Business Statistics

(Time serie)

Time Series Analysis

Time Series Analysis

Thanapon Thiradathanapattaradecha






.. X-Y

Time series

Qualitative Forecasting

Delphi Technique
Marketing Research
Jury of Executive Opinion
Sales force Composite

Quantitative Forecasting

Time series

Quantitative Forecasting




1. (Time
series Analysis)
2. (Casual or
Exponatory Methods)

Time series

Quantitative Forecasting

Y
T
S
C

(Time series Analysis)
Y =T*S*C*I
=
=
=
=

I =

1. (Long Term Trend : T)

2. (Seasonal
Variation : S)
1

,
,

(Seasonal Index)

3. (Cyclical
Variation: C)
( )

4.
(Irregular Variation: I)

, ,
,

(Time series Analysis)

Quantitative Forecasting
Naive Constant Model
Trend Projection
- Regression Analysis
Linear Programming Model
Semi Average Method
Moving Average

Simple Moving Average

Weighted Moving Average

Exponential Smoothing

Quantitative Forecasting
(
)

Naive

Y (t )

EX

y(

t)

t 1

25 25 25 25 25 25 25 25 25 25
23 24 25 26 27 28 29 30 31 32

Quantitative Forecasting
Naive

()

Y (t )

y(
t 1

t)

56
Y (t )
5.6
10

560,000

Quantitative Forecasting

()
-regression analysis

Trend projection

Y (t ) a bt

Quantitative Forecasting

b=

t 1

t 1

t 1

N t * y (t ) y (t ) (t )
N

N (t ) ( t )
t 1

t 1

Quantitative Forecasting

a=

y(t )
t 1

(t )
t 1

EX

Sales

:
y(t) t

t2

t y(t)

1
2
3
4
5
6
7

7
8
10
12
13
14
16

1
2
3
4
5
6
7

1
4
9
16
25
36
49

7
16
30
48
65
84
112

80

28

140

362

Quantitative Forecasting

b=

t 1

t 1

t 1

N t * y (t ) y (t ) (t )
N
2
2
N (t ) ( t )
N

t 1

t 1

(7)(362) (80)(28)
b

1
.
5
2
(7)(140) (28)

Quantitative Forecasting
b a

y (t )
a=
t 1
N

(t )
t 1

80 (1.5(28)

5
.
4
a=
7
7

Quantitative Forecasting
a b

Y (t ) a bt

Y ( t ) 5.4 (1.5)t

10

Y ( t ) 5.4 (1.5)10 20.4

Trend projection

(Regression Analysis)

Y =

Y a bt
b

n t y t y
n t

t )2

y b t

a
n

y =

t =
n =
a = Y t
=0

Trend Analysis
Years
2545
2546
2547
2548
2549
2550

:
Sales

Y
10.8
11.9
11.0
12.2
13
?

Sal
es

Y a bt

ty

t2

n t y t y
n t 2

t )2

y b t

Y 10.
10.

8
8
11. 23.

9
8
11. 33.

0
0
12. 18.

16

(t)2 =
225
N.4)= (15
5 * 58.9)
(5 181

0.47

(5 55) 225
58.9 (0.47 *15)
a
10.37
5

Y = 10.37+0.47t

Trend Analysis
2550
6
t=6

Y = 10.37+0.47(6)
Y = 13.19

2550
1,319,000

EX

Trend Analysis
Month
Jan
Feb
Mar
April
May
June
July

Sales
Y
15
16
15
14
16
17
?

Take home

EX
Invest

deposited

2
3
2.5
2
2
3.5

1
3
4
2
1
7

 (Linear
Programming)

(Models Formulation)

(Variable)
(Objectives Equation)
(Constraint Equation)
> 0 (Nonnegativity restriction)

(Solution the equation)

 (Linear
Programming)
(Business Objectives)

Z = C1x1 + C2x2 + C3x3 +.

Cnxn

Minimize Cost (Z = )

A11x1 + A12x2 + + A1nxn < , = , > b1

Ai1x1 +

Am1x1 +

Maximize Profit (Z = )

Ai2x2 + ..+ Ainxn < , = , > bi

Am2x2 + + Amnxn < , = , > bm

Non-negativity restriction

Xj > = 0 , j = 1,2n

 (linear
programming)

1.

2
20 % 25 %
2
450

280

1.5
1

= 20X + 25X
1

Z = 20X1 + 25X2

 1.

X1 /

X2 /

1.5X1 +

2X

<=

450

1X1 + .80X2

<=280

X1 , X2 > 0

 2.
1
2

(1)
= 300

(2)
0 , X1 = 280

1.5X1 +

2X

<= 450

1X1 + .80X2 <=280

X1 = 0 , X2 = 225 X2 = 0 , X1
X1 = 0 , X2 = 350 X2 =

X2

350
1X1 + .80X2 <=280

225
200

1.5X1 + 2X2 <= 450

100

B
D
0

=250, X2 =37.5

X1

C
100

200

280

300

400

X1

 2.

(1) (2)

1.5X1 +

2X

<= 450

3
(3)

(4)

(3) - (4)
= 60

X1, X2

1X1 + .80X2 <=280

3X1 +

4X

= 900

3X1 +

2.40X

= 840

1.6X

 2.

(1) (2)
X X

=280

1,

X2 (2) 1X1 + .80(37.5)

X1 = 250
X1 = 250 X2 = 37.5

= 20X + 25X
1

20(0) + 25(255) = 5,625

C 20(280) + 25(0) = 5600

B 20(250) + 25(37.5) = 5937.50

250

37.5

5,937.50

Semi Average Method

1. 2
2

2
2.
2

( x)

( )

Semi Average Method

3.

y
1

y
2

(X) b
4.
^

Y a bx
b

b y 2 y1

y1 y 2

^
5. a b Y a bx

X
,

y
1

a =

1
2543
15


2543
2544
2545
2546
2547
2548
2549
2550

()
15
10
12
11
9
5
5
3

1.
2.


1.
2

1 25432546 4

2 2547-2548 4

2.

y1

15 10 12 11
12
4

1 1 2545

y2

9553
5.5
4

2 1
2549

3.

y1

y2

2549-2545 = 4
(b)
4.

5.5 12
b
1.625
4

5.

^
Y a bx

a = Y1 = 12 b= -1.625

Y 12 (1.625) x 10.375
X

2544

Moving Average

Simple Moving Average

Y (t )

y(
t 1

t i)

y (t 1) y ( t 2) y ( t 3) ... y ( t N )

Y =

y =

N =

Simple Moving Average

Month

Sales

Jan

15

Feb

16

Mar

15

April

14

May

16

June

17

July

15

Aug

15

Sept

20

3 Period of Moving

Forecast

(Jan+Feb+Mar)/3 ;(15+16+15)/3=

15.333

Simple Moving Average

Month

Jan
Feb
Mar
April
May
June

Sales 3 Period of Moving

500
450
550
640
480
530

1500/3
1640
1670
1650

Forecast

500.00
546.67
556.67
550.00

Weighted Moving Average

Weighted Moving Average

w y

(t i ) (t i )

Y (t )

t 1

(t i )

w(t 1) y (t 1) w(t 2) y (t 2) w(t 3) y (t 3) ... w(t N ) y (t N )

w(t 1) w(t 2) w(t 3) ... w(t N )

Y =

y =

N =

Weighted Moving Average

Month Sales

3 Period of Moving

Forecast

Jan

15

Feb

16

Mar

15

April

14

(Janx1+Febx2+Marx3)/3+2+1 ;(15x1+16x2+15x3)/6=

15.333

May

16

(Febx1+Marx2+Aprx3)/3+2+1 ;(16x1+15x2+14x3)/6

14.667

June

17

July

15

Aug

15

Sept

20

Weighted Moving Average

Month

Jan
Feb
Mar

Sales 3 Period of Moving

500
450
550

April
May
June

640
480
530

500*1=500
450*2=900
550*3=1650
= 3,050/6
= 3,470/6
= 3,270/6
= 3,190/6

Forecast

508.33
578.33
545.00
531.67

Exponential Smoothing

1
()

Y ( t ) Y ( t 1) y ( t 1) Y ( t 1)

Y =
y =
t i = i

= 0.00 1.00
0.1 0.3

Exponential Smoothing
Month

Sales

Y ( t ) Y ( t 1) y ( t 1) Y (t 1)

Smoothing Forecasting
= 0.3

= 0.2

= 0.1

Jan

15

15.0

15

15

Feb

16

15+0.3(15-15)

15.0

15

15

Mar

15

15+0.3(16-15)

15.3

15.2

15.1

April

14

15.3+0.3(15-15.3)

15.2

15.2

15.1

May

16

15.2+0.3(14-15.2)

14.8

14.9

15.0

June

17

15.2

15.1

15.1

July

15

15.7

15.5

15.3

Aug

15

15.5

15.4

15.2

Month

Sales

10

12

13

16

19

23

26

30

28

10

18

11

16

12

14

0.3