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The maximum and minimum of primary forecasts

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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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

Harvard

Cain, M, Law, D & Peel, D 1992, 'The maximum and minimum of primary forecasts', Journal of Forecasting, vol. 11, no. 8, pp. 711-718. https://doi.org/10.1002/for.3980110808

APA

Cain, M., Law, D., & Peel, D. (1992). The maximum and minimum of primary forecasts. Journal of Forecasting, 11(8), 711-718. https://doi.org/10.1002/for.3980110808

Vancouver

Cain M, Law D, Peel D. The maximum and minimum of primary forecasts. Journal of Forecasting. 1992 Dec;11(8):711-718. doi: 10.1002/for.3980110808

Author

Cain, M. ; Law, D. ; Peel, David. / The maximum and minimum of primary forecasts. In: Journal of Forecasting. 1992 ; Vol. 11, No. 8. pp. 711-718.

Bibtex

@article{22db9dff98dc4a7cbe97c638f6f69487,
title = "The maximum and minimum of primary forecasts",
abstract = "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.",
keywords = "Forecast combination, Maximum forecast , Minimum forecast , Hog data , Money supply",
author = "M. Cain and D. Law and David Peel",
year = "1992",
month = dec,
doi = "10.1002/for.3980110808",
language = "English",
volume = "11",
pages = "711--718",
journal = "Journal of Forecasting",
issn = "0277-6693",
publisher = "John Wiley and Sons Ltd",
number = "8",

}

RIS

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 -