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Quantile forecast o...
Quantile forecast optimal combination to enhance safety stock estimation
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- Trapero, Juan R. (författare)
- University of Castilla-La Mancha, Department of Business Administration, Spain
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- Cardós, Manuel (författare)
- Universitat Politècnica de València, Department of Business Organization, Valencia, Spain
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- Kourentzes, Nikolaos (författare)
- Lancaster University Management School, Department of Management Science, Lancaster, United Kingdom
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(creator_code:org_t)
- Elsevier, 2019
- 2019
- Engelska.
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Ingår i: International Journal of Forecasting. - : Elsevier. - 0169-2070 .- 1872-8200. ; 35:1, s. 239-250
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Abstract
Ämnesord
Stäng
- The safety stock calculation requires a measure of the forecast error uncertainty. Such errors are usually assumed to be Gaussian iid (independently and identically distributed). However, deviations from iid lead to a deterioration in the performance of the supply chain. Recent research has shown that, contrary to theoretical approaches, empirical techniques that do not rely on the aforementioned assumptions can enhance the calculation of safety stocks. In particular, GARCH models cope with time-varying heterocedastic forecast error, and kernel density estimation does not need to rely on a determined distribution. However, if the forecast errors are time-varying heterocedastic and do not follow a determined distribution, the previous approaches are inadequate. We overcome this by proposing an optimal combination of the empirical methods that minimizes the asymmetric piecewise linear loss function, also known as the tick loss. The results show that combining quantile forecasts yields safety stocks with a lower cost. The methodology is illustrated with simulations and real data experiments for different lead times.
Ämnesord
- TEKNIK OCH TEKNOLOGIER -- Samhällsbyggnadsteknik -- Transportteknik och logistik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Civil Engineering -- Transport Systems and Logistics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Combination
- GARCH
- Kernel density estimation
- Quantile forecasting
- Risk
- Safety stock
- Supply chain
- Tick loss
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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