Allowing for asymmetry in forecast errors: Results from a Monte-Carlo study

Allowing for asymmetry in forecast errors: Results from a Monte-Carlo study

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Article ID: iaor198966
Country: Netherlands
Volume: 5
Start Page Number: 99
End Page Number: 110
Publication Date: Aug 1989
Journal: International Journal of Forecasting
Authors:
Abstract:

The paper presents a heuristic to estimate the distribution of future values in a forecasting process. The heuristic is based on the split-normal density used as a proxy for the expected distribution of future values. The approach is novel in that it allows for asymmetric non-stationary distributions of future values. Results of Monte-Carlo tests in a context of inventory control indicate that the heuristic may significantly reduce costs.

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