Density Forecasting: A Survey

A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. This article presents a selective survey of applications of density forecasting in macroeconomics and finance, and discusses some issues concerning the production, presentation and evaluation of density forecasts.

On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts' probability mass from the centers to the tails, correcting for overconfidence

FUTURES-BASED PRICE FORECASTS FOR AGRICULTURAL PRODUCERS AND BUSINESSES

The forecasting accuracy of five competing naïve and futures-based localized cash price forecasts is determined. The third-week's price each month from 1987-96 is forecasted from several vantage points. Commodities examine include those relevant to Midwest producers: the major grains, slaughter steers, slaughter hogs, several classes of feeder cattle, cull cows, and sows. Relative forecasting accuracy across forecast method is compared using regression models of forecast error. The traditional forecast method deferred futures plus historical basis has the greatest accuracy- even for cull cows. Adding complexity to forecasts, such as including regression models to capture nonlinear bases or biases in futures markets, does not improve accuracy.Demand and Price Analysis,

Effect of Environmental Conditions and Training Algorithms on the Efficiency of a NARX Based Approach to Predict PV Panel Power Output

Photovoltaic energy is volatile in nature since it depends on weather conditions. It is important to have an idea about the reliability and the economic feasibility of any new project to decide whether it is right to proceed with the installation of such a project. Hence, it is becoming fundamental to know renewable energy state and production that can be combined with other less variable and more predictable sources to justify the choice of regions for the new photovoltaic projects installation. The current research investigates the forecasting abilities of a NARX based approach. The influence of the meteorological data, such as irradiance, ambient temperature, and wind speed, and the impact of training algorithms on the performance of the NARX-based forecaster is studied. For this purpose, four models are discussed, each model is trained based on three training algorithms. The NARX model using a Bayesian Regularization algorithm, trained by the three meteorological data as inputs and the converted power output as output, outperforms the other models. It consists of a simple architecture with one input layer, a hidden layer containing 1O neurons, and an output layer, with a mean square error of 0.0085 W2 for the training phase and 0.0043 W2 testing phase, and the overall regression of 95.48%. This simplified architecture and low values of the mean square error and the regression coefficient suggest that they are promising photovoltaic output prediction tools, particularly in locations where few meteorological parameters are monitored

Cointegrating MiDaS Regressions and a MiDaS Test

This paper introduces cointegrating mixed data sampling (CoMiDaS) regressions, generalizing nonlinear MiDaS regressions in the extant literature. Under a linear mixed-frequency data-generating process, MiDaS regressions provide a parsimoniously parameterized nonlinear alternative when the linear forecasting model is over-parameterized and may be infeasible. In spite of potential correlation of the error term both serially and with the regressors, I find that nonlinear least squares consistently estimates the minimum mean-squared forecast error parameter vector. The exact asymptotic distribution of the difference may be non-standard. I propose a novel testing strategy for nonlinear MiDaS and CoMiDaS regressions against a general but possibly infeasible linear alternative. An empirical application to nowcasting global real economic activity using monthly covariates illustrates the utility of the approach.cointegration, mixed-frequency series, mixed data sampling

Forecasting: theory and practice

Forecasting has always been in the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The lack of a free-lunch theorem implies the need for a diverse set of forecasting methods to tackle an array of applications. This unique article provides a non-systematic review of the theory and the practice of forecasting. We offer a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts. We then demonstrate how such theoretical concepts are applied in a variety of real-life contexts, including operations, economics, finance, energy, environment, and social good. We do not claim that this review is an exhaustive list of methods and applications. The list was compiled based on the expertise and interests of the authors. However, we wish that our encyclopedic presentation will offer a point of reference for the rich work that has been undertaken over the last decades, with some key insights for the future of the forecasting theory and practice