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On Bayesian composite forecasting

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  • Bessler, David A
  • Chamberlain, Peter J

Abstract

Often decision makers have several forecasts of an uncertain and operationally relevant random variable. A rich literature now exists which argues that in this situation the decision maker should consider forming a forecast as a weighted average of each of the individual forecasts. In this paper, composite forecasting is discussed in a Bayesian context. The ability of the user to control the impact of the data on his composite weights is illustrated by an example using expert opinion forecasts of US hog prices.

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Bibliographic Info

Article provided by Elsevier in its journal Omega.

Volume (Year): 15 (1987)
Issue (Month): 1 ()
Pages: 43-48

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Handle: RePEc:eee:jomega:v:15:y:1987:i:1:p:43-48

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Cited by:
  1. Mostaghimi, Mehdi, 1996. "Combining ranked mean value forecasts," European Journal of Operational Research, Elsevier, vol. 94(3), pages 505-516, November.
  2. McIntosh, Christopher S. & Bessler, David A., 1988. "Forecasting Agricultural Prices Using A Bayesian Composite Approach," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(02), December.

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