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Analysis of Weighting Strategies for Improving the Accuracy of Combined Forecasts

Author

Listed:
  • 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)

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.

Suggested Citation

  • José V. Segura-Heras & José D. Bermúdez & Ana Corberán-Vallet & Enriqueta Vercher, 2022. "Analysis of Weighting Strategies for Improving the Accuracy of Combined Forecasts," Mathematics, MDPI, vol. 10(5), pages 1-12, February.
    • Handle: RePEc:gam:jmathe:v:10:y:2022:i:5:p:725-:d:757941
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    References listed on IDEAS

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    More about this item

    Keywords

    forecasting; time series methods; forecasting combination; M4 Competition;
    All these keywords.

    JEL classification:

    • M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting

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