timeseries时间序列分析.pptVIP

Time Series “The Art of Forecasting” Learning Objectives Describe what forecasting is Explain time series its components Smooth a data series Moving average Exponential smoothing Forecast using trend models Simple Linear Regression Auto-regressive What Is Forecasting? Process of predicting a future event Underlying basis of all business decisions Production Inventory Personnel Facilities Forecasting Approaches Used when situation is vague little data exist New products New technology Involve intuition, experience e.g., forecasting sales on Internet Forecasting Approaches Used when situation is vague little data exist New products New technology Involve intuition, experience e.g., forecasting sales on Internet Used when situation is ‘stable’ historical data exist Existing products Current technology Involve mathematical techniques e.g., forecasting sales of color televisions Quantitative Forecasting Select several forecasting methods ‘Forecast’ the past Evaluate forecasts Select best method Forecast the future Monitor continuously forecast accuracy Quantitative Forecasting Methods Quantitative Forecasting Methods Quantitative Forecasting Methods Quantitative Forecasting Methods Quantitative Forecasting Methods Quantitative Forecasting Methods Quantitative Forecasting Methods What is a Time Series? Set of evenly spaced numerical data Obtained by observing response variable at regular time periods Forecast based only on past values Assumes that factors influencing past, present, future will continue Example Year: 1995 1996 1997 1998 1999 Sales: 78.7 63.5 89.7 93.2 92.1 Time Series vs. Cross Sectional Data Time series data is a sequence of observations collected from a process with equally spaced periods of time. Time Series vs. Cross Sectional Data Contrary to restrictions placed on cross-sectional data, the major purpose of forecasting with time series is to extrapolate