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عنوان فارسی مقاله:
پازل ترکیب پیش بینی: توضیح نظری ساده
عنوان انگلیسی مقاله:
The forecast combination puzzle: A simple theoretical explanation
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
6. Numerical illustration
Our Figs. 1–3 are stylized so as to provide a simple explanation of the puzzle. In actual applications, the shift and distortion of the dashed curve in Fig. 1 will vary according to our theoretical results in Eq. (6) (for two dimensions) and Proposition 3.1 (for m dimensions). To support our theoretical results and obtain a better understanding of these shifts and distortions, we now present a simple simulation study. We follow the experimental design of Smith and Wallis (2009, Section 3.1) closely, and in particular their case 2. We draw a sequence of T + 1 observations from a strictly stationary AR(2) process zt = φ1zt−1 + φ2zt−2 + ϵt, t = 1, . . . , T + 1, where the {ϵt} are independent and identically distributed standard-normal variates, and φ1 and φ2 are given parameters that are subject to the stationarity conditions φ1 + φ2 < 1, φ2 − φ1 < 1, and |φ2| < 1. The variance of the process is given by σ 2 z = var(zt) = 1 − φ2 (1 + φ2)[(1 − φ2) 2 − φ 2 1 ] , and the first two autocorrelation coefficients are ρ1 = corr(zt, zt−1) = φ1 1 − φ2 , ρ2 = corr(zt, zt−2) = φ1ρ1 + φ2. Our aim is to forecast the final observation zT+1. Two forecasts are available,
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کلمات کلیدی:
A Simple Explanation of the Forecast Combination Puzzle https://www.researchgate.net/.../226652594_A_Simple_Explanation_of_the_Forecast_C... This article presents a formal explanation of the forecast combination puzzle, that simple combinations of point forecasts are repeatedly found to outperform ... [PDF]The forecast combination puzzle: A simple ... - FEB KU Leuven https://feb.kuleuven.be/public/ndbaf45/papers/KBI_1604.pdf by G Claeskens - Cited by 16 - Related articles The forecast combination puzzle: A simple theoretical explanation. Gerda Claeskens. KU Leuven, Belgium. Jan R. Magnus. Vrije Universiteit Amsterdam and ... A Simple Explanation of the Forecast Combination Puzzle - Smith ... onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.2008.00541.x/abstract by J Smith - 2009 - Cited by 137 - Related articles Feb 23, 2009 - This article presents a formal explanation of the forecast combination puzzle, that simple combinations of point forecasts are repeatedly found ... [PDF]Forecast Combinations www.oxford-man.ox.ac.uk/sites/default/files/events/combination_Sofie.pdf by A Timmermann - Cited by 1046 - Related articles Jul 29, 2013 - Estimating Forecast Combination Weights. Weighting schemes under MSE loss. Forecast Combination Puzzle. Rapach, Strauss and Zhou, ... The forecast combination puzzle: a simple theoretical ... - IDEAS/RePEc https://ideas.repec.org/p/ete/kbiper/532152.html by G Claeskens - 2016 - Cited by 16 - Related articles Downloadable! This paper offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in ... RPubs - The forecast combination puzzle https://rpubs.com/jeanimal/220818 Oct 22, 2016 - The paper begins by explaining what the forecast combination puzzle is: When several forecasts of the same event are available, it is natural to ...
