An unobserved component model for multi-rate forecasting of telephone call demand: the design of a forecasting support system

An unobserved component model for multi-rate forecasting of telephone call demand: the design of a forecasting support system

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Article ID: iaor2005238
Country: Netherlands
Volume: 18
Issue: 4
Start Page Number: 673
End Page Number: 695
Publication Date: Oct 2002
Journal: International Journal of Forecasting
Authors: , , ,
Keywords: forecasting: applications
Abstract:

An Unobserved Components (UC) Model based on an enhanced version of the Dynamic Harmonic Regression model, including new multi-rate and modulated cycle procedures, is used to develop a customised package for forecasting and signal extraction applied to hourly telephone call numbers made to Barclaycard plc. service centre, with a forecasting horizon of up to several weeks in advance. The paper outlines both the methodological and algorithmic aspects of the modelling, forecasting and signal extraction procedures, including the design and implementation of forecasting support software with a specially designed Graphical User Interface within the MATLAB® computing environment. The forecasting performance is evaluated comprehensively in comparison with the well-known seasonal ARIMA approach.

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