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Optimal combination of density forecasts

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  • Dr. James Mitchell

Abstract

This Revision December 2005. First Version November 2004. This paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It proposes a simple data-driven approach to direct combination of density forecasts using optimal weights.

Suggested Citation

  • Dr. James Mitchell, 2004. "Optimal combination of density forecasts," National Institute of Economic and Social Research (NIESR) Discussion Papers 248, National Institute of Economic and Social Research.
    • Handle: RePEc:nsr:niesrd:248
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    Cited by:

    1. Benjamin Avanzi & Yanfeng Li & Bernard Wong & Alan Xian, 2022. "Ensemble distributional forecasting for insurance loss reserving," Papers 2206.08541, arXiv.org, revised Jun 2024.
    2. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1688-1711, December.
    3. Pär Österholm, 2009. "Incorporating Judgement in Fan Charts," Scandinavian Journal of Economics, Wiley Blackwell, vol. 111(2), pages 387-415, June.
    4. Ohnsorge,Franziska Lieselotte & Stocker,Marc & Some,Modeste Y., 2016. "Quantifying uncertainties in global growth forecasts," Policy Research Working Paper Series 7770, The World Bank.

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