Document Type

Article

Language

eng

Format of Original

15 p.

Publication Date

4-2001

Publisher

Elsevier

Source Publication

International Journal of Forecasting

Source ISSN

0169-2070

Abstract

Rule-based forecasting (RBF) is an expert system that uses features of time series to select and weight extrapolation techniques. Thus, it is dependent upon the identification of features of the time series. Judgmental coding of these features is expensive and the reliability of the ratings is modest. We developed and automated heuristics to detect six features that had previously been judgmentally identified in RBF: outliers, level shifts, change in basic trend, unstable recent trend, unusual last observation, and functional form. These heuristics rely on simple statistics such as first differences and regression estimates. In general, there was agreement between automated and judgmental codings for all features other than functional form. Heuristic coding was more sensitive than judgment and consequently, identified more series with a certain feature than judgmental coding. We compared forecast accuracy using automated codings with that using judgmental codings across 122 series. Forecasts were produced for six horizons, resulting in a total of 732 forecasts. Accuracy for 30% of the 122 annual time series was similar to that reported for RBF. For the remaining series, there were as many that did better with automated feature detection as there were that did worse. In other words, the use of automated feature detection heuristics reduced the costs of using RBF without negatively affecting forecast accuracy.

Comments

Accepted version. International Journal of Forecasting, Vol. 17, No. 2 (April-June 2001): 143-157. DOI.

NOTICE: this is the author’s version of a work that was accepted for publication in International Journal of Forecasting. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Journal of Forecasting, VOL 17, ISSUE 2, (May-June 2001). DOI.

Monica Adya was affiliated with DePaul University at the time of publication.

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