English

Bayesian forecasting of many count-valued time series

Methodology 2022-06-07 v1 Applications

Abstract

This paper develops forecasting methodology and application of new classes of dynamic models for time series of non-negative counts. Novel univariate models synthesise dynamic generalized linear models for binary and conditionally Poisson time series, with dynamic random effects for over-dispersion. These models allow use of dynamic covariates in both binary and non-zero count components. Sequential Bayesian analysis allows fast, parallel analysis of sets of decoupled time series. New multivariate models then enable information sharing in contexts when data at a more highly aggregated level provide more incisive inferences on shared patterns such as trends and seasonality. A novel multi-scale approach-- one new example of the concept of decouple/recouple in time series-- enables information sharing across series. This incorporates cross-series linkages while insulating parallel estimation of univariate models, hence enables scalability in the number of series. The major motivating context is supermarket sales forecasting. Detailed examples drawn from a case study in multi-step forecasting of sales of a number of related items showcase forecasting of multiple series, with discussion of forecast accuracy metrics and broader questions of probabilistic forecast accuracy assessment.

Keywords

Cite

@article{arxiv.1805.05232,
  title  = {Bayesian forecasting of many count-valued time series},
  author = {Lindsay Berry and Mike West},
  journal= {arXiv preprint arXiv:1805.05232},
  year   = {2022}
}

Comments

26 pages, 10 figures, 1 table

R2 v1 2026-06-23T01:54:14.213Z