Horizon-Aware Model Selection for Demand Forecasting
A new framework addresses model selection for demand forecasting in business environments with intermittent demand and multi-step planning. The Metric Degradation by Forecast Horizon (MDFH) procedure projects error metrics from test to future operational horizons, enabling horizon-aware evaluation. The study derives RMSSEh as a parsimonious metric for multi-step contexts.
Key facts
- arXiv:2602.13939v5
- Announce Type: replace-cross
- Introduces Metric Degradation by Forecast Horizon (MDFH) procedure
- MDFH projects out-of-sample error metrics from test horizon to future operational horizon
- Derives RMSSEh as most parsimonious metric
- Addresses model selection for intermittent demand and high variability
- Focuses on multi-step planning contexts
- Assumes structural stability conditions
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