Method for determining optimal time series forecasting parameters
First Claim
1. A method of forecasting a value of a dependent variable, such as product demand, in a future time period later than the next, upcoming future time period, comprising:
- selecting a dependent variable for which a value is to be forecast;
gathering historical data on values of the dependent variable and explanatory variables in prior time periods;
determining a forecasting equation based on the gathered historical data;
selecting a future time period that is a number of time periods beyond the next, upcoming time period;
with the forecasting equation, calculating a forecasted value of the dependent variable for the selected future time period;
determining an error value by comparing the forecasted value with the historical data; and
based on the error value, modifying the forecasting equation to improve the error value.
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Abstract
A method for forecasting a value of a dependent variable, such as product demand, in a future time period later than the next, upcoming future time period. The method includes selecting a dependent variable for which a value is to be forecast, gathering historical data on values of the dependent variable and explanatory variables in prior time periods, and determining a forecasting equation based on the gathered historical data. The method includes selecting a future time period that is a number of time periods beyond the next, upcoming time period. The forecasting method continues with calculating a forecasted value of the dependent variable for the selected future time period, then determining an error value by comparing the forecasted value with the historical data and based on the error value, modifying the forecasting equation to reduce the error value. The forecasting equation may be a time series forecasting equation and the determining of the forecasting equation includes initial setting values for included time series forecasting parameters. The modifying of forecast equation then includes adjusting these forecasting parameters to lower or otherwise optimize the error value. Particularly, the method includes selecting an error metric for optimization for the forecasting equation and the adjusting of the parameters is performed as a function of the selected error metric to move it toward an optimal value.
332 Citations
16 Claims
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1. A method of forecasting a value of a dependent variable, such as product demand, in a future time period later than the next, upcoming future time period, comprising:
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selecting a dependent variable for which a value is to be forecast;
gathering historical data on values of the dependent variable and explanatory variables in prior time periods;
determining a forecasting equation based on the gathered historical data;
selecting a future time period that is a number of time periods beyond the next, upcoming time period;
with the forecasting equation, calculating a forecasted value of the dependent variable for the selected future time period;
determining an error value by comparing the forecasted value with the historical data; and
based on the error value, modifying the forecasting equation to improve the error value. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10)
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11. A computer program for forecasting embodied in a tangible media, comprising:
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first computer code devices configured to cause a computer to request and accept as input a dependent variable to be used in the forecasting;
second computer code devices configured to cause a computer to gather and store in memory historical data for the dependent variable and for explanatory variables;
third computer code devices configured to cause a computer to determine a forecasting equation based on the stored historical data;
fourth computer code devices configured to cause a computer to request and accept as input a future time period for performing the forecasting;
fifth computer code devices configured to cause a computer to calculate with the forecasting equation a forecasted value for the dependent variable in the inputted future time period;
sixth computer code devices configured to cause a computer to determine an error value based on a comparison of the forecasted value and the historical data; and
seventh computer code devices configured to compare the error value with an optimal value and based on the comparison modify the forecasting equation to move the error value to be closer in value to the optimal value. - View Dependent Claims (12, 13)
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14. A computer-based method for forecasting a value of a dependent variable in a future time period as a function of values of explanatory independent variables, the future time period being a selectable number of time periods beyond a current time period, comprising:
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collecting historical data on the values of the dependent variable and the independent variables;
determining a form of a time series forecasting equation using the historical data;
receiving as input the future time period;
initializing forecast parameters of the time series forecasting equation;
selecting an error metric for the time series forecasting equation;
determining a value for the error metric for the future time period including calculating an error term and accumulating the error term as a function of the error metric;
comparing the value of the error metric to an optimal value; and
adjusting the forecast parameters based on the comparing to move the value of the error metric toward the optimal value. - View Dependent Claims (15, 16)
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Specification