An analysis of a widely used version of the CUSUM tracking signal

An analysis of a widely used version of the CUSUM tracking signal

0.00 Avg rating0 Votes
Article ID: iaor201525370
Volume: 65
Issue: 8
Start Page Number: 1189
End Page Number: 1192
Publication Date: Aug 2014
Journal: Journal of the Operational Research Society
Authors:
Keywords: time series: forecasting methods, demand
Abstract:

Tracking signals are used to determine whether a sequence of forecasts is unbiased. We analyse a version of the CUSUM tracking signal that is based on the unsmoothed average mean absolute deviation of forecasting errors. We make the common assumption that demand values in different periods are independently, identically, and normally distributed. We show that, when forecast errors in different periods are also normal iid, this version of the tracking signal can indicate that the sequence is not unbiased even when it is unbiased. We suggest a simple modification to the tracking signal that serves to eliminate this flaw.

Reviews

Required fields are marked *. Your email address will not be published.