Predictive Gains from Forecast Combinations Using Time Varying Model Weights
نویسندگان
چکیده
منابع مشابه
Predictive gains from forecast combinations using time varying model weights ∗
Several frequentist and Bayesian model averaging schemes, including a new one that simultaneously allows for parameter uncertainty, model uncertainty and time varying model weights, are compared in terms of forecast accuracy over a set of simulation experiments. Artificial data are generated, characterized by low predictability, structural instability, and fat tails, which is typical for many f...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1012574