高斯预测和计数预测的协调分布特性

IF 6.9 2区 经济学 Q1 ECONOMICS International Journal of Forecasting Pub Date : 2024-01-12 DOI:10.1016/j.ijforecast.2023.12.004
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引用次数: 0

摘要

调和强制分层预测之间的一致性,以满足一组线性约束条件。大多数研究侧重于点预测的协调,而我们考虑的是概率协调,并分析了通过条件协调的分布的特性。我们对调和分布的方差进行了正式分析,分别处理了高斯预测和计数预测的情况。我们还研究了单级分层情况下的调和上均值,同样分别处理了高斯预测和计数预测。然后,我们展示了与极端市场事件计数相关的间歇时间序列的调节实验。实验证实了我们的理论结果,并表明调和在很大程度上提高了概率预测的性能。
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Properties of the reconciled distributions for Gaussian and count forecasts

Reconciliation enforces coherence between hierarchical forecasts, in order to satisfy a set of linear constraints. While most works focus on the reconciliation of point forecasts, we consider probabilistic reconciliation and we analyze the properties of distributions reconciled via conditioning. We provide a formal analysis of the variance of the reconciled distribution, treating the case of Gaussian and count forecasts separately. We also study the reconciled upper mean in the case of one-level hierarchies, again treating Gaussian and count forecasts separately. We then show experiments on the reconciliation of intermittent time series related to the count of extreme market events. The experiments confirm our theoretical results and show that reconciliation largely improves the performance of probabilistic forecasting.

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来源期刊
CiteScore
17.10
自引率
11.40%
发文量
189
审稿时长
77 days
期刊介绍: The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.
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