Forecasting using belief functions: An application to marketing econometrics

• Main Authors: Kanjanatarakul O., Sriboonchitta S., Denoeux T.
• Format: Article
• Language: English
• Published: Elsevier Inc. 2014
• 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
• Institution: Chiang Mai University

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.