Combining forecasts for universally optimal performance
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DOI: 10.1016/j.ijforecast.2021.05.004
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- Magnus, Jan R. & Vasnev, Andrey L., 2023.
"On the uncertainty of a combined forecast: The critical role of correlation,"
International Journal of Forecasting, Elsevier, vol. 39(4), pages 1895-1908.
- Magnus, Jan & Vasnev, Andrey, 2021. "On the uncertainty of a combined forecast: The critical role of correlation," Working Papers BAWP-2022-01, University of Sydney Business School, Discipline of Business Analytics.
- Thompson, Ryan & Qian, Yilin & Vasnev, Andrey L., 2024.
"Flexible global forecast combinations,"
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- Ryan Thompson & Yilin Qian & Andrey L. Vasnev, 2022. "Flexible global forecast combinations," Papers 2207.07318, arXiv.org, revised Mar 2024.
- 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.
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Keywords
AFTER; Combining forecasts; Model averaging; Regression; Statistical tests;All these keywords.
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