Shapley-value-based forecast combination

Philip Hans Franses*, Jiahui Zou, Wendun Wang

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

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Abstract

This paper puts forward a new and simple method to combine forecasts, which is particularly useful when the forecasts are strongly correlated. It is based on the Mincer Zarnowitz regression, and a subsequent determination using Shapley values of the weights of the forecasts in a new combination. For a stylized case, it is proved that such a Shapley-value-based combination improves upon an equal-weight combination. Simulation experiments and a detailed illustration show the merits of the Shapley-value-based forecast combination.

Original languageEnglish
JournalJournal of Forecasting
DOIs
Publication statusE-pub ahead of print - 7 Aug 2024

Bibliographical note

Publisher Copyright:
© 2024 The Author(s). Journal of Forecasting published by John Wiley & Sons Ltd.

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