預測組合的演變及各學科中的組合概念

On the evolution of the forecast combinations and the pooling ideas

宋育芳(Yu-Fang Sung)

指導教授 ： 梁國源

國立臺灣大學/社會科學院/經濟學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.01378

摘要

C. Granger因為提出Bates and Granger (1969)、Newbold and Granger (1974)及Granger and Ramanathan (1984)奠定了他預測組合理論立基者的地位。但Newbold and Granger (1974)的公式與Markowitz (1952) 的公式在數理上完全相同，而且早於Granger and Ramanathan (1984)已有Crane and Crotty (1967)做過相似的事，以迴歸的方式綜合模型。另外，預測組合提出之後到1974年仍廣受批評，但之後卻又備受稱譽，這也顯示預測組合的得勢，可能有其創新貢獻之外的原因，其中的要因是電腦科技的發展。本文梳理這些脈絡，以較批判的角度，重新檢視Granger對預測組合的貢獻。
集思廣益、綜合資訊的觀念及做法也被運用在氣象學中的集合預報、心理學中的判斷預測及聚合分析、地震學中的地震預測及震測分析、生態學中的環分析。對組合概念的生發動機及流變有興趣的學者，可以參考本文已知組合概念的蓬勃發展。

關鍵字

預測組合 ； 投資組合 ； 預測涵蓋檢定 ； 判斷預測 ； 聚合分析 ； 集合預報 ； 地震預測組合 ； 震測分析 ； 環分析

並列摘要

Though Granger is well recognized as a theoretical founding father of forecast combination, two evidences go against the general attribution of his contribution. First, the forecast combination formula and the derivation of its weights are exact the same as Markowitz (1952). Second, before Granger and Ramanathan (1984), Crane and Crotty (1967) had already combined forecasts through multiple regression. Furthermore, forecasts combination was heavily criticized before 1974, but was widely accepted after that. All these factors indicates the rising importance of forecast combination is due to reasons other than its innovative contribution. Studies shows the development of computer technology has played a role.
Other than the reposition of Granger’s status, after 1969, various combination practices are developed as well, such as ensemble forecast in meteorology, earthquake forecast and seismic analysis in seismology, and loop analysis in ecology. Researchers who interest in the idea of combination may consult this thesis to have an understanding of the various findings.

並列關鍵字

forecast combinations ； portfolio selection ； forecast encompassing ； judgmental forecast ； meta-analysis ； ensemble forecast ； combining earthquake forecasts ； seismic analysis ； loop analysis

參考文獻

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Anandalingam, G., and L. Chen. 'Linear Combination of Forecasts: A General Bayesian Model'. Journal of Forecasting 8, no. 3 (1989): 199-214.

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