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Revista Colombiana de Estadística
Print version ISSN 0120-1751
Rev.Colomb.Estad. vol.44 no.1 Bogotá Jan./June 2021 Epub Feb 28, 2021
https://doi.org/10.15446/rce.v44n1.85116
Original articles of research
Combining Interval Time Series Forecasts. A First Step in a Long Way (Research Agenda)
La combinación de predicciones de series temporales de intervalo (STI)
1 Department of Industrial Organization, ICAI School of Engineering, Comillas Pontifical University, Madrid, Spain
We observe every day a world more complex, uncertain, and riskier than the world of yesterday. Consequently, having accurate forecasts in economics, finance, energy, health, tourism, and so on; is more critical than ever. Moreover, there is an increasing requirement to provide other types of forecasts beyond point ones such as interval forecasts. After more than 50 years of research, there are two consensuses, "combining forecasts reduces the final forecasting error" and "a simple average of several forecasts often outperforms complicated weighting schemes", which was named "forecast combination puzzle (FCP)". The introduction of interval-valued time series (ITS) concepts and several forecasting methods has been proposed in different papers and gives answers to some big data challenges. Hence, one main issue is how to combine several forecasts obtained for one ITS. This paper proposes some combination schemes with a couple or various ITS forecasts. Some of them extend previous crisp combination schemes incorporating as a novelty the use of Theil's U. The FCP under the ITS forecasts framework will be analyzed in the context of different accuracy measures and some guidelines will be provided. An agenda for future research in the field of combining forecasts obtained for ITS will be outlined.
Key words: Efficient market hypothesis; Equal weights; Financial markets; Forecast combination; Optimal weight; Random walk model
Cada día observamos un mundo más complejo, incierto y con mayor riesgo que el mundo de ayer. Luego, tener pronósticos precisos en economía, finanzas, energía, salud, turismo, etc.; es más crítico que nunca. Además, existe un requisito creciente de proporcionar otro tipo de pronósticos más allá de los puntuales, como los pronósticos de intervalos. Después de más de 50 años de investigación, hay dos consensos, "combinar pronósticos reduce el error de pronóstico final" y "un promedio simple de varios pronósticos a menudo supera complicados esquemas de ponderación", que se denominó "rompecabezas de combinación de pronósticos (FCP)". La introducción de los conceptos de series de tiempo de intervalo (ITS) y varios métodos de pronóstico se han propuesto y dan respuestas a algunos desafíos de los grandes datos. Entonces, un problema es cómo combinar varios pronósticos obtenidos para una ITS. Este documento propone algunos esquemas combinados con un par o varios pronósticos ITS. Algunos extienden esquemas previos para datos puntuales, incorporando como novedad la U de Theil. El FCP en el marco de pronósticos ITS se analizará con diferentes medidas de exactitud y se proporcionarán algunas pautas. Se describirá una agenda para futuras investigaciones en la combinación de pronósticos obtenidos para ITS.
Palabras clave: Combinación de pronósticos; Hipótesis de mercado eficiente; Mercados financieros; Modelo de caminata aleatoria; Peso óptimo; Ponderaciones iguales
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