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Chapter 3

Forecasting

2

Forecast

· OM is mostly proactive not reactive

· It involves structured planning activities

· Planning requires data pertaining to the Ieature

· Forecast: A statement about the Iuture

Not necessarily numerical

· Weather Iorecasts

**Accounting Cost/proIit estimates
**

Finance Cash Ilow and Iunding

Human Resources Hiring/recruiting/training

Marketing Pricing, promotion, strategy

MIS IT/IS systems, services

Operations Schedules, MRP, workloads

Product/service design New products and services

&ses of Forecasts

REMARKS

W ssume a causal system

÷ Future resembles the past

W Forecasts rarely perfect because of randomness

W Forecasts more accurate for groups vs. individuals.

÷ Forecasting errors among items in a group usually have a canceling

effect.

÷ Extremes in a group cancel each other

W Ex. Ì can forecast the class average from the midterm better than

Mrs. X's individual grade.

÷ Sample variance of {-1,1,-1,1} is 1.

÷ Sample variance of {(-1+1)/2, {(-1+1)/2} is 0.

W Forecast accuracy decreases as time horizon for forecasts increases

W Ex. Ì can forecast this year's class average better than next year's

class average

Elements of a Good Forecast

TimeIy

Accurate

ReIiabIe

Written

**Steps in the Forecasting Process
**

$tep 1 Determine purpose of forecast

$tep 2 EstabIish a time horizon

$tep 3 $eIect a forecasting technique

$tep 4 Gather and anaIyze data

$tep 5 Prepare the forecast

$tep 6 Monitor the forecast

"The forecast"

%ypes of Forecasts

W Judgmental - Subjective analysis of subjective inputs

W Associative models ÷ nalyzes historical data to reveal

relationships between (easily or in advance) observable

quantities and forecast quantities. &ses this relationship to

make predictions.

W Time series ÷ Objective analysis historical data assuming

the future will be like the past

udgmental Forecasts

W Executive opinions (long-range planning)

÷ %here are factors hard to quantify

W Ex: Effects of November 2004 election on new houses built in 2005

W Sales force composite

÷ Retailer forecasts for the manufacturer

W Consumer surveys

÷ %he guy at the mall who asks if you like cherry flavor in your shampoo

W Outside opinion

÷ Financial and consulting gurus and companies

W Opinions of managers and staff

÷ Delphi method: series of questionnaires developed sequentially

ssociative Forecasting

· Based on identiIication oI related variables that can be used

to predict values oI the variable oI interest.

Sales oI mountain bikes in an area may be related to the percentage

oI the young population living in that area.

Sales oI Harley-Davidson motorbikes is related to mid-aged men

population. Average age oI H-D owners is .

Ice cream sales can be related to temperature

Home depot bases sales Iorecasts on mortgage reIinancing rates,

smaller rates imply higher sales.

Changes in Federal Reserve Board`s interest rate leads to certain

business activities

· House sales

· Industrial investments

Increase in energy cost leads to price increases in products and

services

10

ssociative Forecasting

· Find an association between the predictor and the

predicted

· Predictor variables - used to predict values oI variable

interest, sometimes called independent variables

· Predicted variable ÷ Dependent variable

· Regression - technique Ior Iitting a line to a set oI

points

· Linear regression is the most widely used Iorm oI

regression

The obiective is to obtain an equation oI a straight line that minimizes the

sum oI squared vertical deviations oI data points Irom the line.

11

inear Regression (cont.)

y ÷ a ¹ bx

Where

y ÷ predicted (dependent) variable

x ÷ predictor (independent) variable

b ÷ slope oI the line

a ÷ value oI y when x ÷ 0 (the height oI line

at the y intercept)

12

Computing a and b

Given n data points, Iind the intercept a and the slope b to

2

1 1

2

1 1 1

¦

'

+

'

=

¯ ¯

¯ ¯ ¯

= =

= = =

n

t

t

n

t

t

n

t

n

t

n

t

t t t t

x x n

v x v x n

b

¯

=

=

=

n

t

t t

bx a v

1

2

) ( Minimize

line the Irom deviations oI sum the Minimize

errors squared oI sum the Minimize

n

x

b

n

v

a

n

t

t

n

t

t ¯ ¯

= =

=

1 1

1

inear Model Seems Reasonable

0

10

20

30

40

50

0 5 10 15 20 25

X Y

7 15

2 10

6 13

4 15

14 25

15 27

16 24

12 20

14 27

20 44

15 34

7 17

Computed

relationship

1

nother inear Regression Example

Variables: Weeks and Sales

t y

W e e k t

2

S a l e s t y

1 1 1 5 0 1 5 0

2 4 1 5 7 3 1 4

3 9 1 6 2 4 8 6

4 1 6 1 6 6 6 6 4

5 2 5 1 7 7 8 8 5

% t = 1 5 % t

2

= 5 5 %

y = 8 1 2 %

t y = 2 4 9 9

(

% t )

2

= 2 2 5

15

inear %rend Calculation

y = 143.5 + 6.3 t

Sales in week t = 143.5 + 6.3 t

a

12 - 6.3(15)

5

b

5 (2499) - 15(12)

5(55) - 225

12495-121

275-225

6.3

143.5

1

inear %rend Calculation

y ÷ 1.5 ¹ .t

When t ÷ 0, the value oI y is 1.5 and the

slope oI the line is .. meaning that the

value oI oI y will increase by . units Ior

each time period. II t ÷ 10, the Iorecast is

1.5 ¹ .(10) ÷ 20.5

Excel example

regression.xls

1

inear Regression

Remember from Statistics

· Correlation (r) between variables: The strength and

direction oI relationships between two variables

1.00 means changes in one variable are always matched

by changes in the other, vice versa.

A correlation close to zero means little linear relationship

The square oI the correlation coeIIicient provides a

measure oI the percentage oI variability in the values oI y

that is explained by the independent variable.(0° or

more: the independent variable is a good predictor oI the

values oI dependent variable)

1

%ime series

· %ime-ordered sequence of observations taken at regular

intervals over a period of time

· Future values of the series can be estimated from past values.

Types oI Variations in Time Series Data

W Trend - long-term movement in data

W Seasonality - short-term regular variations in data

W Cycles ÷ wavelike variations of long-term

W Irregular variations - caused by unusual circumstances

W Random variations - caused by chance

1

Forecast Variations

Trend

IrreguIar

variation

CycIes

$easonaI variations

Year 1

99

Figure 3-1

CycIicaI

20

W &ses a single previous value of a time series as the basis

of a forecast.

W Virtually no cost

W Data analysis is nonexistent

W Easily understandable

W Cannot provide high accuracy

÷ Ìf it were true, future will always be the same as the past

Some notation: Forecast at time t is F(t)

Actual observation at time t is A(t)

Today is temperature is F, A(Today)÷

F(Tomorrow)÷

F(Day aIter)÷

Naïve Forecasts

21

· Stable time series data

Forecast is the same as the last actual observation

F(t) ÷ A(t-1)

· Seasonal variations

Forecast is the same as the last actual observation when

we were in the same point in the cycle, where a cycle

lasts n periods.

F(t) ÷ A(t-n)

· Data with trends

There is constant trend, the change Irom (t-2) to (t-1)

will be exactly as the change Irom (t-1) to (t)

F(t) ÷ A(t-1) ¹ (A(t-1) A(t-2))

&ses for Naïve Forecasts

22

Naive Forecasts

&h. give me a minute....

We sold 250 wheels last

week.... Now. next

week we should sell....

2

Naïve (Cont.)

· Check iI the resulting accuracy is acceptable

· The higher the accuracy, oIten the higher the cost.

· Do we really need our Iorecast that accurate? Is it

worth the additional resources?

Why do you need Iorecasts Ior? How critical they are

Ior operations?

2

%ime Series Models: Variations

What is random and what is not?

· Historical data contain random variations or noise

· Random variations are caused by relatively

unimportant Iactors.

What is random? Can we not study everything to negligible

detail? 'God does not roll dices¨ A.E.

· The obiective is to remove all randomness and have

real variations.

· Minor variations are random and large ones are real.

25

%echniques for veraging

· Moving averages (MA)

Naïve methods iust trace the actual data with a lag oI

one period, F(t)÷A(t-1)

They don`t smooth

MA uses a number oI the most recent actual data to

smooth

· Weighted moving averages

· Exponential smoothing

2

Simple Moving verage

Note the sensitivity of forecasts

35

37

39

41

43

45

47

1 2 3 4 5 6 7 8 9 10 11 12

ActuaI

MA(t,3)

MA(t,5)

ns observatio actual n using 1 - t period in made Iorecast MA :

,

,

1

,

n t

t

n t i

i

n t t

MA

n

A

MA F

¯

=

= =

Averaging (over time) techniques are used to smooth variations in the data.

2

Ex: %hree period moving average forecast

Month Demand

1 2 MA(,) ÷ ( ¹ 0 ¹ 1) /

2 0 ÷ 1..

II A() ÷ , then

0 MA(,) ÷ (0 ¹ 1 ¹ ) /

5 1 ÷ 0.00

2

Weighted average

Moving Average

· Advantage÷Easy to compute and easy to

understand

· Disadvantage÷All values in the average are

weighted equally

Weighted Moving Average

· Similar to moving average

· It assigns more weight to the most recent values in

a time series

Idea: most recent observations must be better indicators

oI the Iuture than older observations

2

Weighted average

Compute a weighted average Iorecast using a

weight oI 0. Ior the most recent period, 0.

Ior the next most recent, 0.2 Ior the next and

0.1 Ior the next.

Continuing with the data on the leIt

F() ÷ .0(1)¹.0(0)¹.20()¹.10(0)÷1.0

II the actual demand Ior period is ,

F() ÷ .0()¹.0(1)¹.20(0)¹.10()÷0.2

· The weighted average is more reIlective oI

the most recent occurrences.

Month Demand

1 2

2 0

0

5 1

0

Exponential Smoothing

Forecast today÷Forecast yesterday¹(alpha)*(Forecast error yesterday)

Each new Iorecast is equal to the previous Iorecast plus a percentage oI

the previous error.

Today`s Iorecast

Depends on yesterday`s (time-wise dependence, strong memory)

But it has to be corrected by Iorecast error

ThereIore, we should give more weight to the more recent time

periods when Iorecasting.

Alpha ÷ smoothing constant ÷ percentage oI the Iorecast error.

) (

1 1 1

+ =

t t t t

F A F F ¬

Forecast error:÷Actual Forecast ÷A(t-1)-F(t-1)

1

Exponential Smoothing

as an Weighted verage

dea--The most recent observations might have the

highest predictive value along with the most recent

Iorecast errors. Let us balance them:

1 1

) 1 (

+ =

t t t

F A F ¬ ¬

1 t

A ¬

1

) 1 (

t

F ¬

t

F

2

Period ctual Forecast with Error with Forecast withError with

1 42 lpha=0.1 lpha=0.1 lpha=0.4 lpha=0.4

2 40 42 -2.00 42 -2

3 43 41.8 1.20 41.2 1.8

4 40 41.92 -1.92 41.92 -1.92

5 41 41.73 -0.73 41.15 -0.15

6 39 41.66 -2.66 41.09 -2.09

7 46 41.39 4.61 40.25 5.75

8 44 41.85 2.15 42.55 1.45

9 45 42.07 2.93 43.13 1.87

10 38 42.36 -4.36 43.88 -5.88

11 40 41.92 -1.92 41.53 -1.53

12 41.73 40.92

Example of Exponential Smoothing

Forecasts made in a period and the period has the same color

1 1

) 1 (

+ =

t t t

F A F ¬ ¬

**Picking a Smoothing Constant:
**

Responsiveness vs. Smoothing

· The quickness oI Iorecast adiustment to error is determined by the

smoothing constant.

· The closer the alpha is to zero, the slower the Iorecast will be to

adiust to Iorecast errors.

· Conversely, the closer the value oI alpha is to 1.00, the greater the

responsiveness to the actual observations and the less the

smoothing

· Select a smoothing constant that balances the beneIits oI

responding to real changes iI and when they occur.

1 1 1 1 1

) 1 ( ) (

+ = + =

t t t t t t

F A F A F F ¬ ¬ ¬

**Picking a Smoothing Constant
**

Sensitivity of Forecasts

35

40

45

50

1 2 3 4 5 6 7 8 9 10 11 12

Period

D

e

m

a

n

d

¬ =.1

¬=.4

ActuaI

Excel example

exponential-smoothing.xls

5

%echniques for trend

· Develop an equation that will describe trend

· The trend component may be linear or it

may not

· Linear trend:

Y

t

= a + bt

1 2 3 4 5

t

Y

b is similar to the slope.

However, since it is

calculated with the variability

of the data in mind, its

formulation is not as

straight-forward as our usual

notion of slope.

**Common Nonlinear %rends
**

ParaboIic

ExponentiaI

Growth

Figure 3-5

**Adiusting Ior Trend with Double
**

Exponential Smoothing

· Simple exponential smoothing with no trend

· Add Iorecasted trend

· This time trend is also smoothed, note that

previous trend (oI t-1) and current trend (oI t)

appear in the smoothing Iormula:

· See Table -2 Ior an exercise

= =

t t t t

T F A F + + =

+

¬ ¬ 1

1

t

T

= =

1 1

1 ) (

+ =

t t t t

T F F T . .

1 1

and

t t t

F F T

**%echniques for seasonality
**

· Regularly repeating upward or downward

movements in time series values

· Seasonality: weather variations, vacations and

holidays

· Seasonality: Expressed in terms oI the amount

that actual values deviate Irom the average

value oI the series

· Seasonality is expressed as a percentage oI the

average amount

seasonal percentages ÷ seasonal relatives ÷ seasonal indices

**Different models of seasonality
**

Seasonal relative ÷ .45 Ior the quantity oI television

sold in August at Circuit City, meaning that TV sales

Ior that month are 5° above the monthly average.

Seasonal Iactor÷0.60 Ior the number oI notebooks

sold at the UTD bookstore in April, meaning that

notebook sales are 40º below the monthly average.

Seasonal indices are your vehicle to travel between

the seasonal and deseasonal worlds.

0

Use Seasonality Indices

to Deseasonalize and Seasonalize

· Deseasonalize historical observations

· Divide them by seasonal indices

· Make the analysis ÷ Generate Iorecasts

· Seasonalize Iorecasts

· Multiply them by seasonal indices

t t t

Inputs

Analyze Output

Excel example

seasonalforecast.xls

1

Forecast ccuracy

· Measurement is the Iirst step to improve an

activity

What value oI smoothing constant is good?

· Accuracy measurement is a vital aspect oI

Iorecasting

· Impossible to correctly predict Iuture values

· Important to include an indication oI how big the

Iorecast deviate Irom the actual values

2

Forecast ccuracy

W Error - difference between actual value and

predicted value

W Mean absolute deviation (MD)

÷ verage absolute error (weights all errors evenly)

W Mean squared error (MSE)

÷ verage of squared error (weights errors according

to their squared values)

W %racking signal

÷ Ratio of cumulative error and MD

MD & MSE

error. Iorecast oI variance Ior the estimator unbiased the is MSE : says Statistics

MSE s deviation standard error) (Iorecast oI Estimate

) (

1

) (

' '

1

1

2

1

2

1

= =

=

<

=

=

=

¯

¯ ¯

¯

=

= =

=

MAD

F A

Signal Tracking

n

F A

n

F A

MSE

n

F A

MAD

Forecast Actual error Forecast

n

t

t t

n

t

t t

n

t

t t

n

t

t t

**&se for MD & MSE
**

· Compare the accuracy oI alternative

forecasting methods using MAD and MSE.

parameter (such as alpha) values used in Iorecasting

by using MAD and MSE

· Determine which method yields the lowest MAD

or MSE Ior a given set oI data.

5

Controlling the quality of forecast

· Necessary to monitor Iorecast to ensure that the

Iorecast is perIorming adequately

· This is accomplished by comparing Iorecast errors to

predetermined values

· Errors that Iall within the limits are considered

acceptable

· Errors outside either limit indicates that corrective

action is needed.

· Tracking signal values are compared to predetermined limits (¹,-) based

on iudgment and experience

· Upper and lower limits Ior individual Iorecast errors are calculated using

control chart techniques. We will learn about control charts in quality

chapters.

**Choosing a forecasting technique
**

No single technique works best in every situation

No single technique works best in every situation

· The Iorecast horizon

· Forecasting Irequency

Forecasting is not Iree

Consider cost and accuracy

· Weigh cost-accuracy trade-oIIs careIully

· Forecast detail, part / product level?

· Availability oI

historical data

computers

able users / decision makers

**Choosing a forecasting technique (cont.)
**

· Moving Averages and Exponential

Smoothing are short range techniques. They

produce Iorecast Ior the next period

· Trend equations are used Ior much longer

time horizons.

· More than one Iorecasting techniques might

be used to increase conIidence.

Summary

· We studied the steps oI Iorecasting

· We examined three Iorecasting techniques:

Judgmental

Associative

Time Series

· We learned about seasonality, trend, cyclical data

· Discussed monitoring Iorecast accuracy

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- Uncovering the Trend Following Strategy
- Linear Regression
- Forecasting (QUAN21)
- 12_Week4Lect3
- Correlation Coefficient
- Chap9
- Univariate Time Series Part I
- sampling and sampling distributions chap 7
- Estimation
- Determining the Sample Size
- STRATEGIC MINE PLANNING UNDER UNCERTAINTY
- FE3003 Ramsey Reset test
- CB & MR SeminaR New
- Moving Slope Clinical Chemicals
- 1-s2.0-S002216940800382X-main
- Univariate and Bivariate
- Resampling-Based Information Criteria for Best-subset Regression
- PPD214_Final_2012_12_05_12_00
- Straightening Standard Deviation
- Optimal Control in Agri
- Diebold-Li-YieldCurveForecasting
- Section 04
- EPM-BVA-EG-OA
- Time series analysis
- SSRN-id1467184 2
- An Empirical Study on Dimensionality Reduction and Improvement of Classification Accuracy Using Feature Subset Selection and Ranking
- Lecture 7
- Lecture 7
- Descriptive Statistics
- Ahl Grim

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