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Prognozy kombinowane z wykorzystaniem wag Akaike’a

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dc.contributor.author Piłatowska, Mariola
dc.date.accessioned 2016-06-20T13:01:21Z
dc.date.available 2016-06-20T13:01:21Z
dc.date.issued 2009-11-15
dc.identifier.citation Acta Universitatis Nicolai Copernici Ekonomia, Vol. 39, pp. 51-62
dc.identifier.issn 2392-1269
dc.identifier.other doi:10.12775/AUNC_ECON.2009.025
dc.identifier.uri http://repozytorium.umk.pl/handle/item/3524
dc.description.abstract The focus in the paper is on the information criteria approach and especially the Akaike information criterion which is used to obtain the Akaike weights. This approach enables to receive not one best model, but several plausible models for which the ranking can be built using the Akaike weights. This set of candidate models is the basis of calculating individual forecasts, and then for combining forecasts using the Akaike weights. The procedure of obtaining the combined forecasts using the AIC weights is proposed. The performance of combining forecasts with the AIC weights and equal weights with regard to individual forecasts obtained from models selected by the AIC criterion and the a posteriori selection method is compared in simulation experiment. The conditions when the Akaike weights are worth to use in combining forecasts were indicated. The use of the information criteria approach to obtain combined forecasts as an alternative to formal hypothesis testing was recommended.
dc.description.abstract W artykule uwaga jest skupiona na podejściu wykorzystującym kryteria informacyjne, a w szczególności kryterium Akaike’a, które jest wykorzystywane do wyznaczenia wag Akaike’a. Podejście to umożliwia otrzymanie nie jednego, a kilku wiarygodnych modeli, dla których można stworzyć ranking stosując wagi Akaike’a. Modele te stanowią podstawę obliczenia prognoz indywidualnych, a te z kolei służą do wyznaczenia ostatecznej prognozy kombinowanej, przy formułowaniu której wykorzystuje się wagi Akaike’a.
dc.language.iso pol
dc.rights Attribution-NoDerivs 3.0 Poland
dc.rights info:eu-repo/semantics/openAccess
dc.rights.uri http://creativecommons.org/licenses/by-nd/3.0/pl/
dc.subject combining forecasts
dc.subject weighting schemes
dc.subject information criteria
dc.subject prognozy kombinowane
dc.subject systemy wag
dc.subject kryteria informacyjne
dc.title Prognozy kombinowane z wykorzystaniem wag Akaike’a
dc.title.alternative Combining forecasts using the Akaike weights
dc.type info:eu-repo/semantics/article


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