This paper applies receiver operating characteristics (ROC) analysis to M3 Competition, micro monthly time series for one-month-ahead forecasts. Using the partial area under the curve (PAUC) criterion as a forecast accuracy measure and paired-comparison testing via bootstrapping, we find that...

This paper identifies forecasts of exceptions in product or service demand (i.e., large changes or extreme values) as a special need in forecasting, requiring new forecast accuracy measures based on the tails of sampled forecast error distributions. For this purpose, the paper introduces...

Time series monitoring methods, such as the Brown and Trigg methods, have the purpose of detecting pattern breaks (or “signals”) in time series data reliably and in a timely fashion. Traditionally, researchers have used the average run length statistic (ARL) on results from generated signal...