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: | Young Peter C., Davies John, Pedregal Diego J., Tych Wlodek |
Keywords: | forecasting: applications |
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.