Composite Forecasting with Dirichlet Priors* Academic Article uri icon

abstract

  • In this paper, composite forecasting is considered from a Bayesian perspective. A forecast user combines two or more forecasts of an operationally relevant random variable. We consider the case where outperformance is modeled as a realization from a multinomial process. The user has prior beliefs about the probability that a particular method outperforms all others, information which is summarized by the Dirichlet distribution. An empirical example with hog prices in the United States illustrates the method. Copyright © 1988, Wiley Blackwell. All rights reserved

author list (cited authors)

  • Bessler, D. A., & Chamberlain, P. J.

citation count

  • 7

publication date

  • December 1988

publisher