Forecasting using belief functions: An application to marketing econometrics
A method is proposed to quantify uncertainty on statistical forecasts using the formalism of belief functions. The approach is based on two steps. In the estimation step, a belief function on the parameter space is constructed from the normalized likelihood given the observed data. In the prediction...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier Inc.
2014
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| Online Access: | http://www.scopus.com/inward/record.url?eid=2-s2.0-84899915661&partnerID=40&md5=8648ff3b49dc5376265577730efcbe50 http://cmuir.cmu.ac.th/handle/6653943832/1192 |
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| Institution: | Chiang Mai University |
| Language: | English |
| Summary: | A method is proposed to quantify uncertainty on statistical forecasts using the formalism of belief functions. The approach is based on two steps. In the estimation step, a belief function on the parameter space is constructed from the normalized likelihood given the observed data. In the prediction step, the variable Y to be forecasted is written as a function of the parameter θ and an auxiliary random variable Z with known distribution not depending on the parameter, a model initially proposed by Dempster for statistical inference. Propagating beliefs about θ and Z through this model yields a predictive belief function on Y. The method is demonstrated on the problem of forecasting innovation diffusion using the Bass model, yielding a belief function on the number of adopters of an innovation in some future time period, based on past adoption data. © 2014 Elsevier B.V. All rights reserved. |
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