On26th April, 2019, we welcomeAssociate Prof. Fotios Petropoulosto our series lecture on “Economics and Business”, as well as his speech onBagging with Real Data.FotiosPetropoulos is Associate Professor at the University of Bath, UK, and AssociateEditor for the International Journal of Forecasting. He is interested inresearch on time series forecasting, judgmental approaches for forecasting,statistical and judgmental model selection and integrated business forecastingprocesses. Fotios’s research so far has focused on the improvement offorecasting processes and more specifically around two streams. First, he hasexamined how additional information can be extracted from time series datathrough time transformation (temporal aggregation) and the use of hierarchies.Second, he has investigated interactions between forecasting and managementjudgment. The lecture was hosted by Associate Prof. Yanfei Kang from School ofEconomics and Management at Beihang University.
Inthe following lecture,AssociateProf. Fotios Petropoulos has presented that theexisting portfolio of models within a forecasting software is, very often, notable to capture the true data generating process (DGP). This had led manyresearchers to combine the forecasts from two or more forecasting models and,on average, achieve better accuracy. One approach to forecasting combination isbootstrapping and aggregation, or bagging. In this approach, the remainder ofthe data from a decomposition method is bootstrapped and then used to createnew instances of the original series. Each new series is forecasted separatelyand the forecasts are then combined. In this talk, we present a new approachwhere instead of bootstrapping the remainder to create a new series, we use alarge database to find similar time series. These similar series are eitherforecasted using familiar models, explicitly assuming a DGP, or their “future”values are directly taken as forecasts in which case no DGP is assumed. Ourapproach is tested on real data and shows promising improvements over standardbenchmarks, especially when historical information is limited.
Duringand after the lecture, more than 40 scholars and students from BUAA SEM discussedthe key points of the talk with Associate Prof. Petropoulos, and also raised quitea few relevant questions,which provoke further thinking on the issue from both parties.
