Forecasting with model selection or model averaging: a case study for monthly container port throughput
文献类型：期刊论文
| 作者 | Gao, Yan1,2; Luo, Meifeng3; Zou, Guohua2 |
| 刊名 | TRANSPORTMETRICA A-TRANSPORT SCIENCE
 |
| 出版日期 | 2016-04-20 |
| 卷号 | 12期号:4页码:366-384 |
| 关键词 | Model combination model selection time series forecast structural change VAR model container throughput |
| ISSN号 | 2324-9935 |
| DOI | 10.1080/23249935.2015.1137652 |
| 英文摘要 | An accurate short-term prediction of time series data is critical to operational decision-making. While most forecasts are made based on one selected model according to certain criteria, there are developments that harness the advantages of different models by combining them together in the prediction process. Following on from existing work, this paper applies six model selection criteria and six model averaging (MA) criteria to a structural change vector Autoregressive model, and compares them in terms of both the theoretical background and empirical results. A case study of the monthly container port throughput forecasting for two competing ports shows that, in general, the model averaging methods perform better than the model selection methods. In particular, the leave-subject-out cross-validation MA method is the best in the sense of achieving the lowest average of mean-squared forecast errors. |
| 资助项目 | Dean's Reserve of Faculty of Business ; Hong Kong Polytechnic University[1-ZVBS] ; RGC general research fund [RGC/Gov][PolyU 5463/12H] ; National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11271355] |
| WOS研究方向 | Transportation |
| 语种 | 英语 |
| WOS记录号 | WOS:000371244700005 |
| 出版者 | TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/22132]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Luo, Meifeng |
| 作者单位 | 1.Minzu Univ China, Sch Sci, Dept Stat, Beijing, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 3.Hong Kong Polytech Univ, Dept Logist & Maritime Studies, Kowloon, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Gao, Yan,Luo, Meifeng,Zou, Guohua. Forecasting with model selection or model averaging: a case study for monthly container port throughput[J]. TRANSPORTMETRICA A-TRANSPORT SCIENCE,2016,12(4):366-384. |
| APA | Gao, Yan,Luo, Meifeng,&Zou, Guohua.(2016).Forecasting with model selection or model averaging: a case study for monthly container port throughput.TRANSPORTMETRICA A-TRANSPORT SCIENCE,12(4),366-384. |
| MLA | Gao, Yan,et al."Forecasting with model selection or model averaging: a case study for monthly container port throughput".TRANSPORTMETRICA A-TRANSPORT SCIENCE 12.4(2016):366-384. |
入库方式： OAI收割
来源：数学与系统科学研究院
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