Research

The chair concentrates primarily on the development and application of statistical forecasting methods for business application fields and their prototypical implementation with the help of programming languages such as R. In addition, the chair deals with selected aspects of economic and social statistics such as sampling.

Among others, four extensive sub-projects have been realised in the past:

• Design and implementation of the automatic Box-Jenkins forecasting system SAMSON with an integrated model identification and outlier diagnostics and their application for forecasting sales time series as well as gas and electricity sales.
• Design and implementation of Bayesian dynamic linear models with integrated early warning system and the possibility to embed subjective evaluations of planners as well as its application to the sales time series of luxury food.
• Analysis of scientific and commercial planning and forecasting systems with regard to the implemented forecasting procedures, databases, user interfaces and availability.
• Heuristic embedding of event indices and metric scaled regressors into the Pegels-Gardner family of exponential smoothing models.

In addition, some smaller projects were realised:

• Exponential smoothing models for product families.
• Construction and development of a database with calendar and holiday effects and their use in statistical forecasting of sales time series.
• Evaluation and combination of statistical forecasting methods for sales time series.
• Estimation of distributions of outlier statistics in exponential smoothing models.

At present, the chair concentrates primarily on the following fields:

• Methods for forecasting and stocking sporadically demanded items.
• Web information retrieval.
• Models for estimating realised volatility.
• Development of multivariate exponential smoothing models for mapping joint effects in product hierarchies with sporadically demanded items.
• Forecasting commodity prices (including agricultural commodities).
• Computational statistics, including software development with various programming languages (including R), databases and operating systems.