Forecast combination and interpretability using random subspace
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More about this item
Keywords
forecast combination; forecast combination puzzle; forecasting; random subset; Shapley value decomposition;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2024-12-16 (Forecasting)
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