A COMPARATIVE STUDY OF FORECASTING MODELS FOR TREND AND SEASONAL TIME SERIES DOES COMPLEX MODEL ALWAYS YIELD BETTER FORECAST THAN SIMPLE MODELS

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2005
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Abstract
Many business and economic time series are non-stationary time series that contain trend and seasonal variations. Seasonality is a periodic and recurrent pattern caused by factors such as weather, holidays, or repeating promotions. A stochastic trend is often accompanied with the seasonal variations and can have a significant impact on various forecasting methods. In this paper, we will investigate and compare some forecasting methods for modeling time series with both trend and seasonal patterns. These methods are Winter's, Decomposition, Time Series Regression, ARIMA and Neural Networks models. In this empirical research, we study on the effectiveness of the forecasting performance, particularly to answer whether a complex method always give a better forecast than a simpler method. We use a real data, that is airline passenger data. The result shows that the more complex model does not always yield a better result than a simpler one. Additionally, we also find the possibility to do further research especially the use of hybrid model by combining some forecasting method to get better forecast, for example combination between decomposition (as data preprocessing) and neural network model.
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suhartono2005ajurnal Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Suhartono, Suhartono;
Journal jurnal teknik industri
Year 2005
DOI
DOI not found
URL
http://puslit2.petra.ac.id/ejournal/index.php/ind/article/view/16328
Keywords
Medicine Science physics neurosciences. biological psychiatry. neuropsychiatry industrial engineering. management engineering astrophysics production capacity. manufacturing capacity

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