comparison of efficient seasonal indexes比较有效的季节性指数.pdfVIP

JOURNAL OF APPLIED MATHEMATICS AND DECISION SCIENCES, 8(2), 87–105 c Copyright 2004, Lawrence Erlbaum Associates, Inc. Comparison of Efficient Seasonal Indexes PETER T. ITTIG† Management Science and Information Systems Department, University of Massachusetts, Boston, MA 02125-3393 Abstract. Estimates of a seasonal index in the standard manner (from a moving av- erage) introduce systematic error into the seasonal estimates if a trend is present. This paper shows that a logarithmic modification of the standard moving average procedure will cause it to be consistent with a trend and is an efficient alternative. This paper also compares several other efficient seasonal indexing procedures appropriate for rou- tine business applications and shows some numerical results. The results indicate that it is possible to achieve an improvement in the precision of the seasonal index, in the seasonally adjusted data and in forecasts based upon this data, by considering logarith- mic alternatives to standard seasonal indexing procedures. This improvement may be accomplished without a substantial increase in complexity or in the associated compu- tational burden. The opportunities for improvement are shown to be greatest when the data contain substantial trend and seasonal aspects and when the trend has a percentage form. Some suggestions for forecasters are offered. Keywords: Seasonal Index, Forecasting. 1. Introduction Seasonality is frequently an important element in forecasting for basic deci- sion processes in business regarding production, inventory control, person- nel, marketing and finance. It is common to deseasonalize the data before applying forecasting methods and then to reseasonalize the forecasts. Ac- curacy in a seasonal index can be very important in some applications. Errors in measuring the seasonal pattern translate