Another look at forecast selection and combination : Evidence from forecast pooling

• Forecast selection and combination are regarded as two competing alternatives. In the literature there is substantial evidence that forecast combination is beneficial, in terms of reducing the forecast errors, as well as mitigating modelling uncertainty as we are not forced to choose a single model. However, whether all forecasts to be combined are appropriate, or not, is typically overlooked and various weighting schemes have been proposed to lessen the impact of inappropriate forecasts. We argue that selecting a reasonable pool of forecasts is fundamental in the modelling process and in this context both forecast selection and combination can be seen as two extreme pools of forecasts. We evaluate forecast pooling approaches and find them beneficial in terms of forecast accuracy. We propose a heuristic to automatically identify forecast pools, irrespective of their source or the performance criteria, and demonstrate that in various conditions it performs at least as good as alternative pools that require additional modelling decisions and better than selection or combination. 

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Annan elektroteknik och elektronik (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Other Electrical Engineering, Electronic Engineering, Information Engineering (hsv//eng)

NATURVETENSKAP  -- Geovetenskap och miljövetenskap -- Meteorologi och atmosfärforskning (hsv//swe)

NATURAL SCIENCES  -- Earth and Related Environmental Sciences -- Meteorology and Atmospheric Sciences (hsv//eng)

Nyckelord

Cross-validation

Forecast combination

Forecast pooling

Forecasting

Model selection

Lakes

Uncertainty analysis

Cross validation

Forecast accuracy

Forecast combinations

Forecast errors

Modelling process

Performance criterion

Weighting scheme

Publikations- och innehållstyp

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