Some Statistical Results in the Combination of Forecasts
Abstract
Forecasts may be combined using a minimum variance criterion to yield a composite forecast of smaller error variance than any of the components. This paper considers the sampling distributions of the weights to be attached to the components and of the error variance of the combined forecast. Confidence limits are derived for the estimates of the weights and of the variance of a composite forecast with two components. The theoretical analysis reveals that, in practice, it is doubtful whether combined forecasts offer much improvement because of the unreliability of the weight estimates.
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From 1974 to 1984 the Mayo Clinic conducted a double-blind randomized clinical trial involving 312 patients to compare DPCA with placebo in the treatment of primary biliary cirrhosis.
“From 1974 to 1984 the Mayo Clinic conducted a double-blind randomized clinical trial involving 312 patients to compare the drug DPCA witha placebo in th e treatment of primary biliary cirrhosis (PBC) of the liver (Dickinson, 1973; Grambschet al., 1989; Markus et al., 1989; Fleming and Harrington, 1991).”
From Bayesian model averaging: a tutorial (with comments by M. Clyde, David Draper and E. I. George, and a rejoinder by the authors (1999) · cites this paper as Dickinson, 1973
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Bates, J. M., & Granger, C. W. J. (1969) · Journal of the Operational Research Society · doi:10.1057/jors.1969.103 · Cited by 3,201 · see citing works
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Hoeting, J. A., Madigan, D., Raftery, A. E., & Volinsky, C. T. (1999) · Statistical Science · doi:10.1214/ss/1009212519 · Cited by 4,118 · see citing works
Multi-model ensemble hydrologic prediction using Bayesian model averaging
Duan, Q., Ajami, N. K., Gao, X., & Sorooshian, S. (2007) · Advances in Water Resources · doi:10.1016/j.advwatres.2006.11.014 · Cited by 724 · see citing works
- Authors
- Dickinson, J. P.
- Affiliations
- Lancaster University (GB)
- Corresponding author
- Dickinson, J. P.
- Venue
- Journal of the Operational Research Society
- Publisher
- Informa UK Limited
- Published
- 1973-06
- Volume
- 24
- Issue
- 2
- Pages
- 253-260
- ISSN
- 0160-5682 (ISSN-L)
- 1476-9360
- OpenAlex
- W1976841513
- Cited by
- 120
- References
- 1
- Citations by year
- 2025: 2 · 2023: 3 · 2022: 4 · 2021: 4 · 2020: 4 · 2019: 2 · 2018: 4 · 2017: 2 · 2016: 4 · 2015: 5 · 2013: 2 · 2012: 4
- FWCI
- 3.45
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Journal of the Operational Research Society (publishedVersion)
- Topics
- Social Sciences › Decision Sciences › Management Science and Operations Research › Forecasting Techniques and Applications
- Physical Sciences › Mathematics › Applied Mathematics › Statistical and numerical algorithms
- Social Sciences › Decision Sciences › Management Science and Operations Research › Grey System Theory Applications
- Keywords
- forecast combination, minimum variance criterion, forecast weights, sampling distribution, confidence limits, forecast error variance
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