ES}{\b0 \f10 \fs16 takes}{\b0 \f10
\fs16 all}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 data}{\b0 \f10 \fs16 into}{\
b0 \f10 \fs16 account,}{\b0 \f10 \fs16 its}{\b0 \f10 \fs16 recursive}{\b0
\f10 \fs16 formulation}{\b0 \f10 \fs16 allows}{\b0 \f10 \fs16 the}{\b0 \f10
\fs16 new}{\b0 \f10 \fs16 forecast }
{\b0 \f10 \fs16 to}{\b0 \f10 \fs16 be}{\b0 \f10 \fs16 determined}{\b0 \f10 \fs
16 on}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 basis}{\b0 \f10 \fs16 of}{\b0 \f10
\fs16 the}{\b0 \f10 \fs16 last}{\b0 \f10 \fs16 forecast}{\b0 \f10 \fs16 and
}{\b0 \f10 \fs16 last}{\b0 \f10 \fs16 observation}{\b0 \f10 \fs16 only. }
\fi340 {\b0 \fs30 2.}{\b0 \fs30 computation}{\b0 \fs30 and}{\b0 \fs30 memory
}
\par}{\phpg\posx2212\pvpg\posy7217\absw7839\absh5766 \sl-309 \par\b \f20 \fs30 \
cf0 Variables
\fi679 {\b0 \fs30 for}{\b0 \fs30 the}{\b0 \fs30 MA:}{\b0 \fs30 choose}{\b0 \f
s30 N }
{\b0 \f10 \fs16 A}{\b0 \f10 \fs16 large}{\b0 \f10 \fs16 value}{\b0 \f10 \fs16
for}{\b0 \f10 \fs16 N}{\b0 \f10 \fs16 will}{\b0 \f10 \fs16 characterize}{\b0
\f10 \fs16 a}{\b0 \f10 \fs16 stable}{\b0 \f10 \fs16 forecast.}{\b0 \f10 \fs1
6 This}{\b0 \f10 \fs16 is}{\b0 \f10 \fs16 a}{\b0 \f10 \fs16 quality}{\b0 \f1
0 \fs16 if}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 process}{\b0 \f10 \fs16 is}{\
b0 \f10 \fs16 stable, }
{\b0 \f10 \fs16 it}{\b0 \f10 \fs16 isn}{\b0 \f10 \fs16 't if}{\b0 \f10 \fs16
the}{\b0 \f10 \fs16 process}{\b0 \f10 \fs16 undergoes}{\b0 \f10 \fs16 some}{\
b0 \f10 \fs16 changes. }
\fi679 {\b0 \fs30 for}{\b0 \fs30 the}{\b0 \fs30 ES:}{\b0 \fs30 choose}{\b0 \f
40 \fs30 {\field{\*\fldinst SYMBOL 97 \\f Symbol }} }
{\b0 \f10 \fs16 A}{\b0 \f10 \fs16 small}{\b0 \f10 \fs16 value}{\b0 \f10 \fs16
for}{\b0 \f40 \fs16 {\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\b0 \f10 \fs16
will}{\b0 \f10 \fs16 characterize}{\b0 \f10 \fs16 a}{\b0 \f10 \fs16 stable}
{\b0 \f10 \fs16 forecast}{\b0 \f10 \fs16 (we}{\b0 \f10 \fs16 give}{\b0 \f10 \
fs16 very}{\b0 \f10 \fs16 little}{\b0 \f10 \fs16 importance}{\b0 \f10 \fs16
to}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 new }
{\b0 \f10 \fs16 observation}{\b0 \f10 \fs16 D(t)).}{\b0 \f10 \fs16 Again,}{\
b0 \f10 \fs16 this}{\b0 \f10 \fs16 is}{\b0 \f10 \fs16 appropriate}{\b0 \f1
0 \fs16 if}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 process}{\b0 \f10 \fs16 i
s}{\b0 \f10 \fs16 stable}{\b0 \f10 \fs16 and}{\b0 \f10 \fs16 it}{\b0 \f10
\fs16 isn}{\b0 \f10 \fs16 't if}{\b0 \f10 \fs16 the}{\b0 \f10 \fs16 proc
ess }
{\b0 \f10 \fs16 undergoes}{\b0 \f10 \fs16 some}{\b0 \f10 \fs16 changes. }\par
}
Prod 2100-2110 \par
}
}
0 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 5 Trend-based time series \par
}
ere, we assume that the underlying model shows a linear trend. \par
}
ssume :
e
: \par
}
cf0 D{\fs26 t }\par
}
{\i \f20 a} +{\i \f20 bt} +{\fs31 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}
}{\i\dn006 \f20 \fs26 t }\par
}
{\phpg\posx2212\pvpg\posy3008\absw7899\absh403 \f10 \fs16 \cf0 \f10 \fs16 \cf0 T
his is again an assumption. In reality we do not know whether the de
mand roughly follows a
\par}{\phpg\posx2212\pvpg\posy3008\absw7899\absh403 \sl-215 \f10 \fs16 \cf0 line
or not. The problem here is to determine the constants{\i \fs16 a} and{\i \fs1
6 b}. \par
}
{\phpg\posx5707\pvpg\posy3825\absw995\absh383 \b \f10 \fs30 \cf0 \b \f10 \fs30 \
cf0 trend \par
}
\cf0 a, b{\i0 \fs30 are}{\i0 \fs30 unknown;}{\i0 \fs30 E[}{\dn006 \fs23 t{\
field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\i0 \f40 }{\i0 \f40 ]=0,}{\i0 \fs30
StDev[}{\i0 \f40 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\dn006 \fs23 t}
{\i0 \f40 ]={\field{\*\fldinst SYMBOL 115 \\f Symbol }} }\par
}
\cf0 3
2,5
\fi182 2
1,5
\fi182 1
0,5
\fi182 0 \par
}
\par
}
\par
}
\par
}

\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
0 11 12 13 14 15 16 17 18 19 20 \par
}
You see that the data roughly follows a straight line. You could ask
yourself what would
\par}{\phpg\posx2212\pvpg\posy7282\absw7854\absh1159 \sl-213 \f10 \fs16 \cf0 hap
pen if you use the MA or the ES to estimate the forecast? (You will lag behind.)
20 \fs30 Linear}{\f20 \fs30 Regression}{\f20 \fs30 :}{\i \f20 \fs30 Y}{\f20 \
fs30 (}{\i \f20 \fs30 t}{\f20 \fs30 )}{\f40 \fs30 =}{\i \f20 \fs30 a}{\f40 \fs
30 +}{\i \f20 \fs30 bt }
regression analysis aims at fitting a straight line in the set of
points. Since there are
\par}{\phpg\posx2212\pvpg\posy7282\absw7854\absh1159 \sl-215 \f10 \fs16 \cf0 dif
ferent ways of fitting the curve, an objective must be selected. \par
}
\cf0 Regression \par
}
\cf0 3
2,5
\fi182 2
1,5
\fi182 1
0,5
\fi182 0 \par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
0 \par
}
1 \par
}
2 \par
}
3 \par
}
4 \par
}
5 \par
}
6 \par
}
7 \par
}
8 \par
}
19 \par
}
20 \par
}
Prod 2100-2110 \par
}
}
1 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 5.1 Linear Regression \par
}
he classical approach consists in minimizing the sum of the squared deviations.
\par
}
{\phpg\posx2212\pvpg\posy2382\absw1485\absh367 \f20 \fs30 \cf0 \f20 \fs30 \cf0 O
bjective: \par
}
{\phpg\posx4353\pvpg\posy2270\absw3174\absh533 \f20 \fs30 \cf0 \f20 \fs30 \cf0 m
in{\f10 \fs30 {\f63 \u402\'3f}} [{\i D }{\i \fs26 t}{\f40 {\field{\*\fldins
t SYMBOL 45 \\f Symbol }}} ({\i a}{\f40 +}{\i bt})]{\up006 \fs26 2 }\par
}
\cf0 a{\i0 \fs26 ,}b t{\i0 \f40 \fs26 =}{\i0 \fs26 1 }\par
}
cf0 n \par
}
{\phpg\posx2212\pvpg\posy3087\absw6419\absh209 \f10 \fs16 \cf0 \f10 \fs16 \cf0 I
n order to reach this objective, the model parameters a and b must be found. \pa
r
}
}\f10 \fs30 \cf0 {\f20 \fs30
a}{\f20 \fs30 =}{\f20 \fs30 ... }\par
}
{\phpg\posx5603\pvpg\posy3334\absw909\absh367 \f20 \fs30 \cf0 \f20 \fs30 \cf0 b
= ... \par
}
{\phpg\posx2212\pvpg\posy3939\absw7820\absh792 \f10 \fs16 \cf0 \f10 \fs16 \cf0 W
e follow therefore the general procedure by which we compute the deriva
tives with respect
\par}{\phpg\posx2212\pvpg\posy3939\absw7820\absh792 \sl-215 \f10 \fs16 \cf0 to t
he variables (here{\i \fs16 a} and{\i \fs16 b}). We then set these derivatives
to zero and solve the equations
\par}{\phpg\posx2212\pvpg\posy3939\absw7820\absh792 \sl-215 \f10 \fs16 \cf0 to
find{\i \fs16 a} and{\i \fs16 b}. Theoretically, we should still verif
y that the extremum we obtain is really a
\par}{\phpg\posx2212\pvpg\posy3939\absw7820\absh792 \sl-215 \f10 \fs16 \cf0 mini
mum and not a maximum. The sign of the second derivative would tell us. \par
}
n order to solve : \par
}
{\phpg\posx5654\pvpg\posy4810\absw616\absh630 \f20 \fs30 \cf0 \f20 \fs30 \cf0 mi
n
{\i \fs26 a}{\fs26 ,}{\i \fs26 b }\par
}
\cf0 f{\i0 (}a{\i0 ,}b{\i0 ) }\par
}
{\phpg\posx2212\pvpg\posy5989\absw2593\absh367 \f20 \fs30 \cf0 \f20 \fs30 \cf0 Y
ou must set the : \par
}
{\phpg\posx5663\pvpg\posy5698\absw1137\absh840 \f40 \fs31 \cf0 \f40 \fs31 \cf0 {
\field{\*\fldinst SYMBOL 182 \\f Symbol }}{\i \f20 \fs30 f}{\f20 \fs30 (}{\i \f
20 \fs30 a}{\f20 \fs30 ,}{\i \f20 \fs30 b}{\f20 \fs30 ) }
55 {\field{\*\fldinst SYMBOL 182 \\f Symbol }}{\i \f20 \fs30 a }\par
}
{\phpg\posx6825\pvpg\posy5929\absw624\absh396 \f40 \fs30 \cf0 \f40 \fs30 \cf0 ={
\f20 0}{\f20 , }\par
}
\field{\*\fldinst SYMBOL 182 \\f Symbol }}{\i \f20 \fs30 f}{\f20 \fs30 (}{\i \f
20 \fs30 a}{\f20 \fs30 ,}{\i \f20 \fs30 b}{\f20 \fs30 ) }
59 {\field{\*\fldinst SYMBOL 182 \\f Symbol }}{\i \f20 \fs30 b }\par
}
\f20 0 }\par
}
ere is the equation we obtain when deriving with respect to{\i \fs16 a}. \par
}
cf0 n \par
}
cf0 n \par
}
\f63 \u402\'3f}{\f20 2}{\f20 [}{\i \f20 D }{\i \f20 \fs26 t}{\f40 {\field{\
*\fldinst SYMBOL 45 \\f Symbol }}}{\f20 (}{\i \f20 a}{\f40 +}{\i \f20 bt}{\f2
0 )](}{\f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\f20 1}{\f20 )}{\f40 =}
{\f20 0}
{\f63 \u402\'3f}{\f20 [}{\i \f20 D }{\i \f20 \fs26 t}{\f40 {\fie
ld{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i \f20 a}{\f40 {\field{\*\fldinst SYMB
OL 45 \\f Symbol }}}{\i \f20 bt}{\f20 ]}{\f40 =}{\f20 0 }\par
}
cf0 t{\i0 \f40 =}{\i0 1 }\par
}
cf0 t{\i0 \f40 =}{\i0 1 }\par
}
cf0 n \par
}
cf0 n \par
}
{\phpg\posx2212\pvpg\posy7976\absw5389\absh885 \f10 \fs30 \cf0 \fi376 {\f0\fs39
\bullet }\f10 \fs30 \cf0 {\f63 \u402\'3f}{\i \f20 D}{\f40 {\field{\*\fldin
st SYMBOL 45 \\f Symbol }}}{\i \f20 an}{\f40 {\field{\*\fldinst SYMBOL 45 \\f
Symbol }}}{\i \f20 b} {\f63 \u402\'3f}{\i \f20 t}{\f40 =}{\f20 0} {\i \f20
a}{\f40 =}{\f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i \f20 b }
89 {\i \f20 \fs26 t}{\f40 \fs26 =}{\f20 \fs26 1}{\i \f20 \fs26
t}{\f40 \fs26 =}{\f20 \fs26 1 }
\par}{\phpg\posx2212\pvpg\posy7976\absw5389\absh885 \sl-227 \f10 \fs30 \cf0 {\fs
16 Here}{\fs16 is}{\fs16 the}{\fs16 equation}{\fs16 we}{\fs16 obtain}{\fs16
when}{\fs16 deriving}{\fs16 with}{\fs16 respect}{\fs16 to}{\fs16 b. }\par
}
cf0 t \par
}
cf0 n \par
}
cf0 n \par
}
cf0 n{\i0 \f40 +}{\i0 1 }
\par}{\phpg\posx7699\pvpg\posy7764\absw772\absh817 \sl-470 \i \f20 \fs30 \cf0 \f
i223 {\i0 2 }\par
}
{\phpg\posx8402\pvpg\posy7976\absw238\absh397 \f40 \fs30 \cf0 \f40 \fs30 \cf0 +
\par
}
\par
}
cf0 n{\fs26 t}{\i0 \f40 \fs26 =}{\i0 \fs26 1 }\par
}
{\phpg\posx8999\pvpg\posy7730\absw690\absh702 \i \f20 \fs26 \cf0 \fi43 \i \f20 \
fs26 \cf0 n
\par}{\phpg\posx8999\pvpg\posy7730\absw690\absh702 \sl-393 \i \f20 \fs26 \cf0 {\
i0 \f10 \fs30 {\f63 \u402\'3f}}{\fs30 D}{\dn006 t }\par
}
\f63 \u402\'3f}{\f20 2}{\f20 [}{\i \f20 D }{\i \f20 \fs26 t}{\f40 {\field{\
*\fldinst SYMBOL 45 \\f Symbol }}}{\f20 (}{\i \f20 a}{\f40 +}{\i \f20 bt}{\f2
0 )](}{\f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i \f20 t}{\f20 )}{\f40
=}{\f20 0}
{\f63 \u402\'3f}{\f20 [}{\f40 {\field{\*\fldinst SYMBOL 45 \\f
Symbol }}}{\i \f20 tD}{\f40 +}{\i \f20 at}{\f40 +}{\i \f20 bt}{\f20 ]}{\f
40 =}{\f20 0 }\par
}
cf0 t \par
}
cf0 t{\i0 \f40 =}{\i0 1 }\par
}
cf0 t{\i0 \f40 =}{\i0 1 }\par
}
0 \fs26 \cf0 n
{\f0\fs39 \bullet }{\i0 \f10 \fs30 }{\i0 \f10 \fs30 {\f63 \u402\'3f}}{\fs30
tD}{\i0 \f40 \fs30 =}{\fs30 a }\par
}
\cf0 t \par
}
0 \fs26 \cf0 t{\i0 \f40 =}{\i0 1 }
\par}{\phpg\posx2589\pvpg\posy10656\absw1138\absh996 \sl-351 \par\i \f20 \fs26 \
cf0 {\f0\fs39 \bullet }{\i0 \f10 \fs30 }{\fs30
b}{\i0 \f40 \fs30 = }\par
}
0 \cf0 n{\i0 (}n{\i0 \f40 +}{\i0 1}{\i0 ) }
\fi434 {\i0 2 }
\fi321 {\i0 6 }\par
}
\par
}
{\i \f20 b }\par
}
\cf0 n{\i0 (}n{\i0 \f40 +}{\i0 1}{\i0 )(}{\i0 2}n{\i0 \f40 +}{\i0 1}{\i0 )
}
\fi962 {\i0 6 }\par
}
\fs26 \cf0 n
{\i0 \f10 \fs30 {\f63 \u402\'3f}}{\fs30 tD}{\i0 \f40 \fs30 {\field{\*\fldins
t SYMBOL 45 \\f Symbol }} }\par
}

\cf0 t \par
}
\cf0 a \par
}
\cf0 n{\i0 (}n{\i0 \f40 +}{\i0 1}{\i0 )(}{\i0 2}n{\i0 \f40 +}{\i0 1}{\i0 )
}{\fs26 t }\par
}
{\f20 1 }\par
}
\cf0 3
\par}{\phpg\posx7192\pvpg\posy11139\absw954\absh794 \sl-470 \f20 \fs30 \cf0 2{\i
n}{\f40 +} 1 \par
}
Numerically, we obtain the following equations:
a=-10.500 b + 1.501;
i4747 b= 0.133 - 0.0732 a;
\par}{\phpg\posx2212\pvpg\posy12077\absw7826\absh1174 \sl-215 \f10 \fs16 \cf0 wh
ich can be solved to give a = 0.43 and b=0.10. Looking at the chart on
the previous page,
\par}{\phpg\posx2212\pvpg\posy12077\absw7826\absh1174 \sl-213 \f10 \fs16 \cf0 do
you agree with these values ?
\par}{\phpg\posx2212\pvpg\posy12077\absw7826\absh1174 \sl-215 \f10 \fs16 \cf0 No
te that similarly to the moving average method, the linear regression
analysis implicitly
\par}{\phpg\posx2212\pvpg\posy12077\absw7826\absh1174 \sl-213 \f10 \fs16 \cf0 gi
ves the same weights to all the data. \par
}
Prod 2100-2110 \par
}
}
2 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 5.2 Double Exp. Smoothing (Holt) \par
}
gain, by using an exponential smoothing, decreasing weights will be given to the
data.
goal here is also to determine the model parameters{\i \fs16 a} and{
\i \fs16 b} where{\i \fs16 a} is the intercept at
\par}{\phpg\posx2212\pvpg\posy1911\absw7848\absh988 \sl-215 \f10 \fs16 \cf0 time
0 and{\i \fs16 b} the slope. Here however, we will use the parameters{\i \fs16
a}(t-1) and{\i \fs16 b}(t-1) where{\i \fs16 a}(t\par}{\phpg\posx2212\pvpg\posy1911\absw7848\absh988 \sl-218 \f10 \fs16 \cf0 1) i
s the intercept at time (t-1) and{\i \fs16 b}(t-1) is the estimated slope for t
he interval [t-1,t]. Note (but
\par}{\phpg\posx2212\pvpg\posy1911\absw7848\absh988 \sl-215 \f10 \fs16 \cf0 inci
dentally) that both model parameters are computed at time (t-1). \par
}
etermine :
Such that : \par
}
cf0 a{\fs26 t}{\i0 \f40 \fs26 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 \f
s26 1 }\par
}
cf0 F{\fs26 t }\par
}
{\phpg\posx6950\pvpg\posy2998\absw1137\absh439 \f20 \fs30 \cf0 \f20 \fs30 \cf0 a
nd{\i b }
05 {\i \fs26 t}{\f40 \fs26 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\fs26 1 }
\par
}
\i \f20 a }
2 {\i \f20 \fs26 t}{\fs26 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\f20 \fs26
1 }\par
}
{\phpg\posx7579\pvpg\posy3615\absw808\absh463 \f40 \fs30 \cf0 \f40 \fs30 \cf0 +{
\i \f20 b }
1 }\par
}
{\phpg\posx2212\pvpg\posy4066\absw7820\absh401 \f10 \fs16 \cf0 \f10 \fs16 \cf0 S
ince a(t-1) is the intercept at time (t-1), the slope has to be multiplied
by 1 in order to obtain
forecast for time t. \par
}
\par
}
{\phpg\posx2452\pvpg\posy5093\absw73\absh251 \f10 \fs20 \cf0 \f10 \fs20 \cf0 t \
par
}
\par
}
{\phpg\posx5546\pvpg\posy5616\absw308\absh251 \f10 \fs20 \cf0 \f10 \fs20 \cf0 t1 \par
}
{\phpg\posx3189\pvpg\posy5956\absw270\absh593 \f40 \fs20 \cf0 \f40 \fs20 \cf0 {\
field{\*\fldinst SYMBOL 42 \\f Symbol }}
5 {\f10 a }\par
}
}
}
par
}
ere we show how a new forecast is derived on the basis of the previous forec
ast and of the
\par}{\phpg\posx2212\pvpg\posy7829\absw7820\absh792 \sl-213 \f10 \fs16 \cf0 obse
rved data. On the basis of{\i \fs16 a}(t-1) and of{\i \fs16 b}(t-1),
the forecast F(t) has been computed at
\par}{\phpg\posx2212\pvpg\posy7829\absw7820\absh792 \sl-218 \f10 \fs16 \cf0 time
(t-1). Now we are at time t. We observed D(t) and we must compute{\i \fs16 a}(
t) and{\i \fs16 b}(t) so that
\par}{\phpg\posx2212\pvpg\posy7829\absw7820\absh792 \sl-215 \f10 \fs16 \cf0 a ne
w forecast F(t+1) can be determined. \par
}
\par}{\phpg\posx4523\pvpg\posy8683\absw220\absh863 \sl-339 \par\f10 \fs20 \cf0 F
\par
}
{\phpg\posx4718\pvpg\posy8796\absw73\absh863 \f10 \fs20 \cf0 \f10 \fs20 \cf0 t
\par}{\phpg\posx4718\pvpg\posy8796\absw73\absh863 \sl-339 \par\f10 \fs20 \cf0 t
\par
}
field{\*\fldinst SYMBOL 42 \\f Symbol }}{\f10 a }\par

}
par
}
\par}{\phpg\posx8027\pvpg\posy8683\absw220\absh863 \sl-339 \par\f10 \fs20 \cf0 F
\par
}
\par
}
field{\*\fldinst SYMBOL 42 \\f Symbol }}{\f10 a}{\f10 t }\par
}
field{\*\fldinst SYMBOL 42 \\f Symbol }} \par
}
cf0 b
\par}{\phpg\posx8541\pvpg\posy9250\absw205\absh824 \sl-317 \par\f10 \fs20 \cf0 b
\par
}
cf0 t
-1 \par
}
\par
}
}
\par
}
-1{\f40 {\field{\*\fldinst SYMBOL 42 \\f Symbol }} }\par
}
\par
}
\cf0 {\field{\*\fldinst SYMBOL 42 \\f Symbol }}
0 t-1 }\par
}
-1 \par
}
\par
}
-1 \par
}
\par
}
We choose to set{\i \fs16 a}(t) between the previous forecast F(t) and the o
bserved data D(t). That is,
i \fs16 a}(t) is a compromise between D(t) and F(t)={\i \fs16 a}(t-1)+{\i \fs16
b}(t-1).
r the slope, we choose a value between the previous slope,{\i \fs16 b}(t-1), an
d the slope of the line
\par}{\phpg\posx2212\pvpg\posy11996\absw7820\absh1005 \sl-215 \f10 \fs16 \cf0 pa
ssing by{\i \fs16 a}(t-1) and{\i \fs16 a}(t). That is,{\i \fs16 b}(t)
is a compromise between{\i \fs16 b}(t-1) and ({\i \fs16 a}(t)-{\i \fs16 a}
(t-1)). Both
\par}{\phpg\posx2212\pvpg\posy11996\absw7820\absh1005 \sl-230 \f10 \fs16 \cf0 co
mpromises are ruled by smoothing factors:{\f40 \fs16 {\field{\*\fldinst SYMBOL
97 \\f Symbol }}} and{\f40 \fs16 {\field{\*\fldinst SYMBOL 98 \\f Symbol }}}. \
par
}
\cf0 a{\dn006 \fs26 t }
\par}{\phpg\posx4245\pvpg\posy13104\absw289\absh901 \sl-508 \i \f20 \fs30 \cf0 b
{\dn006 \fs26 t }\par
}
={\fs31 {\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\i \f20 D }{\i\dn006 \f20
\fs26 t} +{\f20 (}{\f20 1}{\field{\*\fldinst SYMBOL 45 \\f Symbol }}{\fs31 {\
field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\f20 )(}{\i \f20 a }\par
}
\cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 1 }\par
}
={\fs31 {\field{\*\fldinst SYMBOL 98 \\f Symbol }}}{\f20 (}{\i \f20 a }{\i\dn00
6 \f20 \fs26 t} {\field{\*\fldinst SYMBOL 45 \\f Symbol }}{\i \f20 a }{\i \f20
\fs26 t}{\fs26 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\f20 )} +1 \par
}
{\i \f20 b }\par
}
\cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 \fs30 )1 }\par
}
( 1{\f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\f40 \fs31 {\field{\*\fld
inst SYMBOL 98 \\f Symbol }}}){\i b }\par
}
\cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 1 }\par
}
Prod 2100-2110 \par
}
}
3 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 Double Exponential Smoothing (Holt) \par
}
{\phpg\posx2212\pvpg\posy2127\absw7822\absh209 \f10 \fs16 \cf0 \f10 \fs16 \cf0 L
et us look at the forecast we obtain with different smoothing factors
and different initial \par
}
{\phpg\posx2212\pvpg\posy2341\absw5330\absh591 \f10 \fs16 \cf0 \f10 \fs16 \cf0 c
onditions.
0 \fs30 Forecast}{\f20 \fs30 curve}{\f20 \fs30 obtained}{\f20 \fs30 with}{\f4
0 \fs30 {\field{\*\fldinst SYMBOL 97 \\f Symbol }}}{\f20 \fs30 =}{\f20 \fs30
0.2 }\par
}
cf0 a{\dn006 \fs23 0 }\par
}
\field{\*\fldinst SYMBOL 98 \\f Symbol }}{\f20 =}{\f20 0.1 }\par
}
0.5{\i
b}{\i\dn006 \fs23 0} = 0.0 \par
}
\cf0 Holt's method \par

}
\cf0 3
2,5
\fi182 2
1,5
\fi182 1
0,5
\fi182 0 \par
}
{\phpg\posx8620\pvpg\posy5691\absw708\absh470 \f10 \fs16 \cf0 \f10 \fs16 \cf0 da
ta
\par}{\phpg\posx8620\pvpg\posy5691\absw708\absh470 \sl-290 \f10 \fs16 \cf0 forec
ast \par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
ith these values, we obtained{\i \fs16 b}(0)=0;{\i \fs16 b}(10)=0.050;{\
i \fs16 b}(20)=0.091 while the model used to
\par}{\phpg\posx2212\pvpg\posy7217\absw7822\absh405 \sl-218 \f10 \fs16 \cf0 gene
rate the dataa had a slope equal to 0.1. Here below you see the va
lues of the model \par
}
{\phpg\posx2212\pvpg\posy7649\absw5910\absh593 \f10 \fs16 \cf0 \f10 \fs16 \cf0 p
arameters{\i \fs16 a} and{\i \fs16 b} as the forecasts evolved.
0 \fs30 Curves}{\f20 \fs30 for}{\i \f20 \fs30 a}{\f20 \fs30 and}{\i \f20 \fs3
0 b}{\f20 \fs30 obtained}{\f20 \fs30 with}{\f40 \fs30
{\field{\*\fldinst S
YMBOL 97 \\f Symbol }}}{\f20 \fs30 =}{\f20 \fs30 0.2 }\par
}
cf0 a{\dn006 \fs23 0 }\par
}
}
0.5{\i
b }{\i\dn006 \fs23 0} = 0.0 \par
}
\cf0 Holt's method \par
}
\cf0 3
2,5
\fi182 2
1,5
\fi182 1
0,5
\fi182 0 \par
}
ta
\par}{\phpg\posx3746\pvpg\posy9910\absw649\absh470 \sl-290 \f10 \fs16 \cf0 a-val
ue \par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
9
10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
25 \par
}
Prod 2100-2110 \par
}
}
4 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 Double Exponential Smoothing (Holt) \par
}
ere you see the same curves with a different initialization.
0 \fs30 Curves}{\f20 \fs30 for}{\i \f20 \fs30 a}{\f20 \fs30 and}{\i \f20 \fs3
0 b}{\f20 \fs30 obtained}{\f20 \fs30 with}{\f40 \fs30
{\field{\*\fldinst S
YMBOL 97 \\f Symbol }}}{\f20 \fs30 =}{\f20 \fs30 0.2 }\par
}
}
0.5{\i
b }{\i\dn006 \fs23 0} = 0.2 \par
}
,5
\fi182 3
2,5
\fi182 2
1,5
\fi182 1
0,5
\fi182 0 \par
}
{\phpg\posx4979\pvpg\posy2556\absw2387\absh1082 \i \f20 \fs30 \cf0 \fi1979 \i \f
20 \fs30 \cf0 a{\dn006 \fs23 0 }
\par}{\phpg\posx4979\pvpg\posy2556\absw2387\absh1082 \sl-363 \par\i \f20 \fs30 \
cf0 {\b\i0 \f10 \fs30 Holt's}{\b\i0 \f10 \fs30 method }\par
}
ta
\par}{\phpg\posx3427\pvpg\posy3781\absw649\absh472 \sl-292 \f10 \fs16 \cf0 a-val
ue \par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
The following values were observed:{\i \fs16 b}(0)=0.2;{\i \fs16 b}(10)=
0.141 and{\i \fs16 b}(20)=0.102 for a model
\par}{\phpg\posx2212\pvpg\posy6790\absw7898\absh1701 \sl-215 \f10 \fs16 \cf0 usi
ng a slope equal to 0.1. To avoid this initialization problem, a sol
ution consists in using a
\par}{\phpg\posx2212\pvpg\posy6790\absw7898\absh1701 \sl-213 \f10 \fs16 \cf0 lin
ear regression on the first data to initialize the model parameters{\i \fs16 a}
and{\i \fs16 b}.
\f20 \fs30 Making}{\b \f20 \fs30 forecasts}{\b \f20 \fs30 : }
1356 {\f20 \fs30 Assume}{\f20 \fs30 the}{\f20 \fs30 forecasts}{\f20 \fs30 are
}{\f20 \fs30 along}{\f20 \fs30 the}{\f20 \fs30 line }
\par}{\phpg\posx2212\pvpg\posy6790\absw7898\absh1701 \sl-256 \f10 \fs16 \cf0 For
example, with the LR, the forecast F(t,t+x) is given by the curve
Y(t+x). With the double
\par}{\phpg\posx2212\pvpg\posy6790\absw7898\absh1701 \sl-215 \f10 \fs16 \cf0 exp
onential smoothing, the forecast is F(t,t+x)={\i \fs16 a}(t) +{\i \fs16 b}(t)x
. \par
}
\cf0 5.3 Comparison ( Lin. Regression - 2ES) \par
}
similarity :
differences :
679 LR: \par
}
adequate for series with trends
- lots of work
\par}{\phpg\posx4247\pvpg\posy9447\absw4686\absh1992 \sl-398 \f20 \fs30 \cf0 - e
qual weight for all the data
\par}{\phpg\posx4247\pvpg\posy9447\absw4686\absh1992 \sl-395 \f20 \fs30 \cf0 - (

a weighted version is possible) \par
}
Double ES (Holt):
i1355 - easy to compute
i1355 - decreasing (possibly dynamic) weights
i1355 - difficult to initialize \par
}
Prod 2100-2110 \par
}
}
5 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 6. Seasonal Time Series \par
}
ere, we assume that the underlying model is seasonal. \par
}
ssume :
e
: \par
}
cf0 D{\fs26 t }\par
}
{\f20 (}{\i \f20 a} +{\i \f20 bt}{\f20 )}{\i \f20 c }\par
}
\cf0 t{\i0 mod} T \par
}
\cf0 a, b{\i0 and} c{\dn006 \fs23 0}{\i0 ,}{\i0 ...,} c{\dn006 \fs23 T-1 }\pa
r
}
\fs31 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\i\dn006 \f20 \fs26 t }\par
}
re unknown; \par
}
{\phpg\posx2212\pvpg\posy3384\absw7910\absh1967 \f20 \fs30 \cf0 \fi2035 \f20 \fs
30 \cf0 E[{\i\dn006 \fs23 t{\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\f40
}{\f40 ]=0,} StDev[{\f40 {\field{\*\fldinst SYMBOL 101 \\f Symbol }} }{\i\dn00
6 \fs23 t}{\f40 ]={\field{\*\fldinst SYMBOL 115 \\f Symbol }} }
10 \fs16 Note}{\f10 \fs16 first,}{\f10 \fs16 that}{\f10 \fs16 the}{\f10 \f
s16 previous}{\f10 \fs16 model}{\f10 \fs16 can}{\f10 \fs16 be}{\f10 \fs1
6 derived}{\f10 \fs16 from}{\f10 \fs16 this}{\f10 \fs16 more}{\f10 \fs16
general}{\f10 \fs16 one.}{\f10 \fs16 By}{\f10 \fs16 choosing }
{\f10 \fs16 T=1}{\f10 \fs16 and}{\i \f10 \fs16 c }{\i \f10 \fs16 0}{\f10 \fs
16 =}{\f10 \fs16 1,}{\f10 \fs16 we}{\f10 \fs16 get}{\f10 \fs16 the}{\f10 \f
s16 trend-based}{\f10 \fs16 series}{\f10 \fs16 (a}{\f10 \fs16 +}{\f10 \fs16
b}{\f10 \fs16 t)}{\f10 \fs16 +}{\f40 \fs16 {\field{\*\fldinst SYMBOL 101 \\f
Symbol }}}{\f10 \fs16 (t).}{\f10 \fs16 By}{\f10 \fs16 further}{\f10 \fs16 se
tting}{\f10 \fs16 b=0,}{\f10 \fs16 we}{\f10 \fs16 obtain }
10 \fs16 the}{\f10 \fs16 stationary}{\f10 \fs16 model:}{\f10 \fs16 a}{\f10 \f
s16 +}{\f40 \fs16 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}{\f10 \fs16 (t).
}
10 \fs16 The}{\f10 \fs16 seasonal}{\f10 \fs16 model}{\f10 \fs16 is}{\f10 \
fs16 characterized}{\f10 \fs16 by}{\f10 \fs16 the}{\f10 \fs16 fact}{\f10
\fs16 that}{\f10 \fs16 each}{\f10 \fs16 season}{\f10 \fs16 has}{\f10 \f
s16 its}{\f10 \fs16 own}{\f10 \fs16 seasonal }
10 \fs16 coefficient.}{\f10 \fs16 For}{\f10 \fs16 example,}{\f10 \fs16 if}
{\f10 \fs16 T}{\f10 \fs16 is}{\f10 \fs16 one}{\f10 \fs16 week}{\f10 \fs1
6 and}{\f10 \fs16 t}{\f10 \fs16 is}{\f10 \fs16 a}{\f10 \fs16 precise}{
\f10 \fs16 day,}{\f10 \fs16 then}{\f10 \fs16 there}{\f10 \fs16 is}{\f10
\fs16 a}{\f10 \fs16 seasonal }
10 \fs16 coefficient}{\f10 \fs16 for}{\f10 \fs16 each}{\f10 \fs16 day.}{\f

10 \fs16 For}{\f10 \fs16 example,}{\f10 \fs16 c(Monday)=1.2}{\f10 \fs16
means}{\f10 \fs16 that}{\f10 \fs16 the}{\f10 \fs16 demand}{\f10 \fs16 on
}{\f10 \fs16 Mondays}{\f10 \fs16 is }
10 \fs16 always}{\f10 \fs16 20}{\f10 \fs16 percent}{\f10 \fs16 larger}{\f1
0 \fs16 than}{\f10 \fs16 the}{\f10 \fs16 forecast}{\f10 \fs16 (}{\i \f10
\fs16 a+bt}{\f10 \fs16 )}{\f10 \fs16 determined}{\f10 \fs16 without}{\f10 \f
s16 seasonal}{\f10 \fs16 variation.}{\f10 \fs16 Here }
10 \fs16 is}{\f10 \fs16 an}{\f10 \fs16 example}{\f10 \fs16 of}{\f10 \fs16 a}
{\f10 \fs16 set}{\f10 \fs16 of}{\f10 \fs16 seasonal}{\f10 \fs16 coefficients
}{\f10 \fs16 for}{\f10 \fs16 a}{\f10 \fs16 whole}{\f10 \fs16 week}{\f10 \fs1
6 (T=6). }\par
}
{\phpg\posx2243\pvpg\posy5590\absw1320\absh325 \f20 \fs26 \cf0 \f20 \fs26 \cf0 E
xample: \par
}
on.
\fs30 c}{\i\dn006 \fs23 0 }
\par
}
ues.
\fs30 c}{\i \fs23 1 }
\par
}
ed.
\fs30 c}{\i \fs23 2 }
\par
}
hu.
\fs30 c}{\i \fs23 3 }
\par
}
ri.
\fs30 c}{\i \fs23 4 }
\par
}
{\phpg\posx9057\pvpg\posy5590\absw571\absh1027 \f20 \fs26 \cf0 \f20 \fs26 \cf0 S
at.
\fs30 c}{\i \fs23 5 }
\par
}

\cf0 c{\dn006 \fs23 1}{\i0 .+}{\i0 ...}{\i0 +} c{\dn006 \fs23 T-1 }\par
}
{\i c}{\i\dn006 \fs23 0} = T \par
}
The seasonal coefficients are chosen so that they sum up to the leng
th of the period T. By
\par}{\phpg\posx2212\pvpg\posy6747\absw7911\absh1947 \sl-213 \f10 \fs16 \cf0 doi
ng so, the values without seasonal coefficients, a + bt, correspond t
o the average. In the
\par}{\phpg\posx2212\pvpg\posy6747\absw7911\absh1947 \sl-215 \f10 \fs16 \cf0 abo
ve example, Monday and Friday are 20 and 30 percent above the average (also call
ed the
\par}{\phpg\posx2212\pvpg\posy6747\absw7911\absh1947 \sl-213 \f10 \fs16 \cf0 des
easonalized values) and Wednesday and Thursday are 40 and 10 percent
below this
\par}{\phpg\posx2212\pvpg\posy6747\absw7911\absh1947 \sl-213 \f10 \fs16 \cf0 ave
rage.
\par}{\phpg\posx2212\pvpg\posy6747\absw7911\absh1947 \sl-215 \f10 \fs16 \cf0 Not
e that we assume a multiplicative model, that is, the seasonal coeffi
cient multiplies the
\par}{\phpg\posx2212\pvpg\posy6747\absw7911\absh1947 \sl-213 \f10 \fs16 \cf0 nor
mal forecast (a+bt). In an additive model, the seasonal coefficient wo
uld just be added to
normal forecast, that is, D(t)= (a+bt) + c(t mod T). In an additiv
e model, the seasonal
\par}{\phpg\posx2212\pvpg\posy6747\absw7911\absh1947 \sl-213 \f10 \fs16 \cf0 coe
fficients should sum up to zero.
problem here is to determine the constants{\i \fs16 a,}{\i \fs16 b} and the s
easonal coefficients{\i \fs16 c}. \par
}
\cf0 seasonal \par
}
6,00
14,00
12,00
10,00
\fi117 8,00
\fi117 6,00
\fi117 4,00
\fi117 2,00
\fi117 0,00 \par
}
\par
}

\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
9
10 11 12 13 14 15 16 17 18 19 20 \par
}
Prod 2100-2110 \par
}
}
6 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 6.1 CMA method \par
}
Two different methods will be described. The first method is called t
he CMA method. CMA
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-215 \f10 \fs16 \cf0 sta
nds for centered moving average. In reality this method provides the seas
onal coefficients
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-213 \f10 \fs16 \cf0 onl
y. Afterwards, the trends (the parameters a and b) should be determin
ed by one of the
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-215 \f10 \fs16 \cf0 pre
vious methods (linear regression or double exponential smoothing). The second me
thod is
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-213 \f10 \fs16 \cf0 cal
led triple exponential smoothing or method of Winters.
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-215 \f10 \fs16 \cf0 Her
e are the successive steps of the CMA method.
20 \fs30 CMA}{\f20 \fs30 Method:}{\f20 \fs30 5}{\f20 \fs30 steps }
340 {\f20 \fs30 1.}{\f20 \fs30 examine}{\f20 \fs30 data}{\f20 \fs30 and}{\f20
\fs30 determine}{\f20 \fs30 cycle}{\f20 \fs30 length}{\f20 \fs30 (T) }
340 {\f20 \fs30 2.}{\f20 \fs30 determine}{\f20 \fs30 the}{\f20 \fs30 seasonal
}{\f20 \fs30 coefficients }
340 {\f20 \fs30 3.}{\f20 \fs30 extract}{\f20 \fs30 seasonal}{\f20 \fs30 coeff
icients}{\f20 \fs30 from}{\f20 \fs30 data}{\f20 \fs30 (deseasonalize) }
340 {\f20 \fs30 4.}{\f20 \fs30 determine}{\f20 \fs30 the}{\f20 \fs30 trends}{
\f20 \fs30 (by}{\f20 \fs30 another}{\f20 \fs30 method) }
340 {\f20 \fs30 5.}{\f20 \fs30 make}{\f20 \fs30 (deseasonalized)}{\f20 \fs30
forecasts }
340 {\f20 \fs30 6.}{\f20 \fs30 introduce}{\f20 \fs30 seasonal}{\f20 \fs30 coe
fficients }
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-256 \f10 \fs16 \cf0 Fir
st the cycle length must be determined. This is the model parameter
T. Note that a cycle
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-215 \f10 \fs16 \cf0 has
, by definition of a seasonal model, a fixed length. Most often this
cycle results from the
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-213 \f10 \fs16 \cf0 nat
ure of the product which is sold. On a chart, the only way to recogn
ize a cycle consists in
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-215 \f10 \fs16 \cf0 che
cking whether the data follows the same behavior. Anyway, if you choo
se a wrong value
\par}{\phpg\posx2212\pvpg\posy1911\absw8539\absh5005 \sl-213 \f10 \fs16 \cf0 for
the cycle length, you will realize it in step 2.
20 \fs30 1.}{\f20 \fs30
Determine}{\f20 \fs30 cycle}{\f20 \fs30 length:}{
\f20 \fs30 T}{\f20 \fs30 =}{\f20 \fs30 6 }\par
}
{\phpg\posx7735\pvpg\posy7455\absw667\absh256 \f10 \fs16 \cf0 \f10 \fs16 \cf0 ..
.,{\i \fs16 c }
2 {\i \fs15 T-1}{\fs15 . }\par
}
he step 2 aims at \par
}
{\phpg\posx2212\pvpg\posy7674\absw2408\absh208 \f10 \fs16 \cf0 \f10 \fs16 \cf0 e
valuating these coefficients. \par
}
{\phpg\posx2212\pvpg\posy7894\absw316\absh367 \f20 \fs30 \cf0 \f20 \fs30 \cf0 2.
\par
}
his means that T different seasonal coefficients are needed:{\i \fs16 c}{\
i\dn006 \fs15 0}{\fs15 , }\par
}
etermine the seasonal coefficients \par
}
{\phpg\posx2212\pvpg\posy8286\absw5968\absh208 \f10 \fs16 \cf0 \f10 \fs16 \cf0 N
ow, let us organize the data in a table whose length is the cycle length. \par
}
\cf0 Periods (t) \par
}
3
\par}{\phpg\posx4375\pvpg\posy8890\absw386\absh1984 \sl-369 \f20 \fs26 \cf0 14
\par}{\phpg\posx4375\pvpg\posy8890\absw386\absh1984 \sl-369 \f20 \fs26 \cf0 18 \
par
}
\cf0 Values (D {\dn006 \fs23 t}{\fs23 ) }\par
}
\cf0 6.36
9 7.51
9 5.43
9 3.76
9 4.30
9 7.02
0 \fs16 (CMA) }\par
}
6 \cf0 10.03
196 11.46
196 7.93
196 4.73
196 4.84
196 8.45
10 \fs16 for}{\f10 \fs16
each }\par
}
\par}{\phpg\posx3019\pvpg\posy8890\absw201\absh1984 \sl-369 \f20 \fs26 \cf0 6 \p
ar
}
\par}{\phpg\posx5051\pvpg\posy8890\absw386\absh658 \sl-369 \f20 \fs26 \cf0 20 \p
ar
}
{\phpg\posx2212\pvpg\posy11091\absw828\absh208 \f10 \fs16 \cf0 \f10 \fs16 \cf0 C
ompute \par
}
hen \par
}
\cf0 CMA{\i0 (}{\i0 6}{\i0 )}{\i0 \f40 =}{\i0
( }\par
}
\cf0 t \par
}
\par
}
\par}{\phpg\posx3695\pvpg\posy8890\absw758\absh2497
06 {\f10 \fs16 the }
9 {\fs28 1}{\i \fs28 D }\par
}
{\phpg\posx4442\pvpg\posy11091\absw773\absh208 \f10
entered \par
}
\sl-369
\sl-367
\sl-369
\sl-367
\sl-369
\sl-259
\f20
\f20
\f20
\f20
\f20
\f20
\fs26
\fs26
\fs26
\fs26
\fs26
\fs26
\cf0
\cf0
\cf0
\cf0
\cf0
\cf0
8
9
10
11
12
\fi2
\sl-304 \f20 \fs26 \cf0 \fi6

\fs16 \cf0 \f10 \fs16 \cf0 c
{\phpg\posx5452\pvpg\posy11091\absw655\absh208 \f10 \fs16 \cf0 \f10 \fs16 \cf0 m

oving \par
}
\cf0 2.93
1 4.19
1 3.27
1 2.82
1 3.13
1 4.62
0 \fs16 average }\par
}
.11
\par
}
ime \par
}
{\f40 \fs28 + }\par
}
. \par
}
\cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 3 }
\par}{\phpg\posx4319\pvpg\posy11367\absw446\absh670 \sl-364 \i \f20 \fs25 \cf0 \
fi23 {\i0 \fs28 2 }\par
}
{\i \f20 D }
5 2 }\par
}
{\i \f20 D }
5 1 }\par
}
+{\i \f20 D} +{\i \f20 D }\par
}
\cf0 t \par
}
\cf0 t{\i0 \f40 +}{\i0 1 }\par
}
{\i \f20 D }\par
}
\cf0 t{\i0 \f40 + }\par
}
\cf0 D{\i0 \f40 \fs25 +}{\i0 \fs25 3t }\par
}
\par
}
) \par
}
The goal is here double. By summing over a set of values, we first hope to get r
id of the errors
40 \fs16 {\field{\*\fldinst SYMBOL 101 \\f Symbol }}}(t). This principle was
already used in the MA method. Second, by summing over exactly a
\par}{\phpg\posx2212\pvpg\posy12042\absw7820\absh993 \sl-213 \f10 \fs16 \cf0 cyc
le (that is, T values), we sum approximately equal (a+bt) values with
each a different
\par}{\phpg\posx2212\pvpg\posy12042\absw7820\absh993 \sl-213 \f10 \fs16 \cf0 sea
sonal coefficient. But this sum is by assumption equal to a constant
(T). Dividing by T
\par}{\phpg\posx2212\pvpg\posy12042\absw7820\absh993 \sl-213 \f10 \fs16 \cf0 lea
ds thus to the average value at time t:, that is, (a + b t). \par
}
Prod 2100-2110 \par
}
}
7 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 Seasonal times series : CMA \par
}
ere is the kind of expression we used. \par
}
\cf0 CMA{\i0 (}T{\i0 )}{\i0 \f40 {\field{\*\fldinst SYMBOL 187 \\f Symbol }} }
fi1187 {\fs26 t }\par
}
cf0 1
\par}{\phpg\posx3897\pvpg\posy2095\absw256\absh788 \sl-470 \f20 \fs30 \cf0 {\i T
}\par
}
\cf0 {\f63 \u402\'3f}
\par}{\phpg\posx4204\pvpg\posy2327\absw779\absh660 \sl-338 \f10 \fs30 \cf0 {\i \
f20 \fs26 cycle }\par
}
{\phpg\posx5023\pvpg\posy2277\absw2293\absh462 \f20 \fs30 \cf0 \f20 \fs30 \cf0 (
{\i a}{\f40 +}{\i bt}){\i c }
228 {\i \fs26 t}{\fs26 mod}{\i \fs26 T }\par
}
{\fs32 {\field{\*\fldinst SYMBOL 101 \\f Symbol }} }{\i\dn006 \f20 \fs26 t} {\
field{\*\fldinst SYMBOL 187 \\f Symbol }}{\f20 (}{\i \f20 a} +{\i \f20 bt}{\f2
0 ) }\par
}
he CMA values can thus be seen as rough estimates of the real deman
d without seasonal
\par}{\phpg\posx2212\pvpg\posy3070\absw7841\absh787 \sl-213 \f10 \fs16 \cf0 vari
ation. Note that these moving averages must be centered to reduce bias.
\par}{\phpg\posx2212\pvpg\posy3070\absw7841\absh787 \sl-213 \f10 \fs16 \cf0 Prac
tically, the centered mean average for the first Thursday is obtained
by adding to the
\par}{\phpg\posx2212\pvpg\posy3070\absw7841\absh787 \sl-215 \f10 \fs16 \cf0 dema
nd of this day, the demand of the previous and next days up to a cycle length. \
par
}
\cf0 Values D{\dn006 \fs23 t }\par
}

.36
\par
}
10.03 13.11
46 14.56
3
3
4
5 \par
}
\cf0 CMA(6){\fs23 t }\par
}
.06
\par
}
.50
75 * \par
}
.93

\par
}
{\phpg\posx6242\pvpg\posy4305\absw655\absh1984 \f20
\cf0 *
75 *
75 *
\sl-367 \f20 \fs26 \cf0 4.62

\fs26 \cf0 \fi275 \f20 \fs26
\sl-367 \f20 \fs26 \cf0 \fi2
\sl-369 \f20 \fs26 \cf0 \fi2
\sl-367 \f20 \fs26 \cf0 3.78

\par
}
{\phpg\posx9242\pvpg\posy4305\absw201\absh657 \f20 \fs26 \cf0 \f20 \fs26 \cf0 *
\par}{\phpg\posx9242\pvpg\posy4305\absw201\absh657 \sl-367 \f20 \fs26 \cf0 * \pa
r
}
.00
\par}{\phpg\posx2954\pvpg\posy7135\absw381\absh950 \sl-221 \par\f10 \fs12 \cf0 1
4.00
2.00 \par
}
{\sp{\sn txflTextFlow}{\sv 2}}}{\shptxt \b \f10 \fs21 \cf0 d{\b0\dn006 \fs12 1
0.00 }\par}}

.00
6.00
4.00
2.00
0.00 \par
}
ta
\par}{\phpg\posx4826\pvpg\posy7678\absw508\absh453 \sl-166 \par\f10 \fs12 \cf0 C
MA(6) \par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
0 \par
}
1 \par
}
2 \par
}
3 \par
}
4 \par
}
5 \par
}
6 \par
}
7 \par
}
8 \par
}
9 \par
}
0 \par
}
{\phpg\posx2212\pvpg\posy11234\absw7821\absh1923 \b \f10 \fs22 \cf0 \fi4197 \b \
f10 \fs22 \cf0 days
\par}{\phpg\posx2212\pvpg\posy11234\absw7821\absh1923 \sl-257 \par\par\b \f10 \f
s22 \cf0 {\b0 \fs16 Since,}{\b0 \fs16 D}{\b0 \fs16 t}{\b0 \f40 \fs16 {\fiel
d{\*\fldinst SYMBOL 187 \\f Symbol }}}{\b0 \fs16 (a}{\b0 \fs16 +}{\b0 \fs16
b}{\b0 \fs16 t}{\b0 \fs16 )}{\b0 \fs16 *}{\b0 \fs16 c}{\b0 \fs16 t}{\
b0 \fs16 and}{\b0 \fs16 CMA }{\b0 \fs16 t}{\b0 \f40 \fs16 {\field{\*\fldi
nst SYMBOL 187 \\f Symbol }}}{\b0 \fs16 (a}{\b0 \fs16 +}{\b0 \fs16 b}{\b0
\fs16 t}{\b0 \fs16 ),}{\b0 \fs16 the}{\b0 \fs16 ratio}{\b0 \fs16 betwe
en}{\b0 \fs16 the}{\b0 \fs16 observation}{\b0 \fs16 and}{\b0 \fs16 CMA }
{\b0 \fs16 gives}{\b0 \fs16 therefore}{\b0 \fs16 an}{\b0 \fs16 idea}{\b0
\fs16 of}{\b0 \fs16 the}{\b0 \fs16 seasonal}{\b0 \fs16 coefficient}{\b0
\fs16 c }{\b0 \fs16 t}{\b0 \fs16 .}{\b0 \fs16 In}{\b0 \fs16 fact,}{\b0 \f
s16 we}{\b0 \fs16 can}{\b0 \fs16 compute}{\b0 \fs16 this}{\b0 \fs16 ra
tio}{\b0 \fs16 for }
{\b0 \fs16 each}{\b0 \fs16 period.}{\b0 \fs16 In}{\b0 \fs16 our}{\b0 \fs16
example,}{\b0 \fs16 we}{\b0 \fs16 will}{\b0 \fs16 obtain}{\b0 \fs16 values}
{\b0 \fs16 for}{\b0 \fs16 c}{\b0 \fs16 4}{\b0 \fs16 ,}{\b0 \fs16 c}{\b0 \fs1
6 10}{\b0 \fs16 ,}{\b0 \fs16 c}{\b0 \fs16 16 }{\b0 \fs16 .}{\b0 \fs16 Howeve
r,}{\b0 \fs16 all}{\b0 \fs16 these}{\b0 \fs16 values }
{\b0 \fs16 correspond}{\b0 \fs16 to}{\b0 \fs16 the}{\b0 \fs16 season}{\b0
\fs16 number}{\b0 \fs16 4}{\b0 \fs16 (Thursday,}{\b0 \fs16 for}{\b0 \fs
16 example).}{\b0 \fs16 The}{\b0 \fs16 question}{\b0 \fs16 is}{\b0 \fs16
then,}{\b0 \fs16 which }
{\b0 \fs16 value}{\b0 \fs16 should}{\b0 \fs16 we}{\b0 \fs16 choose}{\b0 \
fs16 for}{\b0 \fs16 the}{\b0 \fs16 seasonal}{\b0 \fs16 coefficient}{\b0

\fs16 corresponding}{\b0 \fs16 to}{\b0 \fs16 Thursday.}{\b0 \fs16 The}{\
b0 \fs16 answer }
{\b0 \fs16 is:}{\b0 \fs16 the}{\b0 \fs16 normalized}{\b0 \fs16 average.}{\
b0 \fs16 We}{\b0 \fs16 take}{\b0 \fs16 the}{\b0 \fs16 average}{\b0 \fs16
over}{\b0 \fs16 all}{\b0 \fs16 the}{\b0 \fs16 values}{\b0 \fs16 we}{\b0
\fs16 have:}{\b0 \fs16 1/3}{\b0 \fs16 (}{\b0 \fs16 c }{\b0 \fs16 4}{\b0 \
fs16 +}{\b0 \fs16 c}{\b0 \fs16 10}{\b0 \fs16 + }\par
}
{\phpg\posx2212\pvpg\posy13297\absw345\absh258 \f10 \fs16 \cf0 \f10 \fs16 \cf0 c
16 \par
}
). These are the Avg(t) values below. \par
}
Prod 2100-2110 \par
}
}
8 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
}
\cf0 D {\dn006 \fs23 t}/CMA(6){\fs23 t}{\b0 \f10
}
Avg{\dn006 \fs2
3 t }\par
}
.26
\par
}
.34
\par
}
.30
\par
}
}\f10 \fs26 \cf0 \par
}
{\phpg\posx2891\pvpg\posy3621\absw655\absh990 \f20 \fs26 \cf0 \f20 \fs26 \cf0 0.
75
\par
}
\fs26 \cf0 c{\fs23 t }
\par}{\phpg\posx8188\pvpg\posy2130\absw655\absh2690 \sl-321 \b \f20 \fs26 \cf0 {
\b0 \fs26 1.29 }

\b0 \fs26 1.46 }
\b0 \fs26 0.99 }
\b0 \fs26 0.65 }
\b0 \fs26 0.64 }
\b0 \fs26 0.97 }
\b0 \fs26 6.00 }\par
}
\cf0 c{\fs23 1 }
\par}{\phpg\posx9566\pvpg\posy2512\absw349\absh2049 \sl-369 \b \f20 \fs26 \cf0 c
{\fs23 2 }
{\fs23 3 }
{\fs23 4 }
{\fs23 5 }
{\fs23 0 }\par
}
e still normalize these average (here to T=6) since we want the seasonal coeffic
ient to sum
\par}{\phpg\posx2212\pvpg\posy5146\absw7820\absh787 \sl-213 \f10 \fs16 \cf0 up t
o the cycle length. To understand the need for this last normalization, assume
you have a
\par}{\phpg\posx2212\pvpg\posy5146\absw7820\absh787 \sl-215 \f10 \fs16 \cf0 cycl
e of length 2 and you found (avg(0)=1.8 and avg(1)=0.6).
\par}{\phpg\posx2212\pvpg\posy5146\absw7820\absh787 \sl-213 \f10 \fs16 \cf0 Here
are the formulas you use to compute these seasonal coefficients. \par
}
\cf0 Avg{\i0 \f40 \fs26 = }
fi465 {\fs23 t }\par
}
cf0 c{\dn006 \fs23 t }\par
}
\par}{\phpg\posx4567\pvpg\posy6071\absw206\absh702 \sl-419 \f20 \fs26 \cf0 {\i k
}\par
}
\cf0 k{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 1 }
fi76 {\i0 \f10 \fs30 {\f63 \u402\'3f}}{\fs26
D}{\i0\dn006 \f40 + }\par
}
cf0 i{\i0 \f40 =}{\i0 0 }
i0 \f10 \fs26 {\field{\*\fldinst SYMBOL 187 \\f Symbol }} }\par
}

\fs23 \cf0 t i{\i0 *}T
f0 T{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 1 }\par
}
{\phpg\posx6655\pvpg\posy6263\absw1428\absh962 \f20 \fs26 \cf0 \f20 \fs26 \cf0 /
{\i CMA}(T)
\fi242 {\f10 \fs26 ' }\par
}
cf0 t{\i0 \f40 +}i{\i0 *}T \par
}
{\i \f20 \fs26 Avg }{\i\dn006 \f20 \fs23 t}{\f20 \fs26 *}{\f10 \fs26 }{\i \f2
0 \fs26 T}{\f20 \fs26 /}{\f10 \fs30 {\f63 \u402\'3f}}{\i \f20 \fs26
Avg
}{\i\dn006 \f20 \fs23 i}{\f10 \fs26 }\par
}
{\phpg\posx5042\pvpg\posy7511\absw220\absh277 \f10 \fs26 \cf0 \f10 \fs26 \cf0 \p
ar
}
cf0 i{\i0 \f40 =}{\i0 0 }\par
}
f63 \u9674\'3f} \par
}
{\phpg\posx2212\pvpg\posy7926\absw7886\absh789 \f10 \fs16 \cf0 \f10 \fs16 \cf0 N
ow we have estimated all the seasonal coefficients. The next step con
sists in extracting
\par}{\phpg\posx2212\pvpg\posy7926\absw7886\absh789 \sl-215 \f10 \fs16 \cf0 thes
e coefficients from the observed data in order to get deseasonalized
observations. Each
\par}{\phpg\posx2212\pvpg\posy7926\absw7886\absh789 \sl-213 \f10 \fs16 \cf0 obse
rvation corresponds to a season and is thus divided by the correspond
ing seasonal
\par}{\phpg\posx2212\pvpg\posy7926\absw7886\absh789 \sl-215 \f10 \fs16 \cf0 coef
ficient. \par
}
Prod 2100-2110 \par
}
}
9 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
}
Now we proceed with the final steps of the method.
20 \fs30 3.}{\f20 \fs30 Deseasonalize}{\f20 \fs30 the}{\f20 \fs30 data }
Since we think that D t{\f40 \fs16 {\field{\*\fldinst SYMBOL 187 \\f Sym
bol }}} (a + b t ) * c t, by dividing by c t, we should obtain the
term (a + b t),
\par}{\phpg\posx2212\pvpg\posy1911\absw7820\absh1541 \sl-168 \f10 \fs16 \cf0 tha
t is, a line of deseasonalized observations. Here are the values we obtain.
734 {\b \f20 \fs26 Deseasonalized}{\b \f20 \fs26 Values}{\b \f20 \fs26 D}{\b \
f20 \fs30 /c }\par
}
.27
\par
}
.93

\par
}
.78
\par
}
\fs23 \cf0 t
t
\par}{\phpg\posx5973\pvpg\posy3310\absw829\absh920 \sl-316 \b \f20 \fs23 \cf0 {\
b0 \fs26 10.16 }
\par}{\phpg\posx5973\pvpg\posy3310\absw829\absh920 \sl-367 \b \f20 \fs23 \cf0 \f
i151 {\b0 \fs26 9.97 }\par
}
6.00
14.00
12.00
10.00
\fi86 8.00
\fi86 6.00
\fi86 4.00
\fi86 2.00
\fi86 0.00 \par
}
ta
\par}{\phpg\posx4670\pvpg\posy6793\absw780\absh749 \sl-165 \par\f10 \fs12 \cf0 C
MA(6)
\par}{\phpg\posx4670\pvpg\posy6793\absw780\absh749 \sl-165 \par\f10 \fs12 \cf0 D
eseasoned \par
}

{\phpg\posx3436\pvpg\posy10201\absw91\absh153 \f10 \fs12 \cf0 \f10 \fs12
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\cf0 1
\cf0 2
\cf0 3
\cf0 4
\cf0 5
\cf0 6
\cf0 7
\cf0 8

\par
}
0 \par
}
1 \par
}
2 \par
}
3 \par
}
4 \par
}
5 \par
}
6 \par
}
7 \par
}
8 \par
}
9 \par
}
0 \par
}
. \par
}
{\phpg\posx2891\pvpg\posy10505\absw4200\absh850 \b \f10 \fs22 \cf0 \fi3494 \b \f
10 \fs22 \cf0 days
cf0 {\b0 \f20 \fs30 Compute}{\b0 \f20 \fs30 the}{\b0 \f20 \fs30 trends:}{\b0\i
\f20 \fs30 a}{\b0 \f20 \fs30 and}{\b0\i \f20 \fs30 b }\par
}
The trend can be computed by a linear regression or by a double exponential smoo
thing. \par
}
5.
Make forecast: \par
}
\cf0 DF {\i0\dn006 \fs26 21}{\i0 \f40 =}{\i0 10}{\i0 .}{\i0 4 }\par
}
We determine then a new deseasonalized forecast (a+bt) and then, the seasonal c
oefficient is
\par}{\phpg\posx2212\pvpg\posy12075\absw7819\absh1230 \sl-215 \f10 \fs16 \cf0 in
troduced.

f20 \fs30 6.}{\f20 \fs30
introduce}{\f20 \fs30 seasonal}{\f20 \fs30 coeff
icient: }
i4096 {\i \f20 \fs30 F}{\dn006 \f20 \fs26 21}{\f40 \fs30 =}{\f20 \fs30 10}{\f2
0 \fs30 .}{\f20 \fs30 4}{\f20 \fs30 *}{\i \f20 \fs30 c }{\dn006 \f20 \fs26 3}
{\f40 \fs30 =}{\f20 \fs30 10}{\f20 \fs30 .}{\f20 \fs30 3 }\par
}
Prod 2100-2110 \par
}
}
0 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 6.2 Winters' Method \par
}
The method here consists in a triple exponential smoothing by which all the mode
l parameters
\par}{\phpg\posx2212\pvpg\posy1911\absw7856\absh1368 \sl-215 \f10 \fs16 \cf0 (a,

b and the c's) are updated when a new observation is obtained. We also
assume that the
\par}{\phpg\posx2212\pvpg\posy1911\absw7856\absh1368 \sl-213 \f10 \fs16 \cf0 cyc
le length has been previously determined. The model parameters "a" and "
b" are updated
\par}{\phpg\posx2212\pvpg\posy1911\absw7856\absh1368 \sl-215 \f10 \fs16 \cf0 as
with the double exponential smoothing, except that the observation is first des
easonalized.
third
equation
updates
the
corresponding
seasonal
coeffici
ent.
There
again,
a
\par}{\phpg\posx2212\pvpg\posy1911\absw7856\absh1368 \sl-215 \f10 \fs16 \cf0 com
promise is made between the previous value of the seasonal coefficient and the o
bserved
\par}{\phpg\posx2212\pvpg\posy1911\absw7856\absh1368 \sl-213 \f10 \fs16 \cf0 coe
fficient. \par
}
){\i \fs30 a }{\i\dn006 \fs26 t}{\f40 \fs30 =}{\f40 \fs31 {\field{\*\fldinst
SYMBOL 97 \\f Symbol }}}{\fs30 (}{\i \fs30 D }{\i \fs26 t}{\fs30 /}{\i \fs30
c }{\i \fs26 t}{\fs26 mod}{\i \fs26 T}{\fs30 )}{\f40 \fs30 + }\par
}
1{\f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\f40 \fs31 {\field{\*\fldi
nst SYMBOL 97 \\f Symbol }}})({\i a }\par
}
cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 1 }\par
}
\i \f20 b }\par
}
cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 \fs30 )1 }\par
}
s in Holt's method, except{\i D }{\i\dn006 \fs26 t}{\f40 {\field{\*\fldinst S
YMBOL 174 \\f Symbol }}} ({\i D }{\i \fs26 t} /{\i c }\par
}
\cf0 t{\i0 mod} T{\i0 \fs30 ) }\par
}
){\i b }{\i\dn006 \fs26 t}{\f40 =}{\f40 \fs31 {\field{\*\fldinst SYMBOL 98 \
\f Symbol }}} ({\i a }{\i \fs26 t}{\f40 {\field{\*\fldinst SYMBOL 45 \\f Symbo
l }}}{\i a }\par
}
cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 \fs30 )}{\i0 \f
40 \fs30 +1 }\par
}
1{\f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\f40 \fs31 {\field{\*\fldi
nst SYMBOL 98 \\f Symbol }}}){\i b }\par
}
cf0 t{\i0 \f40 {\field{\*\fldinst SYMBOL 45 \\f Symbol }}}{\i0 1 }\par
}
s in Holt's method \par

}
){\i c }
99 {\i \fs26 t}{\fs26 mod}{\i \fs26 T }\par
}
he forecast is determined as usually. \par
}
orecast :{\i F}{\dn006 \fs26 , }\par
}
cf0 t t{\i0 \f40 +}{\i0 \f40 \fs28 {\field{\*\fldinst SYMBOL 116 \\f Symbol }} }
\par
}
{\f20 \fs30 (}{\i \f20 a }{\i \f20 \fs26 t} +{\fs32 {\field{\*\fldinst SYMBOL
116 \\f Symbol }}}{\i \f20 b }{\i \f20 \fs26 t}{\f20 \fs30 )}{\i \f20 c}{\f
s26 + }\par
}
{\fs31 {\field{\*\fldinst SYMBOL 103 \\f Symbol }}}{\f20 (}{\i \f20 D }{\i\dn0
06 \f20 \fs26 t}{\f20 /}{\i \f20 a }{\i \f20 \fs26 t}{\f20 )} +{\f20 (}{\f
20 1}{\field{\*\fldinst SYMBOL 45 \\f Symbol }}{\fs31 {\field{\*\fldinst SYMBOL
103 \\f Symbol }}}{\f20 )}{\i \f20 c }\par
}
\fs26 \cf0 t{\i0 mod} T
f0 t{\i0 \f40 \fs28
{\field{\*\fldinst SYMBOL 116 \\f Symbol }}}{\i0 mod} T
\par
}
irst, the trends is used to determine the deseasonalized forecas
t (a + b t). Then, the
\par}{\phpg\posx2212\pvpg\posy6716\absw7820\absh789 \sl-215 \f10 \fs16 \cf0 adeq
uate seasonal coefficient is introduced.
below is a plot of the forecast made daily using the Winter 's met
hod. We can observe
\par}{\phpg\posx2212\pvpg\posy6716\absw7820\absh789 \sl-215 \f10 \fs16 \cf0 that
the trend is adequate but that the seasonal coefficients are not yet adequate.
\par
}
.00
4.00
2.00 \par
}
{\sp{\sn txflTextFlow}{\sv 2}}}{\shptxt \b \f10 \fs21 \cf0 d{\b0\dn006 \fs12 1
0.00 }\par}}
.00
6.00
4.00
2.00
0.00 \par
}
ta
\par}{\phpg\posx4795\pvpg\posy8513\absw563\absh451 \sl-165 \par\f10 \fs12 \cf0 f
orecast \par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
\par
}
9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26
919 {\b \fs22 days }\par
}
Comparison: CMA - 3ES
10 \fs16 The}{\f10 \fs16 comments}{\f10 \fs16 on}{\f10 \fs16 the}{\f10 \fs16
comparison}{\f10 \fs16 LR}{\f10 \fs16 -}{\f10 \fs16 2ES}{\f10 \fs16 apply}{
\f10 \fs16 here}{\f10 \fs16 similarly}{\f10 \fs16 and}{\f10 \fs16 are}{\f10
\fs16 left}{\f10 \fs16 as}{\f10 \fs16 an}{\f10 \fs16 exercise. }\par
}
Prod 2100-2110 \par
}
}
1 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
\fs40 \cf0 7. Evaluation of Forecast \par
}
ere we try to determine whether the forecast is good, that is accurate and not b
iased.
\par}{\phpg\posx2212\pvpg\posy1945\absw7163\absh975 \sl-213 \f10 \fs16 \cf0 Ther
e are two usual ways of measuring the accuracy of the forecasts.
\fs39 \bullet }{\fs30 }{\f20 \fs30
Mean}{\f20 \fs30 Absolute}{\f20 \fs30 D
eviation }
we compute the average absolute deviation. \par
}
AD = \par
}
\par}{\phpg\posx4070\pvpg\posy3053\absw227\absh788 \sl-470 \f20 \fs30 \cf0 {\i \
fs30 n }\par
}
{\phpg\posx4475\pvpg\posy2993\absw965\absh612 \i \f20 \fs26 \cf0 \fi45 \i \f20 \
fs26 \cf0 n
i0 \f10 \fs30 {\f63 \u402\'3f}}{\i0 \fs30
|}{\fs30 e}{\i0 \fs30 | }\par
}
cf0 t \par
}
cf0 t{\i0 \f40 =}{\i0 1 }\par
}
he following result is extremely useful since it allows to determine
the variation of the error
\par}{\phpg\posx2212\pvpg\posy3970\absw7819\absh403 \sl-215 \f10 \fs16 \cf0 proc
ess from the measure of the MAD. \par
}
{\phpg\posx2891\pvpg\posy4402\absw3123\absh445 \f20 \fs30 \cf0 \f20 \fs30 \cf0 i
f{\i \fs30 e}{\i\dn006 \fs23 t} is N(0,{\f40 \fs30 {\field{\*\fldinst SYMBO
L 115 \\f Symbol }}}), then \par
}
\field{\*\fldinst SYMBOL 115 \\f Symbol }} {\field{\*\fldinst SYMBOL 187 \\f Sym
bol }}{\f20 \fs30 1.25}{\f20 \fs30 MAD }\par
}
or example, if we measure an MAD value of 8 units, we could derive
that the error process
\par}{\phpg\posx2212\pvpg\posy4822\absw7859\absh966 \sl-227 \f10 \fs16 \cf0 has
a standard deviation{\f40 \fs16 {\field{\*\fldinst SYMBOL 115 \\f Symbol }}
} equal to 10 units. The probability that the demand exceeds the
\par}{\phpg\posx2212\pvpg\posy4822\absw7859\absh966 \sl-215 \f10 \fs16 \cf0 fore
cast by 20 units is then 0.023.
79 {\f20 \fs30 Example }\par
}
0 \cf0 F{\dn006 \fs26 t }
676 MAD
0\fs39 \bullet }{\f10 \fs30 }{\f40 \fs30
{\field{\*\fldinst SYMBOL 115 \\f S
ymbol }} }\par
}
120
\par}{\phpg\posx4924\pvpg\posy5885\absw925\absh1107 \sl-398 \f20 \fs30 \cf0 = 8
\par}{\phpg\posx4924\pvpg\posy5885\absw925\absh1107 \sl-422 \f20 \fs30 \cf0 = 10
\par
}
{\phpg\posx6280\pvpg\posy5885\absw763\absh1107 \f20 \fs30 \cf0 \f20 \fs30 \cf0 u
nits
\par}{\phpg\posx6280\pvpg\posy5885\absw763\absh1107 \sl-398 \f20 \fs30 \cf0 unit
s
\par}{\phpg\posx6280\pvpg\posy5885\absw763\absh1107 \sl-422 \f20 \fs30 \cf0 unit
s \par
}
We can thus argue that the forecast is correct (equal to 120) up to
an error term which is
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-227 \f10 \fs16 \cf0 dis
tributed as a normal with mean 0 and standard deviation{\f40 \fs16 {\
field{\*\fldinst SYMBOL 115 \\f Symbol }}}. We can then derive the
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-213 \f10 \fs16 \cf0 pro
bability that the demand falls within some confidence interval.
1356 {\f20 \fs30 Prob[F }{\dn006 \f20 \fs26 t}{\f20 \fs30 -}{\f20 \fs30 2}{\f
40 \fs30 {\field{\*\fldinst SYMBOL 115 \\f Symbol }}}{\f20 \fs30 <}{\f20 \fs30
D }{\f20 \fs26 t}{\f20 \fs30 <}{\f20 \fs30 F}{\f20 \fs26 t}{\f20 \fs30 -}
{\f20 \fs30 2}{\f40 \fs30 {\field{\*\fldinst SYMBOL 115 \\f Symbol }}}{\f20 \f
s30 ]}{\f20 \fs30 =}{\f20 \fs30 0.95 }
679 {\f0\fs39 \bullet }{\fs30 }{\f20 \fs30
95}{\f20 \fs30 percent}{\f20 \fs
30 confidence}{\f20 \fs30 interval}{\f20 \fs30 =}{\f20 \fs30 [100}{\f20 \fs3
0 -}{\f20 \fs30 140] }
\fi1336 {\b \f20 \fs30 Valid}{\b \f20 \fs30 method}{\b \f20 \fs30 if}{\b \f20
\fs30 the}{\b \f20 \fs30 errors}{\b \f20 \fs30 and}{\b \f20 \fs30 the }
1336 {\b \f20 \fs30 previsions}{\b \f20 \fs30 are}{\b \f20 \fs30 made}{\b \f20
\fs30 in}{\b \f20 \fs30 the}{\b \f20 \fs30 same}{\b \f20 \fs30 way }
This means that if the errors are mesasured by comparing the real demand and th
e forecasts
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-213 \f10 \fs16 \cf0 mad

e two days before, then we can build a confidence interval for a fore
cast made today for
demand in two days.
Note that the MAD is sometimes computed by using an exponential smoothing proce
ss.
0\fs39 \bullet }{\fs30 }{\f20 \fs30
Tracking}{\f20 \fs30 Signal }
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-259 \f10 \fs16 \cf0 If
your forecasting method is correct you should overestimate and underestimate
the demand
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-215 \f10 \fs16 \cf0 rat
her regularly. If your method is biased, then you will repetitively u
nder (or over-) estimate
demand. The tracking signal aims at checking whether there is some bias or not.
679 {\f20 \fs30 TSE}{\f20 \fs30 =}{\fs30 {\f63 \u402\'3f}}{\i \f20 \fs30 e }{\
i\dn006 \f20 \fs26 t}{\f20 \fs30 /}{\i \f20 \fs30 MAD }
1728 {\i \f20 \fs26 t }
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-211 \f10 \fs16 \cf0 It
simply consists in summing the error over time. Theoretically, if the
re is no bias, this sum
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-215 \f10 \fs16 \cf0 sho
uld remain close to zero. The division by the MAD aims at measuring the distance
from the
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-213 \f10 \fs16 \cf0 mea
n (here, 0) in terms of MAD. We can plot the tracking signal over
time for checking
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-215 \f10 \fs16 \cf0 pur
pose. We could also decide the limits it should not exceed. Typical
values are a few
\par}{\phpg\posx2212\pvpg\posy7098\absw7861\absh5911 \sl-213 \f10 \fs16 \cf0 sta
ndard deviations. \par
}
Prod 2100-2110 \par
}
}
2 \par
}
ffd8ffe000104a46494600010100000100010000ffdb004300010101010101010101010101010101
01010101010101010101010101010101010101010101010101010101010101010101010101010101
010101010101010101ffdb0043010101010101010101010101010101010101010101010101010101
0101010101010101010101010101010101010101010101010101010101010101010101010101ffc0
0011080318026403012200021101031101ffc4001f00000105010101010101000000000000000001
02030405060708090a0bffc400b5100002010303020403050504040000017d010203000411051221
31410613516107227114328191a1082342b1c11552d1f02433627282090a161718191a2526272829
2a3435363738393a434445464748494a535455565758595a636465666768696a737475767778797a
0101010101010101010000000000000102030405060708090a0bffc400b511000201020404030407
05040400010277000102031104052131061241510761711322328108144291a1b1c109233352f015
6272d10a162434e125f11718191a262728292a35363738393a434445464748494a53545556575859
5a636465666768696a737475767778797a82838485868788898a92939495969798999aa2a3a4a5a6
0 \fs40 \cf0 8. Other Methods
cf0 {\b0 \fs30 Causal}{\b0 \fs30 Relationship: }
cf0 \fi679 {\b0 \fs30 Multiple}{\b0 \fs30 Regression}{\b0 \fs30 Analysis }\par
}
The idea is that your forecast could be determined by several variabl
es (x, y and z). If we
\par}{\phpg\posx2212\pvpg\posy3351\absw7820\absh4109 \sl-215 \f10 \fs16 \cf0 kno
w them in advance we could make some forecasts. The coefficients (X,
Y and Z) are
\par}{\phpg\posx2212\pvpg\posy3351\absw7820\absh4109 \sl-213 \f10 \fs16 \cf0 det
ermined by a regression on the past data.
708 {\i \f20 \fs30 F}{\i\dn006 \f20 \fs26 t}{\f40 \fs30 =}{\f40 \fs32 }{\f40 \f
s30 +}{\i \f20 \fs30 Xx}{\i\dn006 \f20 \fs26 t}{\f40 \fs30 +}{\i \f20 \fs30
Yy}{\i \f20 \fs26 t}{\f40 \fs30 +}{\i \f20 \fs30 Zz}{\i \f20 \fs26 t }
{\f20 \fs30 Focus}{\f20 \fs30 Forecasting}{\f20 \fs30 (B.}{\f20 \fs30 Smith)
}
principle here is very intuitive. Ask the salesman how he derives h
is forecast (a rule).
\par}{\phpg\posx2212\pvpg\posy3351\absw7820\absh4109 \sl-213 \f10 \fs16 \cf0 Che
ck whether it would have worked on the past data. If it
would, then use it for the
\par}{\phpg\posx2212\pvpg\posy3351\absw7820\absh4109 \sl-215 \f10 \fs16 \cf0 sub
sequent forecasts.
0\fs39 \bullet }{\fs30 }{\f20 \fs30
Try}{\f20 \fs30 a}{\f20 \fs30 rule}{\f
20 \fs30 on}{\f20 \fs30 the}{\f20 \fs30 past}{\f20 \fs30 data. }
679 {\f20 \fs30 If}{\f20 \fs30 it}{\f20 \fs30 worked}{\f20 \fs30 well,}{\f20
\fs30 then}{\f20 \fs30 it}{\f20 \fs30 will}{\f20 \fs30 still}{\f20 \fs30 wo

rk}{\f20 \fs30 ... }
{\b \f20 \fs40 9.}{\b \f20 \fs40 Which}{\b \f20 \fs40 method}{\b \f20 \fs40
to}{\b \f20 \fs40 use}{\b \f20 \fs40 ? }\par
}
epends on: \par
}
}\f40 \fs16 \cf0 \par
}
{\phpg\posx4924\pvpg\posy8109\absw1680\absh368 \f20 \fs30 \cf0 \f20 \fs30 \cf0 o
bservation \par
}
f you have few observations, it will be difficult to define a detailed
model. A linear regression
computing the trends requires at least 10 observations to be valid.
If you have some
\par}{\phpg\posx2212\pvpg\posy8502\absw7820\absh789 \sl-213 \f10 \fs16 \cf0 seas
onal variation, 3 or 4 cycles of observations are necessary for your
model to start being
\par}{\phpg\posx2212\pvpg\posy8502\absw7820\absh789 \sl-215 \f10 \fs16 \cf0 effe
ctive. \par
}
epends on: \par
}
}\f40 \fs16 \cf0 \par
}
ime horizon \par
}
he time horizon is also important. Do you want to make a forecast for tomorrow,
next month,
\par}{\phpg\posx2212\pvpg\posy9759\absw7898\absh982 \sl-213 \f10 \fs16 \cf0 next
year or the next 5 years ? How does the demand process vary with respect
to your time
\par}{\phpg\posx2212\pvpg\posy9759\absw7898\absh982 \sl-215 \f10 \fs16 \cf0 hori
zon ? Linear regressions (and causal relationship methods) seem
for example more
\par}{\phpg\posx2212\pvpg\posy9759\absw7898\absh982 \sl-213 \f10 \fs16 \cf0 robu
st for long term forecast. In any case, the observations on which you base your
forecast is
\par}{\phpg\posx2212\pvpg\posy9759\absw7898\absh982 \sl-215 \f10 \fs16 \cf0 a di
rect indicator of the horizon range for which your forecast is valid. \par
}
depends on: \par
}
}\f40 \fs16 \cf0 \par
}
the MAD observed \par
}

If sufficient data are available, you could use the 3 fourths of you
r observations to set the
\par}{\phpg\posx2212\pvpg\posy11230\absw7826\absh787 \sl-213 \f10 \fs16 \cf0 par
ameters of your model and then, use the last fourth of observation
s to compare the
ecasts of your model with what really happened. Comparing the errors (the MAD
) made by
\par}{\phpg\posx2212\pvpg\posy11230\absw7826\absh787 \sl-213 \f10 \fs16 \cf0 dif
ferent methods (and/or by different models) provides an immediate selection cr
iterion. \par
}
depends on: \par
}
}\f40 \fs16 \cf0 \par
}
complexity \par
}
Finally, the amount of energy to spend for the forecasting process plays also a
role too.
20 \fs30 But}{\f20 \fs30 do}{\f20 \fs30 not}{\f20 \fs30 forget}{\f20 \fs30 t
he}{\f20 \fs30 characteristics}{\f20 \fs30 of}{\f20 \fs30 forecasts}{\f20 \fs
30 (page}{\f20 \fs30 2) }\par
}
Prod 2100-2110 \par
}
}
3 \par
}
}

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