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A tale of forecasting 1001 series : The Bayesian knight strikes again |
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| Authors: | Arnold Zellner |
| Affiliation: | 1. Department of Marine Sciences and Applied Biology, University of Alicante, Carretera de San Vicente del Raspeig, s/n, 03690 San Vicente del Raspeig, Alicante, Spain;2. Statistical Modeling Ecology Group (SMEG), Department of Statistics and Operations Research, University of Valéncia, Av. de Blasco Ibáñez, 13, 46010, Valencia, Spain;3. Center for Research in Marine Sciences and Limnology (CIMAR), University of Costa Rica, San Pedro 11501-2060, San José, Costa Rica;4. Spanish Institute of Oceanography, Oceanographic Center of Vigo, Subida a Radio Faro, 50-52, 36390 Vigo, Pontevedra, Spain |
| Abstract: | In this paper it is pointed out that a Bayesian forecasting procedure performed better according to an average mean square error (MSE) criterion than the many other forecasting procedures utilized in the forecasting experiments reported in an extensive study by Makridakis et al. (1982). This fact was not mentioned or discussed by the authors. Also, it is emphasized that if criteria other than MSE are employed, Bayesian forecasts that are optimal relative to them should be employed. Specific examples are provided and analyzed to illustrate this point. |
| Keywords: | Bayesian forecasting Loss functions and forecasting Performance of Bayesian forecasts |
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