Forecast combination-based forecast reconciliation: Insights and extensions

Forecast Evaluation and Combination

Density Forecast Combination

In this paper we investigate whether and how far density forecasts sensibly can be combined to produce a “better” pooled density forecast. In so doing we bring together two important but hitherto largely unrelated areas of the forecasting literature in economics, density forecasting and forecast combination. We provide simple Bayesian methods of pooling information across alternative density fo...

Forecast Combination across Estimation Windows∗

This paper considers the problem of forecast combination when forecasts are generated from the same model but use different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. The analysis is then extended to a linear regression model with an exogenous regressor. It is shown that compared to foreca...

Port Throughput Forecast Based on Nonlinear Combination Method

-. Port throughput forecast plays a great role in the development of port logistics economy. This paper works over that significant subject based on a new kind of nonlinear combination method, which is composed of linear exponential smoothing model, simple moving average method and Elman network. The forecasted values through the first two methods are taken as the inputs of Elman network, which...

Forecast combination in revenue management demand forecasting

The domain of multi level forecast combination is a challenging new domain containing a large potential for forecast improvements. This thesis presents a theoretical and experimental analysis of different types of forecast diversification on forecast error covariances and resulting combined forecast quality. Three types of diversification are used: (a) diversification concerning the level of le...