SENSITIVITY OF WEIGHTS IN COMBINING FORECASTS
成果类型：
Note
署名作者：
WINKLER, RL; CLEMEN, RT
署名单位：
Duke University; University of Oregon
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.40.3.609
发表日期：
1992
页码：
609-614
关键词：
摘要：
In the combination of forecasts, weighted averages that attempt to take into account the accuracy of the forecasts and any dependence among forecasts tend to perform poorly in practice. An important factor influencing this performance is the sensitivity, or instability, of the estimated weights used to generate the combined forecast. The intent of this paper is to look at this instability via graphs and the sampling distribution of the weights. Results are developed for the combination of two forecasts and extended to the m-forecast case by viewing the m-forecast case as a sequence of two-forecast combinations.