On the uncertainty of a combined forecast: The critical role of correlation

International Journal of Forecasting - Tập 39 - Trang 1895-1908 - 2023
Jan R. Magnus1,2, Andrey L. Vasnev3
1Vrije Universiteit, Amsterdam, The Netherlands
2Tinbergen Institute, Amsterdam, The Netherlands
3University of Sydney, New South Wales, Australia

Tài liệu tham khảo

Bank of Japan, (quarterly). Outlook for economic activity and prices. https://www.boj.or.jp/en/mopo/outlook/index.htm. Bates, 1969, The combination of forecasts, Operational Research Quarterly, 20, 451, 10.1057/jors.1969.103 Elliott, 2016, Forecast combinations, 310 Gibbs, 2018 Grushka-Cockayne, 2019, Combining prediction intervals in the M4 competition, International Journal of Forecasting, 36, 178, 10.1016/j.ijforecast.2019.04.015 Hounyo, 2021, Estimating the variance of a combined forecast: Bootstrap-based approach, CREATES Research Paper Nr. 2021-14 Ikefuji, 2022 Knüppel, 2021, Forecast uncertainty, disagreement, and the linear pool, Journal of Applied Econometrics, 37, 23, 10.1002/jae.2834 Makridakis, 2018, The M4 competition: Results, findings, conclusion and way forward, International Journal of Forecasting, 34, 802, 10.1016/j.ijforecast.2018.06.001 Makridakis, 2022, The M5 accuracy competition: Results, findings and conclusions, International Journal of Forecasting, 38, 1346, 10.1016/j.ijforecast.2021.11.013 Matsypura, 2018, Optimal selection of expert forecasts with integer programming, Omega, 78, 165, 10.1016/j.omega.2017.06.010 Meira, 2021, Treating and pruning: New approaches to forecasting model selection and combination using prediction intervals, International Journal of Forecasting, 37, 547, 10.1016/j.ijforecast.2020.07.005 Qian, 2022, Combining forecasts for universally optimal performance, International Journal of Forecasting, 38, 193, 10.1016/j.ijforecast.2021.05.004 Radchenko, 2022, Too similar to combine? On negative weights in forecast combination, International Journal of Forecasting Timmermann, 2006, Forecast combinations, 135, 10.1016/S1574-0706(05)01004-9 Tsuchiya, 2021, The value added of the bank of Japan’s range forecasts, Journal of Forecasting, 40, 817, 10.1002/for.2742 Wang, 2022, The uncertainty estimation of feature-based forecast combinations, Journal of the Operational Research Society, 73, 979, 10.1080/01605682.2021.1880297