APPLICATIONS OF SPECTRAL ANALYSIS

The basic concepts and application of spectral analysis are explained. Stationary time series and autocorrelation are first defined. Autocorrelation is related to the familiar concepts of variance and covariance. The use of autocorrelation analysis is explained in estimating the interdependent relationship of a time series over discrete time lags. In order to measure the behavior of the time series using autocorrelation, it would be necessary to examine a very large number of autocorrelation lags. Alternatively, the technique of Fourier analysis can be used to transform the autocorrelation function of the time series into a continuous function, termed a spectrum. The spectrum has a one to one correspondence to the autocorrelation for the time series and has the advantage of representing all possible autocorrelations over the discrete time lags. The spectrum can then be examined as a measure of the behavior of the time series. Spectral analysis indicates the reliability of the analysis of autocorrelated variables when familiar statistical techniques such as sample means and variances are used. The application of spectral analysis to management science problems in three general areas is illustrated: (1) inventory demand, (2) transportation simulation, and (3) stock market price behavior. Spectral analysis was used to detect cycles and trends in the data. Analyses were focused on the spectrum which provides a measure of the relative contribution of cycles in a band of frequencies to the total variance of the data.     

CONFLICT RESOLUTION IN INVESTMENT DECISIONS: IMPLEMENTATION OF GOAL PROGRAMMING METHODOLOGY FOR DUAL-PURPOSE FUNDS*

Goal programming (GP) is designed to resolve allocation problems with conflicting goals. Both goals and constraints are incorporated in the allocational decision, and the objective function is stated in a way that, upon solution, yields a result “as close as possible” to the priority-weighted goals. The present paper applies GP methodology to the investment decision of dual-purpose funds (DPFs), that are required by law to pursue allocational decisions with potentially conflicting objectives. It provides an empirical demonstration that DPF managers could have improved their investment selection and subsequent performance by the use of GP methodology. Finally the paper stresses the importance of sensitivity analysis to improve both the goal-ranking and target-selection aspects of the methodology and provides a limited but illuminating empirical demonstration of post-optimality analysis.     

DETERMINING THE APPROPRIATE DISCOUNT RATES IN PURE CAPITAL RATIONING

This paper proposes an interpretation of the pure capital rationing problem as it is faced by many managers in decentralized firms in which budgets serve as the principal means of control. It is argued that the appropriate objective for situations such as these is the maximization of either undiscounted earnings over the planning horizon or total value of the investments at the horizon. When either objective function is used in conjunction with the frequently encountered linear programming models for the capital rationing problem, shadow prices result which give rise to discount rates that will reproduce the optimal solution using discounted cash flow as a criterion. These results are then used as a means for clarifying several confusing and misleading statements that have appeared in the literature.     

A COMPARATIVE ANALYSIS OF THE PREDICTIVE ABILITY OF ADAPTIVE FORECASTING,RE-ESTIMATION,AND RE-IDENTIFICATION USING BOX-JENKINS TIME-SERIES ANALYSIS ON QUARTERLY EARNINGS DATA

This paper assesses the predictive ability of the Box-Jenkins methodology when utilized in an on-going setting. Three procedures are utilized to update the original forecasts generated from the Box-Jenkins models: adaptive forecasting, re-estimation, and re-identification. The results indicate that constant monitoring of the structure and parameters of the time-series models are necessary through time. It appears that adaptive forecasting techniques are insufficient to update BJ time-series models when used in conjunction with quarterly earnings data. Re-estimation is recommended as each new observation becomes available. Re-identification procedures are recommended on a less frequent basis.     

DYNAMIC OPERATING RULES FOR MOTEL RESERVATIONS

When customers call a motel or a hotel to reserve a particular room (large, small, suites, single-bed, double-bed, etc.) decisions have to be made concerning the allocation of the available rooms. This paper presents a model for determining the maximum number of specific bookings that should be made for each type of room. The objective is to maximize the expected contribution to profit per rental day. The model considers the distribution of requests for reservations over time as well as cancellations. Also included are the effects of late (unbooked) arrivals and overbookings.     

Pooling designs associated with unitary space and ratio efficiency comparison

Let mathbbF^(2n+d)_q²mathbb{F}^{(2nu+delta)}_{q^{2}} be a (2ν+δ)-dimensional unitary space of mathbbF_q²mathbb{F}_{q^{2}} , where δ=0 or 1. In this paper we construct a family of inclusion matrices associated with subspaces of mathbbF^(2n+d)_q²mathbb{F}^{(2nu+delta)}_{q^{2}} , and exhibit its disjunct property. Moreover, we compare the ratio efficiency of this construction with others, and find it smaller under some conditions.