Prognozy kombinowane z wykorzystaniem wag Akaike'a

• Autorzy: Mariola Piłatowska

Warianty tytułu

Combining Forecasts Using the Akaike Weights

• Języki publikacji: PL

Abstrakty

W artykule uwaga jest skupiona na podejściu wykorzystującym kryteria informacyjne, a w szczególności kryterium Akaike'a, które jest wykorzystywane do wyznaczenia wag Akaike'a. Podejście to umożliwia otrzymanie nie jednego, a kilku wiarygodnych modeli, dla których można stworzyć ranking stosując wagi Akaike'a. Modele te stanowią podstawę obliczenia prognoz indywidualnych, a te z kolei służą do wyznaczenia ostatecznej prognozy kombinowanej, przy formułowaniu której wykorzystuje się wagi Akaike'a. (abstrakt oryginalny)

EN

The focus in the paper is on the information criteria approach and especially the Akaike information criterion which is used to obtain the Akaike weights. This approach enables to receive not one best model, but several plausible models for which the ranking can be built using the Akaike weights. This set of candidate models is the basis of calculating individual forecasts, and then for combining forecasts using the Akaike weights. The procedure of obtaining the combined forecasts using the AIC weights is proposed. The performance of combining forecasts with the AIC weights and equal weights with regard to individual forecasts obtained from models selected by the AIC criterion and the a posteriori selection method is compared in simulation experiment. The conditions when the Akaike weights are worth to use in combining forecasts were indicated. The use of the information criteria approach to obtain combined forecasts as an alternative to formal hypothesis testing was recommended. (original abstract)

Słowa kluczowe

PL

Układ wagowy; Prognozowanie; Modelowanie symulacyjne

EN

Weighing design; Forecasting; Simulation modelling

• Czasopismo: Acta Universitatis Nicolai Copernici. Ekonomia
• Rocznik: 2009
• Tom: 39 Dynamiczne modele ekonometryczne
• Strony: 51-62

Twórcy

autor

Mariola Piłatowska

• Uniwersytet Mikołaja Kopernika w Toruniu

Bibliografia

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