A Randomization Rule for Selecting Forecasts
- 1 August 1993
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Operations Research
- Vol. 41 (4) , 704-709
- https://doi.org/10.1287/opre.41.4.704
Abstract
We propose a randomized strategy for selecting/combining forecasts that is better than the forecasts used to produce it in a sense made precise in this paper. Unlike traditional methods this approach requires that no assumptions be made about the distribution of the event being forecasted or the error distribution and stationarity of the constituent forecasts. The method is simple and easy to implement.Keywords
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