Temporal disaggregation of time series based on accumulated and inverse accumulated generating operations and interpolation method

Abstract

Purpose

The purpose of this paper is to propose a new temporal disaggregation method for time series based on the accumulated and inverse accumulated generating operations in grey modeling and the interpolation method.

Design/methodology/approach

This disaggregation method includes three main steps, including accumulation, interpolation, and differentiation (AID). First, a low frequency flow series is transformed to the corresponding stock series through accumulated generating operation. Then, values of the stock series at unobserved time is estimated through appropriate interpolation method. And finally, the disaggregated stock series is transformed back to high frequency flow series through inverse accumulated generating operation.

Findings

The AID method is tested with a sales series. Results shows that the disaggregated sales data are satisfactory and reliable compared with the original data and disaggregated data using a time series model. The AID method is applicable to both long time series and grey series with insufficient information.

Practical implications

The AID method can be easily used to disaggregate low frequency flow series.

Originality/value

The AID method is a combination of grey modeling technique and interpolation method. Compared with other disaggregation methods, the AID method is simple, and does not require auxiliary information or plausible minimizing criterion required by other disaggregation methods.

Citation

Shang, S. (2015), "Temporal disaggregation of time series based on accumulated and inverse accumulated generating operations and interpolation method", Grey Systems: Theory and Application, Vol. 5 No. 1, pp. 54-61. https://doi.org/10.1108/GS-11-2014-0041