Optimal combination of density forecasts
AbstractThis paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It proposes a simple data-driven approach to direct combination of density forecasts using optimal weights.
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Bibliographic InfoPaper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 248.
Date of creation: Nov 2004
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-ECM-2005-10-29 (Econometrics)
- NEP-ETS-2005-10-29 (Econometric Time Series)
- NEP-FOR-2005-10-29 (Forecasting)
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