Modyfikacja metody wariancji–kowariancji wyznaczania wag prognozy złożonej

• Autorzy: Perzynska J.

Warianty tytułu

EN

The modification of variance–covariance method of estimate weights of combined forecast

• Języki publikacji: PL

Abstrakty

EN

In the article author considers the situation in which several forecasts of the same variable are available. The main problem is to select the best forecast. It enables us to create new forecast – the combined forecast with the smallest variance of prediction error. The author analyses two econometric methods of creating combined forecasts as a weighted average and their properties. The author makes the suggestion of modification of variance–covariance method and examines its efficiency in comparison with two basic methods.

• Wydawca: -
• Czasopismo: Folia Pomeranae Universitatis Technologiae Stetinensis. Oeconomica
• Rocznik: 2011
• Tom: 62
• Opis fizyczny: s.81-88,tab.,wykr.,bibliogr.

Twórcy

autor

Perzynska J.

• Katedra Zastosowań Matematyki w Ekonomii, Zachodniopomorski Uniwersytet Technologiczny w Szczecinie, ul.Klemensa Janickiego 31, 71-270 Szczecin

Bibliografia

• Bates J.M., Granger C.W.J. 1969. The combination of forecasts. Operat. Res. Quart. 40, 451–468.
• Granger C.W.J., Newbold P. 1974, Forecasting univariate time series and the combination of forecasts. J. Royal Statist. Soc., Ser. A 137, 131–165.

Uwagi

PL

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