Fathoming empirical forecasting competitions’ winners
نویسندگان
چکیده
The M5 forecasting competition has provided strong empirical evidence that machine learning methods can outperform statistical methods: in essence, complex be more accurate than simple ones. Regardless, this result challenges the flagship led discipline for last four decades: keep sophisticatedly simple. Nevertheless, was a first, and we argue will not happen again. There been different winner each competition. This inevitably raises question: method win once (and should it expected to)? Furthermore, need to elaborate on perks of competing methods, what makes them winners?
منابع مشابه
Incentive-Compatible Forecasting Competitions
We consider the design of forecasting competitions in which multiple forecasters make predictions about one or more independent events and compete for a single prize. We have two objectives: (1) to award the prize to the most accurate forecaster, and (2) to incentivize forecasters to report truthfully, so that forecasts are informative and forecasters need not spend any cognitive effort strateg...
متن کاملShould We Redesign Forecasting Competitions?
The M3-Competition continues to improve the design of forecasting competitions: It examines more series than any previous competition, improves error analyses and includes commercial forecasting programs as competitors. To judge where to go from here, I step back to look at the M-Competitions as a whole. I discuss the advantages of the M-Competitions in hopes that they will be retained, describ...
متن کاملThe value of feedback in forecasting competitions
In this paper we challenge the traditional design used for forecasting competitions. We implement an online competition with a public leaderboard that provides instant feedback to competitors who are allowed to revise and resubmit forecasts. The results show that feedback significantly improves forecasting accuracy.
متن کاملTech Forecasting An Empirical Perspective
Introduction In inviting these perspectives, Hal Linstone wrote that technology forecasting (TF) seems to have peaked around 1970 with a decline in methodological advance thereafter. That stimulated me to conduct a bibliometric analysis of TF activity over the past dozen years. Results support Hal’s contention, but also point toward “next wave” possibilities. Before digging into the data, it is...
متن کاملForecasting UK In ation: Empirical Evidence on Robust Forecasting Devices
Forecasting in ation is fundamental to UK monetary policy, both for policy-makers and private agents. However, forecast failure is prevalent with naive devices often outperforming the dominant congruent in-sample model in forecasting competitions. This paper assesses evidence for UK annual and quarterly in ation using the theoretical framework developed by Clements and Hendry (1998, 1999) to ex...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2022
ISSN: ['1872-8200', '0169-2070']
DOI: https://doi.org/10.1016/j.ijforecast.2022.03.010