Research output: Contribution to Journal/Magazine › Journal article › peer-review
The maximum and minimum of primary forecasts. / Cain, M.; Law, D.; Peel, David.
In: Journal of Forecasting, Vol. 11, No. 8, 12.1992, p. 711-718.Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - The maximum and minimum of primary forecasts
AU - Cain, M.
AU - Law, D.
AU - Peel, David
PY - 1992/12
Y1 - 1992/12
N2 - The purpose of this paper is to suggest that the maximum (or minimum) of a number of primary forecasts may make a valuable addition to the forecasting accuracy of a combination of forecasts. Such forecasts are readily computable. Theoretical results are presented for two unbiased forecasts with correlated normally distributed errors, showing that the maximum (minimum) of two forecasts can have a smaller error variance than either of the primary forecasts and the forecast error can have low correlation with the primary errors. Empirical results are obtained for two different sets of forecasts available in the literature, and it is observed that a combination forecast including the maximum and/or minimum has attractive forecasting properties.
AB - The purpose of this paper is to suggest that the maximum (or minimum) of a number of primary forecasts may make a valuable addition to the forecasting accuracy of a combination of forecasts. Such forecasts are readily computable. Theoretical results are presented for two unbiased forecasts with correlated normally distributed errors, showing that the maximum (minimum) of two forecasts can have a smaller error variance than either of the primary forecasts and the forecast error can have low correlation with the primary errors. Empirical results are obtained for two different sets of forecasts available in the literature, and it is observed that a combination forecast including the maximum and/or minimum has attractive forecasting properties.
KW - Forecast combination
KW - Maximum forecast
KW - Minimum forecast
KW - Hog data
KW - Money supply
U2 - 10.1002/for.3980110808
DO - 10.1002/for.3980110808
M3 - Journal article
VL - 11
SP - 711
EP - 718
JO - Journal of Forecasting
JF - Journal of Forecasting
SN - 0277-6693
IS - 8
ER -