# Questions tagged [forecast-combination]

The process of combining different forecasts to get a better resulting forecast than any of the constituents. Simple forecast averages are often found to outperform individual forecasts in practice.

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### Forecast combination with nonstationary time series

Suppose I have a non-stationary time series and have obtained forecasts using various methods such as ARIMA, ETS, Theta etc. I want to find a weighted combination of these forecasts. I found in the ...
0answers
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### How to combine observational and experimental data?

I’m trying to figure out the effects of system changes on user long-term revenue (over a 12-month period, say) for an online platform. I have a lot of observational data, so I fitted a model that ...
0answers
18 views

### Multivariate Time series forecasting- Statistical methods

I was trying to forecast the truck numbers required at each distribution location...for that I was forecasting the shipments(number of units) at each location and dividing it by a factor to get the ...
1answer
31 views

### Regression/Optimization models that factor in the conviction of the predictive values

This comes up in a problem I meet in practice. Consider the classical regression of combining two predictions together to form a stronger prediction $Y \sim X_1 + X_2$. Here essentially we generate ...
0answers
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### Bayesian Model Averaging (Bayesian Averaging of Classical Estimates) Issue

I am trying to implement a method used by this paper (Described briefly at the bottom of page 3): From what I understand, it does 2$^k$ OLS regressions each time step to forecast the next time step ...
2answers
36 views

### Combining non-probabilistic models for higher quality predictions

Three people have independently developed models for predicting a coin flip. They take into account the launch angle, launch force, rate of spin, and various other factors to produce predictive models ...
0answers
8 views

### Forecasts combination via weights based on normal distribution

I am working on combining forecasts. I thought of calculating the weights based on normal distribution. This latter is fitted on the past values of the time series. My issue is, should the weight be ...
0answers
16 views

### How to combine predictions of different transformations of an underlying random variable?

I am adding some extra more statistical context on the mathematical post here: https://math.stackexchange.com/posts/3798022/edit When dealing with general predictions, we live in high dimensions. In ...
0answers
19 views

### Combination of different estimates of the same quantities?

Suppose we have $n$ number of estimates for a parameter, each derived independently. How will one combine these estimates to get a single estimate which has lower variance than each individual ...
0answers
15 views

### Time Series Forecast for a time series getting updated

I am working on a forecasting problem, where i am planning to forecast the value for the current time step (real value 43 in data below in a column). The data is in the form of values at each ...
0answers
69 views

### How can I calculate Conditional expectation using copula

Let X, Y two time series and $F_{i, \beta_i}$ the marginal distribution of residual of each time series and beta is vector of their parameter. I studied the dependence between this two series using ...
0answers
19 views

### Part Univariate and part Multivariate Timeseries forecasting problem

I have a forecasting problem: Data from 1-1-2015 to 8-31-2019 is Univariate (Weekly) Data from 1-1-2017 to 8-31-2019 is Multivariate (Weekly) Final predictions need to be made from 9-1-2019 to 12-...
0answers
6 views