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Adaptive Forecasting Models Based on Predictive Distributions

Author

Listed:
  • Robert L. Winkler

    (Indiana University)

  • Wayne S. Smith

    (Woodward-Clyde Consultant, San Francisco)

  • Ram B. Kulkarni

    (Woodward-Clyde Consultant, San Francisco)

Abstract

The availability of data regarding variables of interest in forecasting problems is sometimes limited, but experts may possess a great deal of relevant information. The approach taken in this paper involves the development of adaptive forecasting models based on such information. Since the models and their parameters are difficult to consider intuitively, information from the experts is elicited in terms of predictive distributions of the variable to be forecasted. Various models can then be considered, and attempting to "fit" a model to the predictive distributions is analogous to attempting to fit a model to a set of observations. This general approach to forecasting is developed in this paper, and a specific model, a linear model with normally distributed errors, is considered in some detail. An actual application involving the forecasting of fatigue life of asphalt pavements illustrates the development of forecasting models from experts predictive distributions.

Suggested Citation

  • Robert L. Winkler & Wayne S. Smith & Ram B. Kulkarni, 1978. "Adaptive Forecasting Models Based on Predictive Distributions," Management Science, INFORMS, vol. 24(10), pages 977-986, June.
    • Handle: RePEc:inm:ormnsc:v:24:y:1978:i:10:p:977-986
    DOI: 10.1287/mnsc.24.10.977
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    Citations

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    Cited by:

    1. R. Winkler & Javier Muñoz & José Cervera & José Bernardo & Gail Blattenberger & Joseph Kadane & Dennis Lindley & Allan Murphy & Robert Oliver & David Ríos-Insua, 1996. "Scoring rules and the evaluation of probabilities," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 5(1), pages 1-60, June.
    2. Dewispelare, Aaron R. & Herren, L. Tandy & Clemen, Robert T., 1995. "The use of probability elicitation in the high-level nuclear waste regulation program," International Journal of Forecasting, Elsevier, vol. 11(1), pages 5-24, March.
    3. Robert T. Clemen & Terence Reilly, 1999. "Correlations and Copulas for Decision and Risk Analysis," Management Science, INFORMS, vol. 45(2), pages 208-224, February.

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