The error bounds of combined forecasting

Authors:
Xiaowo Tang;Zongfang Zhou;Yong Shi
Affiliations:
Management College, University of Electronic Science and Technology of China Chengdu Sichuan, 610054, P.R. China;Management College, University of Electronic Science and Technology of China Chengdu Sichuan, 610054, P.R. China;College of Information Science and Technology University of Nebraska at Omaha Omaha, NE 68182, U.S.A.
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
2002

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Abstract

In this paper, we describe a mathematical framework of estimating the error bounds of optimal combined forecasting (OCF) and the super-bound of nonoptimal combined forecasting errors. We also determine the existent interval [@l"m"i"n/n, @l"m"a"x/n] of the minimal errors square sum J^* of optimal combined forecasting. Furthermore, we give the relationships between the errors of the general combined forecasting method (including the simple average method) and the errors of each forecasting model in the combination by mathematics analysis.