Computer-implemented systems and methods for testing large scale automatic forecast combinations
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United States of America Patent
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Jun 2, 2015
Grant Date -
Jan 24, 2013
app pub date -
Apr 5, 2012
filing date -
Jul 22, 2011
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Abstract
Systems and methods are provided for evaluating performance of forecasting models. A plurality of forecasting models may be generated using a set of in-sample data. Two or more forecasting models from the plurality of forecasting models may be selected for use in generating a combined forecast. An ex-ante combined forecast may be generated for an out-of-sample period using the selected two or more forecasting models. The ex-ante combined forecast may then be compared with a set of actual out-of-sample data to evaluate performance of the combined forecast.
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