Combining Forecasting Procedures: Some Theoretical Results
AbstractWe study some methods of combining procedures for forecasting a continuous random variable. Statistical risk bounds under the square error loss are obtained under distributional assumptions on the future given the current outside information and the past observations. The risk bounds show that the combined forecast automatically achieves the best performance among the candidate procedures up to a constant factor and an additive penalty term. In terms of the rate of convergence, the combined forecast performs as well as if the best candidate forecasting procedure were known in advance.Empirical studies suggest that combining procedures can sometimes improve forecasting accuracy over the original procedures. Risk bounds are derived to theoretically quantify the potential gain and price of linearly combining forecasts for improvement. The result supports the empirical finding that it is not automatically a good idea to combine forecasts. Indiscriminate combining can degrade performance dramatically as a result of the large variability in estimating the best combining weights. An automated combining method is shown in theory to achieve a balance between the potential gain and the complexity penalty (the price of combining), to take advantage (if any) of sparse combining, and to maintain the best performance (in rate) among the candidate forecasting procedures if linear or sparse combining does not help.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 20 (2004)
Issue (Month): 01 (February)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:email@example.com
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
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.