book chapter · 2023
Probabilistic Forecast Methods
Stephen Haben, Marcus Voß, William Holderbaum
Cited by 0Open access
Abstract
Abstract The previous two chapters were concerned with point forecasts which only produce a single estimate for each time step in the forecast horizon, i.e. one value $$L_t$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msub> <mml:mi>L</mml:mi> <mml:mi>t</mml:mi> </mml:msub> </mml:math> for each of the time periods $$t=N+1, N+2, \ldots , N+k$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mi>t</mml:mi> <mml:mo>=</mml:mo> <mml:mi>N</mml:mi> <mml:mo>+</mml:mo> <mml:mn>1</mml:mn> <mml:mo>,</mml:mo> <mml:mi>N</mml:mi> <mml:mo>+</mml:mo> <mml:mn>2</mml:mn> <mml:mo>,</mml:mo> <mml:mo>…</mml:mo> <mml:mo>,</mml:mo> <mml:mi>N</mml:mi> <mml:mo>+</mml:mo> <mml:mi>k</mml:mi> </mml:mrow> </mml:math> (assuming a forecast horizon of length k steps ahead starting at forecast origin N ). Point estimates are limited in their description of the future demand, especially when the underlying data has a large degree of uncertainty. A more detailed picture of the possible values of the demand can be produced by estimating the distribution of the demand for each period in the forecast horizon. Forecasts which estimate the spread of the distribution are often called probabilistic forecasts . That is the subject of this chapter.
Cite this paper
Haben, S., Voß, M., & Holderbaum, W. (2023). Probabilistic Forecast Methods. https://doi.org/10.1007/978-3-031-27852-5_11
Haben, Stephen, et al. “Probabilistic Forecast Methods.” 2023, pp. 201–27, https://doi.org/10.1007/978-3-031-27852-5_11.
Haben, Stephen, Marcus Voß, and William Holderbaum. 2023. “Probabilistic Forecast Methods.” https://doi.org/10.1007/978-3-031-27852-5_11.
Haben, S., Voß, M. and Holderbaum, W. (2023) ‘Probabilistic Forecast Methods’. Available at: https://doi.org/10.1007/978-3-031-27852-5_11.
@incollection{haben2023probabilistic,
title = {{Probabilistic Forecast Methods}},
author = {Haben, Stephen and Voß, Marcus and Holderbaum, William},
pages = {201--227},
year = {2023},
doi = {10.1007/978-3-031-27852-5_11}
}Made from the index record. Check names, capitalisation and page numbers against the paper. Need another style? AI for Research has over 10,000.