GROEC: Combination method via Generalized Rolling Origin Evaluation

Jose Augusto Fiorucci and Francisco Louzada

International Journal of Forecasting, 2020, vol. 36, issue 1, 105-109

Abstract: Combination methods have performed well in time series forecast competitions. This study proposes a simple but general methodology for combining time series forecast methods. Weights are calculated using a cross-validation scheme that assigns greater weights to methods with more accurate in-sample predictions. The methodology was used to combine forecasts from the Theta, exponential smoothing, and ARIMA models, and placed fifth in the M4 Competition for both point and interval forecasting.

Keywords: M4 competition; Forecast combination; Theta models; ARIMA models; Exponential smoothing (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:36:y:2020:i:1:p:105-109

DOI: 10.1016/j.ijforecast.2019.04.013

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