The combination of forecasts using rank-based techniques:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Lohmar [u.a.]
Eul
2000
|
| Schriftenreihe: | Reihe: Quantitative Ökonomie
113 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | II, 139 S. graph. Darst., Kt. |
| ISBN: | 3890127975 |
Internformat
MARC
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| 245 | 1 | 0 | |a The combination of forecasts using rank-based techniques |c Matthias Klapper |
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| 300 | |a II, 139 S. |b graph. Darst., Kt. | ||
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| 490 | 1 | |a Reihe: Quantitative Ökonomie |v 113 | |
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Datensatz im Suchindex
| _version_ | 1804128168780496896 |
|---|---|
| adam_text | Contents
1
Introduction
............................................ 1
2
Literature review of combining techniques
..................... 5
2.1
Simple combining methods
......................... 7
2.1.1
Methods that do not consider past information
... 7
2.1.2
Use of information from the previous time point
.. 8
2.2
Variance-covariance based methods
................... 8
2.3
Regression-based methods
.......................... 11
2.4
Bayesian approach
................................ 14
2.5
Rank-based methods
.............................. 15
2.6
Nonlinear methods
................................ 15
2.7
Other methods
................................... 15
3
Rank-based techniques
.................................... 17
3.1
The univariate case
............................... 17
3.2
The multivariate case
.............................. 19
4
The data
4.1
Combined forecast data in literature
................... 21
4.2
German macro economic forecast data
................. 23
4.3
Micro economic data
-
drug store sales
................ 28
4.4
Weather data
.................................... 28
5
Combination of forecasts
-
empirical results
.................... 31
5.1
The forecast errors
................................ 33
5.2
Analysis framework
................................ 36
5.2.1
Historic time period, benchmark, and applicability
. 36
5.2.2
Unbiasedness
............................. 36
5.2.3
Test for normality
......................... 37
5.3
Forecast quality measures
.......................... 39
5.3.1
MAD vs. RMSE
.......................... 40
5.3.2
Asymmetric measures of forecast accuracy
...... 41
5.4
Combination of forecasts
........................... 44
5.4.1
Macro economic data
....................... 48
5.4.2
Drug store sales data
....................... 49
5.4.3
European temperature data
.................. 52
5.5
Analysis of coefficients
............................. 54
5.6
Multivariate combination of forecasts
.................. 60
6 Simulation
study
........................................ 67
6.1
Analysis of the variance-covariance structure
............ 67
6.1.1
Variances
............................... 67
6.1.2
Correlations
............................. 69
6.1.3
Autocorrelations
.......................... 72
6.2
Simulation setup
................................. 79
6.2.1
Univariate setup
.......................... 79
6.2.2
Multivariate setup
......................... 82
6.3
Simulation results
................................. 83
6.3.1
Univariate simulation
....................... 83
6.3.2
Multivariate simulation
..................... 86
7
Model selection
......................................... 93
7.1
Description of the selection process
................... 93
7.2
Conducting the selection process
..................... 95
7.2.1
Macro economic data
...................... 97
7.2.2
Drug store sales data
....................... 101
7.2.3
Temperature data
......................... 106
7.3
Inferences from the selected methods
..................
Ill
7.3.1
Macro economic data
......................
Ill
7.3.2
Drug store sales data
....................... 113
7.3.3
Temperature data
......................... 114
8
Summary
.............................................. 117
Appendix
A Notation
........................................ 121
В
List of tables
..................................... 122
С
List of figures
..................................... 123
D
Sample VGR
..................................... 124
E
European Temperature Forecasts
...................... 127
F
The Macro Economic Data
.......................... 129
G
The Temperature Data
.............................. 130
Bibliography
............................................. 133
|
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| genre_facet | Hochschulschrift |
| id | DE-604.BV013387486 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:44:58Z |
| institution | BVB |
| isbn | 3890127975 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009132491 |
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| owner_facet | DE-739 DE-N2 DE-1102 DE-355 DE-BY-UBR DE-11 DE-188 |
| physical | II, 139 S. graph. Darst., Kt. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Eul |
| record_format | marc |
| series | Reihe: Quantitative Ökonomie |
| series2 | Reihe: Quantitative Ökonomie |
| spelling | Klapper, Matthias 1969- Verfasser (DE-588)122471911 aut The combination of forecasts using rank-based techniques Matthias Klapper Lohmar [u.a.] Eul 2000 II, 139 S. graph. Darst., Kt. txt rdacontent n rdamedia nc rdacarrier Reihe: Quantitative Ökonomie 113 Zugl.: Dortmund, Univ., Diss., 2000 u.d.T.: Klapper, Matthias: The combination of forecasts using rank-based techniques with applications to: macro-economic, sales, and temperature forecasts Prognose (DE-588)4047390-9 gnd rswk-swf Kombination (DE-588)4319923-9 gnd rswk-swf Rangstatistik (DE-588)4176945-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Prognose (DE-588)4047390-9 s Kombination (DE-588)4319923-9 s Rangstatistik (DE-588)4176945-4 s DE-604 Reihe: Quantitative Ökonomie 113 (DE-604)BV023548254 113 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009132491&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Klapper, Matthias 1969- The combination of forecasts using rank-based techniques Reihe: Quantitative Ökonomie Prognose (DE-588)4047390-9 gnd Kombination (DE-588)4319923-9 gnd Rangstatistik (DE-588)4176945-4 gnd |
| subject_GND | (DE-588)4047390-9 (DE-588)4319923-9 (DE-588)4176945-4 (DE-588)4113937-9 |
| title | The combination of forecasts using rank-based techniques |
| title_auth | The combination of forecasts using rank-based techniques |
| title_exact_search | The combination of forecasts using rank-based techniques |
| title_full | The combination of forecasts using rank-based techniques Matthias Klapper |
| title_fullStr | The combination of forecasts using rank-based techniques Matthias Klapper |
| title_full_unstemmed | The combination of forecasts using rank-based techniques Matthias Klapper |
| title_short | The combination of forecasts using rank-based techniques |
| title_sort | the combination of forecasts using rank based techniques |
| topic | Prognose (DE-588)4047390-9 gnd Kombination (DE-588)4319923-9 gnd Rangstatistik (DE-588)4176945-4 gnd |
| topic_facet | Prognose Kombination Rangstatistik Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009132491&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023548254 |
| work_keys_str_mv | AT klappermatthias thecombinationofforecastsusingrankbasedtechniques |