Forecaster Diversity and the Benefits of Combining Forecasts
AbstractThe expected error variance of a combined forecast is necessarily lower than that of an individual forecast, but in practice there may be considerable variation around these expected values. This paper introduces a measure of the benefit from combining, the probability of a reduction in error variance, which recognizes this problem. The measure is applied to data on the forecasts and forecasting methods of a panel of U.S. economists to determine how the benefits of combining vary with the number of forecasts combined, and with the diversity in theories and techniques among the component forecasts.
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Bibliographic InfoArticle provided by INFORMS in its journal Management Science.
Volume (Year): 41 (1995)
Issue (Month): 1 (January)
forecasting; combined forecasts;
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