Too similar to combine? On negative weights in forecast combination
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DOI: 10.1016/j.ijforecast.2021.08.002
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- Radchenko, Peter & Vasnev, Andrey & Wang, Wendun, 2020. "Too similar to combine? On negative weights in forecast combination," Working Papers BAWP-2020-02, University of Sydney Business School, Discipline of Business Analytics.
References listed on IDEAS
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Cited by:
- Clements, Adam & Vasnev, Andrey, 2021. "Forecast combination puzzle in the HAR model," Working Papers BAWP-2021-01, University of Sydney Business School, Discipline of Business Analytics.
- Qiu, Yue & Zheng, Yuchen, 2023. "Improving box office projections through sentiment analysis: Insights from regularization-based forecast combinations," Economic Modelling, Elsevier, vol. 125(C).
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Keywords
Forecast combination; Optimal weights; Negative weight; Trimming; Shrinkage;All these keywords.
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