Combining forecasts for universally optimal performance

Wei Qian, Craig A. Rolling, Gang Cheng and Yuhong Yang

International Journal of Forecasting, 2022, vol. 38, issue 1, 193-208

Abstract: There are two potential directions of forecast combination: combining for adaptation and combining for improvement. The former direction targets the performance of the best forecaster, while the latter attempts to combine forecasts to improve on the best forecaster. It is often useful to infer which goal is more appropriate so that a suitable combination method may be used. This paper proposes an AI-AFTER approach that can not only determine the appropriate goal of forecast combination but also intelligently combine the forecasts to automatically achieve the proper goal. As a result of this approach, the combined forecasts from AI-AFTER perform well universally in both adaptation and improvement scenarios. The proposed forecasting approach is implemented in our R package AIafter, which is available at https://github.com/weiqian1/AIafter.

Keywords: AFTER; Combining forecasts; Model averaging; Regression; Statistical tests (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:38:y:2022:i:1:p:193-208

DOI: 10.1016/j.ijforecast.2021.05.004

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