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Prediction and performance evaluation of BDI forecasting models : Cross efficiency, the directional distance function and the AVS utility function
https://doi.org/10.24545/00001401
https://doi.org/10.24545/0000140139ea97ef-783e-43ab-a34f-efaa227b36cf
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
119-128_Yu,Bulut.pdf (128.3 kB)
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| Item type | 会議発表用資料 / Conference paper(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2016-06-06 | |||||||||
| タイトル | ||||||||||
| タイトル | Prediction and performance evaluation of BDI forecasting models : Cross efficiency, the directional distance function and the AVS utility function | |||||||||
| 言語 | en | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Baltic dry index | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | portfolio theory | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | cross efficiency | |||||||||
| キーワード | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | the directional distance function | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_5794 | |||||||||
| 資源タイプ | conference paper | |||||||||
| ID登録 | ||||||||||
| ID登録 | 10.24545/00001401 | |||||||||
| ID登録タイプ | JaLC | |||||||||
| 著者 |
YU, Ming-Miin
× YU, Ming-Miin
× BULUT, Emrah
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| 会議概要 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | Workshop 2015 -Advances in DEA Theory and Applications (December 1-2, 2015) | |||||||||
| 抄録 | ||||||||||
| 内容記述タイプ | Abstract | |||||||||
| 内容記述 | In the study, we propose a nonparametric efficiency measurement approach for the forecasting model selection problem. Three autoregressive models and three fuzzy time series approaches are employed for the calibration of data structure to depict the trend. The directional distance function and portfolio theory are further used to evaluate the performance of BDI predictions. A directional distance function is defined that looks for possible increases in accuracy and skewness, and decreases in variance obtained by cross efficiencies of those forecasting models. We also establish a link to proper indirect accuracy- variance -skewness (AVS) utility function for various users in various utilities. An empirical section on a set of forecasting Baltic Dry Index (BDI) forecasting models serves as an illustration. | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | The workshop is supported by JSPS (Japan Society for the Promotion of Science), Grant-in-Aid for Scientific Research (B), #25282090, titled “Studies in Theory and Applications of DEA for Forecasting Purpose. | |||||||||
| 内容記述 | ||||||||||
| 内容記述タイプ | Other | |||||||||
| 内容記述 | 本研究はJSPS科研費 基盤研究(B) 25282090の助成を受けたものです。 | |||||||||
| 発表年月日 | ||||||||||
| 日付 | 2015-12-02 | |||||||||
| 日付タイプ | Issued | |||||||||
| 書誌情報 |
p. 119-128 |
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| 公開者 | ||||||||||
| 出版者 | 出版社不明 | |||||||||
| 関連サイト | ||||||||||
| 関連タイプ | isDerivedFrom | |||||||||
| 識別子タイプ | URI | |||||||||
| 関連識別子 | http://www.grips.ac.jp/jp/oldseminars/20151105-3601/ | |||||||||
| 関連名称 | http://www.grips.ac.jp/jp/oldseminars/20151105-3601/ | |||||||||
| 著者版フラグ | ||||||||||
| 出版タイプ | AM | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||||
