In this paper, we revisit the problem of demand propagation in a multi-stage supply chainin which the retailer observes ARMA demand. In contrast to previous work, we show how eachplayer constructs the order based upon its best linear forecast of leadtime demand given itsavailable information. In...

We develop forecasting methodology for the fractional exponential (FEXP) model. First, we devise algorithms for fastexact computation of the coefficients in the infinite order autoregressive and moving average representations of a FEXPprocess. We also describe an algorithm to accurately...

Studies of predictive regressions analyze the case where yt is predicted by xt-1 with xt being first-order autoregressive, AR(1). Under some conditions, the OLS- estimated predictive coefficient is known to be biased. We analyze a predictive model where yt is predicted by xt-1, xt-2,... xt-p...