A Mixture-Model Approach to Combining Forecasts
AbstractA multiprocess mixture-model approach to combining forecasts from alternative sources is proposed. This approach extends the Granger-Ramanathan method by allowing the weights used in producing the combination forecast to vary over time. In addition, the procedure discounts outlying data points that arise during time periods when all of the competing forecasts miss the mark. An empirical comparison with traditional and more recently proposed.combination methods demonstrates that the proposed methodology outperforms these.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 10 (1992)
Issue (Month): 4 (October)
Contact details of provider:
Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010.
CREATES Research Papers
2010-21, School of Economics and Management, University of Aarhus.
- Chan, Chi Kin & Kingsman, Brian G. & Wong, H., 1999. "The value of combining forecasts in inventory management - a case study in banking," European Journal of Operational Research, Elsevier, vol. 117(2), pages 199-210, September.
- de Menezes, Lilian M. & W. Bunn, Derek & Taylor, James W., 2000. "Review of guidelines for the use of combined forecasts," European Journal of Operational Research, Elsevier, vol. 120(1), pages 190-204, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.