Business Forecasting

Why no single model is uniformly best across a portfolio of heterogeneous series, and how combination delivers the accuracy of the best available model without requiring you to identify it.

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Three Approaches to Model Selection

Every portfolio forecast resolves the same decision: which model issues the number. The three available approaches differ in one respect only, which is how much evidence stands behind that decision.

Per-Series Selection

Choose the winning model for each series from its own validation window. Across 293 out-of-sample backtests it identified the eventual best model 26% of the time, and combination beat it in 200 of them.

Portfolio-Level Selection

Rank the models on pooled validation evidence and apply the winner across every series. It reaches parity with combination, but only once roughly 150 backtests have accumulated, which is around 50 qualifying series.

Model Combination

Average the member forecasts each period with the extremes trimmed. It matches the best available single model from the first backtest and lands in the bottom three of eleven methods in 1% of backtests against 17.4%.

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