Adaptive Forecasting Models Based on Predictive Distributions

Robert L. Winkler, Wayne S. Smith and Ram B. Kulkarni
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Robert L. Winkler: Indiana University
Wayne S. Smith: Woodward-Clyde Consultant, San Francisco
Ram B. Kulkarni: Woodward-Clyde Consultant, San Francisco

Management Science, 1978, vol. 24, issue 10, 977-986

Abstract: The availability of data regarding variables of interest in forecasting problems is sometimes limited, but experts may possess a great deal of relevant information. The approach taken in this paper involves the development of adaptive forecasting models based on such information. Since the models and their parameters are difficult to consider intuitively, information from the experts is elicited in terms of predictive distributions of the variable to be forecasted. Various models can then be considered, and attempting to "fit" a model to the predictive distributions is analogous to attempting to fit a model to a set of observations. This general approach to forecasting is developed in this paper, and a specific model, a linear model with normally distributed errors, is considered in some detail. An actual application involving the forecasting of fatigue life of asphalt pavements illustrates the development of forecasting models from experts predictive distributions.

Date: 1978
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