Professional Documents
Culture Documents
Chapter 8
Time Series Analysis and Forecasting
Solutions:
1. The following table shows the calculations for parts (a), (b), and (c).
Absolute Absolute
Value of Squared Value of
Time Series Forecast Forecast Forecast Percentage Percentage
Week Value Forecast Error Error Error Error Error
1 18
2 13 18 -5 5 25 -38.46 38.46
3 16 13 3 3 9 18.75 18.75
4 11 16 -5 5 25 -45.45 45.45
5 17 11 6 6 36 35.29 35.29
6 14 17 -3 3 9 -21.43 21.43
Totals 22 104 -51.30 159.38
8-1
Time Series Analysis and Forecasting
2. The following table shows the calculations for parts (a), (b), and (c).
Absolute Absolute
Value of Squared Value of
Time Series Forecast Forecast Forecast Percentage Percentage
Week Value Forecast Error Error Error Error Error
1 18
2 13 18.00 -5.00 5.00 25.00 -38.46 38.46
3 16 15.50 0.50 0.50 0.25 3.13 3.13
4 11 15.67 -4.67 4.67 21.81 -42.45 42.45
5 17 14.50 2.50 2.50 6.25 14.71 14.71
6 14 15.00 -1.00 1.00 1.00 -7.14 7.14
Totals 13.67 54.31 -70.21 105.86
3. The following table shows the measures of forecast error for both methods.
Exercise 1 Exercise 2
MAE 4.40 2.73
MSE 20.80 10.86
MAPE 31.88 21.18
For each measure of forecast accuracy the average of all the historical data provided more accurate
forecasts than simply using the most recent value.
4. a.
Squared
Time Series Forecast Forecast
Month Value Forecast Error Error
1 24
2 13 24 -11 121
3 20 13 7 49
4 12 20 -8 64
5 19 12 7 49
8-2
Time Series Analysis and Forecasting
6 23 19 4 16
7 15 23 -8 64
Total 363
b.
Squared
Time Series Forecast Forecast
Week Value Forecast Error Error
1 24
2 13 24.00 -11.00 121.00
3 20 18.50 1.50 2.25
4 12 19.00 -7.00 49.00
5 19 17.25 1.75 3.06
6 23 17.60 5.40 29.16
7 15 18.50 -3.50 12.25
Total 216.72
c. The average of all the previous values is better because MSE is smaller.
5. a.
8-3
Time Series Analysis and Forecasting
20
18
16
14
Time Series Value
12
10
0
1 2 3 4 5 6
Week (t)
The data appear to follow a horizontal pattern.
Squared
Time Series Forecast Forecast
Week Value Forecast Error Error
1 18
2 13
3 16
4 11 15.67 -4.67 21.78
5 17 13.33 3.67 13.44
6 14 14.67 -0.67 0.44
Total 35.67
The forecast for week 7 is ŷ7 = (y4 + y5 + y6) / 3 = (11 + 17 + 14) / 3 = 14.
Squared
Time Series Forecast Forecast
Week Value Forecast Error Error
1 18
2 13 18.00 -5.00 25.00
3 16 17.00 -1.00 1.00
8-4
Time Series Analysis and Forecasting
The forecast for week 7 is ŷ7 = y6 + (1-) ŷ6 = 0.2(14) + (1 - 0.2)15.91 = 15.53.
d. The three-week moving average provides a better forecast since it has a smaller MSE.
e. Several values of will yield an MSE smaller than the MSE associated with = 0.2. The table below
shows the resulting MSE from several different .that you select.
MSE
0.1 15.04
0.2 13.03
0.3 12.20
0.4 12.09
0.5 12.47
0.6 13.25
0.7 14.41
The value of that yields the minimum MSE is = 0.368, which yields an MSE of 12.06.
= 0.368
Squared
Time Series Forecast Forecast
Week Value Forecast Error Error
1 18
2 13 18 -5.00 25.00
3 16 16.16 -0.16 0.03
4 11 16.10 -5.10 26.03
5 17 14.23 2.77 7.69
6 14 15.25 -1.25 1.55
Total 60.30
MSE =
60.30/5= 12.06
6. a.
8-5
Time Series Analysis and Forecasting
30
25
15
10
0
1 2 3 4 5 6 7
Week (t)
Squared
Time Series Forecast Forecast
Week Value Forecast Error Error
1 24
2 13
3 20
4 12 19.00 -7.00 49.00
5 19 15.00 4.00 16.00
6 23 17.00 6.00 36.00
7 15 18.00 -3.00 9.00
Total 110.00
The forecast for week 8 is ŷ8 = (y5 + y6 + y7) / 3 = (19 + 23 + 15) / 3 = 19.
Squared
Time Series Forecast Forecast
Week Value Forecast Error Error
1 24
2 13 24.00 -11.00 121.00
3 20 21.80 -1.80 3.24
8-6
Time Series Analysis and Forecasting
The forecast for week 8 is ŷ8 = y7 + (1-) ŷ7 =0.2(15) + (1 - 0.2)20.15 = 19.12.
d. The three-week moving average provides a better forecast since it has a smaller MSE.
e. Several values of will yield an MSE smaller than the MSE associated with = 0.2. The table below
shows the resulting MSE for several different values.
MSE
0.1 48.86
0.2 42.15
0.3 39.85
0.4 39.79
0.5 41.02
0.6 43.18
0.7 46.15
The value of that yields the minimum MSE is = 0.351, which yields an MSE of 39.61.
= 0.351
Squared
Time Series Forecast Forecast
Month Value Forecast Error Error
1 24
2 13 24 -11.00 121.00
3 20 20.13 -0.13 0.02
4 12 20.09 -8.09 65.40
5 19 17.25 1.75 3.08
6 23 17.86 5.14 26.40
7 15 19.67 -4.67 21.79
Total 237.69
8-7
Time Series Analysis and Forecasting
4 Period 5 period
Moving Moving
Week Sales Average Average
1 17
2 21
3 19
4 23
5 18 20.00
6 16 20.25 19.60
7 20 19.00 19.40
8 18 19.25 19.20
9 22 18.00 19.00
10 20 19.00 18.80
11 15 20.00 19.20
12 22 18.75 19.00
Time Squared
Series Forecast Forecast
Week Value Forecast Error Error
1 17
2 21
3 19
4 23
5 18 20.00 -2.00 4.0000
6 16 20.25 -4.25 18.0625
7 20 19.00 1.00 1.0000
8 18 19.25 -1.25 1.5625
9 22 18.00 4.00 16.0000
10 20 19.00 1.00 1.0000
11 15 20.00 -5.00 25.0000
12 22 18.75 3.25 10.5625
Total 77.1875
Time Squared
Series Forecast Forecast
Week Value Forecast Error Error
1 17
2 21
8-8
Time Series Analysis and Forecasting
3 19
4 23
5 18
6 16 19.60 -3.60 12.96
7 20 19.40 0.60 0.36
8 18 19.20 -1.20 1.44
9 22 19.00 3.00 9.00
10 20 18.80 1.20 1.44
11 15 19.20 -4.20 17.64
12 22 19.00 3.00 9.00
Total 51.84
Using the MSE as our standard, the best number of weeks of past data to use in the moving average
computation is five.
Time Squared
Series Forecast Forecast
Week Value Forecast Error Error
1 17 17.00
2 21 17.00 4.00 16.00
3 19 17.40 1.60 2.56
4 23 17.56 5.44 29.59
5 18 18.10 -0.10 0.01
6 16 18.09 -2.09 4.38
7 20 17.88 2.12 4.48
8 18 18.10 -0.10 0.01
9 22 18.09 3.91 15.32
10 20 18.48 1.52 2.32
11 15 18.63 -3.63 13.18
12 22 18.27 3.73 13.94
Total 101.78
8-9
Time Series Analysis and Forecasting
Time Squared
Series Forecast Forecast
Week Value Forecast Error Error
1 17 17.00
2 21 17.00 4.00 16.00
3 19 17.80 1.20 1.44
4 23 18.04 4.96 24.60
5 18 19.03 -1.03 1.07
6 16 18.83 -2.83 7.98
7 20 18.26 1.74 3.03
8 18 18.61 -0.61 0.37
9 22 18.49 3.51 12.34
10 20 19.19 0.81 0.66
11 15 19.35 -4.35 18.94
12 22 18.48 3.52 12.38
Total 98.80
Applying the MSE measure of forecast accuracy, a smoothing constant of α = 0.2 produces a smaller
MSE and so is preferred.
Time Absolute
Series Forecast Forecast
Week Value Forecast Error Error
1 17 17.00
2 21 17.00 4.00 4.00
3 19 17.40 1.60 1.60
4 23 17.56 5.44 5.44
5 18 18.10 -0.10 0.10
6 16 18.09 -2.09 2.09
7 20 17.88 2.12 2.12
8 18 18.10 -0.10 0.10
9 22 18.09 3.91 3.91
10 20 18.48 1.52 1.52
11 15 18.63 -3.63 3.63
12 22 18.27 3.73 3.73
Total 28.25
8 - 10
Time Series Analysis and Forecasting
Time Absolute
Series Forecast Forecast
Week Value Forecast Error Error
1 17 17.00
2 21 17.00 4.00 4.00
3 19 17.80 1.20 1.20
4 23 18.04 4.96 4.96
5 18 19.03 -1.03 1.03
6 16 18.83 -2.83 2.83
7 20 18.26 1.74 1.74
8 18 18.61 -0.61 0.61
9 22 18.49 3.51 3.51
10 20 19.19 0.81 0.81
11 15 19.35 -4.35 4.35
12 22 18.48 3.52 3.52
Total 28.56
Applying the MAE measure of forecast accuracy, a smoothing constant of α = 0.1 produces a slightly
smaller MAE and so is preferred.
8 - 11
Time Series Analysis and Forecasting
Applying the MAPE measure of forecast accuracy, a smoothing constant of α = 0.1 produces a smaller
MAPE and so is preferred.
b. The more recent data receive the greater weight or importance in determining the forecast. The moving
averages method weights the last n data values equally in determining the forecast.
10. a.
8 - 12
Time Series Analysis and Forecasting
3400
3200
3000
2600
2400
2200
2000
0 2 4 6 8 10 12 14
Week
b.
Squared Value
Sales Forecast of Forecast
Week Volume Forecast Error Error
1 2750
2 3100 2750.00 350.000 122,500.00
3 3250 2890.00 360.000 129,600.00
4 2800 3034.00 -234.000 54,756.00
5 2900 2940.40 -40.400 1,632.16
6 3050 2924.24 125.760 15,815.58
7 3300 2974.54 325.456 105,921.61
8 3100 3104.73 -4.726 22.34
9 2950 3102.84 -152.836 23,358.79
10 3000 3041.70 -41.702 1,739.02
11 3200 3025.02 174.979 30,617.68
12 3150 3095.01 54.987 3,023.62
Total 488,986.80
Forecast for week 13 is ŷ13 = y12 + (1-) ŷ12 = 0.4(3150) + 0.6(3095.01) = 3117.01 or 3117 half-
gallons of milk.
11. a.
8 - 13
Time Series Analysis and Forecasting
90
85
80
75
1 2 3 4 5 6 7 8 9 10 11 12
Month
The data appear to follow a horizontal pattern.
Time Square
Series Forecast Forecast
Month Value Forecast Error Error
1 80
2 82
3 84
4 83 82.00 1.00 1.00
5 83 83.00 0.00 0.00
6 84 83.33 0.67 0.44
7 85 83.33 1.67 2.78
8 84 84.00 0.00 0.00
9 82 84.33 -2.33 5.44
10 83 83.67 -0.67 0.44
11 84 83.00 1.00 1.00
12 83 83.00 0.00 0.00
Total 11.11
8 - 14
Time Series Analysis and Forecasting
Time Square
Series Forecast Forecast
Month Value Forecast Error Error
1 80 80.00
2 82 80.00 2.00 4.00
3 84 80.40 3.60 12.96
4 83 81.12 1.88 3.53
5 83 81.50 1.50 2.26
6 84 81.80 2.20 4.85
7 85 82.24 2.76 7.63
8 84 82.79 1.21 1.46
9 82 83.03 -1.03 1.06
10 83 82.83 0.17 0.03
11 84 82.86 1.14 1.30
12 83 83.09 -0.09 0.01
15.35 39.11
Applying the MSE measure of forecast accuracy, a three-month moving average produces a smaller
MSE and so is preferred.
c. Using a three-month moving average, the forecast for next month (t = 13) is
ŷ13 = (y10 + y11 + y12) / 3 = (83 + 84 + 83) / 3 = 83.33.
8 - 15
Another random document with
no related content on Scribd:
the western part) of the plain of Esdraelon is meant; compare 1
Chronicles x. 7, note.
he did that which was evil] Compare 2 Kings xxiii. 37; Jeremiah
xxii. 13‒18, xxvi. 20‒23, xxxvi. 1‒32.
of Israel and Judah] The LXX. (but not 1 Esdras) adds here “And
Jehoiakim slept with his fathers, and was buried in the garden of
Uzza with his fathers.”
eight years] So LXX. (B) of Chronicles and Esdras (B); but the
number is probably corrupt for eighteen, so LXX. (A) of Chronicles
and Esdras (A) and Hebrew and LXX. of 2 Kings xxiv. 8. It is
possible that the words “and ten days” in the latter part of the verse
are a misplaced fragment of an original ben shĕmōneh ‘esreh
shānāh, i.e. “eighteen years old.”
brought him to Babylon] Not the king only, but also certain
leading men and craftsmen and smiths (in number 3023) went into
captivity—so Jeremiah lii. 28; compare Jeremiah xxiv. 1, and 2 Kings
xxiv. 14 (where the size of the deportation is magnified into “all
Jerusalem save the poorest of the land—even ten thousand
captives”).
13. who had made him swear by God] Compare Ezekiel xvii. 11‒
19.
her sabbaths] i.e. years, occurring every seventh year, when the
land was to be allowed a respite from cultivation; compare Leviticus
xxv. 1‒7, xxvi. 34, 35.
22. Cyrus king of Persia] Cyrus, the Persian, was at first king of a
small state in Elam, to the east of Babylonia. In 549 b.c. he
conquered the king of the Medes, and so became founder of the
Medo-Persian Empire. In 546 b.c. he overthrew the famous
Croesus, king of Lydia, and advancing against Babylon entered it
after a short and easy campaign in 538 b.c.—a career of meteoric
brilliance. By his “first year” is meant 537 b.c., his first year as ruler
of the Babylonian Empire.