Predictions of call center arrivals are a key input to staff scheduling models. It is, therefore, surprising that simplistic forecasting methods dominate practice, and that the research literature on forecasting arrivals is so small. In this paper, we evaluate univariate time series methods for...

This paper provides a formulation for the additive Holt-Winters forecasting procedure that simplifies both obtaining maximum likelihood estimates of all unknowns, smoothing parameters and initial conditions, and the computation of point forecasts and reliable predictive intervals. The stochastic...

Various techniques have been proposed to forecast a given time series. Models from the ARIMA family have been successfully used, as well as regression approaches based on e.g. linear, non-linear regression, neural networks, and Support Vector Regression. What makes the difference in many...

This paper shows that an ARMA demand generates an ARMA order history when ordering decisions are made based on an order-up-to policy. The order history preserves the autoregressive structure of the demand and transforms its moving average structure according to a simple algorithm. We apply this...

Stock price forecasting has been in the center of interest of the stock market analysts and of the research community during the last four decades. A number of important studies have been con-ducted dealing primarily with the forecasting effectiveness of various models and methods; however,...

This paper considers the use of smooth transition autoregressive models for forecasting. First, the modelling of time series with these nonlinear models is discussed. Techniques for obtaining multiperiod forecasts are presented. The usefulness of forecast densities in the case of nonlinear...

A state-space seasonal time series model and a new seasonal decomposition algorithm, based on the Kalman filter, are introduced. The time series model is statistically equivalent to the multiplicative seasonal model, ARIMA (0, 1, 1)(0, 1, 1)_s, of Box and Jenkins. It is shown that the...