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Combining exponential smoothing forecasts using Akaike weights

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  • Kolassa, Stephan
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    Abstract

    Simple forecast combinations such as medians and trimmed or winsorized means are known to improve the accuracy of point forecasts, and Akaike’s Information Criterion (AIC) has given rise to so-called Akaike weights, which have been used successfully to combine statistical models for inference and prediction in specialist fields, e.g., ecology and medicine. We examine combining exponential smoothing point and interval forecasts using weights derived from AIC, small-sample-corrected AIC and BIC on the M1 and M3 Competition datasets. Weighted forecast combinations perform better than forecasts selected using information criteria, in terms of both point forecast accuracy and prediction interval coverage. Simple combinations and weighted combinations do not consistently outperform one another, while simple combinations sometimes perform worse than single forecasts selected by information criteria. We find a tendency for a longer history to be associated with a better prediction interval coverage.

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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 27 (2011)
    Issue (Month): 2 ()
    Pages: 238-251

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    Handle: RePEc:eee:intfor:v:27:y:2011:i:2:p:238-251

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    Web page: http://www.elsevier.com/locate/ijforecast

    Related research

    Keywords: AIC; BIC; Combining forecasts; Information criteria; Model selection;

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    Cited by:
    1. Kourentzes, Nikolaos & Petropoulos, Fotios & Trapero, Juan R., 2014. "Improving forecasting by estimating time series structural components across multiple frequencies," International Journal of Forecasting, Elsevier, vol. 30(2), pages 291-302.
    2. Pablo Pincheira, 2012. "Are Forecast Combinations Efficient?," Working Papers Central Bank of Chile 661, Central Bank of Chile.

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