نتایج جستجو برای: forecast combination

تعداد نتایج: 405902  

2016
Mingjuan Xu Zhengyu Liu

A feasibility study of using of Dynamic Bayesian Networks in combination with ARMA modeling in exchange rate prediction is presented. A new algorithm (ARMA-DBN) is constructed and applied to the exchange rate forecast of RMB. Results show that the improved dynamic Bayesian forecast algorithm has better performance than the standard ARMA model.

2011
Graham Elliott

We show that when outcomes are di¢ cult to forecast in the sense that forecast errors have a large common component that (a) optimal weights are not a¤ected by this common component, and may well be far from equal to each other but (b) the relative MSE loss from averaging over optimal combination is small. Hence researchers could well estimate combining weights that indicate that correlations c...

2012
Norman R. Swanson Tian Zeng

Based on Monte Carlo simulations using both stationary and nonstationary data, a model selection approach which uses the SIC to select a "best" group of forecasts in the context of forecast combination regressions dominates a number of other techniques, including the standard t-statistic approach and the simple averaging rule. Our results are robust across various restricted and unrestricted ve...

2011
Laurent Pauwels Andrey Vasnev Laurent L. Pauwels

This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies well-established scoring rules for qualitative response models in the context of forecast combination. Log-scores and quadratic-scores are both used to evaluate the forecasting...

2007
Jana Eklund Sune Karlsson

The increasing availability of data and potential predictor variables poses new challenges to forecasters. The task of formulating a single forecasting model that can extract all the relevant information is becoming increasingly difficult in the face of this abundance of data. The two leading approaches to addressing this ”embarrassment of riches” are philosophically distinct. One approach buil...

2010
Di-Yi Chen Yu-xiao Liu Xiao-yi Ma Yan Long

In order to improve the prediction accuracy of agricultural machinery total power then to provide the basis for the agricultural mechanization development goals, the paper used gray GM(2,1) model in the prediction. Through the introduction of parameter λ to correct the background value and parameter ρ for multiple transformation on the initial data, the model was expanded to (2,1, , ) GM λ ρ mo...

Journal: :Applied Mathematics and Computer Science 2016
Mietek A. Brdys Marcin T. Brdys Sebastian M. Maciejewski

The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-dayahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underl...

2004
Todd E. Clark Michael W. McCracken

This paper presents analytical, Monte Carlo, and empirical evidence on combining recursive and rolling forecasts when linear predictive models are subject to structural change. Using a characterization of the bias-variance tradeoff faced when choosing between either the recursive and rolling schemes or a scalar convex combination of the two, we derive optimal observation windows and combining w...

2007
YI-XIONG JIN JUAN SU

A similar historical load data search technique, which took the sum of meteorological load and secular trend load as clustering center, was put forward. This method can improve the similarity of the loads between forecast day and sample days, and so as to improve the reliability and precision of load forecast. Manifold load forecast methods assembled by optimal weight were also applied. Technic...

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