Robust Methods for Forecast Aggregation

Journal Title
Journal ISSN
Volume Title

This study introduces a new forecast aggregation technique. Adding to the well- known difficulties and uncertainty involved in the forecasting process, the aggregation of hundreds or thousands of forecasters’ opinions and expert predictions on social, economical and political matters makes the process even more difficult. Simple quan- titative data analytics, least squares regression, and maximum likelihood estimations are not sufficient to handle the dynamics of such data, which includes outliers, clusters of opinions, extreme values, and abrupt change of mind and predictions of forecasters influenced by news, recent events, collaboration or feedback from experts. The meth- ods developed in this work are based on a particular minimum-distance technique called L2E, which is popular in nonparametric density estimation that makes the aggregation robust to clusters of opinions and dramatic changes. Variance-stabilizing transformations are introduced to attain homoscedasticity for L2E regression improv- ing parameter estimation and overall aggregation. New normalization approaches are proposed to use when the aggregated values are unsuitable probabilities, such as values ∈/ [0, 1] and/or do not add to 1. Finally, data visualization techniques and graphical user interfaces (GUIs) are discussed as aid to decision makers in order to understand “single” aggregated forecast values, obtained from the original big data set analyzed, and the trend of such aggregated forecasts over the forecasting period.

Doctor of Philosophy
robust forecast aggregation, robust normalization, forecast, aggregation, L2E

Ramos, Jaime J. "Robust Methods for Forecast Aggregation." (2014) Diss., Rice University.

Has part(s)
Forms part of
Published Version
Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder.
Link to license
Citable link to this page