Expert forecasting with and without uncertainty quantification and weighting
| Autor: | Thomas A. Mazzuchi, Roger M. Cooke, Deniz Marti |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Median
Calibration (statistics) 05 social sciences Ranging Judgmental forecasting Weighting Scrambling Set (abstract data type) Combining forecasts 0502 economics and business Statistics Calibration Point (geometry) Evaluating forecasts 050207 economics Business and International Management Uncertainty quantification Simulation 050205 econometrics Mathematics Panel data |
| Zdroj: | International Journal of Forecasting, 37(1) |
| ISSN: | 0169-2070 |
| Popis: | Post-2006 expert judgment data has been extended to 530 experts assessing 580 calibration variables from their fields. New analysis shows that point predictions as medians of combined expert distributions outperform combined medians, and medians of performance weighted combinations outperform medians of equal weighted combinations. Relative to the equal weight combination of medians, using the medians of performance weighted combinations yields a 65% improvement. Using the medians of equally weighted combinations yields a 46% improvement. The Random Expert Hypothesis underlying all performance-blind combination schemes, namely that differences in expert performance reflect random stressors and not persistent properties of the experts, is tested by randomly scrambling expert panels. Generating distributions for a full set of performance metrics, the hypotheses that the original panels’ performance measures are drawn from distributions produced by random scrambling are rejected at significance levels ranging from E − 6 to E − 12 . Random stressors cannot produce the variations in performance seen in the original panels. In- and out-of-sample validation results are updated. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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Full Text from ScienceDirect