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Judgmental selection of forecasting models
Author(s) -
Petropoulos Fotios,
Kourentzes Nikolaos,
Nikolopoulos Konstantinos,
Siemsen Enno
Publication year - 2018
Publication title -
journal of operations management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.649
H-Index - 191
eISSN - 1873-1317
pISSN - 0272-6963
DOI - 10.1016/j.jom.2018.05.005
Subject(s) - selection (genetic algorithm) , computer science , set (abstract data type) , model selection , machine learning , artificial intelligence , statistical model , econometrics , operations research , economics , mathematics , programming language
In this paper, we explored how judgment can be used to improve the selection of a forecasting model. We compared the performance of judgmental model selection against a standard algorithm based on information criteria. We also examined the efficacy of a judgmental model‐build approach, in which experts were asked to decide on the existence of the structural components (trend and seasonality) of the time series instead of directly selecting a model from a choice set. Our behavioral study used data from almost 700 participants, including forecasting practitioners. The results from our experiment suggest that selecting models judgmentally results in performance that is on par, if not better, to that of algorithmic selection. Further, judgmental model selection helps to avoid the worst models more frequently compared to algorithmic selection. Finally, a simple combination of the statistical and judgmental selections and judgmental aggregation significantly outperform both statistical and judgmental selections.