On the evaluation of hierarchical forecasts

IF 6.9 2区 经济学 Q1 ECONOMICS
George Athanasopoulos , Nikolaos Kourentzes
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引用次数: 7

Abstract

The aim of this paper is to provide a thinking road-map and a practical guide to researchers and practitioners working on hierarchical forecasting problems. Evaluating the performance of hierarchical forecasts comes with new challenges stemming from both the structure of the hierarchy and the application context. We discuss several relevant dimensions for researchers and analysts: the scale and units of the time series, the issue of intermittency, the forecast horizon, the importance of multiple evaluation windows and the multiple objective decision context. We conclude with a series of practical recommendations.

论分层预测的评价
本文的目的是为研究分层预测问题的研究人员和从业者提供一个思维路线图和实用指南。评估分层预测的性能带来了来自分层结构和应用程序上下文的新挑战。我们讨论了研究人员和分析师的几个相关维度:时间序列的规模和单位、间歇性问题、预测范围、多个评估窗口的重要性和多目标决策背景。最后,我们提出了一系列切实可行的建议。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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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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