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Sensitivity of Weights in Combining Forecasts

Publication ,  Journal Article
Winkler, RL; Clemen, RT
Published in: Operations Research
June 1992
Published version (DOI) Publisher Link

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.

Duke Scholars

Robert L. Winkler
Author Robert L. Winkler Fuqua School of Business
Robert T. Clemen
Author Robert T. Clemen Fuqua School of Business

Published In

Operations Research

DOI

10.1287/opre.40.3.609

EISSN

1526-5463

ISSN

0030-364X

Publication Date

June 1992

Volume

40

Issue

3

Start / End Page

609 / 614

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Related Subject Headings

  • Operations Research
  • 3507 Strategy, management and organisational behaviour
  • 1503 Business and Management
  • 0802 Computation Theory and Mathematics
  • 0102 Applied Mathematics
 

Citation

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MLA
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Winkler, R. L., & Clemen, R. T. (1992). Sensitivity of Weights in Combining Forecasts. Operations Research, 40(3), 609–614. https://doi.org/10.1287/opre.40.3.609
Winkler, Robert L., and Robert T. Clemen. “Sensitivity of Weights in Combining Forecasts.” Operations Research 40, no. 3 (June 1992): 609–14. https://doi.org/10.1287/opre.40.3.609.
Winkler RL, Clemen RT. Sensitivity of Weights in Combining Forecasts. Operations Research. 1992 Jun;40(3):609–14.
Winkler, Robert L., and Robert T. Clemen. “Sensitivity of Weights in Combining Forecasts.” Operations Research, vol. 40, no. 3, Institute for Operations Research and the Management Sciences (INFORMS), June 1992, pp. 609–14. Crossref, doi:10.1287/opre.40.3.609.
Winkler RL, Clemen RT. Sensitivity of Weights in Combining Forecasts. Operations Research. Institute for Operations Research and the Management Sciences (INFORMS); 1992 Jun;40(3):609–614.

Published In

Operations Research

DOI

10.1287/opre.40.3.609

EISSN

1526-5463

ISSN

0030-364X

Publication Date

June 1992

Volume

40

Issue

3

Start / End Page

609 / 614

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Related Subject Headings

  • Operations Research
  • 3507 Strategy, management and organisational behaviour
  • 1503 Business and Management
  • 0802 Computation Theory and Mathematics
  • 0102 Applied Mathematics