An unobserved component model for multi-rate forecasting of telephone call demand: the design of a forecasting support system

Abstract

An Unobserved Components (UC) Model based on an enhanced version of the Dynamic Harmonic Regression model, including new multi-rate and modulated cycle procedures, is used to develop a customised package for forecasting and signal extraction applied to hourly telephone call numbers made to Barclaycard plc. service centres, with a forecasting horizon of up to several weeks in advance. The paper outlines both the methodological and algorithmic aspects of the modelling, forecasting and signal extraction procedures, including the design and implementation of forecasting support software with a specially designed Graphical User Interface within the Matlab ® computing environment. The forecasting performance is evaluated comprehensively in comparison with the well-known seasonal ARIMA approach.