Bayesian forecasting of demand time-series data with zero values
by Ana Corberán-Vallet; José D. Bermúdez; Enriqueta Vercher
European J. of Industrial Engineering (EJIE), Vol. 7, No. 6, 2013

Abstract: This paper describes the development of a Bayesian procedure to analyse and forecast positive demand time-series data with a proportion of zero values and a high level of variability for the non-zero data. The resulting forecasts play decisive roles in organisational planning, budgeting, and performance monitoring. Exponential smoothing methods are widely used as forecasting techniques in industry and business. However, they can be unsuitable for the analysis of non-negative demand time-series data with the aforementioned features. In this paper, an unconstrained latent demand underlying the observed demand is introduced into the linear heteroscedastic model associated with the Holt-Winters model. Accurate forecasts for the observed demand can readily be derived from those obtained with exponential smoothing for the latent demand. The performance of the proposed procedure is illustrated using a simulation study and two real time-series datasets which correspond to tourism demand and book sales. [Received 4 November 2010; Revised 7 September 2011, 10 April 2012; Accepted 10 May 2012]

Online publication date: Fri, 28-Feb-2014

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the European J. of Industrial Engineering (EJIE):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com