Analysis of Weighting Strategies for Improving the Accuracy of Combined Forecasts

José V. Segura-Heras, José D. Bermúdez, Ana Corberán-Vallet and Enriqueta Vercher
Additional contact information
José V. Segura-Heras: I.U. Operations Research Center, University Miguel Hernandez of Elche, Avda. Ferrocarril s/n, 03202 Elche, Spain
José D. Bermúdez: Department of Statistics and O.R., University of Valencia, C/ Dr. Moliner 50, 46100 Burjassot, Spain
Ana Corberán-Vallet: Department of Statistics and O.R., University of Valencia, C/ Dr. Moliner 50, 46100 Burjassot, Spain
Enriqueta Vercher: Department of Statistics and O.R., University of Valencia, C/ Dr. Moliner 50, 46100 Burjassot, Spain

Mathematics, 2022, vol. 10, issue 5, 1-12

Abstract: This paper deals with the weighted combination of forecasting methods using intelligent strategies for achieving accurate forecasts. In an effort to improve forecasting accuracy, we develop an algorithm that optimizes both the methods used in the combination and the weights assigned to the individual forecasts, COmbEB. The performance of our procedure can be enhanced by analyzing separately seasonal and non-seasonal time series. We study the relationships between prediction errors in the validation set and those of ex-post forecasts for different planning horizons. This study reveals the importance of setting the size of the validation set in a proper way. The performance of the proposed strategy is compared with that of the best prediction strategy in the analysis of each of the 100,000 series included in the M4 Competition.

Keywords: forecasting; time series methods; forecasting combination; M4 Competition (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/10/5/725/pdf (application/pdf)
https://www.mdpi.com/2227-7390/10/5/725/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:10:y:2022:i:5:p:725-:d:757941

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().