Quantile forecasting and data-driven inventory management under nonstationary demand

In this paper, a single-step framework for predicting quantiles of time series is presented. Subsequently, we propose that this technique can be adopted as a data-driven approach to determine stock levels in the environment of newsvendor problem and its multi-period extension. Theoretical and empirical findings suggest that our method is effective at modeling both weakly stationary and some nonstationary time series. On both simulated and real-world datasets, the proposed approach outperforms existing statistical methods and yields good newsvendor solutions. (C) 2019 Elsevier B.V. All rights reserved.