论文标题
关于约束预测的观点
Perspectives on Constrained Forecasting
论文作者
论文摘要
这份说明性论文讨论了关于预测的问题的贝叶斯决策分析观点。基础和教学讨论将决策分析方法与传统但通常不适当的推论方法进行了对比。说明性的例子包括开发新的约束点预测和熵倾斜方法，以探索具有强加或假设的约束的预测分布的一致性。线性，总体约束定义了具有照明的示例，这些示例与涉及商业和经济预测中涉及总体和分层约束的广泛重要问题有关。讨论探讨了不同损失功能的影响，关于预测结果之间的依赖性如何影响预测的问题，并促进了更广泛的决策分析使用，包括常规评估所选预测/决策下损失的预测分布。注意到更普遍的约束预测问题，对预测和解的更广泛兴趣的联系和其他考虑。
This expository paper discusses Bayesian decision analysis perspectives on problems of constrained forecasting. Foundational and pedagogic discussion contrasts decision analytic approaches with the traditional, but typically inappropriate, inferential approach. Illustrative examples include development of novel constrained point forecasting and entropic tilting methodology to explore consistency of a predictive distribution with an imposed or hypothesized constraint. Linear, aggregate constraints define illuminating examples that relate to broadly important problems involving aggregate and hierarchical constraints in commercial and economic forecasting. Discussion explores the impact of different loss functions, questions of how constrained forecasting is impacted by dependencies among outcomes being predicted, and promotes the broader use of decision analysis including routine evaluation of predictive distributions of loss under chosen forecasts/decisions. Extensions to more general constrained forecasting problems, connections with broader interests in forecast reconciliation and other considerations are noted.
