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SSRN Electronic Journal, 2014
When combining forecasts, a simple average of the forecasts performs well, often better than more sophisticated methods. In a prescriptive spirit, we consider some other parsimonious, easy-to-use heuristics for combining interval forecasts and compare their performance with the benchmark provided by the simple average, using simulations from a model we
Anil Gaba +2 more
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When combining forecasts, a simple average of the forecasts performs well, often better than more sophisticated methods. In a prescriptive spirit, we consider some other parsimonious, easy-to-use heuristics for combining interval forecasts and compare their performance with the benchmark provided by the simple average, using simulations from a model we
Anil Gaba +2 more
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A Framework for the Combination of Forecasts
Journal of the Academy of Marketing Science, 1988A framework for the systematic study of the combination of sales and market forecasts is proposed based on the types of forecasts to be combined and the methods used to combine them. A detailed survey of the literature is given in terms of the developed framework and general conclusions about the combination of forecasts area are developed. Some future
Benito E. Flores, Edna M. White
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Forecaster Diversity and the Benefits of Combining Forecasts
Management Science, 1995The expected error variance of a combined forecast is necessarily lower than that of an individual forecast, but in practice there may be considerable variation around these expected values. This paper introduces a measure of the benefit from combining, the probability of a reduction in error variance, which recognizes this problem.
Roy Batchelor, Pami Dua
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Journal of the Royal Statistical Society. Series A (General), 1983
Aggregating information by combining forecasts from two or more forecasting methods is an alternative to using just a single method. In this paper we provide extensive empirical results showing that combined forecasts obtained through weighted averages can be quite accurate.
Robert L. Winkler, Spyros Makridakis
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Aggregating information by combining forecasts from two or more forecasting methods is an alternative to using just a single method. In this paper we provide extensive empirical results showing that combined forecasts obtained through weighted averages can be quite accurate.
Robert L. Winkler, Spyros Makridakis
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International Journal of Natural Computing Research, 2012
Combining forecasts is a common practice in time series analysis. This technique involves weighing each estimate of different models in order to minimize the error between the resulting output and the target. This work presents a novel methodology, aiming to combine forecasts using genetic programming, a metaheuristic that searches for a nonlinear ...
Adriano S. Koshiyama +4 more
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Combining forecasts is a common practice in time series analysis. This technique involves weighing each estimate of different models in order to minimize the error between the resulting output and the target. This work presents a novel methodology, aiming to combine forecasts using genetic programming, a metaheuristic that searches for a nonlinear ...
Adriano S. Koshiyama +4 more
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Forecast Combination in the Frequency Domain
SSRN Electronic Journal, 2023Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces markedly more accurate predictions relative to the standard
Faria, Gonçalo, Verona, Fabio
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Journal of the Operational Research Society, 1969
AbstractTwo separate sets of forecasts of airline passenger data have been combined to form a composite set of forecasts. The main conclusion is that the composite set of forecasts can yield lower mean-square error than either of the original forecasts.
J. M. Bates, C. W. J. Granger
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AbstractTwo separate sets of forecasts of airline passenger data have been combined to form a composite set of forecasts. The main conclusion is that the composite set of forecasts can yield lower mean-square error than either of the original forecasts.
J. M. Bates, C. W. J. Granger
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To combine or not to combine? issues of combining forecasts
Journal of Forecasting, 1992AbstractThis paper addresses issues such as: Does it always pay to combine individual forecasts of a variable? Should one combine an unbiased forecast with one that is heavily biased? Should one use optimal weights as suggested by Bates and Granger over twenty years ago? A simple model which accounts for the main features of individual forecasts is put
Franz C. Palm, Arnold Zellner
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Forecast evaluation and combination [PDF]
, 1995 Forecasts are of great importance and widely used in economics and finance. Quite simply, good forecasts lead to good decisions. The importance of forecast evaluation and combination techniques follows immediately—forecast users naturally have a keen interest in monitoring and improving forecast performance.
Francis X. Diebold, Jose A. Lopez
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Tourism forecasting: To combine or not to combine?
Tourism Management, 2007Abstract Existing non-tourism related literature shows that forecast combination can improve forecasting accuracy. This study tests this proposition in the tourism context by examining the efficiency of combining forecasts based on three different combination methods.
Wong, KF, Song, H, Witt, SF, Wu, DC
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