To combine or not to combine: Selecting among forecasts and their combinations

International Journal of Forecasting

Volumn 21, Issue 1, 2005, Pages 15-24

  Hibon, Michèle ^a   Evgeniou, Theodoros ^a  

^a INSEAD   (France)

Author keywords

Combined forecasts; Forecasting accuracy; M3 competition; Model selection

Indexed keywords

EID: 11944258430     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2004.05.002     Document Type: Article

References (23)

1. Akaike H. On entropy maximization principle. Applications of statistics 1977 27-41 North Holland Amsterdam
2. Armstrong S. Combining forecasts: The end of the beginning or the beginning of the end? International Journal of Forecasting 5 1989 585-588
3. Armstrong S. Principles of forecasting. A handbook for researchers and practitioners 2001 KAP Dordrecht, The Netherlands
4. Bates J.M. Granger C.W.J. The combination of forecasts Operational Research quarterly 20 1969 451-468
5. Breiman L. Bagging predictors Machine Learning 26 1996 123-140
6. Breiman L. Arcing classifiers Annals of Statistics 26 1998 801-823
7. Bousquet O. Elisseeff A. Stability and generalization Journal of Machine Learning Research 2 2002 499-526
8. Clemen R.T. Combining forecasts: A review and annotated bibliography International Journal of Forecasting 5 1989 559-583
9. Evgeniou T. Pontil M. Elisseeff A. Leave one out error, stability, and generalization of voting combinations of classifiers Machine Learning 2004 (in press)
10. Flores B.E. Pearce S.L. The use of an expert system in the M3 competition International Journal of Forecasting 16 2000 485-496
11. Goodwin P. Lawton R. On the asymmetry of the symmetric MAPE International Journal of Forecasting 15 1999 405-408
12. Koehler A. The asymmetry of the SAPE measure and other comments on the M3-Competition International Journal of Forecasting 17 2001 570-574
13. Larrick, R., Soll, J. (2003). Intuitions about combining opinions: Misappreciation of the averaging principle. Working paper INSEAD, 2003/09/TM.
14. LeBlanc M. Tibshirani R. Combining estimates in regression and classification Journal of the American Statistical Association 91 1996 1641-1650
15. Makridakis S. Sliding simulation: A new approach to time series forecasting Management Science 36 1990 505-512
16. Makridakis S. Andersen A. Carbone R. Fildes R. Hibon M. Lewandowski R. Newton J. Parzen E. Winkler R. The accuracy of extrapolation (time series methods): Results of a forecasting competition Journal of Forecasting 1 1982 111-153
17. Makridakis S. Hibon M. The M3-competition: Results, conclusions and implications International Journal of Forecasting 16 2000 451-476 (special issue)
18. Makridakis S. Winkler R. Averages of forecasts: Some empirical results Management Science 29 1983 987-996
19. Mariano R.S. Diebold F.X. Comparing predictive accuracy Journal of Business and Economic Statistics 13 1995 253-265
20. Shapire R. Freund Y. Bartlett P. Lee W.S. Boosting the margin: A new explanation for the effectiveness of voting methods Annals of Statistics 26 1998 1651-1686
21. Tashman L. Out-of-sample tests of forecasting accuracy: An analysis and review International Journal of Forecasting 16 4 2000 442-443 (special issue)
22. Terui N. Van Dijk H.K. Combined forecasts from linear and nonlinear time series models International Journal of Forecasting 18 2002 421-438
23. Vapnik V. Statistical learning theory 1998 John Wiley & Sons New York, USA