Probabilistic forecasting of heterogeneous consumer transaction-sales time series
| Autor: | Lindsay R. Berry, Mike West, Paul Helman |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
FOS: Computer and information sciences
Computer science Bayesian probability Machine learning computer.software_genre Statistics - Applications Methodology (stat.ME) 62F15 (primary) 62M10 62M20 (secondary) ComputerApplications_MISCELLANEOUS 0502 economics and business Applications (stat.AP) 050207 economics Business and International Management Statistics - Methodology 050205 econometrics business.industry 05 social sciences Probabilistic logic Random effects model Mixture model Order (business) Scalability Probabilistic forecasting Artificial intelligence business computer Database transaction |
| Popis: | We present new Bayesian methodology for consumer sales forecasting. With a focus on multi-step ahead forecasting of daily sales of many supermarket items, we adapt dynamic count mixture models to forecast individual customer transactions, and introduce novel dynamic binary cascade models for predicting counts of items per transaction. These transactions-sales models can incorporate time-varying trend, seasonal, price, promotion, random effects and other outlet-specific predictors for individual items. Sequential Bayesian analysis involves fast, parallel filtering on sets of decoupled items and is adaptable across items that may exhibit widely varying characteristics. A multi-scale approach enables information sharing across items with related patterns over time to improve prediction while maintaining scalability to many items. A motivating case study in many-item, multi-period, multi-step ahead supermarket sales forecasting provides examples that demonstrate improved forecast accuracy in multiple metrics, and illustrates the benefits of full probabilistic models for forecast accuracy evaluation and comparison. Keywords: Bayesian forecasting; decouple/recouple; dynamic binary cascade; forecast calibration; intermittent demand; multi-scale forecasting; predicting rare events; sales per transaction; supermarket sales forecasting 23 pages, 5 figures, 1 table |
| Databáze: | OpenAIRE |
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