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A re-evaluation of the quasi-bayes approach to the linear combination of forecasts

✍ Scribed by A. E. Faria; R. C. Souza

Publisher
John Wiley and Sons
Year
1995
Tongue
English
Weight
613 KB
Volume
14
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

The subjective forecasts used in decision analysis should, in principle, synthesize all available evidence about the subject in analysis. In this manner, when part of the evidence consists of a variety of forecasting models or expert opinions, Decision Theory requires the decision maker to formulate a combination of these predictors. This work takes into account the Bayesian methodologies out performance and quasi‐Bayes, as well as the classical model of optimal combination, all applied to the linear combination of petroleum price forecasts, generated by experts from PetrobrΓ‘sβ€”the Brazilian oil companyβ€”for several international markets. It presents a theoretical description of the methodologies followed by a comparative analysis between performances of the best experts' forecasts and combinations. The performances and features of these combinations are also compared.

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