IDEAS home Printed from https://ideas.repec.org/p/ajf/louvlf/2026002.html

Clagging: an efficient alternative to bagging

Author

Listed:
  • Germain, Arnaud

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Vrins, Frédéric

    (Université catholique de Louvain, LIDAM/LFIN, Belgium)

Abstract

We introduce a new forecast combination strategy called clagging (for cluster aggregating), which consists in combining models fitted on different clusters. First, we perform K clustering tasks of the same training set, increasing the number of clusters from 1 to K. Next, we fit a model on each of those 1 + 2 +. . . + K clusters. Finally, the aggregate forecast for a new observation is obtained by combining the forecasts of the corresponding models using the distance of the new observation to the clusters’ centroids. We perform an extensive horse race study where we benchmark clagging on 20 datasets using 7 prediction models, considering both regression and classification tasks. Our results suggest that clagging outperforms bagging, where a bootstrapped sample is traditionally created by drawing observations with replacement until the size of the bootstrapped sample coincides with the size of the original training set. Clagging also improve the performance compared to a standard fit on the whole training set.

Suggested Citation

  • Germain, Arnaud & Vrins, Frédéric, 2026. "Clagging: an efficient alternative to bagging," LIDAM Discussion Papers LFIN 2026002, Université catholique de Louvain, Louvain Finance (LFIN).
  • Handle: RePEc:ajf:louvlf:2026002
    as

    Download full text from publisher

    File URL: https://dial.uclouvain.be/pr/boreal/en/object/boreal%3A312701/datastream/PDF_01/view
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Samuels, Jon D. & Sekkel, Rodrigo M., 2017. "Model Confidence Sets and forecast combination," International Journal of Forecasting, Elsevier, vol. 33(1), pages 48-60.
    2. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," International Journal of Forecasting, Elsevier, vol. 38(1), pages 97-116.
    3. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    4. Stijn Hawinkel & Willem Waegeman & Steven Maere, 2024. "Out-of-Sample R2: Estimation and Inference," The American Statistician, Taylor & Francis Journals, vol. 78(1), pages 15-25, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022. "Correction to: Optimal and robust combination of forecasts via constrained optimization and shrinkage," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1050-1050.
    2. Qian, Yilin & Thompson, Ryan & Vasnev, Andrey L, 2022. "Global combinations of expert forecasts," Working Papers BAWP-2022-02, University of Sydney Business School, Discipline of Business Analytics.
    3. Thompson, Ryan & Qian, Yilin & Vasnev, Andrey L., 2024. "Flexible global forecast combinations," Omega, Elsevier, vol. 126(C).
    4. Bernardo Raimundo & Jorge Miguel Bravo, 2026. "Forecasting meets Portfolio Theory: A Bibliometric Approach to Decision-Making under Uncertainty," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 13(1), pages 1-23, December.
    5. Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
    6. Weilong Liu & Yanchu Liu, 2025. "Covariance Matrix Estimation for Positively Correlated Assets," Papers 2507.01545, arXiv.org.
    7. Avagyan, Vahe & Alonso Fernández, Andrés Modesto & Nogales, Francisco J., 2015. "D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties," DES - Working Papers. Statistics and Econometrics. WS 21775, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Stephen G. Hall & George S. Tavlas & Yongli Wang, 2026. "Forecasting Inflation in the Presence of Structural Breaks: A Time‐Varying Parameter Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(4), pages 2102-2111, July.
    9. Mishra, Anil V., 2016. "Foreign bias in Australian-domiciled mutual fund holdings," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 101-123.
    10. Nathan Lassance & Alberto Martín-Utrera & Majeed Simaan, 2024. "The Risk of Expected Utility Under Parameter Uncertainty," Management Science, INFORMS, vol. 70(11), pages 7644-7663, November.
    11. McDowell, Shaun, 2018. "An empirical evaluation of estimation error reduction strategies applied to international diversification," Journal of Multinational Financial Management, Elsevier, vol. 44(C), pages 1-13.
    12. Bagnara, Matteo & Vaucher, Benoit, 2025. "Risk diversification and extreme risk mitigation," Journal of Empirical Finance, Elsevier, vol. 83(C).
    13. Olivier Ledoit & Michael Wolf, 2003. "Honey, I shrunk the sample covariance matrix," Economics Working Papers 691, Department of Economics and Business, Universitat Pompeu Fabra.
    14. Afanasyev, Dmitriy O. & Fedorova, Elena A., 2019. "On the impact of outlier filtering on the electricity price forecasting accuracy," Applied Energy, Elsevier, vol. 236(C), pages 196-210.
    15. Konno, Yoshihiko, 2009. "Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2237-2253, November.
    16. Wessel N. Wieringen & Gwenaël G. R. Leday, 2024. "Ridge-type covariance and precision matrix estimators of the multivariate normal distribution," Statistical Papers, Springer, vol. 65(9), pages 5835-5849, December.
    17. Yuan, Ke-Hai & Chan, Wai, 2008. "Structural equation modeling with near singular covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4842-4858, June.
    18. Jian Zhang & Li Su, 2015. "Temporal Autocorrelation-Based Beamforming With MEG Neuroimaging Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(512), pages 1375-1388, December.
    19. Yun Feng & Weijie Hou & Yuping Song, 2024. "Tail risk forecasting and its application to margin requirements in the commodity futures market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1513-1529, August.
    20. MohammadAmin Fazli & Parsa Alian & Ali Owfi & Erfan Loghmani, 2021. "RPS: Portfolio Asset Selection using Graph based Representation Learning," Papers 2111.15634, arXiv.org.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ajf:louvlf:2026002. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alain Gillis (email available below). General contact details of provider: https://edirc.repec.org/data/lfuclbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.