Resource title

The M-3 competition: statistical tests of the results

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In this paper the authors undertake a formal analysis of the results of the M3-Competition to determine whether there is a statistically significant difference in the forecasting accuracy of all the methods used in the competition. The test that they use is based on the average rankings of the various methods at each and every horizon. This test is not affected by the magnitude of the errors. They then determine which methods were statistically better (worse) than the average forecasting method. They next investigate whether there is any relationship between the complexity of the methods and their accuracy. Finally, they sought to determine whether the five descriptive statistics used in the M3 competition to measure accuracy yielded similar results.

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en

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application/pdf

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http://flora.insead.edu/fichiersti_wp/inseadwp2003/2003-33.pdf

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Copyright INSEAD. All rights reserved