Information Criterion-Based Systems And Methods For Constructing Combining Weights For Multimodel Forecasting And Prediction
First Claim
1. A computer-implemented method for automatically generating a weighted average forecast model comprising:
- receiving a plurality of forecasting models;
receiving time series data;
optimizing at least one parameter of each of the received forecasting models utilizing the received time series data;
generating a weighting factor for each of the plurality of optimized forecasting models utilizing an information criteria value indicating fit quality of each of the optimized forecasting models; and
storing the generated weighting factors in a computer-readable medium.
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Abstract
Systems and methods are provided for a computer-implemented method for automatically generating a weighted average forecast model that includes receiving a plurality of forecasting models and time series data. At least one parameter of each of the received forecasting models is optimized utilizing the received time series data. A weighting factor is generated for each of the plurality of optimized forecasting models utilizing an information criteria value indicating fit quality of each of the optimized forecasting models, and the generated weighting factors are stored.
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Citations
33 Claims
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1. A computer-implemented method for automatically generating a weighted average forecast model comprising:
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receiving a plurality of forecasting models; receiving time series data; optimizing at least one parameter of each of the received forecasting models utilizing the received time series data; generating a weighting factor for each of the plurality of optimized forecasting models utilizing an information criteria value indicating fit quality of each of the optimized forecasting models; and storing the generated weighting factors in a computer-readable medium. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 31, 32, 33)
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21. An automatic forecasting system, comprising:
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a plurality of forecasting models; a file containing time series data indicative of transactional activity; a model fitter configured to receive the plurality of forecasting models and the file of time series data and to optimize at least one parameter of each of the plurality of forecasting models based on the file of time series data; and a model evaluator configured to receive the plurality of optimized forecasting models and to generate a weighting factor utilizing an information criteria for each of the optimized forecasting models indicating fit quality of each of the optimized forecasting models. - View Dependent Claims (22, 23, 24, 25, 26, 27, 28, 29, 30)
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Specification