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A re-evaluation of the quasi-Bayes approach to the linear combination of forecasts

Faria, Á. E. and Souza, R. C.. (1995). A re-evaluation of the quasi-Bayes approach to the linear combination of forecasts. Journal of Forecasting, 14(6) pp. 533–542.

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Abstract

The subjective forecasts used in decision analysis should, in principle, synthesize all available evidence about the subject in analysis. In this manner, when pan of the evidence consists of a variety of forecasting models or expert opinions. Decision Theory requires the decision maker to formulate a combination of these predictors. This work takes Into account the Bayesian methodologies outperformance and quasi-Bayes, as well as the classical model of optimal combination, all applied to the linear combination of petroleum price forecasts, generated by experts from Petrobras—the Brazilian oil company—for several international markets. It presents a theoretical description of the methodologies followed by a comparative analysis between performances of the best experts' forecasts and combinations. The performances and features of these combinations are also compared.

Item Type: Journal Item
Copyright Holders: 1995 John Wiley & Sons, Ltd.
ISSN: 0277-6693
Keywords: combining forecasts; Bayesian combining modes; applied forecasting methods
Academic Unit/School: Faculty of Science, Technology, Engineering and Mathematics (STEM) > Mathematics and Statistics
Faculty of Science, Technology, Engineering and Mathematics (STEM)
Item ID: 40283
Depositing User: Álvaro Faria
Date Deposited: 29 May 2014 11:48
Last Modified: 08 Dec 2018 13:23
URI: http://oro.open.ac.uk/id/eprint/40283
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