average power function of noise and its applications in seasonal time series modeling and forecasting噪声的平均功率函数及其应用在季节性时间序列的建模和预测.pdfVIP

American Journal of Operations Research , 2011, 1, 293-304 293 doi:10.4236/ajor.2011.14034 Published Online December 2011 (http://www.SciRP.org/journal/ajor) Average Power Function of Noise and Its Applications in Seasonal Time Series Modeling and Forecasting Qiang Song RedPrairie Corporation, Alpharetta , USA E-mail : qiang.song@, qsong3@ Received August 29, 2011; revised September 25, 2011; accepted October 11, 2011 Abstract This paper presents a new method of detecting multi-periodicities in a seasonal time series. Conventional methods such as the average power spectrum or the autocorrelation function plot have been used in detecting multiple periodicities. However, there are numerous cases where those methods either fail, or lead to incor- rectly detected periods. This, in turn in applications, produces improper models and results in larger fore- casting errors. There is a strong need for a new approach to detecting multi-periodicities. This paper tends to fill this gap by proposing a new method which relies on a mathematical instrument, called the Average Power Function of Noise (APFN) of a time series. APFN has a prominent property that it has a strict local minimum at each period of the time series. This characteristic helps one in detecting periods in time series. Unlike the power spectrum method where it is assumed that the time series is composed of sinusoidal func- tions of different frequencies, in APFN it is assumed that the time series is periodic, the unique and a much weaker assumption. Therefore, this new instrument is expected to be more powerful in multi-periodicity de- tection than both the autocorrelation function pl