IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v24y1978i6p690-701.html
   My bibliography  Save this article

Forecasting the Product of Two Time Series with a Linear Asymmetric Error Cost Function

Author

Listed:
  • Steven D. Wood

    (Arizona State University)

  • Bert M. Steece

    (University of Oregon)

Abstract

Our objective is to present a methodology which minimizes the expected cost of predictive errors when: (a) predictions are obtained for the product of two separately attained but contemporaneous time series, and (b) a linear asymmetric error cost function reflects the costs associated with predictive errors. Integrated Autoregressive-Moving Average models characterize the two series. Each prediction is expressed as a quantile of the conditional distribution of the contemporaneous product of the two series (i.e., a quantile of the distribution of the product of two Gaussian random variables with nonzero means). An actually observed hospital food service demand problem exemplifies the procedure and utility of our methodology.

Suggested Citation

  • Steven D. Wood & Bert M. Steece, 1978. "Forecasting the Product of Two Time Series with a Linear Asymmetric Error Cost Function," Management Science, INFORMS, vol. 24(6), pages 690-701, February.
    • Handle: RePEc:inm:ormnsc:v:24:y:1978:i:6:p:690-701
    DOI: 10.1287/mnsc.24.6.690
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.24.6.690
    Download Restriction: no
    File URL: https://libkey.io/10.1287/mnsc.24.6.690?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Goodwin, Paul, 2005. "Providing support for decisions based on time series information under conditions of asymmetric loss," European Journal of Operational Research, Elsevier, vol. 163(2), pages 388-402, June.
    2. Goodwin, P., 1996. "Statistical correction of judgmental point forecasts and decisions," Omega, Elsevier, vol. 24(5), pages 551-559, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:24:y:1978:i:6:p:690-701. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.