A Forecast Combination Framework with Multi-Time Scale for Livestock Products’ Price Forecasting
Joint Authors
Ling, Liwen
Zhang, Dabin
Mugera, Amin W.
Chen, Shanying
Xia, Qiang
Source
Mathematical Problems in Engineering
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-10-20
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
China’s livestock market has experienced exceptionally severe price fluctuations over the past few years.
In this paper, based on the well-established idea of “forecast combination,” a forecast combination framework with different time scales is proposed to improve the forecast accuracy for livestock products.
Specifically, we combine the forecasts from multi-time scale, i.e., the short-term forecast and the long-term forecast.
Forecasts derived from multi-time scale introduce complementary information about the dynamics of price movements, thus increasing the diversities within the modeling process.
Moreover, we investigate a total of ten combination methods with different weighting schemes, including linear and nonlinear combination.
The empirical results show that (i) forecast performance can be remarkably improved with this novel combination idea, and short-term forecast model is more suitable for the products with a relatively high volatility, e.g., mutton and beef; (ii) geometric mean, which provides a nonlinear combination, is the most effective one among all the combination methods; and (iii) variance-based weighting scheme can yield a superior result compared to the best individual forecast, especially for the products such as egg and beef.
American Psychological Association (APA)
Ling, Liwen& Zhang, Dabin& Mugera, Amin W.& Chen, Shanying& Xia, Qiang. 2019. A Forecast Combination Framework with Multi-Time Scale for Livestock Products’ Price Forecasting. Mathematical Problems in Engineering،Vol. 2019, no. 2019, pp.1-11.
https://search.emarefa.net/detail/BIM-1197354
Modern Language Association (MLA)
Ling, Liwen…[et al.]. A Forecast Combination Framework with Multi-Time Scale for Livestock Products’ Price Forecasting. Mathematical Problems in Engineering No. 2019 (2019), pp.1-11.
https://search.emarefa.net/detail/BIM-1197354
American Medical Association (AMA)
Ling, Liwen& Zhang, Dabin& Mugera, Amin W.& Chen, Shanying& Xia, Qiang. A Forecast Combination Framework with Multi-Time Scale for Livestock Products’ Price Forecasting. Mathematical Problems in Engineering. 2019. Vol. 2019, no. 2019, pp.1-11.
https://search.emarefa.net/detail/BIM-1197354
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1197354