The Ensemble Approach to Forecasting: A Review and Synthesis

Hao Wu and David Levinson

No 2021-10, Working Papers from University of Minnesota: Nexus Research Group

Abstract: Ensemble forecasting is a modeling approach that combines data sources, models of different types, with alternative assumptions, using distinct pattern recognition methods. The aim is to use all available information in predictions, without the limiting and arbitrary choices and dependencies resulting from a single statistical or machine learning approach or a single functional form, or results from a limited data source. Uncertainties are systematically accounted for. Outputs of ensemble models can be presented as a range of possibilities, to indicate the amount of uncertainty in modeling. We review methods and applications of ensemble models both within and outside of transport research. The review finds that ensemble forecasting generally improves forecast accuracy, robustness in many fields, particularly in weather forecasting where the method originated. We note that ensemble methods are highly siloed across different disciplines, and both the knowledge and application of ensemble forecasting are lacking in transport. In this paper we review and synthesize methods of ensemble forecasting with a unifying framework, categorizing ensemble methods into two broad and not mutually exclusive categories, namely combining models, and combining data; this framework further extends to ensembles of ensembles. We apply ensemble forecasting to transport related cases, which shows the potential of ensemble models in improving forecast accuracy and reliability. This paper sheds light on the apparatus of ensemble forecasting, which we hope contributes to the better understanding and wider adoption of ensemble models.

Keywords: Ensemble forecasting; Combining models; Data fusion; Ensembles of ensembles (search for similar items in EconPapers)
JEL-codes: C93 R41 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-big, nep-cmp, nep-for and nep-ore
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Published in Transportation Research part C. Volume 132, 103357.

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https://doi.org/10.1016/j.trc.2021.103357 First version, 2021 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:nex:wpaper:ensembleapproachforecasting

DOI: 10.1016/j.trc.2021.103357

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