Probability Forecast Combination via Entropy Regularized Wasserstein Distance
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DOI: 10.21799/frbp.wp.2020.31
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More about this item
Keywords
Entropy regularization; Wasserstein distance; optimal transport; density forecasting; model combination;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-08-31 (Econometrics)
- NEP-FOR-2020-08-31 (Forecasting)
- NEP-MAC-2020-08-31 (Macroeconomics)
- NEP-ORE-2020-08-31 (Operations Research)
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