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首页> 外文期刊>International Journal of Statistics and Probability >Assessing Point Forecast Bias Across Multiple Time Series: Measures and Visual Tools
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Assessing Point Forecast Bias Across Multiple Time Series: Measures and Visual Tools

机译：评估多个时间序列的点预测偏差：测量和视觉工具

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摘要

Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It can, therefore, potentially help improve forecasts. Despite this, bias tends to be under-represented in the literature: many studies focus solely on measuring accuracy. Methods for assessing bias in single series are relatively well-known and well-researched, but for datasets containing thousands of observations for multiple series, the methodology for measuring and reporting bias is less obvious. We compare alternative approaches against a number of criteria when rolling-origin point forecasts are available for different forecasting methods and for multiple horizons over multiple series. We focus on relatively simple, yet interpretable and easy-to-implement metrics and visualization tools that are likely to be applicable in practice. To study the statistical properties of alternative measures we use theoretical concepts and simulation experiments based on artificial data with predetermined features. We describe the difference between mean and median bias, describe the connection between metrics for accuracy and bias, provide suitable bias measures depending on the loss function used to optimise forecasts, and suggest which measures for accuracy should be used to accompany bias indicators. We propose several new measures and provide our recommendations on how to evaluate forecast bias across multiple series.
机译：测量偏差很重要，因为它有助于识别定量预测方法或判断预测中的缺陷。因此，它可以有助于改善预测。尽管如此，偏差往往在文献中倾向于代表：许多研究专注于测量准确性。用于评估单一系列偏差的方法是相对众所周知的和研究的偏差，但对于含有多个系列观察的数据集，测量和报告偏差的方法不太明显。当滚动原始点预测可用于不同的预测方法和多个系列的多个视野时，我们将替代方法与许多标准进行比较。我们专注于相对简单，但可取的且易于实现的指标和可视化工具，其可能在实践中适用。为了研究替代措施的统计特性，我们使用具有预定特征的人工数据使用理论概念和仿真实验。我们描述了平均值和中位数偏差之间的差异，描述了指标之间的准确性和偏置之间的连接，根据用于优化预测的损耗功能，提供合适的偏置措施，并建议使用哪种准确度的措施来伴随偏置指示器。我们提出了几种新措施，并提供了关于如何评估多个系列预测偏差的建议。

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