Riedel, S. and Gabrys, B., 2009. Pooling for Combination of Multi Level Forecasts. IEEE Transactions on Knowledge and Data Engineering, 21 (12), pp. 1753-1766.
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In this paper we provide a theoretical analysis of effects of applying different forecast diversification methods on the structure of the forecast error covariance matrices and decomposed forecast error components based on the bias- variance- Bayes error decomposition of James and Hastie. We express the "diversity" of different forecasts in relation to different error components and propose a measure in order to quantify it. We illustrate and discuss typical inhomogeneities frequently occurring in the forecast error covariance matrices and show that previously proposed pooling based only on error variances cannot fully exploit the complementary information present in a set of diverse forecasts to be combined. If covariance values could be reliably calculated they could be taken into account during the pooling process. We study the difficult case in which covariance information cannot be measured properly and propose a novel simplified representation of the covariance matrix which is only based on knowledge about the forecast generation process. Finally we propose a new pooling approach that avoids inhomogeneities in the forecast error covariance matrix by considering the information contained in the simplified covariance representation and compare it with the error variance based pooling approach introduced by Aiolfi and Timmermann. Applying our approach more than once leads to the generation of multi-step and multi-level forecast combination structures which have generated significantly improved forecasts in our previous extensive experimental work, the summary of which is also provided.
|Subjects:||Technology > Business, Management and Marketing|
Generalities > Computer Science and Informatics > Artificial Intelligence
Generalities > Computer Science and Informatics
|Group:||School of Design, Engineering & Computing > Smart Technology Research Centre|
|Deposited By:||INVALID USER|
|Deposited On:||21 Dec 2008 17:00|
|Last Modified:||07 Mar 2013 15:02|
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