Percentage and Relative Error Measures in Forecast Evaluation

Published Online:https://doi.org/10.1287/opre.2016.1550

References

  • Chatfield C (1988) Apples, oranges and mean squared error. Internat. J. Forecasting 4(4):515–518.CrossrefGoogle Scholar
  • Chen K, Guo S, Lin Y, Ying Z (2010) Least absolute relative error estimation. J. Amer. Statist. Assoc. 105(491):1104–1112.CrossrefGoogle Scholar
  • Clemen RT (1989) Combining forecasts: A review and annotated bibliography. Internat. J. Forecasting 5(4):559–583.CrossrefGoogle Scholar
  • Clemen RT, Winkler RL (1986) Combining economic forecasts. J. Bus. Econom. Statist. 4(1):39–46.CrossrefGoogle Scholar
  • Cormen TH, Leiserson CE, Rivest RL (1989) Introduction to Algorithms (MIT Press, Cambridge, MA).Google Scholar
  • Davydenko A, Fildes R (2013) Measuring forecast accuracy: The case of judgmental adjustments to SKU-level demand forecasts. Internat. J. Forecasting 29(3):510–523.CrossrefGoogle Scholar
  • de Bondt WFM, Thaler RH (1990) Do security analysts overreact? Amer. Econom. Rev. 80(2):52–57.Google Scholar
  • Easterwood JC, Nutt SR (1999) Inefficiency in analysts’ earnings forecasts: Systematic misreaction or systematic optimism? J. Finance 54(5):1777–1797.CrossrefGoogle Scholar
  • Farnum NR (1990) Improving the relative error of estimation. Amer. Statist. 44(4):288–289.Google Scholar
  • Fevotte C, Bertin N, Durrieu JL (2009) Nonnegative matrix factorization with the Itakura-Saito divergence with application to music analysis. Neural Comp. 21(3):793–830.CrossrefGoogle Scholar
  • Fildes R, Goodwin P (2007) Against your better judgment? How organizations can improve their use of management judgment in forecasting. Interfaces 37(6):570–576.LinkGoogle Scholar
  • Genest C, Zidek JV (1986) Combining probability distributions: A critique and annotated bibliography. Statist. Sci. 1(1):114–135.CrossrefGoogle Scholar
  • Gneiting T (2011a) Quantiles as optimal point forecasts. Internat. J. Forecasting 27(2):197–207.CrossrefGoogle Scholar
  • Gneiting T (2011b) Making and evaluating point forecasts. J. Amer. Statist. Assoc. 106(494):746–762.CrossrefGoogle Scholar
  • Hyndman RJ, Koehler AB (2006) Another look at forecast accuracy measures. Internat. J. Forecasting 22(4):670–688.CrossrefGoogle Scholar
  • Itakura F, Saito S (1968) Analysis synthesis telephony based on the maximum likelihood method. Kohasi Y, ed. IEEE Proc. 6th Internat. Congress Acoustics (IEEE, Los Alamitos, CA), 17–20.Google Scholar
  • Jain K, Mukherjee K, Bearden JN, Gaba A (2013) Unpacking the future: A nudge toward wider subjective confidence intervals. Management Sci. 59(9):1970–1987.LinkGoogle Scholar
  • Johnson NL, Kotz S, Balakrishnan N (1994) Continuous Univariate Distributions, 2nd ed., Vols. I and II (John Wiley & Sons, New York).Google Scholar
  • Jose VRR, Winkler RL (2008) Simple robust average of forecasts: Some empirical results. Internat. J. Forecasting 24(1):163–169.CrossrefGoogle Scholar
  • Jose VRR, Winkler RL (2009) Evaluating quantile assessments. Oper. Res. 57(5):1287–1297.LinkGoogle Scholar
  • Jose VRR, Grushka-Cockayne Y, Lichtendahl K Jr (2014) Trimmed opinion pools and the crowd’s calibration problem. Management Sci. 60(2):463–475.LinkGoogle Scholar
  • Khoshgoftaar TM, Bhattacharyya BB, Richardson GD (1992) Predicting software errors, during development, using nonlinear regression models: A comparative study. IEEE Trans. Reliability 41(3):390–395.CrossrefGoogle Scholar
  • Koenker R (2005) Quantile Regression (Cambridge University Press, Cambridge, MA).CrossrefGoogle Scholar
  • McCarthy TM, Davis DF, Golicic SL, Mentzer JT (2006) The evolution of sales forecasting management: A 20-year longitudinal study of forecasting practice J. Forecasting 25(5):303–324.CrossrefGoogle Scholar
  • Narula SC, Wellington JF (1977) Prediction, linear regression, and the minimum sum of relative errors. Technometrics 19(2):185–190.CrossrefGoogle Scholar
  • Park H, Stefanski LA (1998) Relative-error prediction. Statist. Probab. Lett. 40(3):227–236.CrossrefGoogle Scholar
  • Patton AJ (2011) Volatility forecast comparison using imperfect volatility proxies. J. Econometrics 160(1):246–256.CrossrefGoogle Scholar
  • Savage LJ (1971) Elicitation of personal probabilities and expectations. J. Amer. Statist. Assoc. 66(336):783–810.CrossrefGoogle Scholar
  • Scholz FW (1978) Weighted median regression estimates. Ann. Statist. 6(3):603–609.CrossrefGoogle Scholar
  • Stotz O, von Nitzsch R (2005) The perception of control and the level of overconfidence: Evidence from analyst earnings estimates and price targets. J. Behav. Finance 6(3):121–128.CrossrefGoogle Scholar
  • Thomson W (1979) Eliciting production possibilities from a well-informed manager. J. Econom. Theory 20(3):360–380.CrossrefGoogle Scholar
  • Zellner A (1986) A tale of forecasting 1001 series: The Bayesian knight strikes again. Internat. J. Forecasting 2(4):491–494.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.