Robust Constrained Combinations Of Forecasts
Paper shows that, under assumption that the single forecasts which enter the combination are unbiased, imposing some constraints on coordinates of M -estimator (of corresponding regression coefficients) leads to a gain in the asymptotic variance of one-step forward prediction evaluated by means of combined forecast. Numerical illustration offers a possibility to create an idea about the magnitude of the gain, and it also hints which type of M -estimator is to be used.
Volume (Year): 5 (1998)
Issue (Month): 8 ()
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