Franses, P.H., Zou, J. and Wang, W. (2024). Shapley-value-based forecast combination Journal of Forecasting, 43(8):3194--3202.
-
Affiliated authors
-
Publication year2024
-
JournalJournal of Forecasting
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.