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Computational Statistics & Data Analysis
Volume 51, Issue 1, 1 November 2006, Pages 177-191
The Fuzzy Approach to Statistical Analysis
 
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doi:10.1016/j.csda.2006.02.010    How to Cite or Link Using DOI (Opens New Window)
Copyright © 2006 Elsevier B.V. All rights reserved.

A decision support system methodology for forecasting of time series based on soft computing

J.D. Bermúdeza, J.V. Segurab and E. Verchera, Corresponding Author Contact Information, E-mail The Corresponding Author

aDpto. Estadística e Investigación Operativa,Universitat de València, C/ Dr. Moliner 50, 46100-Burjassot, Valencia, Spain bCentro de Investigación Operativa, Universidad Miguel Hernández de Elche, Avd. del Ferrocarril s/n, 03202-Elche, Alicante, Spain

Available online 2 March 2006.

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Abstract

Exponential procedures are widely used as forecasting techniques for inventory control and business planning. A number of modifications to the generalized exponential smoothing (Holt–Winters) approach to forecasting univariate time series is presented, which have been adapted into a tool for decision support systems. This methodology unifies the phases of estimation and model selection into just one optimization framework which permits the identification of robust solutions. This procedure may provide forecasts from different versions of exponential smoothing by fitting the updated formulas of Holt–Winters and selects the best method using a fuzzy multicriteria approach. The elements of the set of local minima of the non-linear programming problems allow us to build the membership functions of the conflicting objectives. It is compared to other forecasting methods on the 111 series from the M-competition.

Keywords: Forecasting; Exponential smoothing; Holt–Winters method; Multiple criteria evaluation; Fuzzy mathematical programming

Article Outline

1. Introduction
2. The Holt–Winters forecasting procedures
3. An optimization approach for estimation and model selection
3.1. Model fitting
3.2. Model building: the fuzzy multi-objective approach
3.2.1. Implementation issues
3.3. Model checking
4. A numerical example: comparative results
5. Application to the 111 series of the M-competition
6. Conclusions
Acknowledgements
References





Computational Statistics & Data Analysis
Volume 51, Issue 1, 1 November 2006, Pages 177-191
The Fuzzy Approach to Statistical Analysis
 
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