Forecasting using information and entropy based on belief functions
type: Item
instance of: scholarly article
title: Forecasting using information and entropy based on belief functions
zbMATH Open document ID: 1445.62249
DOI: 10.1155/2020/3269647
author: Woraphon Yamaka
author: Songsak Sriboonchitta
published in: Complexity
publication date: 2020-10-21T00:00:00Z
review text: Summary: This paper introduces an entropy-based belief function to the forecasting problem. While the likelihood-based belief function needs to know the distribution of the objective function for the prediction, the entropy-based belief function does not. This is because the observed data likelihood is somewhat complex in practice. We, thus, replace the likelihood function with the entropy. That is, we propose an approach in which a belief function is built from the entropy function. As an illustration, the proposed method is compared to the likelihood-based belief function in the simulation and empirical studies. According to the results, our approach performs well under a wide array of simulated data models and distributions. There are pieces of evidence that the prediction interval obtained from the frequentist method has a much narrower prediction interval, while our entropy-based method performs the widest. However, our entropy-based belief function still produces an acceptable range for prediction intervals as the true prediction value always lay in the prediction intervals.
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 7263655
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1155/2020/3269647
OpenAlex ID: W3082701734
cites work: Forecasting using belief functions: an application to marketing econometrics
cites work: New Methods for Reasoning Towards Posterior Distributions Based on Sample Data
cites work: Q4131415
cites work: On random sets and belief functions
cites work: Prediction of future observations using belief functions: a likelihood-based approach
cites work: Likelihood-based belief function: justification and some extensions to low-quality data
cites work: Q5346661
cites work: Information Theory and Statistical Mechanics
cites work: The Dempster-Shafer calculus for statisticians
cites work: Q3292859
cites work: Possible generalization of Boltzmann-Gibbs statistics.
cites work: Comparison of maximum entropy and higher-order entropy estimators.
cites work: Q5509327
description: scientific article; zbMATH DE number 7263655