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On the Forecast Combination Puzzle [PDF]
Econometrics, 2019 It is often reported in the forecast combination literature that a simple average of candidate forecasts is more robust than sophisticated combining methods.
Wei Qian +3 more
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Probability Forecast Combination via Entropy Regularized Wasserstein Distance [PDF]
Entropy, 2020 We propose probability and density forecast combination methods that are defined using the entropy regularized Wasserstein distance. First, we provide a theoretical characterization of the combined density forecast based on the regularized Wasserstein ...
Ryan Cumings-Menon, Minchul Shin
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A Data-Weighted Prior Estimator for Forecast Combination [PDF]
Entropy, 2019 Forecast combination methods reduce the information in a vector of forecasts to a single combined forecast by using a set of combination weights. Although there are several methods, a typical strategy is the use of the simple arithmetic mean to obtain ...
Esteban Fernández-Vázquez +2 more
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Analyzing the Advantage of Combination of Density Forecasts in Tehran Stock Exchange [PDF]
International Journal of Industrial Electronics, Control and Optimization, 2021 Today, stock market plays a key role in the economy of any country and is considered as one of the growth indicators of any economy. Gaining the skills of gathering and analyzing data simultaneously, as well as using this knowledge in economic ...
S.Raheleh Shahrokhi +2 more
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The Variance-covariance Method using IOWGA Operator for Tourism Forecast Combination [PDF]
International Journal of Supply and Operations Management, 2014 Three combination methods commonly used in tourism forecasting are the simple average method, the variance-covariance method and the discounted MSFE method.
Liangping Wu, Jian Zhang
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A survey of human judgement and quantitative forecasting methods [PDF]
Royal Society Open Science, 2021 This paper's top-level goal is to provide an overview of research conducted in the many academic domains concerned with forecasting. By providing a summary encompassing these domains, this survey connects them, establishing a common ground for future ...
Maximilian Zellner +3 more
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Frontiers in Energy Research, 2021 In view of the intrinsic complexity of the oil market, crude oil prices are influenced by numerous factors that make forecasting very difficult.
Bai Huang +6 more
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IEEE Open Access Journal of Power and Energy, 2022 We present a winning method of the IEEE DataPort Competition on Day-Ahead Electricity Demand Forecasting: Post-COVID Paradigm. The day-ahead load forecasting approach is based on a novel online forecast combination of multiple point prediction models. It
Florian Ziel
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Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate [PDF]
Journal of Business & Economic Statistics, 2009 To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, misspecification, estimation uncertainty, and mismeasurement error.
Hendry, David F., Hubrich, Kirstin
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Forecasting US Inflation in Real Time
Econometrics, 2021 We analyze real-time forecasts of US inflation over 1999Q3–2019Q4 and subsamples, investigating whether and how forecast accuracy and robustness can be improved with additional information such as expert judgment, additional macroeconomic variables, and ...
Chad Fulton, Kirstin Hubrich
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