Why does forecast combination work so well?
Forecast combinations were big winners in the M4 competition. This note reflects on and analyzes the reasons for the success of forecast combination. We illustrate graphically how and in what cases forecast combinations produce good results. We also study the effects of forecast combination on the b...
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| Published in | International journal of forecasting Vol. 36; no. 1; pp. 197 - 200 |
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| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
Elsevier B.V
01.01.2020
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| Online Access | Get full text |
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| Summary: | Forecast combinations were big winners in the M4 competition. This note reflects on and analyzes the reasons for the success of forecast combination. We illustrate graphically how and in what cases forecast combinations produce good results. We also study the effects of forecast combination on the bias and the variance of the forecast. |
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| ISSN: | 0169-2070 1872-8200 |
| DOI: | 10.1016/j.ijforecast.2019.03.010 |