英文标题：
《On the Forecast Combination Puzzle》
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作者：
Wei Qian, Craig A. Rolling, Gang Cheng, Yuhong Yang
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最新提交年份：
2015
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英文摘要：
  It is often reported in forecast combination literature that a simple average of candidate forecasts is more robust than sophisticated combining methods. This phenomenon is usually referred to as the \"forecast combination puzzle\". Motivated by this puzzle, we explore its possible explanations including estimation error, invalid weighting formulas and model screening. We show that existing understanding of the puzzle should be complemented by the distinction of different forecast combination scenarios known as combining for adaptation and combining for improvement. Applying combining methods without consideration of the underlying scenario can itself cause the puzzle. Based on our new understandings, both simulations and real data evaluations are conducted to illustrate the causes of the puzzle. We further propose a multi-level AFTER strategy that can integrate the strengths of different combining methods and adapt intelligently to the underlying scenario. In particular, by treating the simple average as a candidate forecast, the proposed strategy is shown to avoid the heavy cost of estimation error and, to a large extent, solve the forecast combination puzzle.
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中文摘要：
预测组合文献中经常报道，候选预测的简单平均比复杂的组合方法更稳健。这种现象通常被称为“预测组合难题”。受这一难题的启发，我们探讨了其可能的解释，包括估计误差、无效加权公式和模型筛选。我们表明，现有的对这个谜题的理解应该通过区分不同的预测组合场景来补充，这些场景被称为适应组合和改进组合。在不考虑潜在场景的情况下应用组合方法本身可能会造成困惑。基于我们的新认识，我们进行了模拟和真实数据评估，以说明谜题的原因。我们进一步提出了一种多层次的后处理策略，该策略可以集成不同组合方法的优点，并智能地适应底层场景。特别是，通过将简单平均值作为候选预测，该策略避免了估计误差带来的巨大代价，并在很大程度上解决了预测组合难题。
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分类信息：

一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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