Averaging quantiles, variance shrinkage, and overconfidence
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DOI: 10.1002/ffo2.139
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References listed on IDEAS
- Cooke, Roger M. & Marti, Deniz & Mazzuchi, Thomas, 2021. "Expert forecasting with and without uncertainty quantification and weighting: What do the data say?," International Journal of Forecasting, Elsevier, vol. 37(1), pages 378-387.
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- De Gooijer, Jan G. & Zerom, Dawit, 2019. "Semiparametric quantile averaging in the presence of high-dimensional predictors," International Journal of Forecasting, Elsevier, vol. 35(3), pages 891-909.
- Kenneth C. Lichtendahl & Yael Grushka-Cockayne & Robert L. Winkler, 2013. "Is It Better to Average Probabilities or Quantiles?," Management Science, INFORMS, vol. 59(7), pages 1594-1611, July.
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