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Title: Forecasting using belief functions: An application to marketing econometrics
Authors: Kanjanatarakul O.
Sriboonchitta S.
Denoeux T.
Issue Date: 2014
Publisher: Elsevier Inc.
Abstract: A method is proposed to quantify uncertainty on statistical forecasts using the formalism of belief functions. The approach is based on two steps. In the estimation step, a belief function on the parameter space is constructed from the normalized likelihood given the observed data. In the prediction step, the variable Y to be forecasted is written as a function of the parameter θ and an auxiliary random variable Z with known distribution not depending on the parameter, a model initially proposed by Dempster for statistical inference. Propagating beliefs about θ and Z through this model yields a predictive belief function on Y. The method is demonstrated on the problem of forecasting innovation diffusion using the Bass model, yielding a belief function on the number of adopters of an innovation in some future time period, based on past adoption data. © 2014 Elsevier B.V. All rights reserved.
ISSN: 0888613X
Appears in Collections:ECON: Journal Articles

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