SciELO - Scientific Electronic Library Online

 
vol.44 número1Complete-Linkage Clustering Analysis of Surrogate Measures for Road Safety Assessment in RoundaboutsElicitation of the Parameters of Múltiple Linear Models índice de autoresíndice de assuntospesquisa de artigos
Home Pagelista alfabética de periódicos  

Serviços Personalizados

Journal

Artigo

Indicadores

Links relacionados

  • Em processo de indexaçãoCitado por Google
  • Não possue artigos similaresSimilares em SciELO
  • Em processo de indexaçãoSimilares em Google

Compartilhar


Revista Colombiana de Estadística

versão impressa ISSN 0120-1751

Resumo

MATE, Carlos G.. Combining Interval Time Series Forecasts. A First Step in a Long Way (Research Agenda). Rev.Colomb.Estad. [online]. 2021, vol.44, n.1, pp.123-157.  Epub 28-Fev-2021. ISSN 0120-1751.  https://doi.org/10.15446/rce.v44n1.85116.

We observe every day a world more complex, uncertain, and riskier than the world of yesterday. Consequently, having accurate forecasts in economics, finance, energy, health, tourism, and so on; is more critical than ever. Moreover, there is an increasing requirement to provide other types of forecasts beyond point ones such as interval forecasts. After more than 50 years of research, there are two consensuses, "combining forecasts reduces the final forecasting error" and "a simple average of several forecasts often outperforms complicated weighting schemes", which was named "forecast combination puzzle (FCP)". The introduction of interval-valued time series (ITS) concepts and several forecasting methods has been proposed in different papers and gives answers to some big data challenges. Hence, one main issue is how to combine several forecasts obtained for one ITS. This paper proposes some combination schemes with a couple or various ITS forecasts. Some of them extend previous crisp combination schemes incorporating as a novelty the use of Theil's U. The FCP under the ITS forecasts framework will be analyzed in the context of different accuracy measures and some guidelines will be provided. An agenda for future research in the field of combining forecasts obtained for ITS will be outlined.

Palavras-chave : Efficient market hypothesis; Equal weights; Financial markets; Forecast combination; Optimal weight; Random walk model.

        · resumo em Espanhol     · texto em Inglês     · Inglês ( pdf )