The Combination of Forecasts

Bates, John M.; Granger, Clive W. J.

doi:10.1057/jors.1969.103

Cited by 2,510 publications

(628 citation statements)

References 6 publications

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“…This is the problem of model averaging, which has been studied intensively in statistics. The idea dates back to the work by Bates and Granger (1969) and Dickinson (1975), which stimulated a flurry of articles about combining predictions from different forecasting methods. See Clemen (1989) for a detailed review and annotated bibliography.…”

Section: Univariate Time-series Methodsmentioning

confidence: 99%

“…See Clemen (1989) for a detailed review and annotated bibliography. In the seminal paper by Bates and Granger (1969), two separate sets of forecasts of airline passenger data have been combined to form a combined set of forecasts. They found that the combined forecasts can yield lower mean square error than either of the two original forecasts.…”

Section: Univariate Time-series Methodsmentioning

confidence: 99%

“…The review paper by Clemen (1989) collected a number of contributions on the idea of combining forecasts in the fields of forecasting, psychology, statistics, and management science. While Bates and Granger (1969) and Dickinson (1975) discussed a way of selecting optimal weights from a frequentist viewpoint, Bunn (1975) and Bordley (1982) provided an alternative Bayesian derivation of optimal weights, and showed the similarity with the frequentist viewpoint. An excellent review article on BMA is given by Hoeting et al (1999).…”

Section: Univariate Time-series Methodsmentioning

confidence: 99%

“…Two best models: Following the work of Bates and Granger (1969), our initial model averaging approach combines forecasts from two models given as follows:…”

Section: A Frequentist Viewpointmentioning

confidence: 99%

See 3 more Smart Citations

Point and interval forecasts of age-specific life expectancies

Shang¹

2012

DemRes

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Section: Univariate Time-series Methodsmentioning

confidence: 99%

Section: Univariate Time-series Methodsmentioning

confidence: 99%

Section: Univariate Time-series Methodsmentioning

confidence: 99%

“…Two best models: Following the work of Bates and Granger (1969), our initial model averaging approach combines forecasts from two models given as follows:…”

Section: A Frequentist Viewpointmentioning

confidence: 99%

See 2 more Smart Citations

Point and interval forecasts of age-specific life expectancies

Shang¹

2012

DemRes

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“…Bates and Granger (1969) proposed a method entitled 'Combined forecasting' in order to derive advantage of the available data as much as possible. Thus, accuracy of prediction can be improved by combining different forecasting methods discussed earlier thus enabling more systematic and comprehensive assessment.…”

Section: Combined Gompertz-logistic Modelmentioning

confidence: 99%

Field Data Based Method for Predicting Long-Term Settlements

Jiang¹,

Chen²,

Nimbalkar³

2016

American Journal of Engineering and Applied Sciences

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Abstract:The estimation of the long-term foundation settlement in soft soil is very complex, which is attributed to a number of uncertainties associated with various factors, such as: (i) The compressibility parameters obtained in the laboratory from samples of relatively small size that are more homogeneous compared to heterogeneous field sediments in which various soil types may be interlayered at random and may occur without exhibiting any real stratification; (ii) limitations and unrealistic assumptions prevailing in the conventional consolidation analysis. These have often resulted in the large discrepancy between actual in-situ settlements and the predictions from the conventional consolidation models (e.g., Terzaghi's model). In this study, a field data based method inspired from an observational approach is proposed and validated against a number of high quality long-term field settlement data. Moreover, the corresponding geological soil properties obtained from field and laboratory tests have been presented, with the aim of providing useful practical references for other projects with similar geological profile. Furthermore, the proposed model is compared with existing prediction models. The results show that the newly proposed model can provide more reliable and accurate prediction of foundation settlements compared with other methods established in practice.

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System-based weights versus series-specific weights in the combination of forecasts

West

1996

J. Forecast.

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System-based combination weights for series rlstep-length h incorporate relative accuracy information from other forecast step-lengths for r and from other series for step-length h. Such weights are examined utilizing the West and Fullerton (1996) data set-4275 ex unte employment forecasts from structural simultaneous equation econometric models for 19 metropolitan areas at 10 quarterly step-lengths and a parallel set of 4275 ARIMA forecasts. The system-based weights yielded combined forecasts of higher average accuracy and lower risk of large inaccuracy than seven alternative strategies: (1) averaging; (2) relative MSE weights; (3) outperformance (per cent best) weights; (4) Bates and Granger (1969) optimal weights with a convexity constraint imposed; (5) unconstrained optimal weights; (6) select a 'best' method (ex ante) by series and; (7) experiment in the Bischoff (1989) sense and select either method (2) or (6) based on the outcome of e experiment. Accuracy gains of the system-based combination were concentrated at step-lengths two to five. Although alternative (5) was generally outperformed, none of the six other alternatives was systematically most accurate when evaluated relative to each other. This contrasts with Bischoffs (1989) results that held promise for an empirically applicable guideline to determine whether or not to combine.

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The Combination of Forecasts

Cited by 2,510 publications

References 6 publications

Point and interval forecasts of age-specific life expectancies

Point and interval forecasts of age-specific life expectancies

Field Data Based Method for Predicting Long-Term Settlements

System-based weights versus series-specific weights in the combination of forecasts

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