Some Comments on the Combination of Forecasts

John P. Dickinson

96 citations0/0 files storedJournal of the Operational Research Society

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Forecasting Techniques and Applications Statistical and numerical algorithms Grey System Theory Applications

Abstract

This paper examines some of the theoretical implications of combining forecasts using a minimum variance criterion. In particular, the derivation of the exact expression for the minimum variance weight vector is provided, together with a proof that the error variance of the composite forecast is no greater than that of any of the component forecasts. A detailed examination is made of the probability distributions of the weight estimators, and an explanation is given for the occurrence of negative weights.

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References

1969The Combination of Forecasts 1973Some Statistical Results in the Combination of Forecasts

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1990Allocating the weights in the linear opinion pool 1998A nonlinear forecasts combination method based on Takagi–Sugeno fuzzy systems 1984Models for the use of Expert Opinions 1999Investigating improvements in the accuracy of prediction intervals for combinations of forecasts: A simulation study 1986Determination of an Optimal Forecast Model for Ambulance Demand Using Goal Programming 1982Combining multiple forecasts given multiple objectives

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