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...