OPTIMAL SELECTION OF FORECASTS

被引：3

作者：

CHEN, L ^{[1
]}

ANANDALINGAM, G ^{[1
]}

机构：

[1] UNIV PENN,DEPT SYST,PHILADELPHIA,PA 19104

来源：

JOURNAL OF FORECASTING | 1990年 / 9卷 / 03期

关键词：

Bayesian methods; Dynamic programming; Forecast combination;

D O I：

10.1002/for.3980090307

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Many studies have shown that, in general, a combination of forecasts often outperforms the forecasts of a single model or expert. In this paper we postulate that obtaining forecasts is costly, and provide models for optimally selecting them. Based on normality assumptions, we derive a dynamic programming procedure for maximizing precision net of cost. We examine the solution for cases where the forecasters are independent, correlated and biased. We provide illustrative examples for each case. Copyright © 1990 John Wiley & Sons, Ltd.

引用

页码：283 / 297

页数：15

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