Forecasting Distributions with Experts Advice

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Forecasting Distributions with Experts Advice

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Sancetta, A.

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Alessio Sancetta

Abstract

This paper considers forecasts of the distribution of data whose distribution function is possibly time varying. The forecast is achieved via time varying combinations of experts’ forecasts. We derive theoretical worse case bounds for general algorithms based on multiplicative updates of the combination weights. The bounds are useful to study the properties of forecast combinations when data are nonstationary and there is no unique best model. An application with an empirical study is used to highlight the results in practice.

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Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0517.

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Length: 30
Date of creation: May 2005
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Handle: RePEc:cam:camdae:0517

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-05-07 (All new papers)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Chamberlain, Gary, 2000. "Econometrics and decision theory," Journal of Econometrics, Elsevier, vol. 95(2), pages 255-283, April. [Downloadable!] (restricted)
Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-30, August. [Downloadable!] (restricted)
Other versions:
- Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, 06. [Downloadable!] (restricted)
Other versions:
- David Hendry & Michael P. Clements, 2001. "Pooling of Forecasts," Economics Papers 2002-W9, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
Yakowitz, Sidney & Györfi, László & Kieffer, John & Morvai, Gusztáv, 1999. "Strongly Consistent Nonparametric Forecasting and Regression for Stationary Ergodic Sequences," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 24-41, October. [Downloadable!] (restricted)
Elliott, Graham & Timmermann, Allan G, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Graham Elliott & Allan Timmermann, 2008. "Economic Forecasting," Journal of Economic Literature, American Economic Association, vol. 46(1), pages 3-56, March.
Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430. [Downloadable!]

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