预测组合权重更新的过程控制及分析

The Process Control and Analysis of the Weights Updating in Combined Forecasts

源于与决策分析的相关性,预测组合已经逐渐形成了一个重要的研究领域。为此,本文引进EWMA技术对预测组合权重更新的过程进行控制,从而提出一种能够应用于实际且简单有效的EWMA赋权方法。这种赋权方法能够确定预测组合权重应该何时更新,而不是机械地更新预测组合权重。本文额外针对各种赋权方法在旅游预测组合模型中的预测性能(全面预测性能和总均方根误差)和预测效率(权重更新频率)进行了经验评估。结果显示:EWMA赋权方法的预测性能优于传统的赋权方法,并与CUSUM赋权方法相似,同时该赋权方法获得了最小的权重更新频率。综合考虑预测性能和预测效率,EWMA赋权方法相比于其他赋权方法在旅游实际应用过程中更具优势。

Forecast combination has emerged as an important research area due to its relevance to decision-making analysis. Based on the quatily control theory, this paper introduces a quality control technique, EWMA, to determine the appropriate time point for updating the weights in the combined forecasts. A simple and efficient weighting method which is named as EWMA weighting method is proposed. Instead of regularly update the weights in a mechanical way, this method can detect when the weights of combined forecasts need to be updated. This paper makes a further investigation about the impacts of the weighting methods on the performance and efficiency of forecast combination for the tourism demand. The empirical results show that the EWMA weighting method outperforms the traditional weighting methods, and is considered to be similar as the CUSUM weighting method for the forecasting performance. Moreover, the EWMA weighting method acquires the least weights updating. Considering the forecasting performance and the forecasting efficiency of all the weighting methods, the EWMA weighting method can be considered to have more advantages than the other weighting methods for the tourism forecast combination in practice.