SIMPLE BAYESIAN FORECAST COMBINATION

Philip Hans Franses

Annals of Financial Economics (AFE), 2020, vol. 15, issue 04, 1-7

Abstract: In this paper, it is proposed to combine the forecasts using a simple Bayesian forecast combination algorithm. The algorithm is applied to forecasts from three non-nested diffusion models for S shaped processes like virus diffusion. An illustration to daily data on first-wave cumulative Covid-19 cases in the Netherlands shows the ease of use of the algorithm and the accuracy of the newly combined forecasts.

Keywords: Forecasting; forecast combination; S curves (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1142/S2010495220500165

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