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| Author: | Anandalingham, G. Chen, L. |
| Title: | Linear combination of forecasts: a general bayesian model. (!Combining forecasts) |
| Journal: | Journal of Forecasting
1989 : JUL-SEP, VOL. 8:3, p. 199-214 |
| Index terms: | FORECASTING BAYESIAN STATISTICS |
| Language: | eng |
| Abstract: | The most important factor in forecasting is accuracy. Today numerous forecasting models are available to produce "optimal" forecasts, but each of them is developed based on a particular set of assumptions. Thus a principal motivation for combining forecasts has been to avoid the a priori choice of which forecasting method to use. A general Bayesian model for combining forecasts from experts (or forecasting models) - who might be biased and correlated with each other - is provided. The combination procedure involves debiasing and then combining unbiased forecasts. Furthermore a sequential method is provided for learning about the forecasters' biases in the process of combining information from them. |
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