Sensitivity of Weights in Combining Forecasts

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Winkler, RL; Clemen, RT

Published Date

  • June 1992

Published In

Volume / Issue

  • 40 / 3

Start / End Page

  • 609 - 614

Published By

Electronic International Standard Serial Number (EISSN)

  • 1526-5463

International Standard Serial Number (ISSN)

  • 0030-364X

Digital Object Identifier (DOI)

  • 10.1287/opre.40.3.609

Language

  • en