International Journal of Forecasting最新文献

{"title":"On the evaluation of hierarchical forecasts","authors":"George Athanasopoulos ,&nbsp;Nikolaos Kourentzes","doi":"10.1016/j.ijforecast.2022.08.003","DOIUrl":"https://doi.org/10.1016/j.ijforecast.2022.08.003","url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"39 4","pages":"Pages 1502-1511"},"PeriodicalIF":7.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49726629","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"LASSO principal component averaging: A fully automated approach for point forecast pooling","authors":"Bartosz Uniejewski,&nbsp;Katarzyna Maciejowska","doi":"10.1016/j.ijforecast.2022.09.004","DOIUrl":"https://doi.org/10.1016/j.ijforecast.2022.09.004","url":null,"abstract":"<div><p>This paper develops a novel, fully automated forecast averaging scheme which combines LASSO estimation with principal component averaging (PCA). LASSO-PCA (LPCA) explores a pool of predictions based on a single model but calibrated to windows of different sizes. It uses information criteria to select tuning parameters and hence reduces the impact of researchers’ ad hoc decisions. The method is applied to average predictions of hourly day-ahead electricity prices over 650 point forecasts obtained with various lengths of calibration windows. It is evaluated on four European and American markets with an out-of-sample period of almost two and a half years and compared to other semi- and fully automated methods, such as the simple mean, AW/WAW, LASSO, and PCA. The results indicate that LASSO averaging is very efficient in terms of forecast error reduction, whereas PCA is robust to the selection of the specification parameter. LPCA inherits the advantages of both methods and outperforms other approaches in terms of the mean absolute error, remaining insensitive to the choice of a tuning parameter.</p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"39 4","pages":"Pages 1839-1852"},"PeriodicalIF":7.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49727214","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Distributional regression and its evaluation with the CRPS: Bounds and convergence of the minimax risk","authors":"Romain Pic ,&nbsp;Clément Dombry ,&nbsp;Philippe Naveau ,&nbsp;Maxime Taillardat","doi":"10.1016/j.ijforecast.2022.11.001","DOIUrl":"10.1016/j.ijforecast.2022.11.001","url":null,"abstract":"<div><p>The theoretical advances in the properties of scoring rules over the past decades have broadened the use of scoring rules in probabilistic forecasting. In meteorological forecasting, statistical postprocessing techniques are essential to improve the forecasts made by deterministic physical models. Numerous state-of-the-art statistical postprocessing techniques are based on distributional regression evaluated with the continuous ranked probability score (CRPS). However, the theoretical properties of such evaluations with the CRPS have solely considered the unconditional framework (i.e. without covariates) and infinite sample sizes. We extend these results and study the rate of convergence in terms of the CRPS of distributional regression methods. We find the optimal minimax rate of convergence for a given class of distributions and show that the <span><math><mi>k</mi></math></span>-nearest neighbor method and the kernel method reach this optimal minimax rate.</p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"39 4","pages":"Pages 1564-1572"},"PeriodicalIF":7.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43019468","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Interleukin-6 and interleukin-8 levels in children with aplastic anemia and its correlation with disease severity and response to immunosuppressive therapy.","authors":"Anurag Singh, Sharvan Kumar Bhargawa, Geeta Yadav, Rashmi Kushwaha, Shailendra Prasad Verma, Tanya Tripathi, Uma Shankar Singh, Anil Kumar Tripathi","doi":"10.4103/aam.aam_106_22","DOIUrl":"10.4103/aam.aam_106_22","url":null,"abstract":"<p><strong>Background: </strong>Aplastic anemia (AA) is an uncommon condition characterized by pancytopenia and hypocellular bone marrow. Interleukin (IL)-6 and IL-8 have been shown to inhibit myelopoiesis and are major mediators of tissue damage. The primary goal of this study was to determine the IL-6 and IL-8 levels in children with AA, as well as their relationship to illness severity and immunosuppressive medication response.</p><p><strong>Materials and methods: </strong>The IL-6 and IL-8 levels were tested in 50 children aged 3-18 years who had AA. As controls, 50 healthy age and sex matched individuals were used. A sandwich enzyme-linked immunosorbent assay kit (solid-phase) was used to measure IL-6 and IL-8 levels quantitatively. The concentrations of IL-6 and IL-8 in pg/mL were used to represent the results. Immunosuppressive medication was given to the patients in accordance with the British Committee for Standards in Haematology Guidelines 2009.</p><p><strong>Results: </strong>The patients' average age was 11.3 ± 3.7 years. Patients with AA had significantly higher IL-6 and IL-8 levels than controls (278.88 ± 216.03 vs. 4.51 ± 3.26; P < 0.001) and (120.28 ± 94.98 vs. 1.79 ± 0.78; P < 0.001), respectively. The IL-6 and IL-8 levels were also investigated with respect to AA severity, with statistically significant differences (P < 0.01) between different grading strata. Patients with very severe AA (VSAA) had the highest IL-6 levels (499.52 ± 66.19), followed by severe AA (SAA) (201.28 ± 157.77) and non-SAA (NSAA) (22.62 ± 14.63). For IL-8 levels, a similar trend (P < 0.01) was detected, with values of 209.81 ± 38.85, 92.12 ± 78.0, and 9.29 ± 10.68 for VSAA, SAA, and NSAA, respectively. After 6 months of immunosuppressive treatment (IST), mean levels of IL-6 and IL-8 in responders and nonresponders were again assessed. The mean IL-6 level in the responders' group (46.50 ± 45.41) was significantly lower, when compared to the nonresponders' group (145.76 ± 116.32) (P < 0.001). Similarly, the mean IL-8 level in the responder's group (33.57 ± 27.14) was significantly lower, compared to the nonresponder's group (97.49 ± 69.00) (P < 0.001).</p><p><strong>Conclusions: </strong>Children with AA had higher IL-6 and IL-8 levels than normal age- and sex-matched controls. Increased levels were linked to the severity of the condition, suggesting that IL may have a role in AA. IL levels can be monitored in AA patients during IST, which can assist in predicting response to IST.</p>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"32 1","pages":"446-450"},"PeriodicalIF":0.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10775928/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76635597","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Corrigendum to “The behaviour of betting and currency markets on the night of the EU referendum” [Int. J. Forecast. 35 (1) (2018) 371–389]","authors":"Tom Auld,&nbsp;Oliver Linton","doi":"10.1016/j.ijforecast.2022.12.003","DOIUrl":"10.1016/j.ijforecast.2022.12.003","url":null,"abstract":"<div><p>Auld and Linton (2019) studied the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. The paper found that both markets appeared to be inefficient, but the currency market was around one hour more inefficient than the betting markets. It has subsequently been discovered that the timestamp used in the betting data was supplied in Greenwich Mean Time as opposed to British Summer Time as assumed by the authors. Updated results suggest that both markets took broadly the same amount of time to discount the public vote information. This calls into doubt the conclusion of a violation of weak market efficiency. Some smaller deviations of the rate at which the markets discount the vote are, however, identified. These were of the order of minutes, suggesting that weak market efficiency did not hold, but to a much smaller degree than first thought.</p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"39 4","pages":"Pages 1945-1948"},"PeriodicalIF":7.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41607539","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Real-time density nowcasts of US inflation: A model combination approach","authors":"Edward S. Knotek II,&nbsp;Saeed Zaman","doi":"10.1016/j.ijforecast.2022.04.007","DOIUrl":"https://doi.org/10.1016/j.ijforecast.2022.04.007","url":null,"abstract":"<div><p>We develop a flexible modeling framework to produce density nowcasts for US inflation at a trading-day frequency. Our framework (1) combines individual density nowcasts from three classes of parsimonious mixed-frequency models; (2) adopts a novel flexible treatment in the use of the aggregation function; and (3) permits dynamic model averaging via the use of weights that are updated based on learning from past performance. These features provide density nowcasts that can potentially accommodate non-Gaussian properties. We document the competitive properties of the nowcasts generated from our framework using high-frequency real-time data over the period 2000–2015.</p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"39 4","pages":"Pages 1736-1760"},"PeriodicalIF":7.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49738442","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Summarizing ensemble NWP forecasts for grid operators: Consistency, elicitability, and economic value","authors":"Dazhi Yang ,&nbsp;Jan Kleissl","doi":"10.1016/j.ijforecast.2022.08.002","DOIUrl":"10.1016/j.ijforecast.2022.08.002","url":null,"abstract":"<div><p>On the one hand, grid integration of solar and wind power often requires just point (as opposed to probabilistic) forecasts at the individual plant level to be submitted to grid operators. On the other hand, solar and wind power forecasting can benefit greatly from dynamical ensemble forecasts from numerical weather prediction (NWP) models. Combining these two facts, this study is concerned with drawing out point forecasts from NWP ensembles. The scoring function for penalizing bad forecasts (or equivalently, rewarding good forecasts), in most scenarios, is specified by grid operators <em>ex ante</em>. The optimal point forecast therefore should be an elicitable functional of the predictive distribution, for which the specified scoring function is strictly consistent. Stated differently, the optimal way to summarize a predictive distribution depends on how the point forecast is to be penalized. Using solar irradiance forecasts issued by the ECMWF’s Ensemble Prediction System, the statistical theory on consistency and elicitability is validated empirically with extensive data. The results show that the optimal point forecasts elicited from ensembles have constantly higher accuracy than the best-guess forecasts, regardless of the choice of scoring function. Surprisingly, however, the correspondence between the two types of goodness of forecasts, namely, quality and value, is neither linear nor monotone, but depends on the penalty triggers and schemes specified by grid operators. In other words, using the optimally elicited forecasts, in many scenarios, would lead to lower economic values.</p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"39 4","pages":"Pages 1640-1654"},"PeriodicalIF":7.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48421796","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data","authors":"Jin-Yu Fu,&nbsp;Jin-Guan Lin,&nbsp;Hong-Xia Hao","doi":"10.1016/j.ijforecast.2022.08.006","DOIUrl":"10.1016/j.ijforecast.2022.08.006","url":null,"abstract":"<div><p>This paper introduces a model that can accommodate both the continuous-time-diffusion and discrete-time mixed-GARCH–Jump models by embedding the discrete mixed-GARCH-Jump structure in the continuous volatility process. The key feature of the proposed model is that the corresponding conditional integrated volatility adopts the mixed-GARCH-Jump structure that accounts for the effect of jumps on future volatility. A Griddy–Gibbs sampler approach is proposed to estimate parameters, and volatility forecasting and value-at-risk forecasting based on the peaks-over-threshold method are developed. Simulations are carried out to check the finite sample performance of the proposed methodology, and empirical studies show that, in general, volatility is heavily influenced by the continuous innovations, rather than the extreme reactions. We find that both the simulation and empirical results in most cases support the proposed model.</p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"39 4","pages":"Pages 1698-1712"},"PeriodicalIF":7.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45583988","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Guest editorial: In memory of Professor John Edward Boylan, 1959–2023","authors":"Aris Syntetos,&nbsp;Robert Fildes,&nbsp;Ivan Svetunkov","doi":"10.1016/j.ijforecast.2023.08.002","DOIUrl":"https://doi.org/10.1016/j.ijforecast.2023.08.002","url":null,"abstract":"","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"39 4","pages":"Pages 1493-1495"},"PeriodicalIF":7.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49727141","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Projected Dynamic Conditional Correlations","authors":"Jordi Llorens-Terrazas ,&nbsp;Christian Brownlees","doi":"10.1016/j.ijforecast.2022.06.003","DOIUrl":"https://doi.org/10.1016/j.ijforecast.2022.06.003","url":null,"abstract":"<div><p>We propose a novel specification of the Dynamic Conditional Correlation (DCC) model based on an alternative normalization of the pseudo-correlation matrix called Projected DCC (Pro-DCC). Our modification consists in <em>projecting</em>, rather than <em>rescaling</em>, the pseudo-correlation matrix onto the set of correlation matrices in order to obtain a well defined conditional correlation matrix. A simulation study shows that projecting performs better than rescaling when the dimensionality of the correlation matrix is large. An empirical application to the constituents of the S&amp;P 100 shows that the proposed methodology performs favorably to the standard DCC in an out-of-sample asset allocation exercise.</p></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"39 4","pages":"Pages 1761-1776"},"PeriodicalIF":7.9,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49738628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}