Time Series Forecasting as a Measure

Abstract

In this paper, the time series prediction is as a measure. At the same time, the optimal combination forecast using each method can be defined as the actual impact measurement value of true. Effect of its theoretical estimation has error correlation coefficient values. The optimal weighted linear combination is the theoretical prediction which can be proved, also, simple averaging method is linear combination forecasting optimal weights. Especially, based on the robust statistic theory, the mathematical derivation and numerical tests on the superiority is simple.