Minimizing post-shock forecasting error through aggregation of outside information

Autor:	Lin, Jilei, Eck, Daniel J.
Rok vydání:	2020
Předmět:	Statistics - Methodology Statistics - Applications
Druh dokumentu:	Working Paper
Popis:	We develop a forecasting methodology for providing credible forecasts for time series that have recently undergone a shock. We achieve this by borrowing knowledge from other time series that have undergone similar shocks for which post-shock outcomes are observed. Three shock effect estimators are motivated with the aim of minimizing average forecast risk. We propose risk-reduction propositions that provide conditions that establish when our methodology works. Bootstrap and leave-one-out cross validation procedures are provided to prospectively assess the performance of our methodology. Several simulated data examples, and a real data example of forecasting Conoco Phillips stock price are provided for verification and illustration.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2008.11756 Zobrazit plný text záznamu View this record from Arxiv